Document And Entity Information
Document And Entity Information - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2018 | Jan. 31, 2019 | Jun. 30, 2018 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2018 | ||
Document Fiscal Year Focus | 2,018 | ||
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 Small Business | false | ||
Entity Emerging Growth Company | false | ||
Entity Shell Company | false | ||
Entity Public Float | $ 285 | ||
Trading Symbol | AI | ||
Common Class A | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 30,572,617 | ||
Common Class B | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 0 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
ASSETS | ||
Cash and cash equivalents | $ 26,713 | $ 21,614 |
Interest receivable | 13,349 | 12,546 |
Derivative assets, at fair value | 438 | 763 |
Deferred tax assets, net | 800 | |
Deposits | 61,052 | 59,103 |
Other assets | 15,768 | 11,203 |
Total assets | 4,099,450 | 4,160,529 |
Liabilities: | ||
Repurchase agreements | 3,721,629 | 3,667,181 |
Interest payable | 4,646 | 4,418 |
Accrued compensation and benefits | 3,732 | 5,015 |
Dividend payable | 11,736 | 17,550 |
Derivative liabilities, at fair value | 6,959 | 4,833 |
Other liabilities | 2,200 | 1,335 |
Long-term unsecured debt | 74,104 | 73,880 |
Total liabilities | 3,825,006 | 3,774,212 |
Commitments and contingencies (Note 10) | ||
Stockholders’ Equity: | ||
Preferred stock, $0.01 par value, 25,000,000 shares authorized, 350,595 and 303,291 shares issued and outstanding, respectively (liquidation preference of $8,765 and $7,582, respectively) | 8,245 | 7,108 |
Additional paid-in capital | 1,997,876 | 1,974,941 |
Accumulated deficit | (1,731,982) | (1,596,013) |
Total stockholders’ equity | 274,444 | 386,317 |
Total liabilities and stockholders’ equity | 4,099,450 | 4,160,529 |
Agency MBS | ||
ASSETS | ||
Mortgage-backed securities, at fair value | 3,982,106 | 4,054,424 |
Liabilities: | ||
Repurchase agreements | 3,721,629 | 3,667,181 |
Private-Label MBS | ||
ASSETS | ||
Mortgage-backed securities, at fair value | 24 | 76 |
Common Class A | ||
Stockholders’ Equity: | ||
Common stock | $ 305 | $ 281 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
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) | 350,595 | 303,291 |
Preferred stock, outstanding (in shares) | 350,595 | 303,291 |
Preferred stock, liquidation preference | $ 8,765 | $ 7,582 |
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) | 30,497,998 | 28,140,721 |
Common stock, shares outstanding (in shares) | 30,497,998 | 28,140,721 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Interest income | |||
Other | $ 675 | $ 179 | $ 373 |
Total interest income | 130,953 | 121,248 | 105,336 |
Interest expense | |||
Total interest expense | 84,825 | 51,514 | 29,222 |
Net interest income | 46,128 | 69,734 | 76,114 |
Investment (loss) gain, net | |||
(Loss) gain on trading investments, net | (114,522) | 2,424 | (41,249) |
(Loss) gain from derivative instruments, net | (9,657) | 3,224 | (31,660) |
Realized gain on sale of available-for-sale investments, net | 4,777 | ||
Other-than-temporary impairment charges | (1,737) | ||
Other, net | 357 | 226 | 551 |
Total investment (loss) gain, net | (123,822) | 5,874 | (69,318) |
General and administrative expenses | |||
Compensation and benefits | 8,329 | 13,203 | 11,526 |
Other general and administrative expenses | 5,041 | 5,367 | 9,230 |
Total general and administrative expenses | 13,370 | 18,570 | 20,756 |
(Loss) income before income taxes | (91,064) | 57,038 | (13,960) |
Income tax provision | 733 | 39,603 | 27,387 |
Net (loss) income | (91,797) | 17,435 | (41,347) |
Dividend on preferred stock | (590) | (251) | |
Net (loss) income (attributable) available to common stock | $ (92,387) | $ 17,184 | $ (41,347) |
Basic (loss) earnings per common share | $ (3.18) | $ 0.67 | $ (1.79) |
Diluted (loss) earnings per common share | $ (3.18) | $ 0.66 | $ (1.79) |
Weighted-average common shares outstanding (in thousands) | |||
Basic | 29,052 | 25,649 | 23,051 |
Diluted | 29,052 | 26,011 | 23,051 |
Other comprehensive (loss) income, net of taxes | |||
Unrealized losses on available-for-sale securities (net of taxes of $-0-, $-0-, and $(3,946), respectively) | $ (6,197) | ||
Reclassification | |||
Included in investment (loss) gain, net, related to sales of available-for-sale securities (net of taxes of $-0-, $-0-, and $40, respectively) | (7,235) | ||
Included in investment (loss) gain, net, related to other-than-temporary impairment charges on available-for-sale securities (net of taxes of $-0-, $-0-, and $676, respectively) | 1,061 | ||
Comprehensive (loss) income | $ (91,797) | $ 17,435 | (53,718) |
Secured Debt | |||
Interest expense | |||
Short-term debt | 79,812 | 46,648 | 24,433 |
Unsecured Debt | |||
Interest expense | |||
Long-term debt | 5,013 | 4,866 | 4,789 |
Agency MBS | |||
Interest income | |||
Mortgage-backed securities | 130,258 | 120,968 | 97,053 |
Private-Label MBS | |||
Interest income | |||
Mortgage-backed securities | $ 20 | $ 101 | $ 7,910 |
CONSOLIDATED STATEMENTS OF CO_2
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Statement Of Income And Comprehensive Income [Abstract] | |||
Unrealized losses for the period on available-for-sale securities, taxes | $ 0 | $ 0 | $ (3,946) |
Included in investment (loss) gain, net, related to sales of available-for-sale securities, taxes | 0 | 0 | 40 |
Included in investment (loss) gain, net, related to other-than-temporary impairment charges on available-for-sale securities, taxes | $ 0 | $ 0 | $ 676 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY - USD ($) $ in Thousands | Total | Common Class A | Series B Preferred Stock | Common StockCommon Class A | Common StockCommon Class B | Additional Paid-in Capital | Additional Paid-in CapitalCommon Class A | Accumulated Other Comprehensive Income | Accumulated Deficit | Preferred StockSeries B Preferred Stock | |
Balances at Dec. 31, 2015 | $ 459,428 | $ 229 | $ 1 | $ 1,898,085 | $ 12,371 | $ (1,451,258) | |||||
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 stock | $ 9,675 | $ 6 | $ 9,669 | ||||||||
Issuance of 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 from stock-based compensation | (175) | (175) | |||||||||
Other comprehensive loss | (12,371) | $ (12,371) | |||||||||
Dividends declared | [1] | (59,102) | (59,102) | ||||||||
Balances at Dec. 31, 2016 | 358,813 | $ 236 | 1,910,284 | (1,551,707) | |||||||
Balances (in shares) at Dec. 31, 2016 | 23,607,111 | 20,256 | |||||||||
Net Income (loss) | 17,435 | 17,435 | |||||||||
Conversion of Class B common stock to Class A common stock (in shares) | 20,256 | (20,256) | |||||||||
Issuance of stock | 61,213 | $ 7,108 | $ 45 | 61,168 | $ 7,108 | ||||||
Issuance of stock (in shares) | 4,472,083 | 303,291 | |||||||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 74,000 | ||||||||||
Repurchase of Class A common stock under stock-based compensation plans | (437) | (437) | |||||||||
Repurchase of Class A common stock under stock-based compensation plans (in shares) | (32,729) | ||||||||||
Stock-based compensation | 3,926 | 3,926 | |||||||||
Dividends declared | [1] | (61,741) | (61,741) | ||||||||
Balances at Dec. 31, 2017 | 386,317 | $ 281 | 1,974,941 | (1,596,013) | $ 7,108 | ||||||
Balances (in shares) at Dec. 31, 2017 | 28,140,721 | 303,291 | |||||||||
Net Income (loss) | (91,797) | (91,797) | |||||||||
Issuance of stock | $ 22,326 | $ 1,137 | $ 23 | $ 22,303 | $ 1,137 | ||||||
Issuance of stock (in shares) | 2,226,557 | 47,304 | |||||||||
Issuance of Class A common stock under stock-based compensation plans | 124 | $ 1 | 123 | ||||||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 164,585 | ||||||||||
Repurchase of Class A common stock under stock-based compensation plans | (327) | (327) | |||||||||
Repurchase of Class A common stock under stock-based compensation plans (in shares) | (33,865) | ||||||||||
Cumulative-effect of accounting change (see Note 3) | 4,059 | 4,059 | |||||||||
Stock-based compensation | 836 | 836 | |||||||||
Dividends declared | [1] | (48,231) | (48,231) | ||||||||
Balances at Dec. 31, 2018 | $ 274,444 | $ 305 | $ 1,997,876 | $ (1,731,982) | $ 8,245 | ||||||
Balances (in shares) at Dec. 31, 2018 | 30,497,998 | 350,595 | |||||||||
[1] | The Board of Directors approved and the Company declared and paid dividends of $2.50, $2.275, and $1.675 per common share for the years ended December 31, 2016, 2017, and 2018, respectively. The Board of Directors approved and the Company declared and paid dividends of $1.113 and $1.75 per preferred share for the years ended December 31, 2017 and 2018, respectively. |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Statement Of Stockholders Equity [Abstract] | |||
Dividends declared per common share | $ 1.675 | $ 2.275 | $ 2.50 |
Dividends paid per common share | 1.675 | 2.275 | $ 2.50 |
Dividends declared per preferred share | 1.75 | 1.113 | |
Dividends paid per preferred share | $ 1.75 | $ 1.113 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Cash flows from operating activities | |||
Net (loss) income | $ (91,797) | $ 17,435 | $ (41,347) |
Adjustments to reconcile net (loss) income to net cash provided by operating activities | |||
Net investment loss (gain), net | 123,822 | (5,874) | 69,318 |
Net premium amortization on mortgage-backed securities | 31,796 | 33,353 | 28,810 |
Deferred tax provision | 733 | 38,897 | 27,330 |
Other | 870 | 3,497 | 2,709 |
Changes in operating assets | |||
Interest receivable | (803) | (900) | 290 |
Other assets | (116) | 717 | 1,759 |
Changes in operating liabilities | |||
Interest payable and other liabilities | 527 | 1,296 | (531) |
Accrued compensation and benefits | (1,283) | (391) | 236 |
Net cash provided by operating activities | 63,749 | 88,030 | 88,574 |
Cash flows from investing activities | |||
Proceeds from sales of private-label mortgage-backed securities | 1,268 | 124,962 | |
Proceeds from sales of agency mortgage-backed securities | 2,387,180 | 2,482,703 | 2,302,011 |
Receipt of principal payments on private-label mortgage-backed securities | 8 | 17 | 496 |
Receipt of principal payments on agency mortgage-backed securities | 484,621 | 480,661 | 495,852 |
(Payments for) proceeds from derivatives and deposits, net | (8,712) | 24,674 | (66,278) |
Other | 21 | 432 | 15,855 |
Net cash used in investing activities | (82,641) | (147,680) | (49,820) |
Cash flows from financing activities | |||
Proceeds from repurchase agreements, net | 54,448 | 18,079 | 814,323 |
Repayments of Federal Home Loan Bank advances, net | (786,900) | ||
Proceeds from issuance of common stock | 22,326 | 61,213 | 9,675 |
Proceeds from issuance of preferred stock | 1,137 | 7,108 | |
Excess tax provisions associated with stock-based awards | (175) | ||
Dividends paid | (53,920) | (59,930) | (57,870) |
Net cash provided by (used in) financing activities | 23,991 | 26,470 | (20,947) |
Net increase (decrease) in cash and cash equivalents | 5,099 | (33,180) | 17,807 |
Cash and cash equivalents, beginning of year | 21,614 | 54,794 | 36,987 |
Cash and cash equivalents, end of year | 26,713 | 21,614 | 54,794 |
Supplemental cash flow information | |||
Cash payments for interest | 84,373 | 50,306 | 28,000 |
Cash payments for taxes | 8 | 28 | 322 |
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) | ||
Agency MBS | |||
Cash flows from investing activities | |||
Purchases of mortgage-backed securities | $ (2,945,759) | $ (3,137,435) | $ (2,917,361) |
Organization and Nature of Oper
Organization and Nature of Operations | 12 Months Ended |
Dec. 31, 2018 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Organization and Nature of Operations | 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 focuses on acquiring and holding a levered portfolio of residential mortgage-backed securities (“MBS”), consisting of “agency MBS” and “private-label MBS.” Agency MBS include residential mortgage pass-through certificates for which the principal and interest payments are guaranteed by either a U.S. government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or by a U.S. government agency, such as the Government National Mortgage Association (“Ginnie Mae”). Private-label MBS, or “non-agency MBS,” include residential MBS that are not guaranteed by a GSE or the U.S. government. Arlington Asset is a Virginia corporation that is internally managed. |
Basis of Presentation
Basis of Presentation | 12 Months Ended |
Dec. 31, 2018 | |
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 materially from these estimates. Certain prior period amounts in the consolidated financial statements and the accompanying notes 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, 2018 | |
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, 2018 and 2017, 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 The Company recognizes interest income for its investments in agency MBS by applying the “interest method” permitted by GAAP, whereby purchase premiums and discounts are amortized and accreted, respectively, as an adjustment to contractual interest income accrued at each security’s stated coupon rate. 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 contractual effective interest rate on the remaining security balance is unaffected. 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, all of which had been sold as of December 31, 2016. 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. As of December 31, 2016, all of the Company’s investments in MBS are classified as trading securities. Accordingly, all unrealized gains and losses related to the Company’s investments in MBS during 2018 and 2017 have been recognized in net income. Earnings (Loss) Per Share Basic earnings (loss) 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 table presents the computations of basic and diluted earnings (loss) per share for the periods indicated: Year Ended December 31, (Shares in thousands) 2018 2017 2016 Basic weighted-average common shares outstanding 29,052 25,649 23,051 Performance share units and unvested restricted stock — 362 — Diluted weighted-average common shares outstanding 29,052 26,011 23,051 Net (loss) income (attributable) available to common stock $ (92,387 ) $ 17,184 $ (41,347 ) Basic (loss) earnings per common share $ (3.18 ) $ 0.67 $ (1.79 ) Diluted (loss) earnings per common share $ (3.18 ) $ 0.66 $ (1.79 ) The diluted loss per share for the years ended December 31, 2018 and 2016 did not include the antidilutive effect of 216,238 and 150,996 shares of unvested shares of restricted stock and performance share units, respectively. 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 Borrowings Note 5 To-be-announced agency MBS transactions, including “dollar rolls” Note 6 Derivative instruments Note 6 Balance sheet offsetting Note 7 Fair value measurements Note 8 Income taxes Note 9 Stock-based compensation Note 12 Recent Accounting Pronouncements The following table provides a brief description of recently issued accounting pronouncements and their actual or expected effect on the Company’s consolidated financial statements: Standard Description Date of Adoption Effect on the Consolidated Financial Statements Recently Adopted Accounting Guidance Accounting Standards Update (“ASU”) No. 2015-14, Revenue from Contracts with Customers (Topic 606): Deferral of the Effective Date 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 adoption of ASU No. 2015-14 did not impact the Company’s 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 ASU No. 2016-01 requires entities to measure investments in equity securities at fair value, unless fair value measurement is impractical, with changes in fair value recognized in current period earnings. Upon the adoption of ASU No. 2016-01, the Company recognized a cumulative-effect increase of $4,059 (net of taxes) in stockholders’ equity representing, as of January 1, 2018, the excess of fair value over historical cost of its investments in equity securities that were previously carried at their historical cost (net of impairments). Subsequent to January 1, 2018, all changes in the estimated fair value of such instruments will be recognized in net income. ASU No. 2016-15, Classification of Certain Cash Receipts and Cash Payments (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 adoption of ASU No. 2016-15 did not have a material impact on the Company’s consolidated financial statements. Recently Issued Accounting Guidance Not Yet Adopted 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, 2019 The primary impact of the adoption of ASU No. 2016-02 will be the recognition of lease liabilities and associated right-of-use assets on the Company’s balance sheet. The Company does not expect the adoption of ASU No. 2016-02 will have a material effect 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 As of December 31, 2018, all of the Company’s investments in debt securities are classified as trading securities. Accordingly, the Company does not expect ASU No. 2016-13 to have a material impact on its consolidated financial statements. ASU No. 2017-08, Premium Amortization of Purchased Callable Debt Securities (Subtopic 310-20) This amendment requires purchase premiums for investments in debt securities that are noncontingently callable by the issuer (at a fixed price and preset date) to be amortized to the earliest call date. Previously, purchase premiums for such investments were permitted to be amortized to the instrument’s maturity date. January 1, 2020 Investments in prepayable financial assets, such as residential MBS, for which the embedded call options are not held by the issuer are not within the scope of ASU No. 2017-08. Accordingly, the Company does not expect the adoption of ASU No. 2017-08 to have a material effect on its consolidated financial statements. ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities (Topic 815) This update made several targeted amendments to existing GAAP with the objectives of facilitating (i) financial reporting that more closely reflects entities’ risk management strategies and (ii) greater ease of understanding and interpreting the effects of hedge accounting on an entities’ reported results. January 1, 2019 Hedge accounting pursuant to GAAP is an elective, rather than a required, accounting model. The Company does not currently elect to apply hedge accounting and, at this time, does not plan to elect to apply hedge accounting in the future. Accordingly, at this time, the Company does not expect ASU No. 2017-12 will have an effect on its consolidated financial statements. |
Investments in Agency MBS
Investments in Agency MBS | 12 Months Ended |
Dec. 31, 2018 | |
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, 2018 and 2017, the Company had $3,982,106 and $4,054,424, respectively, of fair value in agency MBS classified as trading securities. As of December 31, 2018 and 2017, all of the Company’s investments in agency MBS represent undivided (or “pass-through”) beneficial interests in specified pools of fixed-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 gain (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, 2018 2017 2016 Net (losses) gains recognized in earnings for: Agency MBS still held at period end $ (59,676 ) $ (1,621 ) $ (62,363 ) Agency MBS sold during the period (54,804 ) 3,987 21,714 Total $ (114,480 ) $ 2,366 $ (40,649 ) The Company also invests in and finances fixed-rate agency MBS on a generic pool basis through sequential series of to-be-announced security transactions commonly referred to as “dollar rolls.” Dollar rolls are accounted for as a sequential series of derivative instruments. Refer to “Note 6. Derivative Instruments” for further information about dollar rolls. |
Borrowings
Borrowings | 12 Months Ended |
Dec. 31, 2018 | |
Debt Disclosure [Abstract] | |
Borrowings | Note 5. Borrowings Repurchase Agreements The Company finances the purchase of MBS through repurchase agreements, which are accounted for as collateralized borrowing arrangements. In a repurchase transaction, the Company sells MBS to a counterparty under a master repurchase agreement in exchange for cash and concurrently agrees to repurchase the same security at a future date in an amount equal to the cash initially exchanged plus an agreed-upon amount of interest. MBS sold under agreements to repurchase remain on the Company’s consolidated balance sheets because the Company maintains effective control over such securities throughout the duration of the arrangement. Throughout the contractual term of a repurchase agreement, the Company recognizes a “repurchase agreement” liability on its consolidated balance sheets to reflect the obligation to repay to the counterparty the proceeds received upon the initial transfer of the MBS. The difference between the proceeds received by the Company upon the initial transfer of the MBS and the contractually agreed-upon repurchase price is recognized as interest expense over the term of the repurchase arrangement on a level-yield basis. Amounts borrowed pursuant to repurchase agreements are equal in value to a specified percentage of the fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral throughout the term of the repurchase agreement. The counterparty to the repurchase agreements may require that the Company pledge additional securities or cash as additional collateral to secure borrowings when the value of the collateral declines. As of December 31, 2018 and 2017, 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, 2018 December 31, 2017 Pledged with agency MBS: Repurchase agreements outstanding $ 3,721,629 $ 3,667,181 Agency MBS collateral, at fair value 3,931,232 3,858,815 Net amount (1) 209,603 191,634 Weighted-average rate 2.72 % 1.56 % Weighted-average term to maturity 17.3 days 12.6 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, 2018 and 2017: December 31, 2018 December 31, 2017 Weighted-average outstanding balance $ 3,817,870 $ 3,950,139 Weighted-average rate 2.06 % 1.16 % Long-Term Unsecured Debt As of December 31, 2018 and 2017, the Company had $74,104 and $73,880, respectively, of outstanding long-term unsecured debentures, net of unamortized debt issuance costs of $1,196 and $1,420, respectively. The Company’s long-term unsecured debentures consisted of the following as of the dates indicated: December 31, 2018 December 31, 2017 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 % 5.19 % 6.75 % 6.625 % 4.11 % 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 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 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, 2018 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Note 6. Derivative Instruments In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative instruments. Derivative instruments are recorded at fair value as either “derivative assets” or “derivative liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment gain (loss), net” in the consolidated statements of comprehensive income. Cash receipts or payments related to derivative instruments are classified as investing activities within the consolidated statements of cash flows. Types and Uses of Derivative Instruments Interest Rate Hedging Instruments The Company is party to interest rate hedging instruments 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 hedging instruments include centrally cleared interest rate swaps, exchange-traded instruments, such as U.S. Treasury note futures, Eurodollar futures, interest rate swap futures and options on futures, and nonexchange-traded instruments such as options on agency MBS. While the Company uses its interest rate hedging instruments 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 cash “variation margin” with the counterparties to its interest rate hedging instruments at least on a daily basis based upon daily changes in fair value as measured by the Chicago Mercantile Exchange (“CME”), the central clearinghouse through which those instruments are cleared. In addition, the CME requires market participants to deposit and maintain an “initial margin” amount which is determined by the CME and is generally intended to be set at a level sufficient to protect the CME from the maximum estimated single-day price movement in that market participant’s contracts . However, futures commission merchants may require “initial margin” in excess of the CME’s requirement. Receivables recognized for the right to reclaim cash initial margin posted in respect of interest rate hedging instruments are included in the line item “deposits” in the accompanying consolidated balance sheets. The daily exchange of variation margin associated with a centrally cleared or exchange-traded hedging instrument is legally characterized as the daily settlement of the instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its interest rate swaps and futures as a direct reduction to the carrying value of the derivative asset or liability, respectively. The carrying amount of interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments generally represents the change in fair value that occurred on the last day of the reporting period . 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 commitments to purchase fixed-rate “pass-through” agency MBS on a non-specified pool basis, which are known as to-be-announced (“TBA”) securities. A TBA security is a forward commitment 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 specific agency MBS to be delivered is determined 48 hours prior to the settlement date. The Company accounts for TBA securities as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA commitment that its settlement will result in physical delivery of the underlying agency MBS, or the individual TBA commitment 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 with the same counterparty prior to the settlement date, net settling the “paired-off” positions in cash, and contemporaneously entering, with the same counterparty, 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 gain (loss), 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. Under the terms of these forward commitments, the daily exchange of variation margin may occur based on changes in the fair value of the agency MBS commitments if a party to the transaction demands it. Receivables recognized for the right to reclaim cash collateral posted by the Company in respect of TBA transactions is included in the line item “deposits” in the accompanying consolidated balance sheets. Liabilities recognized for the obligation to return cash collateral received by the Company in respect of TBA transactions is included in the line item “other liabilities” 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, 2018 December 31, 2017 Assets Liabilities Assets Liabilities Interest rate swaps $ — $ (5,709 ) $ — $ (3,338 ) 5-year U.S. Treasury note futures — — — (20 ) 10-year U.S. Treasury note futures — (1,250 ) — (1,321 ) TBA commitments 438 — 763 (154 ) Total $ 438 $ (6,959 ) $ 763 $ (4,833 ) 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, 2018: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive (Pay) Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 1,050,000 1.53% 2.60% 1.07% 1.5 $ (152 ) 3 to less than 7 years 325,000 2.00% 2.73% 0.73% 4.4 (432 ) 7 to less than 10 years 1,600,000 2.35% 2.70% 0.35% 8.5 (4,572 ) 10 or more years 125,000 3.02% 2.66% (0.36)% 29.6 (553 ) Total / weighted-average $ 3,100,000 2.07% 2.67% 0.60% 6.6 $ (5,709 ) The following table presents information about the Company’s interest rate swap agreements that were in effect as of December 31, 2017: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive (Pay) Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 1,300,000 1.28% 1.51% 0.23% 1.8 $ (248 ) 3 to less than 7 years 700,000 1.87% 1.48% (0.39)% 3.9 (454 ) 7 to 10 years 1,600,000 1.90% 1.55% (0.35)% 8.3 (2,636 ) Total / weighted-average $ 3,600,000 1.67% 1.52% (0.15)% 5.1 $ (3,338 ) U.S. Treasury Note Futures The Company’s 10-year U.S. Treasury note futures held as of December 31, 2018 are short positions with an aggregate notional amount of $320,000 that mature in . Upon the maturity date of these futures contracts, the Company has the option to either net settle each contract in cash in an amount equal to the difference between the then-current fair value of the underlying 10-year U.S. Treasury note and the contractual sale price inherent to the futures contract, or to physically settle the contract by delivering the underlying 10-year U.S. Treasury note. As of December 31, 2017, the Company held short positions of 5-year and 10-year U.S. Treasury note futures with aggregate notional amounts of $21,600 and $650,000, respectively, with a maturity date in March 2018. Options on 10-year U.S. Treasury Note Futures The Company may purchase or sell exchange-traded options on 10-year U.S. Treasury note futures contracts with the objective of economically hedging a portion of the sensitivity of its investments in agency MBS to significant changes in interest rates. The Company may purchase put options which provide the Company with the right to sell 10-year U.S. Treasury note futures to a counterparty, and the Company may also write call options that provide a counterparty with the option to buy 10-year U.S. Treasury note futures from the Company. In order to limit its exposure on its interest rate derivative instruments from a significant decline in long-term interest rates, the Company may also purchase contracts that provide the Company with the option to buy, or call, 10-year U.S. Treasury note futures from a counterparty. The options may be exercised at any time prior to their expiry, and if exercised, may be net settled in cash or through physical receipt or delivery of the underlying futures contracts . As of December 31, 2018 and 2017, the Company had no outstanding options on 10-year U.S. Treasury note futures contracts. TBA Commitments The following tables present information about the Company’s TBA commitments as of the dates indicated: December 31, 2018 Notional Amount: Net Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value Dollar roll positions: 5.0% 30-year MBS purchase commitments $ 100,000 $ 103,750 $ 104,047 $ 297 5.0% 30-year MBS sale commitments (100,000 ) (104,188 ) (104,047 ) 141 Total TBA commitments, net $ — $ (438 ) $ — $ 438 December 31, 2017 Notional Amount: Net Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value Dollar roll positions: 3.0% 15-year MBS purchase commitments $ 250,000 $ 254,873 $ 254,766 $ (107 ) 3.5% 30-year MBS purchase commitments 1,015,000 1,041,496 1,042,212 716 Total TBA commitments, net $ 1,265,000 $ 1,296,369 $ 1,296,978 $ 609 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, 2018 2017 Interest rate derivatives: Interest rate swaps: Net interest income (expense) (1) $ 6,266 $ (17,334 ) Unrealized (losses) gains, net (30,064 ) 17,791 Gains (losses) realized upon early termination, net 49,192 (13,441 ) Total interest rate swap gains (losses), net 25,394 (12,984 ) U.S. Treasury note futures, net 8,647 6,054 Options on U.S. Treasury note futures, net — (6,302 ) Other, net — (255 ) Total interest rate derivative gains (losses), net 34,041 (13,487 ) TBA and specified agency MBS commitments: TBA dollar roll income (2) 20,929 21,291 Other losses on agency MBS commitments, net (64,627 ) (4,580 ) Total (losses) gains on agency MBS commitments, net (43,698 ) 16,711 Total derivative (losses) gains, net $ (9,657 ) $ 3,224 (1) Represents the periodic net interest settlement incurred during the period (often referred to as “net interest carry”). Also includes “price alignment interest” income earned or expense incurred on cumulative variation margin paid or received, respectively, associated with centrally cleared interest rate swap agreements . (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, 2018 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 3,600,000 $ 1,400,000 $ — $ (1,900,000 ) $ 3,100,000 5-year U.S. Treasury note futures 21,600 — (21,600 ) — — 10-year U.S. Treasury note futures 650,000 3,120,000 (3,200,000 ) (250,000 ) 320,000 Commitments to purchase (sell) MBS, net 1,265,000 13,320,000 (14,585,000 ) — — For the Year Ended December 31, 2017 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 3,700,000 $ 1,275,000 $ (250,000 ) $ (1,125,000 ) $ 3,600,000 5-year U.S. Treasury note futures — 221,600 (200,000 ) — 21,600 10-year U.S. Treasury note futures — 2,146,100 (1,496,100 ) — 650,000 Purchased put options on 10-year U.S. Treasury note futures 1,650,000 2,540,000 (4,190,000 ) — — Sold call options on 10-year U.S. Treasury note futures 1,000,000 2,450,000 (3,450,000 ) — — Purchased call options on 10-year U.S. Treasury note futures 1,000,000 3,350,000 (4,350,000 ) — — Purchased put options on agency MBS — 900,000 (900,000 ) — — Commitments to purchase (sell) MBS, net 725,000 12,925,000 (12,385,000 ) — 1,265,000 Cash Collateral Posted and Received for Derivative Instruments and Other Financial Instruments The following table presents information about the cash collateral posted and received by the Company in respect of its derivative and other financial instruments, which is included in the line item “deposits” in the accompanying consolidated balance sheets, for the dates indicated: December 31, 2018 December 31, 2017 Cash collateral posted for: Interest rate swaps (cash initial margin) $ 54,883 $ 46,218 U.S. Treasury note futures (cash initial margin) 6,169 6,960 Unsettled MBS trades and TBA commitments, net — 5,925 Total cash collateral posted, net $ 61,052 $ 59,103 As of December 31, 2018, the Company had received $438 of cash collateral in respect of its forward-settling TBA commitments. The Company recognized a corresponding obligation to return this cash collateral to its counterparties, which is included in the line item “other liabilities” in the accompanying consolidated balance sheets. |
Offsetting of Financial Assets
Offsetting of Financial Assets and Liabilities | 12 Months Ended |
Dec. 31, 2018 | |
Offsetting [Abstract] | |
Offsetting of Financial Assets and Liabilities | Note 7. Offsetting of Financial Assets and Liabilities The agreements that govern certain of the Company’s derivative instruments and 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 . Receivables recognized for the right to reclaim cash initial margin posted in respect of interest rate derivative instruments are included in the line item “deposits” in the accompanying consolidated balance sheets. The daily exchange of variation margin associated with a centrally cleared or exchange-traded derivative instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap derivative asset or liability, respectively. The carrying amount of interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments generally represents the change in fair value that occurred on the last day of the reporting period . 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, 2018 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: TBA commitments $ 438 $ — $ 438 $ — $ (438 ) $ — Total derivative instruments 438 — 438 — (438 ) — Total assets $ 438 $ — $ 438 $ — $ (438 ) $ — Liabilities: Derivative instruments: Interest rate swaps $ 5,709 $ — $ 5,709 $ — $ (5,709 ) $ — 10-year U.S. Treasury note futures 1,250 — 1,250 — (1,250 ) — Total derivative instruments 6,959 — 6,959 — (6,959 ) — Repurchase agreements 3,721,629 — 3,721,629 (3,721,629 ) — — Total liabilities $ 3,728,588 $ — $ 3,728,588 $ (3,721,629 ) $ (6,959 ) $ — As of December 31, 2017 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: TBA commitments $ 763 $ — $ 763 $ — $ — $ 763 Total derivative instruments 763 — 763 — — 763 Total assets $ 763 $ — $ 763 $ — $ — $ 763 Liabilities: Derivative instruments: Interest rate swaps $ 3,338 $ — $ 3,338 $ — $ (3,338 ) $ — U.S. Treasury note futures 1,341 — 1,341 — (1,341 ) — TBA commitments 154 — 154 — (154 ) — Total derivative instruments 4,833 — 4,833 — (4,833 ) — Repurchase agreements 3,667,181 — 3,667,181 (3,667,181 ) — — Total liabilities $ 3,672,014 $ — $ 3,672,014 $ (3,667,181 ) $ (4,833 ) $ — (1) Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements 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, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Note 8. Fair Value Measurements Fair Value of Financial Instruments The accounting principles related to fair value measurements define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures Level 1 Inputs - Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by the Company at the measurement date Level 2 Inputs - Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and Level 3 Inputs - Unobservable inputs for the asset or liability, including significant judgments made by the Company about the assumptions that a market participant would use The Company measures the fair value of the following assets and liabilities: Mortgage-backed securities Agency MBS - The Company’s investments in agency MBS are classified within Level 2 of the fair value hierarchy. Inputs to fair value measurements of the Company’s investments in agency MBS include price estimates obtained from third-party pricing services. 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. Derivative instruments Exchange-traded derivative instruments - Exchange-traded derivative instruments, which include U.S. Treasury note futures, Eurodollar 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. Interest rate swaps - Interest rate swaps are classified within Level 2 of the fair value hierarchy. The fair values of the Company’s 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 price estimates obtained from a third-party pricing service, 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 unsecured debt - As of December 31, 2018 and 2017, the carrying value of the Company’s long-term unsecured debt was $74,104 and $73,880, 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 unsecured debt is $66,562 and $70,314 as of December 31, 2018 and 2017, 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. Investments in equity securities of non-public companies and investment funds - As of December 31, 2018, the Company had investments in equity securities and investment funds measured at fair value of $6,115, which is included in the line item “other assets” in the accompanying consolidated balance sheets. ASU No. 2016-01, effective January 1, 2018, requires entities to measure investments in equity securities at fair value, unless fair value measurement is impractical, with changes in fair value recognized in current period earnings. Upon the adoption of ASU No. 2016-01, the Company recognized a cumulative-effect increase of $4,059 (net of taxes) in stockholders’ equity representing, as of January 1, 2018, the excess of fair value over historical cost of its investments in equity securities that were previously carried at their historical cost (net of impairments). As of December 31, 2017, the Company had investments in equity securities and investment funds with a carrying amount of $1,675, which are included in the line item “other assets” in the accompanying consolidated balance sheets. As of December 31, 2017, $439 of these investments represented 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 remaining $1,236 in investments in equity securities of non-public companies and investment funds as of December 31, 2017 were measured at cost, net of impairments. The Company’s estimate of the total fair value of investments in equity securities and investment funds was $5,801 as of December 31, 2017. 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 which it then allocates to 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 based on income and market approaches, including the consideration of recent investments in, or tender offers for, the equity securities of the investee, a discounted cash flow analysis and a comparable guideline public company valuation. The primary unobservable inputs used in estimating the fair value of an equity security of a non-public company include (i) a stock price to net asset multiple for similar public companies that is applied to the entity’s net assets, (ii) a discount factor for lack of marketability and control, and (iii) a cost of equity discount rate, used to discount to present value the equity cash flows available for distribution and the terminal value of the entity. As of December 31, 2018, the stock price to net asset multiple for similar public companies, the discount factor for lack of marketability and control, and the cost of equity discount rate used as inputs were 91 percent, 8 percent, and 12 percent, respectively. As of December 31, 2017, the discount factor for lack of marketability and control was estimated to be 20 percent. 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, receivables, repurchase agreements, payables, and other assets and liabilities are reflected in the consolidated balance sheets at their cost, which, due to the short-term nature of these instruments and their limited inherent credit risk, approximates fair value. 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, 2018 and 2017. 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, 2018 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,982,106 $ — $ 3,982,106 $ — Private-label MBS 24 — — 24 Total MBS 3,982,130 — 3,982,106 24 Derivative assets 438 — 438 — Derivative liabilities (6,959 ) (1,250 ) (5,709 ) — Other assets 6,115 — — 6,115 Total $ 3,981,724 $ (1,250 ) $ 3,976,835 $ 6,139 December 31, 2017 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 4,054,424 $ — $ 4,054,424 $ — Private-label MBS 76 — — 76 Total MBS 4,054,500 — 4,054,424 76 Derivative assets 763 — 763 — Derivative liabilities (4,833 ) (1,341 ) (3,492 ) — Other assets 439 — — 439 Total $ 4,050,869 $ (1,341 ) $ 4,051,695 $ 515 There were no transfers of financial instruments into or out of Levels 1, 2 or 3 during the years ended December 31, 2018 and 2017. Level 3 Financial Assets and Liabilities 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, 2018 2017 Beginning balance $ 515 $ 1,799 Investments in equity securities measured at fair value beginning January 1, 2018 5,362 — Included in investment gain (loss), net 313 (35 ) Purchases — — Sales — (1,268 ) Payments, net (71 ) (82 ) Accretion of discount 20 101 Ending balance $ 6,139 $ 515 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ 313 $ (93 ) |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 9. Income Taxes For its tax years ended December 31, 2018 and earlier, Arlington Asset was subject to taxation as a corporation under Subchapter C of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). On December 27, 2018, the Company’s Board of Directors approved a plan for Arlington Asset to elect to be taxed and to operate in a manner that will allow it to qualify as a real estate investment trust (“REIT”) under the Internal Revenue Code commencing with its taxable year ending December 31, 2019. As a REIT, the Company will be required to distribute annually 90% of its REIT taxable income. So long as the Company continues to qualify as a REIT, it will generally not be subject to U.S. Federal or state corporate income taxes on its taxable income to the extent that it distributes all of its annual taxable income to its shareholders on a timely basis. At present, it is the Company’s intention to distribute 100% of its taxable income, although the Company will not be required to do so. The Company intends to make distributions of its taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. 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 enacted 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 (“NOL”) carryforwards and net capital loss (“NCL”) carryforwards. A valuation allowance is provided against deferred tax assets if, based upon 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 incorporated into the determination of whether a valuation allowance for deferred tax assets is appropriate. Items considered in the valuation allowance determination include expectations of future earnings of the appropriate tax character, recent historical financial results, tax planning strategies, the length of statutory carryforward periods and the expected timing of the reversal of temporary differences. Under the Internal Revenue Code, a REIT is taxed as a C corporation. However, in computing its taxable income, a REIT can deduct dividends paid to arrive at its taxable income. If a REIT distributes all its taxable income within the time limits prescribed by the Internal Revenue Code, the enacted tax rate used to calculate deferred tax assets and liabilities of a REIT would be zero. The income tax effects of a REIT conversion for financial reporting purposes are reflected in the period in which all significant actions necessary to qualify as a REIT are completed and the entity has committed to becoming a REIT, including (i) obtaining approval from the appropriate parties, (ii) purging through a distribution to shareholders any accumulated earnings and profits (“E&P”) from its operations as a C corporation, and (iii) having any remaining actions for the Company to achieve REIT status be perfunctory legal and administrative matters. On December 27, 2018, the Company’s Board of Directors approved a plan for Arlington Asset to elect to be taxed and to operate in a manner that will allow it to qualify as a REIT commencing with its taxable year ending December 31, 2019. There are no further approvals necessary for the Company to be eligible to be taxed as a REIT. As of December 31, 2018, the Company did not have any accumulated E&P from its operations as a C corporation, and therefore the Company does not need to make any distributions to shareholders of accumulated E&P to qualify as a REIT. Along with continuing to meet ongoing REIT qualification requirements, the only remaining action for the Company to achieve REIT status is to file its federal income tax return for fiscal year 2019 as a REIT on its required filing date. In addition, the Company expects to seek shareholder approval at its next annual meeting to amend its articles of incorporation to include customary REIT ownership limitations to facilitate compliance with REIT qualification requirements. Both of these actions are considered perfunctory legal and administrative matters. Accordingly, since all significant actions necessary to qualify as a REIT were met as of December 31, 2018, the Company’s deferred tax assets and liabilities as of that date were adjusted to reflect a tax rate of zero percent expected to be applied in the period in which the deferred tax assets and liabilities are expected to be realized resulting in the elimination of the Company’s deferred tax assets and liabilities as of December 31, 2018. On December 22, 2017, the President signed the Tax Cuts and Jobs Act, which provides for substantial changes to the federal taxation of individuals and corporations with an effective date of January 1, 2018. For corporate taxpayers, the federal income tax rate was lowered from 35.0% to 21.0%. The effects of changes in tax laws and rates on deferred tax assets and liabilities are required to be recognized in the period in which the legislation is enacted as a discrete item within the income tax provision. Accordingly, the Company recorded the effect of the decrease in the federal tax rate on the Company’s deferred tax assets and liabilities as of December 31, 2017. For the years ended December 31, 2018, 2017, and 2016, the Company determined that it should record a valuation allowance against deferred tax assets that are capital in nature, which consists of NCL carryforwards and temporary GAAP to tax differences that are expected to result in capital losses in future periods, resulting in an increase to the Company’s valuation allowance of $38,128, $16,761, and $35,637, respectively. Deferred tax assets and liabilities consisted of the following as of dates indicated: December 31, 2018 December 31, 2017 Ordinary deferred tax assets: NOL carryforward $ — $ 15,619 Deferred net loss on designated hedges — 4,381 Stock-based compensation — 1,999 Other, net — 19 Total ordinary deferred tax assets — 22,018 Ordinary deferred tax liabilities: Net unrealized gain on designated hedges — (21,218 ) Ordinary deferred tax assets, net — 800 Capital deferred tax assets: NCL carryforward — 80,895 Net unrealized loss on investments — 23,431 Valuation allowance — (104,326 ) Total capital deferred tax assets, net — — Total deferred tax assets, net $ — $ 800 The provision for income taxes from operations consists of the following for the years ended December 31, 2018, 2017 and 2016: 2018 2017 2016 Federal $ 562 $ 33,495 $ 23,163 State 171 6,108 4,224 Total income tax provision $ 733 $ 39,603 $ 27,387 Current $ (1 ) $ 706 $ 232 Deferred 734 38,897 27,155 Total income tax provision $ 733 $ 39,603 $ 27,387 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 “(loss) income before income taxes” computed at federal statutory rates to the provision for income taxes for the years ended December 31, 2018, 2017, and 2016 were as follows: 2018 2017 2016 Federal income tax at statutory rate $ (19,123 ) $ 19,963 $ (4,886 ) State income taxes, net of federal benefit (4,316 ) 2,224 (544 ) Change in enacted tax rate — 409 — Change in expected enacted tax rate from REIT conversion (14,744 ) — — Losses on available-for sale MBS acquired prior to 2012 — — (2,838 ) Other, net 788 246 18 Valuation allowance 38,128 16,761 35,637 Total income tax provision $ 733 $ 39,603 $ 27,387 As of December 31, 2018, the Company had estimated NOL carryforwards of $14,543 that can be used to offset future taxable ordinary income. The Company’s NOL carryforwards expire in 2028. As of December 31, 2018, the Company had estimated NCL carryforwards of $424,165 that can be used to offset future net capital gains. The scheduled expirations of the Company’s NCL carryforwards are $136,840 in 2019, $102,927 in 2020, $70,319 in 2021, $3,762 in 2022 and $110,317 in 2023. Through December 31, 2017, the Company was subject to federal alternative minimum tax (“AMT”) on its taxable income and gains that are not offset by its NOL and NCL carryforwards with any AMT credit carryforwards available to offset future regular tax liabilities. As part of the Tax Cuts and Jobs Act, the corporate AMT is repealed for tax years beginning after December 31, 2017 with any AMT credit carryforward after that date continuing to be available to offset a taxpayer’s future regular tax liability. In addition, for tax years beginning in 2018, 2019 and 2020, to the extent that AMT credit carryforwards exceed the regular tax liability, 50% of the excess AMT credit carryforwards would be refundable in that year with any remaining AMT credit carryforwards fully refundable in 2021. As a result, the realizability of the Company’s AMT credit carryforward is certain and will be realized as either a cash refund or as an offset to future regular tax liabilities or a combination of both. As of December 31, 2018 and 2017, the Company had AMT credit carryforwards of $9,132 and $9,133, respectively, included as a receivable in other assets on the accompanying consolidated balance sheets. 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, 2018 and 2017, 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 2014 and forward remain subject to examination by the IRS. On May 30, 2018, the Company received an assessment of $9,380 from Arlington County, Virginia for a business, professional and occupation license (“BPOL”) tax for calendar year 2017. The BPOL tax is a local privilege tax on a business’ gross receipts for conducting business activities subject to licensure within Arlington County. The Company has not been assessed or paid any such BPOL tax prior to calendar year 2017. The Company does not believe it is subject to the BPOL tax. During the second quarter of 2018, the Company filed an administrative appeal with Arlington County. During the third quarter of 2018, Arlington County denied the Company’s administrative appeal and, subsequently, the Company filed an administrative appeal with the Tax Commissioner of Virginia. The Company intends to fully contest the assessment. As of December 31, 2018, the Company does not believe that it is probable that it has incurred a BPOL tax liability. As such, the Company has not recognized a BPOL tax liability or an associated expense in its consolidated financial statements. If the Company were to become subject to the BPOL tax, the Company would be required to pay the full $9,380 assessment for calendar year 2017 and subsequent periods (including calendar year 2018). |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2018 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 10. 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 as of December 31, 2018: 2019 2020 2021 2022 2023 Thereafter Total Long-term debt maturities $ — $ — $ — $ — $ 25,000 $ 50,300 $ 75,300 Minimum rental commitments 395 407 418 429 441 919 3,009 $ 395 $ 407 $ 418 $ 429 $ 25,441 $ 51,219 $ 78,309 |
Shareholders' Equity
Shareholders' Equity | 12 Months Ended |
Dec. 31, 2018 | |
Equity [Abstract] | |
Shareholders' Equity | Note 11. Shareholders’ Equity Common Stock The Company has authorized common share capital of 450,000,000 shares of Class A common stock, par value $0.01 per share, and 100,000,000 shares of Class B common stock, par value $0.01 per share. 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. During the year ended December 31, 2017, holders of the Company's Class B common stock converted an aggregate of 20,256 shares of Class B common stock into 20,256 shares of Class A common stock. As of December 31, 2017, all remaining shares of Class B common stock had been exchanged for shares of the Company’s Class A common stock. Common Stock Dividends The Company’s Board of Directors evaluates common stock dividends on a quarterly basis and, in its sole discretion, approves the payment of dividends. The Company’s common stock dividend payments, if any, may vary significantly from quarter to quarter . The Board of Directors has approved and the Company declared and paid the following dividends on its common stock for 2018: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date December 31 $ 0.375 December 13 December 31 January 31, 2019 September 30 0.375 September 13 September 28 October 31 June 30 0.375 June 14 June 29 July 31 March 31 0.550 March 15 March 29 April 30 The Board of Director approved and the Company declared and paid the following dividends on its common stock for 2017: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date December 31 $ 0.550 December 14 December 29 January 31, 2018 September 30 0.550 September 14 September 29 October 31 June 30 0.550 June 16 June 30 July 31 March 31 0.625 March 14 March 31 April 28 Common Equity Distribution Agreements On May 24, 2013, the Company entered into separate common equity distribution agreements (the “Prior Equity Distribution Agreements”) with equity sales agents RBC Capital Markets, LLC, JMP Securities LLC, Ladenburg Thalmann & Co. Inc. and MLV & Co. LLC pursuant to which the Company may offer and sell, from time to time, up to 1,750,000 shares of the Company’s Class A common stock. On February 23, 2017, the Company terminated the Prior Equity Distribution Agreements. On February 22, 2017, the Company entered into new separate common equity distribution agreements (the “New Equity Distribution Agreements”) with equity sales agents JMP Securities LLC, FBR Capital Markets & Co., JonesTrading Institutional Services LLC and Ladenburg Thalmann & Co. Inc. pursuant to which the Company may offer and sell, from time to time, up to 6,000,000 shares of the Company’s Class A common stock. On August 10, 2018, the Company entered into separate amendments to the New Equity Distribution Agreements (the “Amended New Equity Distribution Agreements”) with equity sales agents JMP Securities LLC, B. Riley FBR, Inc. (formerly, FBR Capital Markets & Co.), JonesTrading Institutional Services LLC and Ladenburg Thalmann & Co. Inc. pursuant to which the Company may offer and sell, from time to time, up to 12,597,423 shares of the Company’s Class A common stock. Pursuant to the common equity distribution agreements, shares of the Company’s 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. The following table provides information about the issuances of common stock under the common equity distribution agreements for the periods indicated: Year Ended Year Ended Class A Common Stock Issuances December 31, 2018 December 31, 2017 Shares issued 2,226,557 4,472,083 Weighted average public offering price $ 10.19 $ 13.88 Net proceeds (1) $ 22,326 $ 61,213 (1) Net of selling commissions and expenses. As of December 31, 2018, the Company had 11,302,160 shares of Class A common stock available for sale under the Amended New Equity Distribution Agreements. Common Share Repurchase Program 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 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. There were no Preferred Stock The Company has authorized preferred share capital of 2,000,000 shares of 7.00% Series B Cumulative Perpetual Redeemable Preferred Stock (the “Series B Preferred Stock”), par value of $0.01 per share, and 100,000 authorized and unissued shares designated as Series A Preferred Stock, and 22,900,000 shares of undesignated preferred stock. The Company’s Board of Directors has the authority, without further action by the shareholders, to issue additional preferred stock in one or more series and to fix the terms and rights of the preferred stock. In May 2017, the Company completed an initial public offering in which 135,000 shares of its Series B Preferred Stock were issued to the public at a public offering price of $24.00 per share for proceeds net of underwriting discounts and commissions and expenses of $3,018. The Series B Preferred Stock is publicly traded on the New York Stock Exchange under the ticker symbol “AI PrB.” The Series B Preferred Stock has no stated maturity, is not subject to any sinking fund and will remain outstanding indefinitely unless repurchased or redeemed by the Company. Holders of Series B Preferred Stock have no voting rights, except under limited conditions, and are entitled to receive a cumulative cash dividend at a rate of 7.00% per annum of their $25.00 per share liquidation preference before holders of common stock are entitled to receive any dividends. Shares of Series B Preferred Stock are redeemable at $25.00 per share, plus accumulated and unpaid dividends (whether or not authorized or declared) exclusively at the Company’s option commencing on May 12, 2022 or earlier upon the occurrence of a change in control. Dividends are payable quarterly in arrears on the 30th day of each December, March, June and September. As of December 31, 2018, we had declared and paid all required quarterly dividends on the Company’s Series B Preferred Stock. Preferred Equity Distribution Agreement On May 16, 2017, the Company entered into an equity distribution agreement (the “Series B Preferred Equity Distribution Agreement”) with JonesTrading Institutional Services LLC (the “Series B Preferred Equity Agent”), pursuant to which the Company may offer and sell, from time to time, up to 1,865,000 shares of the Company’s Series B Preferred Stock. Pursuant to the Series B Preferred Equity Distribution Agreement, shares of the Company’s Series B Preferred stock may be offered and sold through the Series B Preferred Equity Sales Agent 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. The following table provides information about the issuances of preferred stock under the Series B Preferred Equity Distribution Agreement for the periods indicated: Year Ended Year Ended Series B Preferred Stock Issuances December 31, 2018 December 31, 2017 Shares issued 47,304 168,291 Weighted average public offering price $ 24.75 $ 24.95 Net proceeds (1) $ 1,137 $ 4,090 (1) Net of selling commissions and expenses. As of December 31, 2018, the Company had 1,649,405 shares of Series B Preferred stock available for sale under the Series B Preferred Equity Distribution Agreement. Shareholder Rights Agreement On June 1, 2009, the Board of Directors approved a shareholder rights agreement (“Rights Plan”) and the Company’s shareholders approved the Rights Plan at its annual meeting of shareholders on June 2, 2010. On April 9, 2018, the Board of Directors approved a first amendment to the Rights Plan (“First Amendment”) to extend the term for an additional three years and the Company’s shareholders approved the First Amendment at its annual meeting of shareholders on June 14, 2018. 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 carryforwards, NCL carryforwards, 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, as amended, and any outstanding rights will expire at the earliest of (i) June 4, 2022, (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, or (iv) the beginning of a taxable year to which the Board of Directors determines that no applicable tax benefits may be carried forward. |
Long-Term Incentive Plan
Long-Term Incentive Plan | 12 Months Ended |
Dec. 31, 2018 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Disclosure of Compensation Related Costs, Share-based Payments | Note 12. 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, 2018, 1,614,050 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. 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. As a result of ASU No. 2016-09, Improvements to Employee Share-Based Payment Accounting (Topic 718) 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’), (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”), and (iii) annual return on equity during the applicable performance period (“ROE PSUs’). The Compensation Committee of the Board of Directors of the Company approved the following PSU grants for the periods indicated: December 31, 2018 2017 2016 Book Value PSUs granted 76,043 57,732 71,926 Book Value PSU grant date fair value per share $ 10.31 $ 13.58 $ 12.93 TSR PSUs granted 32,052 23,787 80,173 TSR PSU grant date fair value per share $ 12.23 $ 16.48 $ 11.60 ROE PSUs granted 76,043 57,732 — ROE PSU grant date fair value per share $ 10.31 $ 13.58 $ — For the Company’s Book Value PSUs and ROE 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: 2018 2017 2016 Closing stock price on date of grant $ 10.31 $ 13.58 $ 12.93 Beginning average stock price on date of grant (1) $ 11.16 $ 14.53 $ 13.40 Expected volatility (2) 24.68 % 24.03 % 24.78 % Dividend yield (3) 0.00 % 0.00 % 0.00 % Risk-free rate (4) 2.61 % 1.52 % 0.71 % (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 Book Value PSU and TSR PSU awards granted during the three years ended December 31, 2018, 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 Book Value PSUs and TSR PSUs granted, depending on performance results. If the minimum threshold level of performance goals is not achieved, no Book Value PSUs or TSR 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 Book Value PSUs and TSR PSUs granted are earned. Upon settlement, vested Book Value PSUs and TSR PSUs are converted into shares of the Company’s Class A common stock on a one-for-one basis. For the ROE PSU awards granted during the two years ended December 31, 2018, the Compensation Committee established a one-year performance period. Any ROE PSUs earned at the end of the one-year performance period would be converted into an equal number of shares of restricted stock that will vest on the third anniversary of the original ROE PSU grant date subject to both continued employment under the terms of the award agreement. If the threshold level of performance goals is not achieved, no ROE PSUs 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. For the years ended December 31, 2018, 2017, and 2016, the Company recognized $(776), $2,263 and $1,266, respectively, of compensation expense related to PSU awards. For the year ended December 31, 2018, the compensation expense included a reversal of $1,945 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, 2018 and 2017, the Company had unrecognized compensation expense related to PSU awards of $2,166 and $4,485, respectively. The unrecognized compensation expense as of December 31, 2018 is expected to be recognized over a weighted average period of 2.18 years. For the years ended December 31, 2018, 2017, and 2016, there were no Book Value PSUs or TSR PSUs that were earned or vested. For the year ended December 31, 2018, there were 68,585 ROE PSUs, including dividend equivalents, that were earned and converted into an equal number of shares of restricted stock that will vest on the third anniversary of the original ROE PSU grant date. 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, 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 Granted 74,000 12.74 — Forfeitures — — — Vestitures (73,050 ) 20.00 — Share Balance as of December 31, 2017 162,841 15.18 1.3 Granted 96,000 9.34 — Conversion of ROE PSUs 68,585 13.58 — Forfeitures — — — Vestitures (84,050 ) 16.87 — Share Balance as of December 31, 2018 243,376 $ 11.84 1.5 For the years ended December 31, 2018, 2017, and 2016, the Company recognized $1,132, $1,172 and $1,197, respectively, of compensation expense related to restricted stock awards. As of December 31, 2018 and 2017, the Company had unrecognized compensation expense related to restricted stock awards of $1,552 and $1,284, respectively. The unrecognized compensation expense as of December 31, 2018 is expected to be recognized over a weighted average period of 1.5 years. For the years ended December 31, 2018, 2017 and 2016, the intrinsic value of restricted stock awards that vested were $818, $970, and $630, 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 2018, 2017 and 2016. As of December 31, 2018 and 2017, 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, 2018, the Company had 261,366 RSUs outstanding. A summary of the RSUs grants is presented below for the periods indicated: December 31, 2018 2017 2016 RSUs granted 42,402 33,540 37,007 Grant date fair value $ 11.32 $ 14.31 $ 13.78 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, 2018, 2017 and 2016, the Company recognized $480, $491 and $511, 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, 2018 | |
Risks And Uncertainties [Abstract] | |
Financial Instruments with Off-Balance-Sheet Risk and Credit Risk | Note 13. Financial Instruments with Off-Balance-Sheet Risk and Credit Risk As of December 31, 2018, 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 a securitization trust. As of December 31, 2018, 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, 2018, 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, 2018 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Data (Unaudited) | Note 14. Quarterly Data (Unaudited) The following tables set forth selected information for each of the fiscal quarters during the years ended December 31, 2018 and 2017. 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 2018 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income $ 130,953 $ 37,174 $ 32,864 $ 30,055 $ 30,860 Interest expense 84,825 26,550 22,526 19,193 16,556 Net interest income 46,128 10,624 10,338 10,862 14,304 Investment loss, net (123,822 ) (68,910 ) (2,257 ) (4,516 ) (48,139 ) General and administrative expenses 13,370 1,658 3,954 3,461 4,297 (Loss) income before income taxes (91,064 ) (59,944 ) 4,127 2,885 (38,132 ) Income tax provision (benefit) 733 (33,639 ) 9,628 6,493 18,251 Net loss (91,797 ) (26,305 ) (5,501 ) (3,608 ) (56,383 ) Dividend on preferred stock (590 ) (153 ) (151 ) (149 ) (137 ) Net loss attributable to common stock $ (92,387 ) $ (26,458 ) $ (5,652 ) $ (3,757 ) $ (56,520 ) Basic loss per common share $ (3.18 ) $ (0.87 ) $ (0.19 ) $ (0.13 ) $ (2.00 ) Diluted loss per common share $ (3.18 ) $ (0.87 ) $ (0.19 ) $ (0.13 ) $ (2.00 ) Fiscal Year 2017 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income $ 121,248 $ 30,609 $ 28,835 $ 31,461 $ 30,343 Interest expense 51,514 14,952 13,968 12,528 10,066 Net interest income 69,734 15,657 14,867 18,933 20,277 Investment gain (loss), net 5,874 10,238 13,368 (15,970 ) (1,762 ) General and administrative expenses 18,570 4,947 4,544 4,154 4,925 Income (loss) before income taxes 57,038 20,948 23,691 (1,191 ) 13,590 Income tax provision 39,603 13,707 823 16,737 8,336 Net income (loss) 17,435 7,241 22,868 (17,928 ) 5,254 Dividend on preferred stock (251 ) (133 ) (83 ) (35 ) — Net income (loss) available (attributable) to common stock $ 17,184 $ 7,108 $ 22,785 $ (17,963 ) $ 5,254 Basic earnings (loss) per common share $ 0.67 $ 0.25 $ 0.86 $ (0.74 ) $ 0.22 Diluted earnings (loss) per common share $ 0.66 $ 0.25 $ 0.85 $ (0.74 ) $ 0.22 |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2018 | |
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, 2018 and 2017, 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 The Company recognizes interest income for its investments in agency MBS by applying the “interest method” permitted by GAAP, whereby purchase premiums and discounts are amortized and accreted, respectively, as an adjustment to contractual interest income accrued at each security’s stated coupon rate. 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 contractual effective interest rate on the remaining security balance is unaffected. |
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, all of which had been sold as of December 31, 2016. 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. As of December 31, 2016, all of the Company’s investments in MBS are classified as trading securities. Accordingly, all unrealized gains and losses related to the Company’s investments in MBS during 2018 and 2017 have been recognized in net income. |
Earnings (Loss) Per Share | Earnings (Loss) Per Share Basic earnings (loss) 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 table presents the computations of basic and diluted earnings (loss) per share for the periods indicated: Year Ended December 31, (Shares in thousands) 2018 2017 2016 Basic weighted-average common shares outstanding 29,052 25,649 23,051 Performance share units and unvested restricted stock — 362 — Diluted weighted-average common shares outstanding 29,052 26,011 23,051 Net (loss) income (attributable) available to common stock $ (92,387 ) $ 17,184 $ (41,347 ) Basic (loss) earnings per common share $ (3.18 ) $ 0.67 $ (1.79 ) Diluted (loss) earnings per common share $ (3.18 ) $ 0.66 $ (1.79 ) The diluted loss per share for the years ended December 31, 2018 and 2016 did not include the antidilutive effect of 216,238 and 150,996 shares of unvested shares of restricted stock and performance share units, respectively. |
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 Borrowings Note 5 To-be-announced agency MBS transactions, including “dollar rolls” Note 6 Derivative instruments Note 6 Balance sheet offsetting Note 7 Fair value measurements Note 8 Income taxes Note 9 Stock-based compensation Note 12 |
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 Accounting Standards Update (“ASU”) No. 2015-14, Revenue from Contracts with Customers (Topic 606): Deferral of the Effective Date 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 adoption of ASU No. 2015-14 did not impact the Company’s 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 ASU No. 2016-01 requires entities to measure investments in equity securities at fair value, unless fair value measurement is impractical, with changes in fair value recognized in current period earnings. Upon the adoption of ASU No. 2016-01, the Company recognized a cumulative-effect increase of $4,059 (net of taxes) in stockholders’ equity representing, as of January 1, 2018, the excess of fair value over historical cost of its investments in equity securities that were previously carried at their historical cost (net of impairments). Subsequent to January 1, 2018, all changes in the estimated fair value of such instruments will be recognized in net income. ASU No. 2016-15, Classification of Certain Cash Receipts and Cash Payments (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 adoption of ASU No. 2016-15 did not have a material impact on the Company’s consolidated financial statements. Recently Issued Accounting Guidance Not Yet Adopted 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, 2019 The primary impact of the adoption of ASU No. 2016-02 will be the recognition of lease liabilities and associated right-of-use assets on the Company’s balance sheet. The Company does not expect the adoption of ASU No. 2016-02 will have a material effect 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 As of December 31, 2018, all of the Company’s investments in debt securities are classified as trading securities. Accordingly, the Company does not expect ASU No. 2016-13 to have a material impact on its consolidated financial statements. ASU No. 2017-08, Premium Amortization of Purchased Callable Debt Securities (Subtopic 310-20) This amendment requires purchase premiums for investments in debt securities that are noncontingently callable by the issuer (at a fixed price and preset date) to be amortized to the earliest call date. Previously, purchase premiums for such investments were permitted to be amortized to the instrument’s maturity date. January 1, 2020 Investments in prepayable financial assets, such as residential MBS, for which the embedded call options are not held by the issuer are not within the scope of ASU No. 2017-08. Accordingly, the Company does not expect the adoption of ASU No. 2017-08 to have a material effect on its consolidated financial statements. ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities (Topic 815) This update made several targeted amendments to existing GAAP with the objectives of facilitating (i) financial reporting that more closely reflects entities’ risk management strategies and (ii) greater ease of understanding and interpreting the effects of hedge accounting on an entities’ reported results. January 1, 2019 Hedge accounting pursuant to GAAP is an elective, rather than a required, accounting model. The Company does not currently elect to apply hedge accounting and, at this time, does not plan to elect to apply hedge accounting in the future. Accordingly, at this time, the Company does not expect ASU No. 2017-12 will have an effect on its consolidated financial statements. |
Repurchase Agreements | The Company finances the purchase of MBS through repurchase agreements, which are accounted for as collateralized borrowing arrangements. In a repurchase transaction, the Company sells MBS to a counterparty under a master repurchase agreement in exchange for cash and concurrently agrees to repurchase the same security at a future date in an amount equal to the cash initially exchanged plus an agreed-upon amount of interest. MBS sold under agreements to repurchase remain on the Company’s consolidated balance sheets because the Company maintains effective control over such securities throughout the duration of the arrangement. Throughout the contractual term of a repurchase agreement, the Company recognizes a “repurchase agreement” liability on its consolidated balance sheets to reflect the obligation to repay to the counterparty the proceeds received upon the initial transfer of the MBS. The difference between the proceeds received by the Company upon the initial transfer of the MBS and the contractually agreed-upon repurchase price is recognized as interest expense over the term of the repurchase arrangement on a level-yield basis. |
Derivative Instruments | In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative instruments. Derivative instruments are recorded at fair value as either “derivative assets” or “derivative liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment gain (loss), net” in the consolidated statements of comprehensive income. Cash receipts or payments related to derivative instruments are classified 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 commitments to purchase fixed-rate “pass-through” agency MBS on a non-specified pool basis, which are known as to-be-announced (“TBA”) securities. A TBA security is a forward commitment 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 specific agency MBS to be delivered is determined 48 hours prior to the settlement date. The Company accounts for TBA securities as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA commitment that its settlement will result in physical delivery of the underlying agency MBS, or the individual TBA commitment 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 . Receivables recognized for the right to reclaim cash initial margin posted in respect of interest rate derivative instruments are included in the line item “deposits” in the accompanying consolidated balance sheets. The daily exchange of variation margin associated with a centrally cleared or exchange-traded derivative instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap derivative asset or liability, respectively. The carrying amount of interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments generally represents the change in fair value that occurred on the last day of the reporting period . |
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; and Level 3 Inputs - Unobservable inputs for the asset or liability, including significant judgments made by the Company about the assumptions that a market participant would use The Company measures the fair value of the following assets and liabilities: |
Agency MBS | |
Investment Security Purchases and Sales | The Company’s investments in agency MBS are reported in the accompanying consolidated balance sheets at fair value. As of December 31, 2018 and 2017, the Company had $3,982,106 and $4,054,424, respectively, of fair value in agency MBS classified as trading securities. |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Accounting Changes And Error Corrections [Abstract] | |
Computations of Basic and Diluted Earnings (Loss) Per Share | The following table presents the computations of basic and diluted earnings (loss) per share for the periods indicated: Year Ended December 31, (Shares in thousands) 2018 2017 2016 Basic weighted-average common shares outstanding 29,052 25,649 23,051 Performance share units and unvested restricted stock — 362 — Diluted weighted-average common shares outstanding 29,052 26,011 23,051 Net (loss) income (attributable) available to common stock $ (92,387 ) $ 17,184 $ (41,347 ) Basic (loss) earnings per common share $ (3.18 ) $ 0.67 $ (1.79 ) Diluted (loss) earnings per common share $ (3.18 ) $ 0.66 $ (1.79 ) |
Investments in Agency MBS (Tabl
Investments in Agency MBS (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Agency MBS | |
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, 2018 2017 2016 Net (losses) gains recognized in earnings for: Agency MBS still held at period end $ (59,676 ) $ (1,621 ) $ (62,363 ) Agency MBS sold during the period (54,804 ) 3,987 21,714 Total $ (114,480 ) $ 2,366 $ (40,649 ) |
Borrowings (Tables)
Borrowings (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements | As of December 31, 2018 and 2017, 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, 2018 December 31, 2017 Pledged with agency MBS: Repurchase agreements outstanding $ 3,721,629 $ 3,667,181 Agency MBS collateral, at fair value 3,931,232 3,858,815 Net amount (1) 209,603 191,634 Weighted-average rate 2.72 % 1.56 % Weighted-average term to maturity 17.3 days 12.6 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, 2018 and 2017: December 31, 2018 December 31, 2017 Weighted-average outstanding balance $ 3,817,870 $ 3,950,139 Weighted-average rate 2.06 % 1.16 % |
Schedule of Long-term Unsecured Debt Instruments | As of December 31, 2018 and 2017, the Company had $74,104 and $73,880, respectively, of outstanding long-term unsecured debentures, net of unamortized debt issuance costs of $1,196 and $1,420, respectively. The Company’s long-term unsecured debentures consisted of the following as of the dates indicated: December 31, 2018 December 31, 2017 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 % 5.19 % 6.75 % 6.625 % 4.11 % 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, 2018 | |
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, 2018 December 31, 2017 Assets Liabilities Assets Liabilities Interest rate swaps $ — $ (5,709 ) $ — $ (3,338 ) 5-year U.S. Treasury note futures — — — (20 ) 10-year U.S. Treasury note futures — (1,250 ) — (1,321 ) TBA commitments 438 — 763 (154 ) Total $ 438 $ (6,959 ) $ 763 $ (4,833 ) |
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, 2018 2017 Interest rate derivatives: Interest rate swaps: Net interest income (expense) (1) $ 6,266 $ (17,334 ) Unrealized (losses) gains, net (30,064 ) 17,791 Gains (losses) realized upon early termination, net 49,192 (13,441 ) Total interest rate swap gains (losses), net 25,394 (12,984 ) U.S. Treasury note futures, net 8,647 6,054 Options on U.S. Treasury note futures, net — (6,302 ) Other, net — (255 ) Total interest rate derivative gains (losses), net 34,041 (13,487 ) TBA and specified agency MBS commitments: TBA dollar roll income (2) 20,929 21,291 Other losses on agency MBS commitments, net (64,627 ) (4,580 ) Total (losses) gains on agency MBS commitments, net (43,698 ) 16,711 Total derivative (losses) gains, net $ (9,657 ) $ 3,224 (1) Represents the periodic net interest settlement incurred during the period (often referred to as “net interest carry”). Also includes “price alignment interest” income earned or expense incurred on cumulative variation margin paid or received, respectively, associated with centrally cleared interest rate swap agreements . (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, 2018 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 3,600,000 $ 1,400,000 $ — $ (1,900,000 ) $ 3,100,000 5-year U.S. Treasury note futures 21,600 — (21,600 ) — — 10-year U.S. Treasury note futures 650,000 3,120,000 (3,200,000 ) (250,000 ) 320,000 Commitments to purchase (sell) MBS, net 1,265,000 13,320,000 (14,585,000 ) — — For the Year Ended December 31, 2017 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 3,700,000 $ 1,275,000 $ (250,000 ) $ (1,125,000 ) $ 3,600,000 5-year U.S. Treasury note futures — 221,600 (200,000 ) — 21,600 10-year U.S. Treasury note futures — 2,146,100 (1,496,100 ) — 650,000 Purchased put options on 10-year U.S. Treasury note futures 1,650,000 2,540,000 (4,190,000 ) — — Sold call options on 10-year U.S. Treasury note futures 1,000,000 2,450,000 (3,450,000 ) — — Purchased call options on 10-year U.S. Treasury note futures 1,000,000 3,350,000 (4,350,000 ) — — Purchased put options on agency MBS — 900,000 (900,000 ) — — Commitments to purchase (sell) MBS, net 725,000 12,925,000 (12,385,000 ) — 1,265,000 |
Derivative Instruments and Other Financial Instrument Cash Collateral | The following table presents information about the cash collateral posted and received by the Company in respect of its derivative and other financial instruments, which is included in the line item “deposits” in the accompanying consolidated balance sheets, for the dates indicated: December 31, 2018 December 31, 2017 Cash collateral posted for: Interest rate swaps (cash initial margin) $ 54,883 $ 46,218 U.S. Treasury note futures (cash initial margin) 6,169 6,960 Unsettled MBS trades and TBA commitments, net — 5,925 Total cash collateral posted, net $ 61,052 $ 59,103 |
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, 2018 Notional Amount: Net Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value Dollar roll positions: 5.0% 30-year MBS purchase commitments $ 100,000 $ 103,750 $ 104,047 $ 297 5.0% 30-year MBS sale commitments (100,000 ) (104,188 ) (104,047 ) 141 Total TBA commitments, net $ — $ (438 ) $ — $ 438 December 31, 2017 Notional Amount: Net Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value Dollar roll positions: 3.0% 15-year MBS purchase commitments $ 250,000 $ 254,873 $ 254,766 $ (107 ) 3.5% 30-year MBS purchase commitments 1,015,000 1,041,496 1,042,212 716 Total TBA commitments, net $ 1,265,000 $ 1,296,369 $ 1,296,978 $ 609 |
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, 2018: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive (Pay) Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 1,050,000 1.53% 2.60% 1.07% 1.5 $ (152 ) 3 to less than 7 years 325,000 2.00% 2.73% 0.73% 4.4 (432 ) 7 to less than 10 years 1,600,000 2.35% 2.70% 0.35% 8.5 (4,572 ) 10 or more years 125,000 3.02% 2.66% (0.36)% 29.6 (553 ) Total / weighted-average $ 3,100,000 2.07% 2.67% 0.60% 6.6 $ (5,709 ) The following table presents information about the Company’s interest rate swap agreements that were in effect as of December 31, 2017: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive (Pay) Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 1,300,000 1.28% 1.51% 0.23% 1.8 $ (248 ) 3 to less than 7 years 700,000 1.87% 1.48% (0.39)% 3.9 (454 ) 7 to 10 years 1,600,000 1.90% 1.55% (0.35)% 8.3 (2,636 ) Total / weighted-average $ 3,600,000 1.67% 1.52% (0.15)% 5.1 $ (3,338 ) |
Offsetting of Financial Asset_2
Offsetting of Financial Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
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, 2018 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: TBA commitments $ 438 $ — $ 438 $ — $ (438 ) $ — Total derivative instruments 438 — 438 — (438 ) — Total assets $ 438 $ — $ 438 $ — $ (438 ) $ — Liabilities: Derivative instruments: Interest rate swaps $ 5,709 $ — $ 5,709 $ — $ (5,709 ) $ — 10-year U.S. Treasury note futures 1,250 — 1,250 — (1,250 ) — Total derivative instruments 6,959 — 6,959 — (6,959 ) — Repurchase agreements 3,721,629 — 3,721,629 (3,721,629 ) — — Total liabilities $ 3,728,588 $ — $ 3,728,588 $ (3,721,629 ) $ (6,959 ) $ — As of December 31, 2017 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: TBA commitments $ 763 $ — $ 763 $ — $ — $ 763 Total derivative instruments 763 — 763 — — 763 Total assets $ 763 $ — $ 763 $ — $ — $ 763 Liabilities: Derivative instruments: Interest rate swaps $ 3,338 $ — $ 3,338 $ — $ (3,338 ) $ — U.S. Treasury note futures 1,341 — 1,341 — (1,341 ) — TBA commitments 154 — 154 — (154 ) — Total derivative instruments 4,833 — 4,833 — (4,833 ) — Repurchase agreements 3,667,181 — 3,667,181 (3,667,181 ) — — Total liabilities $ 3,672,014 $ — $ 3,672,014 $ (3,667,181 ) $ (4,833 ) $ — (1) Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements 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, 2018 | |
Fair Value Disclosures [Abstract] | |
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, 2018 and 2017. 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, 2018 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,982,106 $ — $ 3,982,106 $ — Private-label MBS 24 — — 24 Total MBS 3,982,130 — 3,982,106 24 Derivative assets 438 — 438 — Derivative liabilities (6,959 ) (1,250 ) (5,709 ) — Other assets 6,115 — — 6,115 Total $ 3,981,724 $ (1,250 ) $ 3,976,835 $ 6,139 December 31, 2017 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 4,054,424 $ — $ 4,054,424 $ — Private-label MBS 76 — — 76 Total MBS 4,054,500 — 4,054,424 76 Derivative assets 763 — 763 — Derivative liabilities (4,833 ) (1,341 ) (3,492 ) — Other assets 439 — — 439 Total $ 4,050,869 $ (1,341 ) $ 4,051,695 $ 515 |
Change in Fair Value of Level 3 Investments that are Measured at Fair Value 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, 2018 2017 Beginning balance $ 515 $ 1,799 Investments in equity securities measured at fair value beginning January 1, 2018 5,362 — Included in investment gain (loss), net 313 (35 ) Purchases — — Sales — (1,268 ) Payments, net (71 ) (82 ) Accretion of discount 20 101 Ending balance $ 6,139 $ 515 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ 313 $ (93 ) |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Schedule of Deferred Tax Assets and Liabilities | Deferred tax assets and liabilities consisted of the following as of dates indicated: December 31, 2018 December 31, 2017 Ordinary deferred tax assets: NOL carryforward $ — $ 15,619 Deferred net loss on designated hedges — 4,381 Stock-based compensation — 1,999 Other, net — 19 Total ordinary deferred tax assets — 22,018 Ordinary deferred tax liabilities: Net unrealized gain on designated hedges — (21,218 ) Ordinary deferred tax assets, net — 800 Capital deferred tax assets: NCL carryforward — 80,895 Net unrealized loss on investments — 23,431 Valuation allowance — (104,326 ) Total capital deferred tax assets, net — — Total deferred tax assets, net $ — $ 800 |
Provision for Income Taxes | The provision for income taxes from operations consists of the following for the years ended December 31, 2018, 2017 and 2016: 2018 2017 2016 Federal $ 562 $ 33,495 $ 23,163 State 171 6,108 4,224 Total income tax provision $ 733 $ 39,603 $ 27,387 Current $ (1 ) $ 706 $ 232 Deferred 734 38,897 27,155 Total income tax provision $ 733 $ 39,603 $ 27,387 |
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 “(loss) income before income taxes” computed at federal statutory rates to the provision for income taxes for the years ended December 31, 2018, 2017, and 2016 were as follows: 2018 2017 2016 Federal income tax at statutory rate $ (19,123 ) $ 19,963 $ (4,886 ) State income taxes, net of federal benefit (4,316 ) 2,224 (544 ) Change in enacted tax rate — 409 — Change in expected enacted tax rate from REIT conversion (14,744 ) — — Losses on available-for sale MBS acquired prior to 2012 — — (2,838 ) Other, net 788 246 18 Valuation allowance 38,128 16,761 35,637 Total income tax provision $ 733 $ 39,603 $ 27,387 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Commitments And Contingencies Disclosure [Abstract] | |
Summary of Contractual Obligations by Fiscal Year | The following table sets forth these contractual obligations by fiscal year as of December 31, 2018: 2019 2020 2021 2022 2023 Thereafter Total Long-term debt maturities $ — $ — $ — $ — $ 25,000 $ 50,300 $ 75,300 Minimum rental commitments 395 407 418 429 441 919 3,009 $ 395 $ 407 $ 418 $ 429 $ 25,441 $ 51,219 $ 78,309 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Schedule of Dividends Payable | The Board of Directors has approved and the Company declared and paid the following dividends on its common stock for 2018: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date December 31 $ 0.375 December 13 December 31 January 31, 2019 September 30 0.375 September 13 September 28 October 31 June 30 0.375 June 14 June 29 July 31 March 31 0.550 March 15 March 29 April 30 The Board of Director approved and the Company declared and paid the following dividends on its common stock for 2017: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date December 31 $ 0.550 December 14 December 29 January 31, 2018 September 30 0.550 September 14 September 29 October 31 June 30 0.550 June 16 June 30 July 31 March 31 0.625 March 14 March 31 April 28 |
Common Equity Distribution Agreements | |
Issuances of Stock under Equity Distribution Agreements | The following table provides information about the issuances of common stock under the common equity distribution agreements for the periods indicated: Year Ended Year Ended Class A Common Stock Issuances December 31, 2018 December 31, 2017 Shares issued 2,226,557 4,472,083 Weighted average public offering price $ 10.19 $ 13.88 Net proceeds (1) $ 22,326 $ 61,213 (1) Net of selling commissions and expenses. |
Series B Preferred Equity Distribution Agreement | |
Issuances of Stock under Equity Distribution Agreements | The following table provides information about the issuances of preferred stock under the Series B Preferred Equity Distribution Agreement for the periods indicated: Year Ended Year Ended Series B Preferred Stock Issuances December 31, 2018 December 31, 2017 Shares issued 47,304 168,291 Weighted average public offering price $ 24.75 $ 24.95 Net proceeds (1) $ 1,137 $ 4,090 (1) Net of selling commissions and expenses. |
Long-Term Incentive Plan (Table
Long-Term Incentive Plan (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
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, 2018 2017 2016 Book Value PSUs granted 76,043 57,732 71,926 Book Value PSU grant date fair value per share $ 10.31 $ 13.58 $ 12.93 TSR PSUs granted 32,052 23,787 80,173 TSR PSU grant date fair value per share $ 12.23 $ 16.48 $ 11.60 ROE PSUs granted 76,043 57,732 — ROE PSU grant date fair value per share $ 10.31 $ 13.58 $ — |
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: 2018 2017 2016 Closing stock price on date of grant $ 10.31 $ 13.58 $ 12.93 Beginning average stock price on date of grant (1) $ 11.16 $ 14.53 $ 13.40 Expected volatility (2) 24.68 % 24.03 % 24.78 % Dividend yield (3) 0.00 % 0.00 % 0.00 % Risk-free rate (4) 2.61 % 1.52 % 0.71 % (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, 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 Granted 74,000 12.74 — Forfeitures — — — Vestitures (73,050 ) 20.00 — Share Balance as of December 31, 2017 162,841 15.18 1.3 Granted 96,000 9.34 — Conversion of ROE PSUs 68,585 13.58 — Forfeitures — — — Vestitures (84,050 ) 16.87 — Share Balance as of December 31, 2018 243,376 $ 11.84 1.5 |
Share Based Compensation Restricted Stock Units Grants Activity | A summary of the RSUs grants is presented below for the periods indicated: December 31, 2018 2017 2016 RSUs granted 42,402 33,540 37,007 Grant date fair value $ 11.32 $ 14.31 $ 13.78 |
Quarterly Data (Unaudited) (Tab
Quarterly Data (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of Quarterly Financial Information | 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 2018 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income $ 130,953 $ 37,174 $ 32,864 $ 30,055 $ 30,860 Interest expense 84,825 26,550 22,526 19,193 16,556 Net interest income 46,128 10,624 10,338 10,862 14,304 Investment loss, net (123,822 ) (68,910 ) (2,257 ) (4,516 ) (48,139 ) General and administrative expenses 13,370 1,658 3,954 3,461 4,297 (Loss) income before income taxes (91,064 ) (59,944 ) 4,127 2,885 (38,132 ) Income tax provision (benefit) 733 (33,639 ) 9,628 6,493 18,251 Net loss (91,797 ) (26,305 ) (5,501 ) (3,608 ) (56,383 ) Dividend on preferred stock (590 ) (153 ) (151 ) (149 ) (137 ) Net loss attributable to common stock $ (92,387 ) $ (26,458 ) $ (5,652 ) $ (3,757 ) $ (56,520 ) Basic loss per common share $ (3.18 ) $ (0.87 ) $ (0.19 ) $ (0.13 ) $ (2.00 ) Diluted loss per common share $ (3.18 ) $ (0.87 ) $ (0.19 ) $ (0.13 ) $ (2.00 ) Fiscal Year 2017 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income $ 121,248 $ 30,609 $ 28,835 $ 31,461 $ 30,343 Interest expense 51,514 14,952 13,968 12,528 10,066 Net interest income 69,734 15,657 14,867 18,933 20,277 Investment gain (loss), net 5,874 10,238 13,368 (15,970 ) (1,762 ) General and administrative expenses 18,570 4,947 4,544 4,154 4,925 Income (loss) before income taxes 57,038 20,948 23,691 (1,191 ) 13,590 Income tax provision 39,603 13,707 823 16,737 8,336 Net income (loss) 17,435 7,241 22,868 (17,928 ) 5,254 Dividend on preferred stock (251 ) (133 ) (83 ) (35 ) — Net income (loss) available (attributable) to common stock $ 17,184 $ 7,108 $ 22,785 $ (17,963 ) $ 5,254 Basic earnings (loss) per common share $ 0.67 $ 0.25 $ 0.86 $ (0.74 ) $ 0.22 Diluted earnings (loss) per common share $ 0.66 $ 0.25 $ 0.85 $ (0.74 ) $ 0.22 |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2016 | Dec. 31, 2017 | |
Summary Of Significant Accounting Policies [Line Items] | |||
Cash Equivalents Percentage Held in Us Government Backed Securities | 99.00% | 98.00% | |
Cumulative effect increase (net of taxes) in stockholders' equity | $ 4,059 | ||
ASU No. 2016-01 | |||
Summary Of Significant Accounting Policies [Line Items] | |||
Cumulative effect increase (net of taxes) in stockholders' equity | $ 4,059 | ||
Restricted Stock and Performance Shares | |||
Summary Of Significant Accounting Policies [Line Items] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 216,238 | 150,996 |
Summary of Significant Accoun_5
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, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Earnings Per Share [Abstract] | |||||||||||
Basic weighted-average common shares outstanding | 29,052 | 25,649 | 23,051 | ||||||||
Performance share units and unvested restricted stock | 362 | ||||||||||
Diluted weighted-average common shares outstanding | 29,052 | 26,011 | 23,051 | ||||||||
Net (loss) income (attributable) available to common stock | $ (26,458) | $ (5,652) | $ (3,757) | $ (56,520) | $ 7,108 | $ 22,785 | $ (17,963) | $ 5,254 | $ (92,387) | $ 17,184 | $ (41,347) |
Basic (loss) earnings per common share | $ (0.87) | $ (0.19) | $ (0.13) | $ (2) | $ 0.25 | $ 0.86 | $ (0.74) | $ 0.22 | $ (3.18) | $ 0.67 | $ (1.79) |
Diluted (loss) earnings per common share | $ (0.87) | $ (0.19) | $ (0.13) | $ (2) | $ 0.25 | $ 0.85 | $ (0.74) | $ 0.22 | $ (3.18) | $ 0.66 | $ (1.79) |
Investments in Agency MBS - Add
Investments in Agency MBS - Additional Information (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Agency MBS | ||
Fair Value of MBS | $ 3,982,106 | $ 4,054,424 |
Investments in Agency MBS - A_2
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, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Net (losses) gains recognized in earnings for: | |||
Total | $ (114,522) | $ 2,424 | $ (41,249) |
Agency MBS | |||
Net (losses) gains recognized in earnings for: | |||
MBS still held at period end | (59,676) | (1,621) | (62,363) |
MBS sold during the period | (54,804) | 3,987 | 21,714 |
Total | $ (114,480) | $ 2,366 | $ (40,649) |
Borrowings - Outstanding Repurc
Borrowings - Outstanding Repurchase Agreement Borrowings (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | ||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 3,721,629 | $ 3,667,181 | |
Pledged with agency-backed MBS | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | 3,721,629 | 3,667,181 | |
MBS collateral, at fair value | 3,931,232 | 3,858,815 | |
Net amount | [1] | $ 209,603 | $ 191,634 |
Weighted-average rate | 2.72% | 1.56% | |
Weighted-average term to maturity (in days) | 17 days | 12 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, 2018 | Dec. 31, 2017 | |
Debt Disclosure [Abstract] | ||
Weighted-average outstanding balance | $ 3,817,870 | $ 3,950,139 |
Weighted-average rate | 2.06% | 1.16% |
Borrowings - Additional Informa
Borrowings - Additional Information (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Debt Disclosure [Abstract] | ||
Long-term unsecured debt | $ 74,104 | $ 73,880 |
Net of unamortized debt issuance costs | $ 1,196 | $ 1,420 |
Borrowings - Long-term Unsecure
Borrowings - Long-term Unsecured Debt Instruments (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Senior Notes Due 2025 | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 35,300 | $ 35,300 |
Annual Interest Rate | 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 | 5.19% | 4.11% |
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, 2018 | Dec. 31, 2017 |
Derivative Assets | $ 438 | $ 763 |
Derivative Liabilities | (6,959) | (4,833) |
Interest Rate Swap | ||
Derivative Assets | 0 | 0 |
Derivative Liabilities | (5,709) | (3,338) |
5-year U.S. Treasury Note Futures | ||
Derivative Assets | 0 | 0 |
Derivative Liabilities | 0 | (20) |
10-year U.S. Treasury Note Futures | ||
Derivative Assets | 0 | 0 |
Derivative Liabilities | (1,250) | (1,321) |
TBA Commitments | ||
Derivative Assets | 438 | 763 |
Derivative Liabilities | $ 0 | $ (154) |
Derivative Instruments - Intere
Derivative Instruments - Interest Rate Swap Agreements (Details) - Interest Rate Swap - USD ($) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Notional Amount | $ 3,100,000,000 | $ 3,600,000,000 | $ 3,700,000,000 |
Weighted-average: Fixed Pay Rate | 2.07% | 1.67% | |
Weighted-average: Variable Receive Rate | 2.67% | 1.52% | |
Weighted-average: Net Receive (Pay) Rate | 0.60% | (0.15%) | |
Weighted-average: Remaining Life (in years) | 6 years 7 months 6 days | 5 years 1 month 6 days | |
Fair Value, Asset and (Liability) | $ (5,709,000) | $ (3,338,000) | |
Less Than Three Years Maturity | |||
Notional Amount | $ 1,050,000,000 | $ 1,300,000,000 | |
Weighted-average: Fixed Pay Rate | 1.53% | 1.28% | |
Weighted-average: Variable Receive Rate | 2.60% | 1.51% | |
Weighted-average: Net Receive (Pay) Rate | 1.07% | 0.23% | |
Weighted-average: Remaining Life (in years) | 1 year 6 months | 1 year 9 months 18 days | |
Fair Value, Asset and (Liability) | $ (152,000) | $ (248,000) | |
Three To Less Than Seven Years Maturity | |||
Notional Amount | $ 325,000,000 | $ 700,000,000 | |
Weighted-average: Fixed Pay Rate | 2.00% | 1.87% | |
Weighted-average: Variable Receive Rate | 2.73% | 1.48% | |
Weighted-average: Net Receive (Pay) Rate | 0.73% | (0.39%) | |
Weighted-average: Remaining Life (in years) | 4 years 4 months 24 days | 3 years 10 months 24 days | |
Fair Value, Asset and (Liability) | $ (432,000) | $ (454,000) | |
Seven to Less Than Ten Years Maturity | |||
Notional Amount | $ 1,600,000,000 | ||
Weighted-average: Fixed Pay Rate | 2.35% | ||
Weighted-average: Variable Receive Rate | 2.70% | ||
Weighted-average: Net Receive (Pay) Rate | 0.35% | ||
Weighted-average: Remaining Life (in years) | 8 years 6 months | ||
Fair Value, Asset and (Liability) | $ (4,572,000) | ||
Ten or More Years Maturity | |||
Notional Amount | $ 125,000,000 | ||
Weighted-average: Fixed Pay Rate | 3.02% | ||
Weighted-average: Variable Receive Rate | 2.66% | ||
Weighted-average: Net Receive (Pay) Rate | (0.36%) | ||
Weighted-average: Remaining Life (in years) | 29 years 7 months 6 days | ||
Fair Value, Asset and (Liability) | $ (553,000) | ||
Seven To Ten Years Maturity | |||
Notional Amount | $ 1,600,000,000 | ||
Weighted-average: Fixed Pay Rate | 1.90% | ||
Weighted-average: Variable Receive Rate | 1.55% | ||
Weighted-average: Net Receive (Pay) Rate | (0.35%) | ||
Weighted-average: Remaining Life (in years) | 8 years 3 months 18 days | ||
Fair Value, Asset and (Liability) | $ (2,636,000) |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | ||
Derivative [Line Items] | ||||
Derivative asset, cash collateral | [1] | $ 438,000 | $ 0 | |
5-year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Notional Amount | 0 | $ 21,600,000 | $ 0 | |
Maturity date | 2018-03 | |||
10-year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Notional Amount | $ 320,000,000 | $ 650,000,000 | $ 0 | |
Maturity date | 2019-03 | 2018-03 | ||
Derivative outstanding options | $ 0 | $ 0 | ||
Forward-Settling TBA Commitments | ||||
Derivative [Line Items] | ||||
Derivative asset, cash collateral | $ 438,000 | |||
[1] | 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. |
Derivative Instruments - TBA Co
Derivative Instruments - TBA Commitments (Details) - USD ($) | Dec. 31, 2018 | Dec. 31, 2017 |
Fair Value, Asset | $ 438,000 | $ 763,000 |
Fair Value, Liability | (6,959,000) | (4,833,000) |
TBA Commitments | ||
Notional Amount: Net Purchase Commitment | 0 | 1,265,000,000 |
Contractual Forward Price | (438,000) | 1,296,369,000 |
Market Price | 0 | 1,296,978,000 |
Fair Value, Asset | 438,000 | 763,000 |
Fair Value, Liability | 0 | (154,000) |
Fair Value | 609,000 | |
TBA Commitments | Dollar Roll Positions Five Point Zero Percent Thirty Year Mortgage Backed Securities Purchase (Sale) Commitments, Purchase | ||
Notional Amount: Net Purchase Commitment | 100,000,000 | |
Contractual Forward Price | 103,750,000 | |
Market Price | 104,047,000 | |
Fair Value, Asset | 297,000 | |
TBA Commitments | Dollar Roll Positions Five Point Zero Percent Thirty Year Mortgage Backed Securities Purchase (Sale) Commitments, Sales | ||
Notional Amount: Net Purchase Commitment | 100,000,000 | |
Contractual Forward Price | (104,188,000) | |
Market Price | (104,047,000) | |
Fair Value, Asset | $ 141,000 | |
TBA Commitments | Dollar Roll Positions Three Point Zero Percent Fiften Year Mortgage Backed Securities Purchase (Sale) Commitments, Purchase | ||
Notional Amount: Net Purchase Commitment | 250,000,000 | |
Contractual Forward Price | 254,873,000 | |
Market Price | 254,766,000 | |
Fair Value, Liability | (107,000) | |
TBA Commitments | Dollar Roll Positions Three Point Five Percent Thirty Year Mortgage Backed Securities Purchase (Sale) Commitments, Purchase | ||
Notional Amount: Net Purchase Commitment | 1,015,000,000 | |
Contractual Forward Price | 1,041,496,000 | |
Market Price | 1,042,212,000 | |
Fair Value, Asset | $ 716,000 |
Derivative Instruments - Deriva
Derivative Instruments - Derivative Gains and Losses Recognized Within the Periods (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | ||
Interest rate derivative gains (losses), net | $ 34,041 | $ (13,487) | ||
(Loss) gain from derivative instruments, net | (9,657) | 3,224 | $ (31,660) | |
Interest Rate Swap Gains (Losses), Net | ||||
Interest rate derivative gains (losses), net | 25,394 | (12,984) | ||
Interest Rate Swaps Net Interest Income (Expense) | ||||
Interest rate derivative gains (losses), net | [1] | 6,266 | (17,334) | |
Interest Rate Swaps Unrealized (Losses) Gains, Net | ||||
Interest rate derivative gains (losses), net | (30,064) | 17,791 | ||
Interest Rate Swaps Gains (Losses) Realized Upon Early Termination, Net | ||||
Interest rate derivative gains (losses), net | 49,192 | (13,441) | ||
Options on U.S. Treasury Note Futures, Net | ||||
Interest rate derivative gains (losses), net | 0 | (6,302) | ||
Other, Net | ||||
Interest rate derivative gains (losses), net | 0 | (255) | ||
TBA Dollar Roll Income | ||||
(Losses) gains on agency commitments | [2] | 20,929 | 21,291 | |
Other Losses on Agency MBS Commitments, Net | ||||
(Losses) gains on agency commitments | (64,627) | (4,580) | ||
(Losses) Gains on Agency MBS Commitments, Net | ||||
(Losses) gains on agency commitments | (43,698) | 16,711 | ||
U.S. Treasury Note Futures, Net | ||||
Interest rate derivative gains (losses), net | $ 8,647 | $ 6,054 | ||
[1] | Represents the periodic net interest settlement incurred during the period (often referred to as “net interest carry”). Also includes “price alignment interest” income earned or expense incurred on cumulative variation margin paid or received, respectively, associated with centrally cleared interest rate swap agreements. | |||
[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 ($) | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Interest Rate Swap | ||
Derivative [Line Items] | ||
Beginning of Period | $ 3,600,000,000 | $ 3,700,000,000 |
Additions | 1,400,000,000 | 1,275,000,000 |
Scheduled Settlements | 0 | (250,000,000) |
Early Terminations | (1,900,000,000) | (1,125,000,000) |
End of Period | 3,100,000,000 | 3,600,000,000 |
5-year U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 21,600,000 | 0 |
Additions | 0 | 221,600,000 |
Scheduled Settlements | (21,600,000) | (200,000,000) |
Early Terminations | 0 | 0 |
End of Period | 0 | 21,600,000 |
10-year U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 650,000,000 | 0 |
Additions | 3,120,000,000 | 2,146,100,000 |
Scheduled Settlements | (3,200,000,000) | (1,496,100,000) |
Early Terminations | (250,000,000) | 0 |
End of Period | 320,000,000 | 650,000,000 |
Purchased Put Options on Agency MBS | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | 0 |
Additions | 900,000,000 | |
Scheduled Settlements | (900,000,000) | |
Early Terminations | 0 | |
End of Period | 0 | |
Purchased Call Options on Ten Year U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | 1,000,000,000 |
Additions | 3,350,000,000 | |
Scheduled Settlements | (4,350,000,000) | |
Early Terminations | 0 | |
End of Period | 0 | |
Commitments To Purchase (sell) MBS | ||
Derivative [Line Items] | ||
Beginning of Period | 1,265,000,000 | 725,000,000 |
Additions | 13,320,000,000 | 12,925,000,000 |
Scheduled Settlements | (14,585,000,000) | (12,385,000,000) |
Early Terminations | 0 | 0 |
End of Period | 0 | 1,265,000,000 |
Purchased Put Options on 10-Year U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | 1,650,000,000 |
Additions | 2,540,000,000 | |
Scheduled Settlements | (4,190,000,000) | |
Early Terminations | 0 | |
End of Period | 0 | |
Sold Call Options on Ten Year U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Beginning of Period | $ 0 | 1,000,000,000 |
Additions | 2,450,000,000 | |
Scheduled Settlements | (3,450,000,000) | |
Early Terminations | 0 | |
End of Period | $ 0 |
Derivative Instruments - Cash C
Derivative Instruments - Cash Collateral Posted and Received in Respect of Derivative and Other Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Cash collateral posted, net | $ 61,052 | $ 59,103 |
U.S. Treasury Note Futures | ||
Cash collateral posted, net | 6,169 | 6,960 |
Interest Rate Swap | ||
Cash collateral posted, net | 54,883 | 46,218 |
Unsettled MBS Trades and TBA Commitments, Net | ||
Cash collateral posted, net | $ 0 | $ 5,925 |
Offsetting of Financial Asset_3
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, 2018 | Dec. 31, 2017 | |
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | $ 438 | $ 763 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 438 | 763 | |
Derivative Asset, Financial Instruments | [1] | 0 | 0 |
Derivative Asset, Cash Collateral | [2] | (438) | 0 |
Derivative Asset, Net amount Total | 0 | 763 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 6,959 | 4,833 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 6,959 | 4,833 | |
Derivative Liabilities, Financial Instruments | [1] | 0 | 0 |
Derivative Liabilities, Cash Collateral | [2] | (6,959) | (4,833) |
Derivative Liabilities, Net amount Total | 0 | 0 | |
Derivative Financial Instruments, Liabilities | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 3,728,588 | 3,672,014 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 3,728,588 | 3,672,014 | |
Derivative Liabilities, Financial Instruments | [1] | (3,721,629) | (3,667,181) |
Derivative Liabilities, Cash Collateral | [2] | (6,959) | (4,833) |
Derivative Liabilities, Net amount Total | 0 | 0 | |
Derivative Financial Instruments, Assets | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 438 | 763 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 438 | 763 | |
Derivative Asset, Financial Instruments | [1] | 0 | 0 |
Derivative Asset, Cash Collateral | [2] | (438) | 0 |
Derivative Asset, Net amount Total | 0 | 763 | |
Repurchase Agreements | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 3,721,629 | 3,667,181 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 3,721,629 | 3,667,181 | |
Derivative Liabilities, Financial Instruments | [1] | (3,721,629) | (3,667,181) |
Derivative Liabilities, Cash Collateral | [2] | 0 | 0 |
Derivative Liabilities, Net amount Total | 0 | 0 | |
U.S. Treasury Note Futures | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 1,341 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liabilities, Net Amount | 1,341 | ||
Derivative Liabilities, Financial Instruments | [1] | 0 | |
Derivative Liabilities, Cash Collateral | [2] | (1,341) | |
Derivative Liabilities, Net amount Total | 0 | ||
TBA Commitments | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 438 | 763 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 438 | 763 | |
Derivative Asset, Financial Instruments | [1] | 0 | 0 |
Derivative Asset, Cash Collateral | [2] | (438) | 0 |
Derivative Asset, Net amount Total | 0 | 763 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 154 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liabilities, Net Amount | 0 | 154 | |
Derivative Liabilities, Financial Instruments | [1] | 0 | |
Derivative Liabilities, Cash Collateral | [2] | (154) | |
Derivative Liabilities, Net amount Total | 0 | ||
10-year U.S. Treasury Note Futures | |||
Derivative instruments: | |||
Derivative Asset, Net Amount | 0 | 0 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 1,250 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liabilities, Net Amount | 1,250 | 1,321 | |
Derivative Liabilities, Financial Instruments | [1] | 0 | |
Derivative Liabilities, Cash Collateral | [2] | (1,250) | |
Derivative Liabilities, Net amount Total | 0 | ||
Interest Rate Swap | |||
Derivative instruments: | |||
Derivative Asset, Net Amount | 0 | 0 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 5,709 | 3,338 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 5,709 | 3,338 | |
Derivative Liabilities, Financial Instruments | [1] | 0 | 0 |
Derivative Liabilities, Cash Collateral | [2] | (5,709) | (3,338) |
Derivative Liabilities, Net amount Total | $ 0 | $ 0 | |
[1] | Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements 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) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Long-term unsecured debt, carrying value | $ 74,104 | $ 73,880 |
Long-term unsecured debt, Fair Value | 66,562 | 70,314 |
Cumulative effect increase (net of taxes) in stockholders' equity | 4,059 | |
ASU No. 2016-01 | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Cumulative effect increase (net of taxes) in stockholders' equity | 4,059 | |
Private Equity Funds | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Investments in equity securities and investment funds measured at fair value | $ 6,115 | 439 |
Investments in equity securities and investment funds, at carrying amount | 1,675 | |
Investments in equity securities and investment funds, at cost | 1,236 | |
Investments in equity securities and investment funds, fair value | $ 5,801 | |
Private Equity Funds | Stock Price to Net Asset Multiple | Fair Value, Inputs, Level 3 | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Fair value discount rate | 91 | |
Private Equity Funds | Discount Factor for Lack of Marketability and Control | Fair Value, Inputs, Level 3 | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Fair value discount rate | 8 | 20 |
Private Equity Funds | Cost of Equity Discount Rate | Fair Value, Inputs, Level 3 | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Fair value discount rate | 12 | |
Private Equity Funds | ASU No. 2016-01 | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Cumulative effect increase (net of taxes) in stockholders' equity | $ 4,059 |
Fair Value Measurements - Finan
Fair Value Measurements - Financial Instruments Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
MBS | ||
Derivative assets, at fair value | $ 438 | $ 763 |
Derivative Liabilities | (6,959) | (4,833) |
Agency MBS | ||
MBS | ||
Fair Value of MBS | 3,982,106 | 4,054,424 |
Private-Label MBS | ||
MBS | ||
Fair Value of MBS | 24 | 76 |
Fair Value, Measurements, Recurring | ||
MBS | ||
Fair Value of MBS | 3,982,130 | 4,054,500 |
Derivative assets, at fair value | 438 | 763 |
Derivative Liabilities | (6,959) | (4,833) |
Other assets | 6,115 | 439 |
Total | 3,981,724 | 4,050,869 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 1 | ||
MBS | ||
Fair Value of MBS | 0 | 0 |
Derivative assets, at fair value | 0 | 0 |
Derivative Liabilities | (1,250) | (1,341) |
Other assets | 0 | 0 |
Total | (1,250) | (1,341) |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 2 | ||
MBS | ||
Fair Value of MBS | 3,982,106 | 4,054,424 |
Derivative assets, at fair value | 438 | 763 |
Derivative Liabilities | (5,709) | (3,492) |
Other assets | 0 | 0 |
Total | 3,976,835 | 4,051,695 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
MBS | ||
Fair Value of MBS | 24 | 76 |
Derivative assets, at fair value | 0 | 0 |
Derivative Liabilities | 0 | 0 |
Other assets | 6,115 | 439 |
Total | 6,139 | 515 |
Fair Value, Measurements, Recurring | Agency MBS | ||
MBS | ||
Trading securities | 3,982,106 | 4,054,424 |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 1 | ||
MBS | ||
Trading securities | 0 | 0 |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 2 | ||
MBS | ||
Trading securities | 3,982,106 | 4,054,424 |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 3 | ||
MBS | ||
Trading securities | 0 | 0 |
Fair Value, Measurements, Recurring | Private-Label MBS | ||
MBS | ||
Trading securities | 24 | 76 |
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 1 | ||
MBS | ||
Trading securities | 0 | 0 |
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 2 | ||
MBS | ||
Trading securities | 0 | 0 |
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 3 | ||
MBS | ||
Trading securities | $ 24 | $ 76 |
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, 2018 | Dec. 31, 2017 | |
Fair Value Disclosures [Abstract] | ||
Beginning balance | $ 515 | $ 1,799 |
Investments in equity securities measured at fair value beginning January 1, 2018 | 5,362 | |
Included in investment gain (loss), net | 313 | (35) |
Sales | (1,268) | |
Payments, net | (71) | (82) |
Accretion of discount | 20 | 101 |
Ending balance | 6,139 | 515 |
Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date | $ 313 | $ (93) |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Details) - USD ($) $ in Thousands | May 30, 2018 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Income Tax Disclosure [Line Items] | ||||
Percentage of annual taxable income intended to distribute to shareholders by company | 100.00% | |||
Statutory federal income tax rate | 21.00% | 35.00% | ||
Increase in valuation allowance | $ 38,128 | $ 16,761 | $ 35,637 | |
Estimated net operating loss carryforwards | $ 14,543 | |||
Net operating loss carryforwards, expiration year | 2,028 | |||
Operating loss carryforwards expiration in year one | $ 136,840 | |||
Operating loss carryforwards expiration in year two | 102,927 | |||
Operating loss carryforwards expiration in year three | 70,319 | |||
Operating loss carryforwards expiration in year four | 3,762 | |||
Operating loss carryforwards expiration in year five | $ 110,317 | |||
Excess AMT credit carryforwards refundable rate | 50.00% | |||
AMT credit carryforward | $ 9,132 | $ 9,133 | ||
Tax Year 2017 | Arlington County, Virginia | ||||
Income Tax Disclosure [Line Items] | ||||
Tax assessment received for business, professional and occupation license tax | $ 9,380 | |||
Capital Loss Carryforward | ||||
Income Tax Disclosure [Line Items] | ||||
Tax Credit Carryforward, Amount | $ 424,165 |
Income Taxes - Schedule of Defe
Income Taxes - Schedule of Deferred Tax Assets and Liabilities (Details) $ in Thousands | Dec. 31, 2017USD ($) |
Ordinary deferred tax assets: | |
NOL carryforward | $ 15,619 |
Deferred net loss on designated hedges | 4,381 |
Stock-based compensation | 1,999 |
Other, net | 19 |
Total ordinary deferred tax assets | 22,018 |
Ordinary deferred tax liabilities: | |
Net unrealized gain on designated hedges | (21,218) |
Ordinary deferred tax assets, net | 800 |
Capital deferred tax assets: | |
NCL carryforward | 80,895 |
Net unrealized loss on investments | 23,431 |
Valuation allowance | (104,326) |
Total deferred tax assets, net | $ 800 |
Income Taxes - Provision for In
Income Taxes - Provision for Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |||||||||||
Federal | $ 562 | $ 33,495 | $ 23,163 | ||||||||
State | 171 | 6,108 | 4,224 | ||||||||
Total income tax provision | $ (33,639) | $ 9,628 | $ 6,493 | $ 18,251 | $ 13,707 | $ 823 | $ 16,737 | $ 8,336 | 733 | 39,603 | 27,387 |
Income Tax Expense (Benefit), Continuing Operations [Abstract] | |||||||||||
Current | (1) | 706 | 232 | ||||||||
Deferred | 734 | 38,897 | 27,155 | ||||||||
Total income tax provision | $ (33,639) | $ 9,628 | $ 6,493 | $ 18,251 | $ 13,707 | $ 823 | $ 16,737 | $ 8,336 | $ 733 | $ 39,603 | $ 27,387 |
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, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Income Tax Expense Benefit Continuing Operations Income Tax Reconciliation [Abstract] | |||||||||||
Federal income tax at statutory rate | $ (19,123) | $ 19,963 | $ (4,886) | ||||||||
State income taxes, net of federal benefit | (4,316) | 2,224 | (544) | ||||||||
Change in enacted tax rate | 409 | ||||||||||
Change in expected enacted tax rate from REIT conversion | (14,744) | ||||||||||
Losses on available-for sale MBS acquired prior to 2012 | (2,838) | ||||||||||
Other, net | 788 | 246 | 18 | ||||||||
Valuation allowance | 38,128 | 16,761 | 35,637 | ||||||||
Total income tax provision | $ (33,639) | $ 9,628 | $ 6,493 | $ 18,251 | $ 13,707 | $ 823 | $ 16,737 | $ 8,336 | $ 733 | $ 39,603 | $ 27,387 |
Commitments and Contingencies -
Commitments and Contingencies - Summary of Contractual Obligations by Fiscal Year (Details) $ in Thousands | Dec. 31, 2018USD ($) |
Long-term debt maturities | |
2,019 | $ 0 |
2,020 | 0 |
2,021 | 0 |
2,022 | 0 |
2,023 | 25,000 |
Thereafter | 50,300 |
Total | 75,300 |
Minimum rental commitments | |
2,019 | 395 |
2,020 | 407 |
2,021 | 418 |
2,022 | 429 |
2,023 | 441 |
Thereafter | 919 |
Total | 3,009 |
Contractual Obligations | |
2,019 | 395 |
2,020 | 407 |
2,021 | 418 |
2,022 | 429 |
2,023 | 25,441 |
Thereafter | 51,219 |
Total | $ 78,309 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Details) $ / shares in Units, $ in Thousands | Jun. 01, 2009 | May 31, 2017USD ($)$ / sharesshares | Dec. 31, 2018$ / sharesshares | Dec. 31, 2017$ / sharesshares | Dec. 31, 2016shares | Aug. 10, 2018shares | May 16, 2017shares | Feb. 22, 2017shares | 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 | |||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | |||||||
Shareholder Rights Plan | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Rights plan, amended term of agreement | 3 years | ||||||||
Prior Equity Distribution Agreements | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Agreement termination date | Feb. 23, 2017 | ||||||||
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, Remaining Number of Shares Authorized to be Repurchased | 1,951,305 | ||||||||
Common Class A | Minimum | Shareholder Rights Plan | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Percentage of beneficial ownership of common stock | 4.90% | ||||||||
Common Class A | Maximum | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Stock Repurchase Program, Number of Shares Authorized to be Repurchased | 2,000,000 | ||||||||
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) | 20,256 | 81,960 | |||||||
Repurchase of Class A common stock (in shares) | 0 | 0 | |||||||
Issuance of stock (in shares) | 2,226,557 | 4,472,083 | 595,342 | ||||||
Common Class A | Common Stock | Amended New Equity Distribution Agreements | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Number of Shares Offer and Sell | 11,302,160 | ||||||||
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 A | Common Stock | Maximum | New Equity Distribution Agreements | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Number of Shares Offer and Sell | 6,000,000 | ||||||||
Common Class A | Common Stock | Maximum | Amended New Equity Distribution Agreements | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Number of Shares Offer and Sell | 12,597,423 | ||||||||
Common Class B | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Common stock, shares authorized (in shares) | 100,000,000 | ||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 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) | (20,256) | (81,960) | |||||||
7.00 % Series B Cumulative Perpetual Redeemable Preferred Stock | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Preferred stock, shares authorized (in shares) | 2,000,000 | ||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | ||||||||
Series A Preferred Stock | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Preferred stock, shares authorized (in shares) | 100,000 | ||||||||
Preferred stock shares unissued | 100,000 | ||||||||
Undesignated Preferred Stock | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Preferred stock, shares authorized (in shares) | 22,900,000 | ||||||||
Series B Preferred Stock | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Public Offering Price Per Share | $ / shares | $ 24 | ||||||||
Net proceeds underwriting discounts and commissions and expenses | $ | $ 3,018 | ||||||||
Preferred stock, dividend rate percentage | 7.00% | ||||||||
Preferred stock voting rights per share owned | 0 | ||||||||
Preferred stock, liquidation preference per share | $ / shares | $ 25 | ||||||||
Preferred stock, redeemable price per share | $ / shares | $ 25 | ||||||||
Preferred stock, redemption date | May 12, 2022 | ||||||||
Preferred stock, dividend payment terms | Dividends are payable quarterly in arrears on the 30th day of each December, March, June and September. | ||||||||
Series B Preferred Stock | Initial Public Offering | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Issuance of stock (in shares) | 135,000 | ||||||||
Series B Preferred Stock | Preferred Stock | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Issuance of stock (in shares) | 47,304 | 303,291 | |||||||
Series B Preferred Stock | Preferred Stock | Series B Preferred Equity Distribution Agreement | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Issuance of stock (in shares) | 47,304 | 168,291 | |||||||
Number of Shares Offer and Sell | 1,649,405 | ||||||||
Series B Preferred Stock | Preferred Stock | Maximum | |||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||
Number of Shares Offer and Sell | 1,865,000 |
Shareholders' Equity - Dividend
Shareholders' Equity - Dividends Declared and Paid (Details) - $ / shares | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Equity [Abstract] | |||||||||||
Dividend Amount (in dollars per share) | $ 0.375 | $ 0.375 | $ 0.375 | $ 0.550 | $ 0.550 | $ 0.550 | $ 0.550 | $ 0.625 | $ 1.675 | $ 2.275 | $ 2.50 |
Declaration Date | Dec. 13, 2018 | Sep. 13, 2018 | Jun. 14, 2018 | Mar. 15, 2018 | Dec. 14, 2017 | Sep. 14, 2017 | Jun. 16, 2017 | Mar. 14, 2017 | |||
Record Date | Dec. 31, 2018 | Sep. 28, 2018 | Jun. 29, 2018 | Mar. 29, 2018 | Dec. 29, 2017 | Sep. 29, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | |||
Pay Date | Jan. 31, 2019 | Oct. 31, 2018 | Jul. 31, 2018 | Apr. 30, 2018 | Jan. 31, 2018 | Oct. 31, 2017 | Jul. 31, 2017 | Apr. 28, 2017 |
Shareholders' Equity - Issuance
Shareholders' Equity - Issuances of Stock under Equity Distribution Agreements (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | ||
Common Class A | Common Stock | ||||
Class Of Stock [Line Items] | ||||
Shares issued | 2,226,557 | 4,472,083 | 595,342 | |
Common Class A | Common Stock | Common Equity Distribution Agreements | ||||
Class Of Stock [Line Items] | ||||
Shares issued | 2,226,557 | 4,472,083 | ||
Weighted average public offering price | $ 10.19 | $ 13.88 | ||
Net proceeds | [1] | $ 22,326 | $ 61,213 | |
Series B Preferred Stock | Preferred Stock | ||||
Class Of Stock [Line Items] | ||||
Shares issued | 47,304 | 303,291 | ||
Series B Preferred Stock | Preferred Stock | Series B Preferred Equity Distribution Agreement | ||||
Class Of Stock [Line Items] | ||||
Shares issued | 47,304 | 168,291 | ||
Weighted average public offering price | $ 24.75 | $ 24.95 | ||
Net proceeds | [1] | $ 1,137 | $ 4,090 | |
[1] | Net of selling commissions and expenses. |
Long-Term Incentive Plan - Addi
Long-Term Incentive Plan - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Apr. 07, 2014 | |
Performance Stock Units | |||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||
Allocated Share-based Compensation Expense (Income) | $ (776) | $ 2,263 | $ 1,266 | ||
Allocated Share Based Compensation Expense Including Reversal | 1,945 | ||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Total | $ 2,166 | 4,485 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Remaining Contractual Term | 2 years 2 months 4 days | ||||
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% | ||||
ROE PSUs | |||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||
Vesting period | 1 year | ||||
Share-based compensation arrangement by share-based payment award, equity instruments other than options conversion in period | 68,585 | ||||
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 | $ 1,552 | 1,284 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Remaining Contractual Term | 1 year 6 months | ||||
Share-based compensation arrangement by share-based payment award, equity instruments other than options conversion in period | 68,585 | ||||
Allocated Share-based Compensation Expense | $ 1,132 | 1,172 | 1,197 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Aggregate Intrinsic Value, Vested | $ 818 | $ 970 | $ 630 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number, Beginning Balance | 243,376 | 162,841 | 161,891 | 131,775 | |
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 | $ 480 | $ 491 | $ 511 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Number, Ending Balance | 261,366 | ||||
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 | 1,614,050 |
Long-Term Incentive Plan - Shar
Long-Term Incentive Plan - Share Based Compensation Performance Shares Grants Activity (Details) - $ / shares | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Book Value PSUs | |||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||
Shares granted (in shares) | 76,043 | 57,732 | 71,926 |
Grant date fair value per share | $ 10.31 | $ 13.58 | $ 12.93 |
TSR PSUs | |||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||
Shares granted (in shares) | 32,052 | 23,787 | 80,173 |
Grant date fair value per share | $ 12.23 | $ 16.48 | $ 11.60 |
ROE PSUs | |||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||
Shares granted (in shares) | 76,043 | 57,732 | |
Grant date fair value per share | $ 10.31 | $ 13.58 |
Long-Term Incentive Plan - Sh_2
Long-Term Incentive Plan - Share Based Compensation Award Valuation Assumptions (Details) - TSR PSUs - $ / shares | 12 Months Ended | |||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | ||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||
Closing stock price on date of grant | $ 10.31 | $ 13.58 | $ 12.93 | |
Beginning average stock price on date of grant | [1] | $ 11.16 | $ 14.53 | $ 13.40 |
Expected volatility | [2] | 24.68% | 24.03% | 24.78% |
Dividend yield | [3] | 0.00% | 0.00% | 0.00% |
Risk-free rate | [4] | 2.61% | 1.52% | 0.71% |
[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 - Sh_3
Long-Term Incentive Plan - Share Based Compensation Award Valuation Assumptions (Parenthetical) (Details) | 12 Months Ended | |||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | ||
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, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Number of Shares | ||||
Share Balance (in shares) | 162,841 | 161,891 | 131,775 | |
Shares granted (in shares) | 96,000 | 74,000 | 73,457 | |
Shares Conversion of ROE PSUs (in shares) | 68,585 | |||
Forfeitures (in shares) | 0 | 0 | 0 | |
Vestitures (in shares) | (84,050) | (73,050) | (43,341) | |
Share Balance (in shares) | 243,376 | 162,841 | 161,891 | 131,775 |
Weighted-average Grant-date Fair Value | ||||
Balance (in dollars per share) | $ 11.84 | $ 15.18 | $ 18.47 | $ 21.44 |
Granted (in dollars per share) | 9.34 | 12.74 | 14.67 | |
Conversion of ROE PSUs (in dollars per share) | 13.58 | |||
Forfeitures (in dollars per share) | 0 | 0 | 0 | |
Vestitures (in dollars per share) | $ 16.87 | $ 20 | $ 21.04 | |
Weighted-average remaining vested period (in years) | 1 year 6 months | 1 year 3 months 18 days | 1 year 4 months 24 days | 2 years |
Long-Term Incentive Plan - Sh_4
Long-Term Incentive Plan - Share Based Compensation Restricted Stock Units Grants Activity (Details) - Restricted Stock Units (RSUs) - $ / shares | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||
RSUs granted | 42,402 | 33,540 | 37,007 |
Grant date fair value per share | $ 11.32 | $ 14.31 | $ 13.78 |
Quarterly Data (Unaudited) - Sc
Quarterly Data (Unaudited) - Schedule of Quarterly Financial Information (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |||||||||||
Interest income | $ 37,174 | $ 32,864 | $ 30,055 | $ 30,860 | $ 30,609 | $ 28,835 | $ 31,461 | $ 30,343 | $ 130,953 | $ 121,248 | $ 105,336 |
Interest expense | 26,550 | 22,526 | 19,193 | 16,556 | 14,952 | 13,968 | 12,528 | 10,066 | 84,825 | 51,514 | 29,222 |
Net interest income | 10,624 | 10,338 | 10,862 | 14,304 | 15,657 | 14,867 | 18,933 | 20,277 | 46,128 | 69,734 | 76,114 |
Investment (loss) gain, net | (68,910) | (2,257) | (4,516) | (48,139) | 10,238 | 13,368 | (15,970) | (1,762) | (123,822) | 5,874 | (69,318) |
General and administrative expenses | 1,658 | 3,954 | 3,461 | 4,297 | 4,947 | 4,544 | 4,154 | 4,925 | 13,370 | 18,570 | 20,756 |
(Loss) income before income taxes | (59,944) | 4,127 | 2,885 | (38,132) | 20,948 | 23,691 | (1,191) | 13,590 | (91,064) | 57,038 | (13,960) |
Income tax provision (benefit) | (33,639) | 9,628 | 6,493 | 18,251 | 13,707 | 823 | 16,737 | 8,336 | 733 | 39,603 | 27,387 |
Net (loss) income | (26,305) | (5,501) | (3,608) | (56,383) | 7,241 | 22,868 | (17,928) | 5,254 | (91,797) | 17,435 | (41,347) |
Dividend on preferred stock | (153) | (151) | (149) | (137) | (133) | (83) | (35) | (590) | (251) | ||
Net (loss) income (attributable) available to common stock | $ (26,458) | $ (5,652) | $ (3,757) | $ (56,520) | $ 7,108 | $ 22,785 | $ (17,963) | $ 5,254 | $ (92,387) | $ 17,184 | $ (41,347) |
Basic (loss) earnings per common share | $ (0.87) | $ (0.19) | $ (0.13) | $ (2) | $ 0.25 | $ 0.86 | $ (0.74) | $ 0.22 | $ (3.18) | $ 0.67 | $ (1.79) |
Diluted (loss) earnings per common share | $ (0.87) | $ (0.19) | $ (0.13) | $ (2) | $ 0.25 | $ 0.85 | $ (0.74) | $ 0.22 | $ (3.18) | $ 0.66 | $ (1.79) |