Document_And_Entity_Informatio
Document And Entity Information | 3 Months Ended | |
Mar. 31, 2015 | Apr. 23, 2015 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | FALSE | |
Document Period End Date | 31-Mar-15 | |
Document Fiscal Period Focus | Q1 | |
Document Fiscal Year Focus | 2015 | |
Entity Registrant Name | CYS Investments, Inc. | |
Entity Central Index Key | 1396446 | |
Current Fiscal Year End Date | -19 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 158,135,786 |
Consolidated_Statements_Of_Ass
Consolidated Statements Of Assets And Liabilities (Unaudited) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | |
In Thousands, unless otherwise specified | |||
Assets: | |||
Investments in securities, at fair value (including pledged assets of $11,309,980 and $11,908,922, respectively) | $15,065,303 | $14,609,532 | [1] |
Derivative assets, at fair value | 91,604 | 148,284 | [1] |
Cash | 7,170 | 4,323 | [1] |
Receivable for securities sold and principal repayments | 345,006 | 83,643 | [1] |
Interest receivable | 37,314 | 37,894 | [1] |
Receivable for cash pledged as collateral | 37,216 | 11,104 | [1] |
Other assets | 11,408 | 1,083 | [1] |
Total assets | 15,595,021 | 14,895,863 | [1] |
Liabilities: | |||
Repurchase agreements | 10,204,901 | 11,289,559 | [1] |
FHLB advances | 510,000 | 0 | [1] |
Derivative liabilities, at fair value | 38,502 | 16,007 | [1] |
Payable for securities purchased | 2,767,042 | 1,505,481 | [1] |
Payable for cash received as collateral | 48,229 | 72,771 | [1] |
Distribution payable | 51,844 | 4,410 | [1] |
Accrued interest payable (including accrued interest on repurchase agreements and FHLB advances of $3,574 and $5,334, respectively) | 31,422 | 27,208 | [1] |
Accrued expenses and other liabilities | 2,445 | 5,259 | [1] |
Total liabilities | 13,654,385 | 12,920,695 | [1] |
Stockholders' equity: | |||
7.75% Series A Cumulative Redeemable Preferred Stock, (3,000 shares issued and outstanding, respectively, $75,000 in aggregate liquidation preference) | 72,369 | 72,369 | [1] |
7.50% Series B Cumulative Redeemable Preferred Stock, (8,000 shares issued and outstanding, respectively, $200,000 in aggregate liquidation preference) | 193,531 | 193,531 | [1] |
Common Stock, $0.01 par value, 500,000 shares authorized (158,114 and 161,850 shares issued and outstanding, respectively) | 1,581 | 1,618 | [1] |
Additional paid in capital | 2,012,697 | 2,049,152 | [1] |
Accumulated deficit | -339,542 | -341,502 | [1] |
Total stockholders' equity | 1,940,636 | 1,975,168 | [1] |
Total liabilities and stockholders' equity | $15,595,021 | $14,895,863 | [1] |
[1] | Derived from audited financial statements. |
Condolidated_Statements_Of_Ass
Condolidated Statements Of Assets And Liabilities (Parenthetical) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, except Share data, unless otherwise specified | ||
Common Stock, Number of Shares, Par Value and Other Disclosures [Abstract] | ||
Investments in securities, pledged assets | $11,309,980 | $11,908,922 |
Accrued interest payable, accrued interest on repurchase agreements | 3,574 | 5,334 |
Series Cumulative Redeemable Preferred Stock, par value | $0.01 | $0.01 |
Preferred Stock, shares authorized | 50,000,000 | 50,000,000 |
Series A Cumulative Redeemable Preferred Stock, shares issued | 3,000,000 | 3,000,000 |
Series A Cumulative Redeemable Preferred Stock, shares outstanding | 3,000,000 | 3,000,000 |
Series A Cumulative Redeemable Preferred Stock, aggregate liquidation value | 75,000 | 75,000 |
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $25 | $25 |
Series B Cumulative Redeemable Preferred Stock, shares issued | 8,000,000 | 8,000,000 |
Series B Cumulative Redeemable Preferred Stock, shares outstanding | 8,000,000 | 8,000,000 |
Series B Cumulative Redeemable Preferred Stock, aggregate liquidation value | $200,000 | $200,000 |
Series B Cumulative Redeemable Preferred Stock, liquidation preference per share | $25 | $25 |
Common stock, par value | $0.01 | $0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 158,114,483 | 161,849,878 |
Common stock, shares outstanding | 158,114,483 | 161,849,878 |
Condensed_Statements_Of_Operat
Condensed Statements Of Operations (USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Interest income: | ||
Interest income from Agency RMBS | $80,060 | $80,186 |
Other interest income | 790 | 4,181 |
Total interest income | 80,850 | 84,367 |
Interest expense: | ||
Repurchase agreement and FHLB advances interest expense | 9,642 | 9,423 |
Swap and cap interest expense | 27,468 | 18,923 |
Total interest expense | 37,110 | 28,346 |
Net interest income | 43,740 | 56,021 |
Other income (loss): | ||
Net realized gain (loss) on investments | 18,253 | 16,670 |
Net unrealized gain (loss) on investments | 75,689 | 89,234 |
Net realized gain (loss) on termination of swap and cap contracts | -2,568 | -9,323 |
Net unrealized gain (loss) on swap and cap contracts | -74,800 | -16,240 |
Other income | 40 | 119 |
Total other income (loss) | 16,614 | 80,460 |
Expenses: | ||
Compensation and benefits | 3,554 | 3,629 |
General, administrative and other | 2,203 | 2,165 |
Total expenses | 5,757 | 5,794 |
Net income (loss) | 54,597 | 130,687 |
Less preferred stock dividends | -5,203 | -5,203 |
Net income (loss) available to common stockholders | $49,394 | $125,484 |
Net income (loss) per common share basic & diluted | $0.31 | $0.78 |
Dividends declared per common share | $0.30 | $0.32 |
Consolidated_Statement_Of_Chan
Consolidated Statement Of Changes In Stockholders Equity (USD $) | Total | Common Stock Par Value | Additional Paid-in Capital | Accumulated Deficit | Series A Preferred Stock | Series B Preferred Stock | |
In Thousands | |||||||
Balance at Dec. 31, 2014 | $1,975,168 | [1] | $1,618 | $2,049,152 | ($341,502) | $72,369 | $193,531 |
Net income (loss) | 54,597 | 0 | 0 | 54,597 | 0 | 0 | |
Issuance of common stock | 0 | 4 | -4 | 0 | 0 | 0 | |
Amortization of share based compensation | 954 | 0 | 954 | 0 | 0 | 0 | |
Repurchase and cancellation of common stock | 37,446 | 41 | 37,405 | 0 | 0 | 0 | |
Preferred dividends | -5,203 | 0 | 0 | -5,203 | 0 | 0 | |
Common dividends | -47,434 | 0 | 0 | -47,434 | 0 | 0 | |
Balance at Mar. 31, 2015 | $1,940,636 | $1,581 | $2,012,697 | ($339,542) | $72,369 | $193,531 | |
[1] | Derived from audited financial statements. |
Consolidated_Statements_Of_Cas
Consolidated Statements Of Cash Flows (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | |
Cash flows from operating activities: | |||
Net income (loss) | $54,597 | $130,687 | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Amortization of share based compensation | 954 | 1,115 | |
Amortization of premiums and discounts on investment securities | 21,450 | 10,303 | |
Amortization of premiums on interest rate cap contracts | 4,375 | 6,254 | |
Net realized (gain) loss on investments | -18,253 | -16,670 | |
Net unrealized (gain) loss on investments | -75,689 | -89,234 | |
Net unrealized (gain) loss on swap and cap contracts | 74,800 | 16,240 | |
Change in assets and liabilities: | |||
Interest receivable | 580 | 2,747 | |
Other assets | -10,325 | 274 | |
Accrued interest payable | 4,214 | -9,631 | |
Accrued expenses and other liabilities | -2,814 | -2,602 | |
Net cash provided by (used in) operating activities | 53,889 | 49,483 | |
Cash flows from investing activities: | |||
Purchase of investment securities | -6,863,933 | -7,421,216 | |
Proceeds from disposition of investment securities | 6,018,216 | 7,788,084 | |
Proceeds from paydowns of investment securities | 462,438 | 279,846 | |
Change in assets and liabilities: | |||
Receivable for securities sold and principal repayments | -261,363 | 425,651 | |
Payable for securities purchased | 1,261,561 | 84,777 | |
Increase (Decrease) in Cash Collateral for Borrowed Securities | -26,112 | 0 | |
Payable for cash received as collateral | -24,542 | 18 | |
Net cash provided by (used in) investing activities | 566,265 | 1,157,160 | |
Cash flows from financing activities: | |||
Proceeds from repurchase agreements | 23,743,739 | 21,193,497 | |
Repayments of repurchase agreements | -24,828,397 | -22,386,399 | |
Proceeds from FHLB advances | 1,010,000 | 0 | |
Repayments of FHLB advances | -500,000 | 0 | |
Net payments from repurchase of common stock | -37,446 | -133 | |
Distributions paid | -5,203 | -5,204 | |
Net cash used in financing activities | -617,307 | -1,198,239 | |
Net increase (decrease) in cash | 2,847 | 8,404 | |
Cash - Beginning of period | 4,323 | [1] | 4,992 |
Cash - End of period | 7,170 | 13,396 | |
Supplemental disclosures of cash flow information: | |||
Interest paid | 28,522 | 41,220 | |
Supplemental disclosures of non-cash flow information: | |||
Distributions declared, not yet paid | $51,844 | $56,258 | |
[1] | Derived from audited financial statements. |
Orginazation
Orginazation | 3 Months Ended |
Mar. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | ORGANIZATION |
CYS Investments, Inc. (the "Company" "we", "us", and "our,") was formed as a Maryland corporation on January 3, 2006, and commenced operations on February 10, 2006. The Company has elected to be taxed and intends to continue to qualify as a real estate investment trust ("REIT") and is required to comply with the provisions of the Internal Revenue Code of 1986, as amended (the "Code"), with respect thereto. The Company has primarily purchased residential mortgage-backed securities that are issued and the principal and interest of which are guaranteed by a federally chartered corporation ("Agency RMBS"), such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or an agency of the U.S. government such as the Government National Mortgage Association ("Ginnie Mae"), and debt securities issued by the United States Department of Treasury ("U.S. Treasuries"). The Company may also purchase collateralized mortgage obligations issued by a government agency or government-sponsored entity that are collateralized by Agency RMBS ("CMOs"), or securities issued by a government sponsored entity that are not backed by collateral but, in the case of government agencies, are backed by the full faith and credit of the U.S. government, and, in the case of government sponsored entities, are backed by the integrity and creditworthiness of the issuer ("U.S. Agency Debentures"). | |
The Company’s common stock, Series A Cumulative Redeemable Preferred Stock, $25.00 liquidation preference (the "Series A Preferred Stock"), and Series B Cumulative Redeemable Preferred Stock, $25.00 liquidation preference (the "Series B Preferred Stock"), trade on the New York Stock Exchange under the symbols "CYS," "CYS PrA" and "CYS PrB," respectively. | |
In March 2015, our wholly-owned captive insurance subsidiary, CYS Insurance Services, LLC ("CYS Insurance"), was granted membership in the Federal Home Loan Bank ("FHLB") of Cincinnati. The 12 regional FHLBs provide long-term and short-term secured loans, called “advances,” to their members. FHLB members may use a variety of real estate related assets, including residential mortgage loans and Agency RMBS, as collateral for advances. Membership in the FHLB permits CYS Insurance to access a variety of products and services offered by the FHLB and obligates CYS Insurance to purchase membership stock and activity stock, the latter being a percentage of the advances it obtains from the FHLB. We intend for CYS Insurance to seek advances of both short- and long-term indebtedness from the FHLB of Cincinnati. |
Significant_Accounting_Policie
Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | SIGNIFICANT ACCOUNTING POLICIES |
Basis of Presentation | |
The accompanying interim consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and the instructions to Securities and Exchange Commission ("SEC") Form 10-Q and Article 10, Rule 10-01 of Regulation S-X. Accordingly, the financial statements do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. The interim consolidated financial statements should be read in conjunction with the Company’s audited financial statements as of and for the year ended December 31, 2014, included in its 2014 Annual Report. The results for interim periods are not necessarily indicative of the results to be expected for the fiscal year. | |
The interim consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The interim consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the interim consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. | |
Investments in Securities | |
The Company's investment securities are accounted for in accordance with Accounting Standards Codification ("ASC") 320—Investments in Debt and Equity Securities. The Company has chosen to make a fair value election pursuant to ASC 825—Financial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the consolidated statements of operations as a component of net unrealized gain (loss) on investments. These investments generally meet the requirements to be classified as available-for-sale under ASC 320, which requires the securities to be carried at fair value on the balance sheet. Electing the fair value option permits the Company to record changes in fair value of our investments in the consolidated statements of operations, which in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. | |
The Company records its transactions in securities on a trade date basis. We record realized gains and losses on securities transactions on an identified cost basis. | |
The Company accounts for its investment in FHLB stock as a cost method investment in "Other Assets". | |
Agency RMBS | |
The Company’s investments in Agency RMBS consist of pass-through certificates backed by fixed-rate, monthly-reset adjustable-rate loans (“ARMs”) and hybrid ARMs, the principal and interest of which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Hybrid ARMs have interest rates that have an initial fixed period (typically three, five, seven or ten years) and thereafter reset at regular intervals in a manner similar to ARMs. | |
Forward Settling Transactions | |
The Company engages in forward settling transactions to purchase certain securities. The Company records forward settling transactions on the trade date, and maintains security positions such that sufficient liquid assets will be available to make payment on the settlement date for the securities purchased. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. Along with other forward settling transactions, the Company transacts in to-be-announced (“TBA”) securities. As with other forward settling transactions, a seller agrees to issue TBAs at a future date; however, the seller does not specify the particular securities to be delivered. Instead, the Company agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Company records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur due to the fact that the actual underlying mortgages received may be more or less favorable than those anticipated by the Company. See Note 7, Pledged Assets, for disclosure regarding the fair value of collateral pledged or received on forward settling transactions. | |
At times, the Company may enter into TBA contracts as a means of investing in and financing Agency RMBS via “dollar roll” transactions. TBA dollar roll transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The Company records such pair offs on a gross basis such that there is a sale of the original TBA and a subsequent purchase of a new TBA. | |
Investment Valuation | |
The Company has a pricing committee responsible for establishing valuation policies and procedures, as well as reviewing and approving valuations at a monthly pricing meeting. The pricing committee is composed of individuals from the accounting team, the investment team and senior management. | |
Agency RMBS, Agency Debentures and U.S. Treasuries are generally valued based on prices provided by third-party services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may also use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. | |
We generally value interest rate swaps and caps using prices provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments were made in determining the fair value of the Company's interest rate swaps and caps. | |
Fair values of long-lived assets, including real estate, are primarily derived internally, and are based on inputs observed from sales transactions of similar assets. For real estate, fair values are also based on comparable contemporaneous sales transactions and/or discounted cash flow estimates which reflect current and projected lease profiles and available industry information about capitalization rates and expected trends in rents and occupancy. | |
All valuations from third-party pricing services or broker quotes are non-binding. We review all prices during our pricing process. To date, the Company has not adjusted any of the prices received from third-party pricing services or brokers. Our pricing review includes comparisons of similar market transactions, alternative third-party pricing services and broker quotes, or comparisons to a pricing model. To ensure the proper fair value hierarchy, the Company reviews the third-party pricing services methodology periodically to understand whether observable or unobservable inputs are being used. See Note 8, Fair Value Measurements, for a discussion of how the Company values its assets. | |
Interest Income | |
We record interest income and expense on an accrual basis. We accrue interest income based on the outstanding principal amount of the securities and their contractual terms. We amortize premium and discount using the effective interest method, and this net amortization is either accretive to or a reduction of interest income from Agency RMBS in the Company's consolidated statements of operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. We record the amount of premium or discount associated with a prepayment through interest income from Agency RMBS on our consolidated statements of operations as it occurs. | |
Other Assets -- Investment in FHLB Stock | |
The Company's subsidiary, CYS Insurance, is a member of, and owns capital stock in, the FHLB of Cincinnati. The FHLB provides CYS Insurance with credit capacity and authorizes advances based on the security of pledged Agency RMBS, provided the Company meets certain creditworthiness standards. FHLB advances, included in the "FHLB advances" line item, is a funding source for the Company of both short- and long-term indebtedness. As a condition of its membership in the FHLB, CYS Insurance is required to maintain a FHLB stock investment, both for membership and for the level of advances from the FHLB to the Company. The Company accounts for its investment in FHLB stock as a cost method investment in "Other Assets". | |
Repurchase Agreements and FHLB Advances | |
Borrowings under repurchase agreements ("repo borrowings") and FHLB advances are collateralized by the Company’s Agency RMBS and U.S. Treasuries (collectively, "Debt Securities") and carried at their amortized cost, which approximates their fair value due to their short-term nature (generally 30-90 days). The Company’s repurchase agreement counterparties are institutional dealers in fixed income securities and large financial institutions, and in the case of FHLB advances, the FHLB of Cincinnati. Collateral under repurchase agreements and FHLB advances are valued daily and counterparties may require additional collateral when the fair value of the collateral declines. Counterparties have the right to sell or repledge collateral pledged under repurchase agreements and the FHLB advances agreement. See Note 5, Repurchase Agreements. | |
We account for our repo borrowings and FHLB advances as short-term indebtedness under ASC 470—Debt; accordingly, these short-term instruments are accounted for in our financial statements at carrying value, or historic cost. | |
Interest Rate Swap and Cap Contracts | |
We account for our interest rate swap and cap contracts transactions under ASC 815—Derivatives and Hedging. The Company uses interest rate swaps and interest rate caps to hedge a portion of its exposure to market risks, including interest rate risk, credit risk and extension risk. The objective of our risk management strategy is to reduce fluctuations in stockholders’ equity over a range of interest rate scenarios. In particular, we attempt to manage the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. | |
During the term of an interest rate swap or cap, the Company makes or receives periodic payments and records unrealized gains or losses as a result of marking the swap or cap to their fair value. When the Company terminates a swap or cap, we record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's cost basis in the contract, if any. We report the periodic payments and amortization of premiums on cap contracts under interest expense in the consolidated statements of operations. Swaps involve a risk that interest rates will move contrary to the Company’s expectations, thereby increasing the Company’s payment obligation. | |
The Company's interest rate swap and cap contracts may be subject to a master netting arrangement ("MNA"). The Company is exposed to credit loss in the event of non-performance by the counterparty to the swap or cap limited to the fair value of collateral posted in excess of the fair value of the contract in a net liability position and the shortage of the fair value of collateral posted for the contract in a net asset position. As of March 31, 2015 and December 31, 2014, the Company did not anticipate non-performance by any counterparty. Should interest rates move unexpectedly, the Company may not achieve the anticipated benefits of the interest rate swap or cap and may realize a loss. | |
While the Company's derivative agreements generally permit for netting or setting off derivative assets and liabilities with the counterparty, the Company reports related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. We record changes in fair value of our derivative instruments in net unrealized gain (loss) on swap and cap contracts in our consolidated statements of operations. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections in the Company’s consolidated statement of cash flows. See Note 4, Investments in Interest Rate Swap and Cap Contracts. |
Investments_in_Securities
Investments in Securities | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Available-for-sale Securities [Abstract] | |||||||||||||||||||||||||
Investments in Securities and Other Assets | INVESTMENT IN SECURITIES | ||||||||||||||||||||||||
The available-for-sale portfolio consisted of the following as of March 31, 2015 and December 31, 2014 (in thousands): | |||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||
Asset Type | Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | |||||||||||||||||||||
Fannie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | $ | 12,326,027 | $ | (281 | ) | $ | 201,906 | $ | 12,527,652 | ||||||||||||||||
ARMs | 597,368 | (1 | ) | 8,959 | 606,326 | ||||||||||||||||||||
Total Fannie Mae | 12,923,395 | (282 | ) | 210,865 | 13,133,978 | ||||||||||||||||||||
Freddie Mac Certificates | |||||||||||||||||||||||||
Fixed Rate | 1,211,409 | (98 | ) | 26,432 | 1,237,743 | ||||||||||||||||||||
ARMs | 119,673 | (221 | ) | 1,808 | 121,260 | ||||||||||||||||||||
Total Freddie Mac | 1,331,082 | (319 | ) | 28,240 | 1,359,003 | ||||||||||||||||||||
Ginnie Mae Certificates - ARMs | 61,298 | — | 1,665 | 62,963 | |||||||||||||||||||||
U.S. Treasuries | 497,553 | — | 3,781 | 501,334 | |||||||||||||||||||||
Other Investments | 6,945 | — | 1,080 | 8,025 | |||||||||||||||||||||
Total | $ | 14,820,273 | $ | (601 | ) | $ | 245,631 | $ | 15,065,303 | ||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Fannie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | $ | 11,356,716 | $ | (2,984 | ) | $ | 158,571 | $ | 11,512,303 | ||||||||||||||||
ARMs | 1,282,065 | (13,144 | ) | 4,449 | 1,273,370 | ||||||||||||||||||||
Total Fannie Mae | 12,638,781 | (16,128 | ) | 163,020 | 12,785,673 | ||||||||||||||||||||
Freddie Mac Certificates | |||||||||||||||||||||||||
Fixed Rate | 1,183,764 | — | 25,769 | 1,209,533 | |||||||||||||||||||||
ARMs | 394,726 | (6,753 | ) | 1,144 | 389,117 | ||||||||||||||||||||
Total Freddie Mac | 1,578,490 | (6,753 | ) | 26,913 | 1,598,650 | ||||||||||||||||||||
Ginnie Mae Certificates - ARMs | 66,390 | — | 1,743 | 68,133 | |||||||||||||||||||||
U.S. Treasuries | 149,585 | (534 | ) | — | 149,051 | ||||||||||||||||||||
Other Investments | 6,945 | — | 1,080 | 8,025 | |||||||||||||||||||||
Total | $ | 14,440,191 | $ | (23,415 | ) | $ | 192,756 | $ | 14,609,532 | ||||||||||||||||
The following table presents the gross unrealized loss and fair values of our available-for-sale Agency RMBS by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2015 and December 31, 2014 (in thousands): | |||||||||||||||||||||||||
Unrealized loss positions for | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 months | Total | |||||||||||||||||||||||
As of | Fair value | Unrealized loss | Fair value | Unrealized loss | Fair value | Unrealized loss | |||||||||||||||||||
March 31, 2015 | $ | 258,991 | $ | (380 | ) | $ | 97,643 | $ | (221 | ) | $ | 356,634 | $ | (601 | ) | ||||||||||
December 31, 2014 | 259,291 | (577 | ) | 1,494,884 | (22,838 | ) | 1,754,175 | (23,415 | ) | ||||||||||||||||
The following table is a summary of our net realized gain (loss) from the sale of available-for-sale investments for the three months ended March 31, 2015 and 2014 (in thousands): | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Available-for-sale investments, at cost | $ | 5,999,963 | $ | 7,771,414 | |||||||||||||||||||||
Proceeds from available-for-sale investments sold | 6,018,216 | 7,788,084 | |||||||||||||||||||||||
Net gain on sale of available-for-sale investments | $ | 18,253 | $ | 16,670 | |||||||||||||||||||||
Gross gain on sale of available-for-sale investments | $ | 33,979 | $ | 51,142 | |||||||||||||||||||||
Gross loss on sale of available-for-sale investments | (15,726 | ) | (34,472 | ) | |||||||||||||||||||||
Net gain on sale of available-for-sale investments | $ | 18,253 | $ | 16,670 | |||||||||||||||||||||
The components of the carrying value of available-for-sale securities at March 31, 2015 and December 31, 2014 are presented below. The premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates, and conversely, the discount purchase price is due to the average coupon interest rates on these investments being lower than prevailing market rates. | |||||||||||||||||||||||||
(in thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||
Principal balance | $ | 14,244,501 | $ | 13,887,897 | |||||||||||||||||||||
Unamortized premium | 578,370 | 552,869 | |||||||||||||||||||||||
Unamortized discount | (2,598 | ) | (575 | ) | |||||||||||||||||||||
Gross unrealized gains | 245,631 | 192,756 | |||||||||||||||||||||||
Gross unrealized losses | (601 | ) | (23,415 | ) | |||||||||||||||||||||
Fair value | $ | 15,065,303 | $ | 14,609,532 | |||||||||||||||||||||
Our weighted-average coupon interest rate on the Company's Debt Securities as of March 31, 2015 and December 31, 2014 was 3.38% and 3.39%, respectively. Actual maturities of Agency RMBS are generally shorter than stated contractual maturities (which range up to 30 years), as they are affected by the contractual lives of the underlying mortgages, periodic payments and prepayments of principal. | |||||||||||||||||||||||||
As of March 31, 2015, the range of final contractual maturity of the Company’s Agency RMBS portfolio was between 2024 and 2045 and the final maturity of the Company's U.S. Treasuries was between 2018 and 2020. As of December 31, 2014, the range of final contractual maturity of the Company’s Agency RMBS portfolio was between 2024 and 2045 the final maturity of the Company's U.S. Treasuries was 2019. | |||||||||||||||||||||||||
Credit Risk | |||||||||||||||||||||||||
The Company believes it has minimal exposure to credit losses on its investment securities assets at March 31, 2015 and December 31, 2014 because it owns principally Debt Securities. Principal and interest payments on Agency RMBS are guaranteed by Freddie Mac and Fannie Mae, while principal and interest payments on Ginnie Mae RMBS and U.S. Treasuries are backed by the full faith and credit of the U.S. government. In September 2008, both Freddie Mac and Fannie Mae were placed in the conservatorship of the U.S. government. On August 5, 2011, Standard & Poor’s ("S&P") downgraded the U.S. government’s credit rating for the first time to AA+. Fitch Ratings Inc. ("Fitch") announced on October 15, 2013 that it had placed the U.S. government's credit rating on "negative watch". This negative watch was changed to "stable" on March 21, 2014. | |||||||||||||||||||||||||
As of March 31, 2015, S&P has maintained its AA+ rating, while Fitch and Moody's rated the U.S. government AAA and Aaa, respectively. Because Fannie Mae and Freddie Mac are still in U.S. government conservatorship, the implied credit ratings of Agency RMBS were similarly rated. While the conservatorship, ratings downgrade and ratings watch appear not to have had a significant impact on the fair value of the Agency RMBS or U.S. Treasuries in the Company’s portfolio, these developments increased the uncertainty regarding the credit risk of Debt Securities. |
Investments_in_Interest_Rate_S
Investments in Interest Rate Swap and Cap Contracts | 3 Months Ended | ||||||||||||||
Mar. 31, 2015 | |||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||
Derivatives and Fair Value [Text Block] | INVESTMENTS IN INTEREST RATE SWAP AND CAP CONTRACTS | ||||||||||||||
With the intent of managing our interest rate exposure, the Company enters into interest rate swap and cap contracts. The Company had the following activity in interest rate swap and cap transactions during the three months ended March 31, 2015 and 2014 (in thousands): | |||||||||||||||
Three Months Ended March 31, 2015 | Three Months Ended March 31, 2014 | ||||||||||||||
Trade Date | Transaction | Notional | Trade Date | Transaction | Notional | ||||||||||
Jan-15 | Terminated | $ | (400,000 | ) | Feb-14 | Terminated | $ | (500,000 | ) | ||||||
Jan-15 | Opened | 500,000 | Net Decrease | $ | (500,000 | ) | |||||||||
Net Increase | $ | 100,000 | |||||||||||||
As of March 31, 2015 and December 31, 2014, the Company had pledged Debt Securities with a fair value of $80.5 million and $60.9 million, respectively, as collateral on interest rate swap and cap contracts. As of March 31, 2015, the Company had Debt Securities of $34.6 million and cash of $47.7 million pledged to it as collateral for its interest rate swap and cap contracts. As of December 31, 2014, the Company had Debt Securities of $47.2 million and cash of $72.0 million pledged to it as collateral for its interest rate cap contracts. See Note 7, Pledged Assets. Below is a summary of our interest rate swap and cap contracts open as of March 31, 2015 and December 31, 2014 (in thousands): | |||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | |||||||||||||||
Interest Rate Swap Contracts | Notional | Fair Value | Consolidated Balance Sheets | ||||||||||||
March 31, 2015 | $ | 4,000,000 | $ | (38,502 | ) | Derivative liabilities, at fair value | |||||||||
March 31, 2015 | 3,750,000 | 11,333 | Derivative assets, at fair value | ||||||||||||
December 31, 2014 | 2,600,000 | (16,007 | ) | Derivative liabilities, at fair value | |||||||||||
December 31, 2014 | 5,050,000 | 40,611 | Derivative assets, at fair value | ||||||||||||
Interest Rate Cap Contracts | Notional | Fair Value | Consolidated Balance Sheets | ||||||||||||
March 31, 2015 | $ | 2,500,000 | $ | 80,271 | Derivative assets, at fair value | ||||||||||
December 31, 2014 | 2,500,000 | 107,673 | Derivative assets, at fair value | ||||||||||||
The following table presents information about the net realized and unrealized gain and loss on swap and cap contracts for the three months ended March 31, 2015 and 2014 on the Company's interest rate swap and cap contracts not designated as hedging instruments under ASC 815 (in thousands): | |||||||||||||||
Amount Recognized in Income on Derivatives | |||||||||||||||
Three Months Ended March 31, | |||||||||||||||
Derivative Type | Location of Gain or (Loss) Recognized in Income on Derivative | 2015 | 2014 | ||||||||||||
Interest rate swaps and caps | Net realized gain (loss) on termination of swap and cap contracts | $ | (2,568 | ) | $ | (9,323 | ) | ||||||||
Interest rate swaps and caps | Net unrealized gain (loss) on swap and cap contracts | (74,800 | ) | (16,240 | ) | ||||||||||
Interest rate swaps and caps | Total recognized in income on derivatives | $ | (77,368 | ) | $ | (25,563 | ) | ||||||||
We continue to reposition our hedges, and in January 2015 entered into a 7-year $500 million notional swap at a pay rate of 2.15%, cancelable in January 2016, and at the same time we terminated a 7-year $400 million notional interest rate swap at a pay rate of 2.416%, cancelable in June 2015. |
Repurchase_Agreements_and_FHLB
Repurchase Agreements and FHLB Advances | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Banking and Thrift [Abstract] | ||||||||
Repurchase Agreements | REPURCHASE AGREEMENTS AND FHLB ADVANCES | |||||||
The Company leverages its portfolio through repo borrowings and FHLB advances. Each of the Company's repo borrowings bear interest at a floating rate based on a spread above or below London Interbank Offered Rate ("LIBOR"). The interest rates for FHLB advances are set by the FHLB of Cincinnati. The fair value of repo borrowings and FHLB advances approximates their carrying amount due to the short-term nature of these financial instruments. | ||||||||
Certain information with respect to the Company’s repo borrowings and FHLB advances outstanding at the balance sheet date is summarized in the table below. Each of the repo borrowings and the FHLB advances are contractually due in one year or less. | ||||||||
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Outstanding repurchase agreements | $ | 10,204,901 | $ | 11,289,559 | ||||
Outstanding FHLB advances | $ | 510,000 | $ | — | ||||
Interest accrued thereon | $ | 3,574 | $ | 5,334 | ||||
Weighted-average borrowing rate(1) | 0.34 | % | 0.35 | % | ||||
Weighted-average remaining maturity (in days) | 43.6 | 28.2 | ||||||
Fair value of the collateral(2) | $ | 11,212,170 | $ | 11,842,427 | ||||
__________________ | ||||||||
-1 | The weighted-average borrowing rate as of March 31, 2015 was determined as set forth in the table below. | |||||||
Collateral | Borrowing amount | Rate | ||||||
Agency RMBS | $ | 10,243,805 | 0.36 | % | ||||
U.S. Treasuries | 471,096 | (0.04 | )% | |||||
Total / weighted-average borrowing rate | $ | 10,714,901 | 0.34 | % | ||||
-2 | Collateral for repo borrowings and FHLB advances consisted of Agency RMBS and U.S. Treasuries. | |||||||
At March 31, 2015 and December 31, 2014, the Company had no repo borrowings or FHLB advances where the amount at risk with an individual counterparty exceeded 1.6% and 1.6% of stockholders' equity, respectively. In addition, we had no repo borrowings or FHLB advances with any counterparty that exceeded 4% of our total assets. |
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | COMMITMENTS AND CONTINGENCIES |
The Company enters into certain agreements that contain a variety of indemnifications, principally with broker dealers. As of March 31, 2015 and December 31, 2014, no claims have been asserted under these indemnification agreements. Accordingly, the Company has no liabilities recorded for these agreements as of March 31, 2015 and December 31, 2014. |
Pledged_Assets
Pledged Assets | 3 Months Ended | ||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||
Transfers and Servicing [Abstract] | |||||||||||||||||||
Pledged Assets | PLEDGED ASSETS | ||||||||||||||||||
Assets Pledged to Counterparties | |||||||||||||||||||
The following tables summarize our assets pledged as collateral under our repo borrowings, FHLB advances, and derivative agreements by type, including securities pledged related to securities purchased or sold but not yet settled, as of March 31, 2015 and December 31, 2014 (in thousands): | |||||||||||||||||||
March 31, 2015 | |||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 10,752,304 | $ | 56,339 | $ | 991 | $ | 10,809,634 | |||||||||||
U.S. Treasuries - fair value | 476,142 | 24,204 | — | 500,346 | |||||||||||||||
Accrued interest on pledged securities | 29,790 | 245 | 2 | 30,037 | |||||||||||||||
Cash | — | 37,216 | — | 37,216 | |||||||||||||||
Total | $ | 11,258,236 | $ | 118,004 | $ | 993 | $ | 11,377,233 | |||||||||||
December 31, 2014 | |||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 11,697,532 | $ | 42,894 | $ | 1,453 | $ | 11,741,879 | |||||||||||
U.S. Treasuries - fair value | 149,051 | 17,992 | — | 167,043 | |||||||||||||||
Accrued interest on pledged securities | 31,475 | 168 | 3 | 31,646 | |||||||||||||||
Cash | — | 11,104 | — | 11,104 | |||||||||||||||
Total | $ | 11,878,058 | $ | 72,158 | $ | 1,456 | $ | 11,951,672 | |||||||||||
Assets Pledged from Counterparties | |||||||||||||||||||
As the estimated fair value of our investment securities pledged as collateral increases due to changes in interest rates or other factors, we may require counterparties to release collateral back to us, which may be in the form of identical securities, similar securities, or cash. As of March 31, 2015 and December 31, 2014, we also had assets pledged to us as collateral under our repurchase and derivative agreements summarized in the tables below (in thousands): | |||||||||||||||||||
March 31, 2015 | |||||||||||||||||||
Assets Pledged to CYS | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 5,154 | $ | 15,787 | $ | 646 | $ | 21,587 | |||||||||||
U.S. Treasuries - fair value | 11,122 | 18,805 | — | 29,927 | |||||||||||||||
Accrued interest on pledged securities | 82 | 85 | 2 | 169 | |||||||||||||||
Cash | — | 47,670 | 559 | 48,229 | |||||||||||||||
Total | $ | 16,358 | $ | 82,347 | $ | 1,207 | $ | 99,912 | |||||||||||
December 31, 2014 | |||||||||||||||||||
Assets Pledged to CYS | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 3,464 | $ | 22,112 | $ | 3,225 | $ | 28,801 | |||||||||||
U.S. Treasuries - fair value | 692 | 25,115 | — | 25,807 | |||||||||||||||
Accrued interest on pledged securities | 13 | 142 | 9 | 164 | |||||||||||||||
Cash | — | 71,980 | 791 | 72,771 | |||||||||||||||
Total | $ | 4,169 | $ | 119,349 | $ | 4,025 | $ | 127,543 | |||||||||||
Cash collateral received is recognized in "Cash" with a corresponding amount recognized in "Payable for cash received as collateral" on the accompanying interim consolidated balance sheets. Securities collateral received from counterparties is disclosed as a component of our liquidity amount in Note 4, Investment in Interest Rate Swap and Cap Contracts. | |||||||||||||||||||
Cash and Debt Securities we pledge as collateral under our derivatives agreements are included in "Cash" and "Investment in securities, at fair value" on our consolidated balance sheets. | |||||||||||||||||||
Offsetting Assets and Liabilities | |||||||||||||||||||
Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of set-off under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. Under U.S. GAAP, if the Company has a valid right of set-off, it may offset the related asset and liability and report the net amount. However, the Company reports amounts subject to its Master Repurchase Agreements (“MRA”s) and International Standard Derivative Association ("ISDA") Agreements in the consolidated balance sheets on a gross basis without regard to such rights of offset. | |||||||||||||||||||
At March 31, 2015 and December 31, 2014, the Company's derivative assets and liabilities (by type) are as follows (in thousands): | |||||||||||||||||||
March 31, 2015 | Assets | Liabilities | |||||||||||||||||
Interest rate swap contracts | $ | 11,333 | $ | 38,502 | |||||||||||||||
Interest rate cap contracts | 80,271 | — | |||||||||||||||||
Total derivative assets and liabilities in the interim consolidated balance sheet | 91,604 | 38,502 | |||||||||||||||||
Derivatives not subject to an MNA | 843 | 30,684 | |||||||||||||||||
Total assets and liabilities subject to an MNA | $ | 90,761 | $ | 7,818 | |||||||||||||||
December 31, 2014 | Assets | Liabilities | |||||||||||||||||
Interest rate swap contracts | $ | 40,611 | $ | 16,007 | |||||||||||||||
Interest rate cap contracts | 107,673 | — | |||||||||||||||||
Total derivative assets and liabilities in the interim consolidated balance sheet | 148,284 | 16,007 | |||||||||||||||||
Derivatives not subject to an MNA | 7,008 | 11,579 | |||||||||||||||||
Total assets and liabilities subject to an MNA | $ | 141,276 | $ | 4,428 | |||||||||||||||
Below is a summary of the Company's assets subject to offsetting provisions (in thousands): | |||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
As of | Description | Amounts of Assets Presented in the Consolidated Balance Sheet | Instruments Available for Offset | Collateral Received(1) | Net Amount(2) | ||||||||||||||
March 31, 2015 | Derivative assets | $ | 90,761 | $ | 2,546 | $ | 79,995 | $ | 8,220 | ||||||||||
December 31, 2014 | Derivative assets | 141,276 | 4,341 | 117,991 | 18,944 | ||||||||||||||
_________________ | |||||||||||||||||||
-1 | Collateral consists of Agency RMBS, U.S. Treasuries and cash. Excess collateral received is not shown for financial reporting purposes. | ||||||||||||||||||
-2 | Net amount represents the net amount receivable from the counterparty in the event of default. | ||||||||||||||||||
Below is a summary of the Company's liabilities subject to offsetting provisions (in thousands): | |||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
As of | Description | Amounts of Liabilities Presented in the Consolidated Balance Sheet | Instruments Available for Offset | Collateral Pledged(1) | Net Amount(2) | ||||||||||||||
March 31, 2015 | Derivative liabilities | $ | 7,818 | $ | 2,546 | $ | 5,272 | $ | — | ||||||||||
March 31, 2015 | Repurchase agreements | 10,204,901 | — | 10,204,901 | — | ||||||||||||||
31-Dec-14 | Derivative liabilities | $ | 4,428 | $ | 4,341 | $ | 87 | $ | — | ||||||||||
31-Dec-14 | Repurchase agreements | 11,289,559 | — | 11,289,559 | — | ||||||||||||||
_______________ | |||||||||||||||||||
-1 | Collateral consists of Agency RMBS, U.S. Treasuries and Cash. Excess collateral pledged is not shown for financial reporting purposes. | ||||||||||||||||||
-2 | Net amount represents the net amount payable to the counterparty in the event of default. |
Fair_Value_Measurements
Fair Value Measurements | 3 Months Ended | |||||||||||||||
Mar. 31, 2015 | ||||||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||||||
Fair Value Measurements | FAIR VALUE MEASUREMENTS | |||||||||||||||
The Company’s valuation techniques are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect the Company’s market assumptions. ASC 820—Fair Value Measurements. The following tables provide a summary of the Company’s assets and liabilities that are measured at fair value, and recorded and presented at fair value as of March 31, 2015 and December 31, 2014 (in thousands): | ||||||||||||||||
March 31, 2015 | Fair Value Measurements Using | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Agency RMBS | $ | — | $ | 14,555,943 | $ | — | $ | 14,555,943 | ||||||||
U.S. Treasuries | 501,335 | — | — | 501,335 | ||||||||||||
Other Investments | 8,025 | 8,025 | ||||||||||||||
Derivative assets | — | 91,604 | — | 91,604 | ||||||||||||
Total | $ | 501,335 | $ | 14,647,547 | $ | 8,025 | $ | 15,156,907 | ||||||||
Liabilities | ||||||||||||||||
Derivative liabilities | $ | — | $ | 38,502 | $ | — | $ | 38,502 | ||||||||
December 31, 2014 | Fair Value Measurements Using | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Agency RMBS | $ | — | $ | 14,452,456 | $ | — | $ | 14,452,456 | ||||||||
U.S. Treasuries | 149,051 | — | — | 149,051 | ||||||||||||
Other investments | — | — | 8,025 | 8,025 | ||||||||||||
Derivative assets | — | 148,284 | — | 148,284 | ||||||||||||
Total | $ | 149,051 | $ | 14,600,740 | $ | 8,025 | $ | 14,757,816 | ||||||||
Liabilities | ||||||||||||||||
Derivative liabilities | $ | — | $ | 16,007 | $ | — | $ | 16,007 | ||||||||
Other Investments is comprised of our investment in a real estate asset, which is a Level 3 asset. The table below presents a reconciliation of changes in other investments classified as Level 3 in the Company’s interim consolidated financial statements for the three months ended March 31, 2015 and 2014. | ||||||||||||||||
Fair values of real estate assets are valued based on comparable sales transactions and/or on discounted cash flow models. A discussion of the method of fair valuing these assets is included in Note 2, Significant Accounting Policies—Investments in Securities—Investment Valuation. The significant unobservable input used in the fair value measurement is capitalization rates, which the Company estimated to be between 3% and 6% at March 31, 2015 and December 31, 2014. | ||||||||||||||||
We account for our repo borrowings and FHLB advances under ASC ASC 470—Debt; accordingly, these short-term instruments are disclosed at carrying value, or historic cost. | ||||||||||||||||
Level 3 Fair Value Reconciliation | ||||||||||||||||
(In thousands) | Three Months Ended March 31, | |||||||||||||||
Other investments | 2015 | 2014 | ||||||||||||||
Beginning balance Level 3 assets | $ | 8,025 | $ | 6,945 | ||||||||||||
Cash payments recorded as a reduction of cost basis | — | — | ||||||||||||||
Change in net unrealized gain (loss) | — | — | ||||||||||||||
Gross purchases | — | — | ||||||||||||||
Gross sales | — | — | ||||||||||||||
Net gain (loss) on sales | — | — | ||||||||||||||
Transfers into (out of) Level 3 | — | — | ||||||||||||||
Ending balance Level 3 assets | $ | 8,025 | $ | 6,945 | ||||||||||||
Share_Capital
Share Capital | 3 Months Ended |
Mar. 31, 2015 | |
Stockholders' Equity Note [Abstract] | |
Share Capital | SHARE CAPITAL |
The Company has authorized 500,000,000 shares of common stock having par value of $0.01 per share. As of March 31, 2015 and December 31, 2014, the Company had issued and outstanding 158,114,483 and 161,849,878 shares of common stock, respectively. | |
The Company has authorized 50,000,000 shares of preferred stock having a par value of $0.01 per share. As of March 31, 2015 and December 31, 2014, 3,000,000 shares of 7.75% Series A Preferred Stock ($25.00 liquidation preference) were issued and outstanding. As of March 31, 2015 and December 31, 2014, 8,000,000 shares of 7.50% Series B Preferred Stock ($25.00 liquidation preference) were issued and outstanding. The Series A Preferred Stock and Series B Preferred Stock will not be redeemable before August 3, 2017 and April 30, 2018, respectively, except under circumstances where it is necessary to preserve the Company's qualification as a REIT, for federal income tax purposes, or the occurrence of a change of control. On or after August 3, 2017 and April 30, 2018, the Company may, at its option, redeem any or all of the shares of the Series A Preferred Stock and Series B Preferred Stock, respectively, at $25.00 per share plus any accumulated and unpaid dividends to, but not including, the respective redemption date. The Series A Preferred Stock and Series B Preferred Stock have no stated maturity, and are not subject to any sinking fund requirement or mandatory redemption. | |
Equity Offerings | |
On May 23, 2014, the Company filed an automatically effective shelf registration statement on Form S-3 with the SEC. The Company may offer and sell, from time to time, shares of common stock, preferred stock and debt securities in one or more offerings pursuant to the prospectus that is a part of the registration statement. As of March 31, 2015, the Company had not issued any shares of common stock, preferred stock or debt securities under the prospectus. | |
Equity Placement Program (“EPP”) | |
Effective May 15, 2014, the Company terminated that certain Equity Distribution Agreement by and between the Company and JMP Securities LLC (“JMP”), dated as of June 7, 2011 (the “JMP Agreement”), in connection with the expiration of the Company’s prior shelf registration statement on Form S-3. Under the JMP Agreement, the Company could offer and sell, from time to time, up to 15.0 million shares of the Company’s common stock through an “at the market” offering program with JMP. For the three months ended March 31, 2015 and 2014, the Company did not sell any shares of common stock under the JMP Agreement. | |
Dividend Reinvestment and Direct Stock Purchase Plan (“DSPP”) | |
The Company sponsors a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of common stock by reinvesting some or all cash dividends received on shares of common stock. Stockholders may also make optional cash purchases of shares of common stock subject to certain limitations detailed in the plan prospectus. For the three months ended March 31, 2015 and 2014 the Company did not issue any shares under the plan. As of March 31, 2015 and December 31, 2014, there were approximately 4.1 million shares available for issuance under the plan. | |
Share Repurchase Program | |
On November 15, 2012, the Company announced that its Board of Directors authorized the repurchase of shares of the Company’s common stock having an aggregate value of up to $250 million. Pursuant to this program, through July 20, 2014, the Company repurchased approximately $115.7 million in aggregate value of its shares of common stock on the open market. On July 21, 2014, the Company announced that its Board of Directors authorized the repurchase of shares of the Company's common stock having an aggregate value of up to $250 million, which included the approximately $134.3 million available for repurchase under the November 2012 authorization. Subsequently in 2014, we repurchased 172,549 shares for an aggregate of approximately $1.5 million. In the first quarter of 2015, we repurchased 4,149,571 shares at a weighted-average purchase price of $8.95, for an aggregate of approximately $37.2 million. Accordingly, the Company still had approximately $211.2 million authorized to repurchase shares of its common stock as of March 31, 2015. | |
Restricted Stock Awards | |
For the three months ended March 31, 2015 and 2014, the Company granted 438,617 and 389,880 shares of restricted stock, respectively, to certain of its directors, officers and employees. |
Earnings_Per_Share
Earnings Per Share | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Earnings Per Share [Abstract] | ||||||||
Earnings Per Share | EARNINGS PER SHARE | |||||||
Components of the computation of basic and diluted earnings per share ("EPS") were as follows (in thousands except per share amounts): | ||||||||
Three Months Ended March 31, | ||||||||
2015 | 2014 | |||||||
Net income (loss) | $ | 54,597 | $ | 130,687 | ||||
Less preferred stock dividends | (5,203 | ) | (5,203 | ) | ||||
Net income (loss) available to common stockholders | 49,394 | 125,484 | ||||||
Less dividends paid: | ||||||||
Common shares | (47,110 | ) | (51,515 | ) | ||||
Unvested shares | (324 | ) | (334 | ) | ||||
Undistributed earnings (loss) | 1,960 | 73,635 | ||||||
Basic weighted-average shares outstanding: | ||||||||
Common shares | 159,573 | 160,936 | ||||||
Basic earnings (loss) per common share: | ||||||||
Distributed earnings | $ | 0.3 | $ | 0.32 | ||||
Undistributed earnings (loss) | 0.01 | 0.46 | ||||||
Basic earnings (loss) per common share | $ | 0.31 | $ | 0.78 | ||||
Diluted weighted-average shares outstanding: | ||||||||
Common shares | 159,573 | 160,936 | ||||||
Net effect of dilutive stock options (1) | — | — | ||||||
159,573 | 160,936 | |||||||
Diluted earnings (loss) per common share: | ||||||||
Distributed earnings | $ | 0.3 | $ | 0.32 | ||||
Undistributed earnings (loss) | 0.01 | 0.46 | ||||||
Diluted earnings (loss) per common share | $ | 0.31 | $ | 0.78 | ||||
__________________ | ||||||||
-1 | For the three months ended March 31, 2015 and 2014, the Company had an aggregate of 131,088 stock options outstanding with a weighted-average exercise price of $30.00 that were not included in the calculation of EPS, as their inclusion would have been anti-dilutive. These instruments may have a dilutive impact on future EPS. |
Subsequent_Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS |
On April 1, 2015, an aggregate of 21,303 shares of restricted common stock were granted to certain directors as a portion of their compensation for serving on the Company’s Board of Directors. |
Significant_Accounting_Policie1
Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis Of Presentation | Basis of Presentation |
The accompanying interim consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and the instructions to Securities and Exchange Commission ("SEC") Form 10-Q and Article 10, Rule 10-01 of Regulation S-X. Accordingly, the financial statements do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. The interim consolidated financial statements should be read in conjunction with the Company’s audited financial statements as of and for the year ended December 31, 2014, included in its 2014 Annual Report. The results for interim periods are not necessarily indicative of the results to be expected for the fiscal year. | |
The interim consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The interim consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the interim consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. | |
Investments in Securities | Investments in Securities |
The Company's investment securities are accounted for in accordance with Accounting Standards Codification ("ASC") 320—Investments in Debt and Equity Securities. The Company has chosen to make a fair value election pursuant to ASC 825—Financial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the consolidated statements of operations as a component of net unrealized gain (loss) on investments. These investments generally meet the requirements to be classified as available-for-sale under ASC 320, which requires the securities to be carried at fair value on the balance sheet. Electing the fair value option permits the Company to record changes in fair value of our investments in the consolidated statements of operations, which in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. | |
The Company records its transactions in securities on a trade date basis. We record realized gains and losses on securities transactions on an identified cost basis. | |
Agency RMBS | Agency RMBS |
The Company’s investments in Agency RMBS consist of pass-through certificates backed by fixed-rate, monthly-reset adjustable-rate loans (“ARMs”) and hybrid ARMs, the principal and interest of which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Hybrid ARMs have interest rates that have an initial fixed period (typically three, five, seven or ten years) and thereafter reset at regular intervals in a manner similar to ARMs. | |
Forward Settling Transactions | Forward Settling Transactions |
The Company engages in forward settling transactions to purchase certain securities. The Company records forward settling transactions on the trade date, and maintains security positions such that sufficient liquid assets will be available to make payment on the settlement date for the securities purchased. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. Along with other forward settling transactions, the Company transacts in to-be-announced (“TBA”) securities. As with other forward settling transactions, a seller agrees to issue TBAs at a future date; however, the seller does not specify the particular securities to be delivered. Instead, the Company agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Company records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur due to the fact that the actual underlying mortgages received may be more or less favorable than those anticipated by the Company. See Note 7, Pledged Assets, for disclosure regarding the fair value of collateral pledged or received on forward settling transactions. | |
At times, the Company may enter into TBA contracts as a means of investing in and financing Agency RMBS via “dollar roll” transactions. TBA dollar roll transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The Company records such pair offs on a gross basis such that there is a sale of the original TBA and a subsequent purchase of a new TBA. | |
Investment Valuation | Investment Valuation |
The Company has a pricing committee responsible for establishing valuation policies and procedures, as well as reviewing and approving valuations at a monthly pricing meeting. The pricing committee is composed of individuals from the accounting team, the investment team and senior management. | |
Agency RMBS, Agency Debentures and U.S. Treasuries are generally valued based on prices provided by third-party services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may also use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. | |
We generally value interest rate swaps and caps using prices provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments were made in determining the fair value of the Company's interest rate swaps and caps. | |
Fair values of long-lived assets, including real estate, are primarily derived internally, and are based on inputs observed from sales transactions of similar assets. For real estate, fair values are also based on comparable contemporaneous sales transactions and/or discounted cash flow estimates which reflect current and projected lease profiles and available industry information about capitalization rates and expected trends in rents and occupancy. | |
All valuations from third-party pricing services or broker quotes are non-binding. We review all prices during our pricing process. To date, the Company has not adjusted any of the prices received from third-party pricing services or brokers. Our pricing review includes comparisons of similar market transactions, alternative third-party pricing services and broker quotes, or comparisons to a pricing model. To ensure the proper fair value hierarchy, the Company reviews the third-party pricing services methodology periodically to understand whether observable or unobservable inputs are being used. See Note 8, Fair Value Measurements, for a discussion of how the Company values its assets. | |
Investments in Securities | Investments in Securities |
The Company's investment securities are accounted for in accordance with Accounting Standards Codification ("ASC") 320—Investments in Debt and Equity Securities. The Company has chosen to make a fair value election pursuant to ASC 825—Financial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the consolidated statements of operations as a component of net unrealized gain (loss) on investments. These investments generally meet the requirements to be classified as available-for-sale under ASC 320, which requires the securities to be carried at fair value on the balance sheet. Electing the fair value option permits the Company to record changes in fair value of our investments in the consolidated statements of operations, which in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. | |
The Company records its transactions in securities on a trade date basis. We record realized gains and losses on securities transactions on an identified cost basis. | |
The Company accounts for its investment in FHLB stock as a cost method investment in "Other Assets". | |
Agency RMBS | |
The Company’s investments in Agency RMBS consist of pass-through certificates backed by fixed-rate, monthly-reset adjustable-rate loans (“ARMs”) and hybrid ARMs, the principal and interest of which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Hybrid ARMs have interest rates that have an initial fixed period (typically three, five, seven or ten years) and thereafter reset at regular intervals in a manner similar to ARMs. | |
Forward Settling Transactions | |
The Company engages in forward settling transactions to purchase certain securities. The Company records forward settling transactions on the trade date, and maintains security positions such that sufficient liquid assets will be available to make payment on the settlement date for the securities purchased. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. Along with other forward settling transactions, the Company transacts in to-be-announced (“TBA”) securities. As with other forward settling transactions, a seller agrees to issue TBAs at a future date; however, the seller does not specify the particular securities to be delivered. Instead, the Company agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Company records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur due to the fact that the actual underlying mortgages received may be more or less favorable than those anticipated by the Company. See Note 7, Pledged Assets, for disclosure regarding the fair value of collateral pledged or received on forward settling transactions. | |
At times, the Company may enter into TBA contracts as a means of investing in and financing Agency RMBS via “dollar roll” transactions. TBA dollar roll transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The Company records such pair offs on a gross basis such that there is a sale of the original TBA and a subsequent purchase of a new TBA. | |
Investment Valuation | |
The Company has a pricing committee responsible for establishing valuation policies and procedures, as well as reviewing and approving valuations at a monthly pricing meeting. The pricing committee is composed of individuals from the accounting team, the investment team and senior management. | |
Agency RMBS, Agency Debentures and U.S. Treasuries are generally valued based on prices provided by third-party services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may also use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. | |
We generally value interest rate swaps and caps using prices provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments were made in determining the fair value of the Company's interest rate swaps and caps. | |
Fair values of long-lived assets, including real estate, are primarily derived internally, and are based on inputs observed from sales transactions of similar assets. For real estate, fair values are also based on comparable contemporaneous sales transactions and/or discounted cash flow estimates which reflect current and projected lease profiles and available industry information about capitalization rates and expected trends in rents and occupancy. | |
All valuations from third-party pricing services or broker quotes are non-binding. We review all prices during our pricing process. To date, the Company has not adjusted any of the prices received from third-party pricing services or brokers. Our pricing review includes comparisons of similar market transactions, alternative third-party pricing services and broker quotes, or comparisons to a pricing model. To ensure the proper fair value hierarchy, the Company reviews the third-party pricing services methodology periodically to understand whether observable or unobservable inputs are being used. See Note 8, Fair Value Measurements, for a discussion of how the Company values its assets. | |
Interest Income | |
Repurchase Agreements and FHLB Advances | Repurchase Agreements and FHLB Advances |
Borrowings under repurchase agreements ("repo borrowings") and FHLB advances are collateralized by the Company’s Agency RMBS and U.S. Treasuries (collectively, "Debt Securities") and carried at their amortized cost, which approximates their fair value due to their short-term nature (generally 30-90 days). The Company’s repurchase agreement counterparties are institutional dealers in fixed income securities and large financial institutions, and in the case of FHLB advances, the FHLB of Cincinnati. Collateral under repurchase agreements and FHLB advances are valued daily and counterparties may require additional collateral when the fair value of the collateral declines. Counterparties have the right to sell or repledge collateral pledged under repurchase agreements and the FHLB advances agreement. See Note 5, Repurchase Agreements. | |
We account for our repo borrowings and FHLB advances as short-term indebtedness under ASC 470—Debt; accordingly, these short-term instruments are accounted for in our financial statements at carrying value, or historic cost. | |
Interest Rate Swap And Cap Contracts | Interest Rate Swap and Cap Contracts |
We account for our interest rate swap and cap contracts transactions under ASC 815—Derivatives and Hedging. The Company uses interest rate swaps and interest rate caps to hedge a portion of its exposure to market risks, including interest rate risk, credit risk and extension risk. The objective of our risk management strategy is to reduce fluctuations in stockholders’ equity over a range of interest rate scenarios. In particular, we attempt to manage the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. | |
During the term of an interest rate swap or cap, the Company makes or receives periodic payments and records unrealized gains or losses as a result of marking the swap or cap to their fair value. When the Company terminates a swap or cap, we record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's cost basis in the contract, if any. We report the periodic payments and amortization of premiums on cap contracts under interest expense in the consolidated statements of operations. Swaps involve a risk that interest rates will move contrary to the Company’s expectations, thereby increasing the Company’s payment obligation. | |
The Company's interest rate swap and cap contracts may be subject to a master netting arrangement ("MNA"). The Company is exposed to credit loss in the event of non-performance by the counterparty to the swap or cap limited to the fair value of collateral posted in excess of the fair value of the contract in a net liability position and the shortage of the fair value of collateral posted for the contract in a net asset position. As of March 31, 2015 and December 31, 2014, the Company did not anticipate non-performance by any counterparty. Should interest rates move unexpectedly, the Company may not achieve the anticipated benefits of the interest rate swap or cap and may realize a loss. | |
While the Company's derivative agreements generally permit for netting or setting off derivative assets and liabilities with the counterparty, the Company reports related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. We record changes in fair value of our derivative instruments in net unrealized gain (loss) on swap and cap contracts in our consolidated statements of operations. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections in the Company’s consolidated statement of cash flows. See Note 4, Investments in Interest Rate Swap and Cap Contracts. |
Investments_in_Securities_Tabl
Investments in Securities (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Available-for-sale Securities [Abstract] | |||||||||||||||||||||||||
Available-for-sale Securities | |||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||
Asset Type | Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | |||||||||||||||||||||
Fannie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | $ | 12,326,027 | $ | (281 | ) | $ | 201,906 | $ | 12,527,652 | ||||||||||||||||
ARMs | 597,368 | (1 | ) | 8,959 | 606,326 | ||||||||||||||||||||
Total Fannie Mae | 12,923,395 | (282 | ) | 210,865 | 13,133,978 | ||||||||||||||||||||
Freddie Mac Certificates | |||||||||||||||||||||||||
Fixed Rate | 1,211,409 | (98 | ) | 26,432 | 1,237,743 | ||||||||||||||||||||
ARMs | 119,673 | (221 | ) | 1,808 | 121,260 | ||||||||||||||||||||
Total Freddie Mac | 1,331,082 | (319 | ) | 28,240 | 1,359,003 | ||||||||||||||||||||
Ginnie Mae Certificates - ARMs | 61,298 | — | 1,665 | 62,963 | |||||||||||||||||||||
U.S. Treasuries | 497,553 | — | 3,781 | 501,334 | |||||||||||||||||||||
Other Investments | 6,945 | — | 1,080 | 8,025 | |||||||||||||||||||||
Total | $ | 14,820,273 | $ | (601 | ) | $ | 245,631 | $ | 15,065,303 | ||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Fannie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | $ | 11,356,716 | $ | (2,984 | ) | $ | 158,571 | $ | 11,512,303 | ||||||||||||||||
ARMs | 1,282,065 | (13,144 | ) | 4,449 | 1,273,370 | ||||||||||||||||||||
Total Fannie Mae | 12,638,781 | (16,128 | ) | 163,020 | 12,785,673 | ||||||||||||||||||||
Freddie Mac Certificates | |||||||||||||||||||||||||
Fixed Rate | 1,183,764 | — | 25,769 | 1,209,533 | |||||||||||||||||||||
ARMs | 394,726 | (6,753 | ) | 1,144 | 389,117 | ||||||||||||||||||||
Total Freddie Mac | 1,578,490 | (6,753 | ) | 26,913 | 1,598,650 | ||||||||||||||||||||
Ginnie Mae Certificates - ARMs | 66,390 | — | 1,743 | 68,133 | |||||||||||||||||||||
U.S. Treasuries | 149,585 | (534 | ) | — | 149,051 | ||||||||||||||||||||
Other Investments | 6,945 | — | 1,080 | 8,025 | |||||||||||||||||||||
Total | $ | 14,440,191 | $ | (23,415 | ) | $ | 192,756 | $ | 14,609,532 | ||||||||||||||||
The following table presents the gross unrealized loss and fair values of our available-for-sale Agency RMBS by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2015 and December 31, 2014 (in thousands): | |||||||||||||||||||||||||
Unrealized loss positions for | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 months | Total | |||||||||||||||||||||||
As of | Fair value | Unrealized loss | Fair value | Unrealized loss | Fair value | Unrealized loss | |||||||||||||||||||
March 31, 2015 | $ | 258,991 | $ | (380 | ) | $ | 97,643 | $ | (221 | ) | $ | 356,634 | $ | (601 | ) | ||||||||||
December 31, 2014 | 259,291 | (577 | ) | 1,494,884 | (22,838 | ) | 1,754,175 | (23,415 | ) | ||||||||||||||||
The following table is a summary of our net realized gain (loss) from the sale of available-for-sale investments for the three months ended March 31, 2015 and 2014 (in thousands): | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Available-for-sale investments, at cost | $ | 5,999,963 | $ | 7,771,414 | |||||||||||||||||||||
Proceeds from available-for-sale investments sold | 6,018,216 | 7,788,084 | |||||||||||||||||||||||
Net gain on sale of available-for-sale investments | $ | 18,253 | $ | 16,670 | |||||||||||||||||||||
Gross gain on sale of available-for-sale investments | $ | 33,979 | $ | 51,142 | |||||||||||||||||||||
Gross loss on sale of available-for-sale investments | (15,726 | ) | (34,472 | ) | |||||||||||||||||||||
Net gain on sale of available-for-sale investments | $ | 18,253 | $ | 16,670 | |||||||||||||||||||||
The components of the carrying value of available-for-sale securities at March 31, 2015 and December 31, 2014 are presented below. The premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates, and conversely, the discount purchase price is due to the average coupon interest rates on these investments being lower than prevailing market rates. | |||||||||||||||||||||||||
(in thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||
Principal balance | $ | 14,244,501 | $ | 13,887,897 | |||||||||||||||||||||
Unamortized premium | 578,370 | 552,869 | |||||||||||||||||||||||
Unamortized discount | (2,598 | ) | (575 | ) | |||||||||||||||||||||
Gross unrealized gains | 245,631 | 192,756 | |||||||||||||||||||||||
Gross unrealized losses | (601 | ) | (23,415 | ) | |||||||||||||||||||||
Fair value | $ | 15,065,303 | $ | 14,609,532 | |||||||||||||||||||||
Investments_in_Interest_Rate_S1
Investments in Interest Rate Swap and Cap Contracts (Tables) | 3 Months Ended | ||||||||||||||
Mar. 31, 2015 | |||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||
Schedule of Interest Rate Derivatives [Table Text Block] | The Company had the following activity in interest rate swap and cap transactions during the three months ended March 31, 2015 and 2014 (in thousands): | ||||||||||||||
Three Months Ended March 31, 2015 | Three Months Ended March 31, 2014 | ||||||||||||||
Trade Date | Transaction | Notional | Trade Date | Transaction | Notional | ||||||||||
Jan-15 | Terminated | $ | (400,000 | ) | Feb-14 | Terminated | $ | (500,000 | ) | ||||||
Jan-15 | Opened | 500,000 | Net Decrease | $ | (500,000 | ) | |||||||||
Net Increase | $ | 100,000 | |||||||||||||
Schedule of Derivative Instruments | Below is a summary of our interest rate swap and cap contracts open as of March 31, 2015 and December 31, 2014 (in thousands): | ||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | |||||||||||||||
Interest Rate Swap Contracts | Notional | Fair Value | Consolidated Balance Sheets | ||||||||||||
March 31, 2015 | $ | 4,000,000 | $ | (38,502 | ) | Derivative liabilities, at fair value | |||||||||
March 31, 2015 | 3,750,000 | 11,333 | Derivative assets, at fair value | ||||||||||||
December 31, 2014 | 2,600,000 | (16,007 | ) | Derivative liabilities, at fair value | |||||||||||
December 31, 2014 | 5,050,000 | 40,611 | Derivative assets, at fair value | ||||||||||||
Interest Rate Cap Contracts | Notional | Fair Value | Consolidated Balance Sheets | ||||||||||||
March 31, 2015 | $ | 2,500,000 | $ | 80,271 | Derivative assets, at fair value | ||||||||||
December 31, 2014 | 2,500,000 | 107,673 | Derivative assets, at fair value | ||||||||||||
The following table presents information about the net realized and unrealized gain and loss on swap and cap contracts for the three months ended March 31, 2015 and 2014 on the Company's interest rate swap and cap contracts not designated as hedging instruments under ASC 815 (in thousands): | |||||||||||||||
Amount Recognized in Income on Derivatives | |||||||||||||||
Three Months Ended March 31, | |||||||||||||||
Derivative Type | Location of Gain or (Loss) Recognized in Income on Derivative | 2015 | 2014 | ||||||||||||
Interest rate swaps and caps | Net realized gain (loss) on termination of swap and cap contracts | $ | (2,568 | ) | $ | (9,323 | ) | ||||||||
Interest rate swaps and caps | Net unrealized gain (loss) on swap and cap contracts | (74,800 | ) | (16,240 | ) | ||||||||||
Interest rate swaps and caps | Total recognized in income on derivatives | $ | (77,368 | ) | $ | (25,563 | ) | ||||||||
We continue to reposition our hedges, and in January 2015 entered into a 7-year $500 million notional swap at a pay rate of 2.15%, cancelable in January 2016, and at the same time we terminated a 7-year $400 million notional interest rate swap at a pay rate of 2.416%, cancelable in June 2015. | |||||||||||||||
At March 31, 2015 and December 31, 2014, the Company's derivative assets and liabilities (by type) are as follows (in thousands): | |||||||||||||||
March 31, 2015 | Assets | Liabilities | |||||||||||||
Interest rate swap contracts | $ | 11,333 | $ | 38,502 | |||||||||||
Interest rate cap contracts | 80,271 | — | |||||||||||||
Total derivative assets and liabilities in the interim consolidated balance sheet | 91,604 | 38,502 | |||||||||||||
Derivatives not subject to an MNA | 843 | 30,684 | |||||||||||||
Total assets and liabilities subject to an MNA | $ | 90,761 | $ | 7,818 | |||||||||||
December 31, 2014 | Assets | Liabilities | |||||||||||||
Interest rate swap contracts | $ | 40,611 | $ | 16,007 | |||||||||||
Interest rate cap contracts | 107,673 | — | |||||||||||||
Total derivative assets and liabilities in the interim consolidated balance sheet | 148,284 | 16,007 | |||||||||||||
Derivatives not subject to an MNA | 7,008 | 11,579 | |||||||||||||
Total assets and liabilities subject to an MNA | $ | 141,276 | $ | 4,428 | |||||||||||
Repurchase_Agreements_and_FHLB1
Repurchase Agreements and FHLB Advances (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Banking and Thrift [Abstract] | ||||||||
Schedule Of Company's Borrowings | Certain information with respect to the Company’s repo borrowings and FHLB advances outstanding at the balance sheet date is summarized in the table below. Each of the repo borrowings and the FHLB advances are contractually due in one year or less. | |||||||
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Outstanding repurchase agreements | $ | 10,204,901 | $ | 11,289,559 | ||||
Outstanding FHLB advances | $ | 510,000 | $ | — | ||||
Interest accrued thereon | $ | 3,574 | $ | 5,334 | ||||
Weighted-average borrowing rate(1) | 0.34 | % | 0.35 | % | ||||
Weighted-average remaining maturity (in days) | 43.6 | 28.2 | ||||||
Fair value of the collateral(2) | $ | 11,212,170 | $ | 11,842,427 | ||||
Pledged_Assets_Tables
Pledged Assets (Tables) | 3 Months Ended | ||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||
Transfers and Servicing [Abstract] | |||||||||||||||||||
Assets Pledged to Counterparties | The following tables summarize our assets pledged as collateral under our repo borrowings, FHLB advances, and derivative agreements by type, including securities pledged related to securities purchased or sold but not yet settled, as of March 31, 2015 and December 31, 2014 (in thousands): | ||||||||||||||||||
March 31, 2015 | |||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 10,752,304 | $ | 56,339 | $ | 991 | $ | 10,809,634 | |||||||||||
U.S. Treasuries - fair value | 476,142 | 24,204 | — | 500,346 | |||||||||||||||
Accrued interest on pledged securities | 29,790 | 245 | 2 | 30,037 | |||||||||||||||
Cash | — | 37,216 | — | 37,216 | |||||||||||||||
Total | $ | 11,258,236 | $ | 118,004 | $ | 993 | $ | 11,377,233 | |||||||||||
December 31, 2014 | |||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 11,697,532 | $ | 42,894 | $ | 1,453 | $ | 11,741,879 | |||||||||||
U.S. Treasuries - fair value | 149,051 | 17,992 | — | 167,043 | |||||||||||||||
Accrued interest on pledged securities | 31,475 | 168 | 3 | 31,646 | |||||||||||||||
Cash | — | 11,104 | — | 11,104 | |||||||||||||||
Total | $ | 11,878,058 | $ | 72,158 | $ | 1,456 | $ | 11,951,672 | |||||||||||
Assets Pledged from Counterparties | As of March 31, 2015 and December 31, 2014, we also had assets pledged to us as collateral under our repurchase and derivative agreements summarized in the tables below (in thousands): | ||||||||||||||||||
March 31, 2015 | |||||||||||||||||||
Assets Pledged to CYS | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 5,154 | $ | 15,787 | $ | 646 | $ | 21,587 | |||||||||||
U.S. Treasuries - fair value | 11,122 | 18,805 | — | 29,927 | |||||||||||||||
Accrued interest on pledged securities | 82 | 85 | 2 | 169 | |||||||||||||||
Cash | — | 47,670 | 559 | 48,229 | |||||||||||||||
Total | $ | 16,358 | $ | 82,347 | $ | 1,207 | $ | 99,912 | |||||||||||
December 31, 2014 | |||||||||||||||||||
Assets Pledged to CYS | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 3,464 | $ | 22,112 | $ | 3,225 | $ | 28,801 | |||||||||||
U.S. Treasuries - fair value | 692 | 25,115 | — | 25,807 | |||||||||||||||
Accrued interest on pledged securities | 13 | 142 | 9 | 164 | |||||||||||||||
Cash | — | 71,980 | 791 | 72,771 | |||||||||||||||
Total | $ | 4,169 | $ | 119,349 | $ | 4,025 | $ | 127,543 | |||||||||||
Schedule of Derivative Instruments | Below is a summary of our interest rate swap and cap contracts open as of March 31, 2015 and December 31, 2014 (in thousands): | ||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | |||||||||||||||||||
Interest Rate Swap Contracts | Notional | Fair Value | Consolidated Balance Sheets | ||||||||||||||||
March 31, 2015 | $ | 4,000,000 | $ | (38,502 | ) | Derivative liabilities, at fair value | |||||||||||||
March 31, 2015 | 3,750,000 | 11,333 | Derivative assets, at fair value | ||||||||||||||||
December 31, 2014 | 2,600,000 | (16,007 | ) | Derivative liabilities, at fair value | |||||||||||||||
December 31, 2014 | 5,050,000 | 40,611 | Derivative assets, at fair value | ||||||||||||||||
Interest Rate Cap Contracts | Notional | Fair Value | Consolidated Balance Sheets | ||||||||||||||||
March 31, 2015 | $ | 2,500,000 | $ | 80,271 | Derivative assets, at fair value | ||||||||||||||
December 31, 2014 | 2,500,000 | 107,673 | Derivative assets, at fair value | ||||||||||||||||
The following table presents information about the net realized and unrealized gain and loss on swap and cap contracts for the three months ended March 31, 2015 and 2014 on the Company's interest rate swap and cap contracts not designated as hedging instruments under ASC 815 (in thousands): | |||||||||||||||||||
Amount Recognized in Income on Derivatives | |||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||
Derivative Type | Location of Gain or (Loss) Recognized in Income on Derivative | 2015 | 2014 | ||||||||||||||||
Interest rate swaps and caps | Net realized gain (loss) on termination of swap and cap contracts | $ | (2,568 | ) | $ | (9,323 | ) | ||||||||||||
Interest rate swaps and caps | Net unrealized gain (loss) on swap and cap contracts | (74,800 | ) | (16,240 | ) | ||||||||||||||
Interest rate swaps and caps | Total recognized in income on derivatives | $ | (77,368 | ) | $ | (25,563 | ) | ||||||||||||
We continue to reposition our hedges, and in January 2015 entered into a 7-year $500 million notional swap at a pay rate of 2.15%, cancelable in January 2016, and at the same time we terminated a 7-year $400 million notional interest rate swap at a pay rate of 2.416%, cancelable in June 2015. | |||||||||||||||||||
At March 31, 2015 and December 31, 2014, the Company's derivative assets and liabilities (by type) are as follows (in thousands): | |||||||||||||||||||
March 31, 2015 | Assets | Liabilities | |||||||||||||||||
Interest rate swap contracts | $ | 11,333 | $ | 38,502 | |||||||||||||||
Interest rate cap contracts | 80,271 | — | |||||||||||||||||
Total derivative assets and liabilities in the interim consolidated balance sheet | 91,604 | 38,502 | |||||||||||||||||
Derivatives not subject to an MNA | 843 | 30,684 | |||||||||||||||||
Total assets and liabilities subject to an MNA | $ | 90,761 | $ | 7,818 | |||||||||||||||
December 31, 2014 | Assets | Liabilities | |||||||||||||||||
Interest rate swap contracts | $ | 40,611 | $ | 16,007 | |||||||||||||||
Interest rate cap contracts | 107,673 | — | |||||||||||||||||
Total derivative assets and liabilities in the interim consolidated balance sheet | 148,284 | 16,007 | |||||||||||||||||
Derivatives not subject to an MNA | 7,008 | 11,579 | |||||||||||||||||
Total assets and liabilities subject to an MNA | $ | 141,276 | $ | 4,428 | |||||||||||||||
Offsetting Assets | Below is a summary of the Company's assets subject to offsetting provisions (in thousands): | ||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
As of | Description | Amounts of Assets Presented in the Consolidated Balance Sheet | Instruments Available for Offset | Collateral Received(1) | Net Amount(2) | ||||||||||||||
March 31, 2015 | Derivative assets | $ | 90,761 | $ | 2,546 | $ | 79,995 | $ | 8,220 | ||||||||||
December 31, 2014 | Derivative assets | 141,276 | 4,341 | 117,991 | 18,944 | ||||||||||||||
_________________ | |||||||||||||||||||
-1 | Collateral consists of Agency RMBS, U.S. Treasuries and cash. Excess collateral received is not shown for financial reporting purposes. | ||||||||||||||||||
-2 | Net amount represents the net amount receivable from the counterparty in the event of default. | ||||||||||||||||||
Offsetting Liabilities | Below is a summary of the Company's liabilities subject to offsetting provisions (in thousands): | ||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
As of | Description | Amounts of Liabilities Presented in the Consolidated Balance Sheet | Instruments Available for Offset | Collateral Pledged(1) | Net Amount(2) | ||||||||||||||
March 31, 2015 | Derivative liabilities | $ | 7,818 | $ | 2,546 | $ | 5,272 | $ | — | ||||||||||
March 31, 2015 | Repurchase agreements | 10,204,901 | — | 10,204,901 | — | ||||||||||||||
31-Dec-14 | Derivative liabilities | $ | 4,428 | $ | 4,341 | $ | 87 | $ | — | ||||||||||
31-Dec-14 | Repurchase agreements | 11,289,559 | — | 11,289,559 | — | ||||||||||||||
_______________ | |||||||||||||||||||
-1 | Collateral consists of Agency RMBS, U.S. Treasuries and Cash. Excess collateral pledged is not shown for financial reporting purposes. | ||||||||||||||||||
-2 | Net amount represents the net amount payable to the counterparty in the event of default. |
Fair_Value_Measurements_Tables
Fair Value Measurements (Tables) | 3 Months Ended | |||||||||||||||
Mar. 31, 2015 | ||||||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following tables provide a summary of the Company’s assets and liabilities that are measured at fair value, and recorded and presented at fair value as of March 31, 2015 and December 31, 2014 (in thousands): | |||||||||||||||
March 31, 2015 | Fair Value Measurements Using | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Agency RMBS | $ | — | $ | 14,555,943 | $ | — | $ | 14,555,943 | ||||||||
U.S. Treasuries | 501,335 | — | — | 501,335 | ||||||||||||
Other Investments | 8,025 | 8,025 | ||||||||||||||
Derivative assets | — | 91,604 | — | 91,604 | ||||||||||||
Total | $ | 501,335 | $ | 14,647,547 | $ | 8,025 | $ | 15,156,907 | ||||||||
Liabilities | ||||||||||||||||
Derivative liabilities | $ | — | $ | 38,502 | $ | — | $ | 38,502 | ||||||||
December 31, 2014 | Fair Value Measurements Using | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Agency RMBS | $ | — | $ | 14,452,456 | $ | — | $ | 14,452,456 | ||||||||
U.S. Treasuries | 149,051 | — | — | 149,051 | ||||||||||||
Other investments | — | — | 8,025 | 8,025 | ||||||||||||
Derivative assets | — | 148,284 | — | 148,284 | ||||||||||||
Total | $ | 149,051 | $ | 14,600,740 | $ | 8,025 | $ | 14,757,816 | ||||||||
Liabilities | ||||||||||||||||
Derivative liabilities | $ | — | $ | 16,007 | $ | — | $ | 16,007 | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | Level 3 Fair Value Reconciliation | |||||||||||||||
(In thousands) | Three Months Ended March 31, | |||||||||||||||
Other investments | 2015 | 2014 | ||||||||||||||
Beginning balance Level 3 assets | $ | 8,025 | $ | 6,945 | ||||||||||||
Cash payments recorded as a reduction of cost basis | — | — | ||||||||||||||
Change in net unrealized gain (loss) | — | — | ||||||||||||||
Gross purchases | — | — | ||||||||||||||
Gross sales | — | — | ||||||||||||||
Net gain (loss) on sales | — | — | ||||||||||||||
Transfers into (out of) Level 3 | — | — | ||||||||||||||
Ending balance Level 3 assets | $ | 8,025 | $ | 6,945 | ||||||||||||
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Earnings Per Share [Abstract] | ||||||||
Schedule Of Computation Of Basic And Diluted Earnings Per Share | Components of the computation of basic and diluted earnings per share ("EPS") were as follows (in thousands except per share amounts): | |||||||
Three Months Ended March 31, | ||||||||
2015 | 2014 | |||||||
Net income (loss) | $ | 54,597 | $ | 130,687 | ||||
Less preferred stock dividends | (5,203 | ) | (5,203 | ) | ||||
Net income (loss) available to common stockholders | 49,394 | 125,484 | ||||||
Less dividends paid: | ||||||||
Common shares | (47,110 | ) | (51,515 | ) | ||||
Unvested shares | (324 | ) | (334 | ) | ||||
Undistributed earnings (loss) | 1,960 | 73,635 | ||||||
Basic weighted-average shares outstanding: | ||||||||
Common shares | 159,573 | 160,936 | ||||||
Basic earnings (loss) per common share: | ||||||||
Distributed earnings | $ | 0.3 | $ | 0.32 | ||||
Undistributed earnings (loss) | 0.01 | 0.46 | ||||||
Basic earnings (loss) per common share | $ | 0.31 | $ | 0.78 | ||||
Diluted weighted-average shares outstanding: | ||||||||
Common shares | 159,573 | 160,936 | ||||||
Net effect of dilutive stock options (1) | — | — | ||||||
159,573 | 160,936 | |||||||
Diluted earnings (loss) per common share: | ||||||||
Distributed earnings | $ | 0.3 | $ | 0.32 | ||||
Undistributed earnings (loss) | 0.01 | 0.46 | ||||||
Diluted earnings (loss) per common share | $ | 0.31 | $ | 0.78 | ||||
__________________ | ||||||||
-1 | For the three months ended March 31, 2015 and 2014, the Company had an aggregate of 131,088 stock options outstanding with a weighted-average exercise price of $30.00 that were not included in the calculation of EPS, as their inclusion would have been anti-dilutive. These instruments may have a dilutive impact on future EPS. |
Organization_Details
Organization (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $25 | $25 |
Significant_Accounting_Policie2
Significant Accounting Policies (Details) | 3 Months Ended |
Mar. 31, 2015 | |
Minimum [Member] | |
Repurchase Agreement Counterparty [Line Items] | |
Repurchase Agreement Period | 30 days |
Maximum [Member] | |
Repurchase Agreement Counterparty [Line Items] | |
Repurchase Agreement Period | 90 days |
Investments_in_Securities_Deta
Investments in Securities (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Available-for-sale Securities [Abstract] | ||
WeightedAverageCouponDebtSecurities | 3.38% | 3.39% |
U.S. Treasury Security Maturity Date | 2019 | |
Debt Instrument, Maturity Date | 30 years | |
Agency RMBS Maturity Date Min | 2024 | 2024 |
Agency RMBS Maturity Date Max | 2045 | 2045 |
U.S. Treasury Securities Maturity Date Min | 2018 | |
U.S. Treasury Securities Maturity Date Max | 2020 |
Investments_in_Securities_Avai
Investments in Securities (Available-for-sale securities by GSE Agency and Coupon) (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ($601) | ($23,415) |
Gross unrealized gains | 245,631 | 192,756 |
Fair value | 15,065,303 | 14,609,532 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 12,923,395 | 12,638,781 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -282 | -16,128 |
Gross unrealized gains | 210,865 | 163,020 |
Fair value | 13,133,978 | 12,785,673 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Fixed Rate Residential Mortgage [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 12,326,027 | 11,356,716 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -281 | -2,984 |
Gross unrealized gains | 201,906 | 158,571 |
Fair value | 12,527,652 | 11,512,303 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Adjustable Rate Residential Mortgage [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 597,368 | 1,282,065 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -1 | -13,144 |
Gross unrealized gains | 8,959 | 4,449 |
Fair value | 606,326 | 1,273,370 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 1,331,082 | 1,578,490 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -319 | -6,753 |
Gross unrealized gains | 28,240 | 26,913 |
Fair value | 1,359,003 | 1,598,650 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Fixed Rate Residential Mortgage [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 1,211,409 | 1,183,764 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -98 | 0 |
Gross unrealized gains | 26,432 | 25,769 |
Fair value | 1,237,743 | 1,209,533 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Adjustable Rate Residential Mortgage [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 119,673 | 394,726 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -221 | -6,753 |
Gross unrealized gains | 1,808 | 1,144 |
Fair value | 121,260 | 389,117 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Adjustable Rate Residential Mortgage [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 61,298 | 66,390 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 0 | 0 |
Gross unrealized gains | 1,665 | 1,743 |
Fair value | 62,963 | 68,133 |
US Treasury Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 497,553 | 149,585 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 0 | -534 |
Gross unrealized gains | 3,781 | 0 |
Fair value | 501,334 | 149,051 |
Other Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 6,945 | 6,945 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 0 | 0 |
Gross unrealized gains | 1,080 | 1,080 |
Fair value | 8,025 | 8,025 |
Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 14,820,273 | 14,440,191 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -601 | -23,415 |
Gross unrealized gains | 245,631 | 192,756 |
Fair value | $15,065,303 | $14,609,532 |
Investments_in_Securities_Avai1
Investments in Securities (Available for sale, Continuous Unrealized Loss) (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Investments, Debt and Equity Securities [Abstract] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $258,991 | $259,291 |
Unrealized loss on investments, owned less than 12 months | -380 | -577 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 97,643 | 1,494,884 |
Unrealized loss on investments, owned more than 12 months | -221 | -22,838 |
Fair value of investments in unrealized loss position | 356,634 | 1,754,175 |
Available for sale securities, continuous unrealized loss | ($601) | ($23,415) |
Investments_in_Securities_Summ
Investments in Securities (Summary of Net Gain (loss) from the Sale of Available-for-Sale Investments) (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Investments, Debt and Equity Securities [Abstract] | ||
Available-for-sale investments, at cost | $5,999,963 | $7,771,414 |
Proceeds from available-for-sale investments sold | 6,018,216 | 7,788,084 |
Net gain on sale of available-for-sale investments | 18,253 | 16,670 |
Gross gain on sale of available-for-sale investments | 33,979 | 51,142 |
Gross loss on sale of available-for-sale investments | ($15,726) | ($34,472) |
Investments_in_Securities_Comp
Investments in Securities (Components of the Carrying Value of Available-for-Sale Securities) (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | $14,244,501 | $13,887,897 |
Unamortized premium | 578,370 | 552,869 |
Unamortized discount | -2,598 | -575 |
Gross unrealized gains | 245,631 | 192,756 |
Gross unrealized losses | -601 | -23,415 |
Fair value | 15,065,303 | 14,609,532 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 12,923,395 | 12,638,781 |
Gross unrealized gains | 210,865 | 163,020 |
Gross unrealized losses | -282 | -16,128 |
Fair value | 13,133,978 | 12,785,673 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 1,331,082 | 1,578,490 |
Gross unrealized gains | 28,240 | 26,913 |
Gross unrealized losses | -319 | -6,753 |
Fair value | 1,359,003 | 1,598,650 |
US Treasury Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 497,553 | 149,585 |
Gross unrealized gains | 3,781 | 0 |
Gross unrealized losses | 0 | -534 |
Fair value | $501,334 | $149,051 |
Investments_in_Interest_Rate_S2
Investments in Interest Rate Swap and Cap Contracts (Details) (USD $) | 3 Months Ended | |
In Millions, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Trading Securities Pledged as Collateral | $80.50 | $60.90 |
Securities Received as Collateral | 34.6 | 47.2 |
Derivative, Collateral, Obligation to Return Cash | 47.7 | 72 |
SwapOpenedJanuaryTwoThousandFifteenNotional | 500 | |
SwapOpenedJanuaryTwoThousandFifteenPayRate | 2.15% | |
SwapTerminatedJanuaryTwoThousandFifteenNotional | $400 | |
SwapTerminatedJanuaryTwoThousandFifteenPayRate | 2.42% |
Investments_in_Interest_Rate_S3
Investments in Interest Rate Swap and Cap Contracts (Summary Of Interest Rate Swap And Cap Contracts) (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Transaction And Trade Date [Line Items] | ||
DerivativeNotionalTransactions | $100,000 | ($500,000) |
JanuaryTwoThousandAndFifteenTerminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | Jan-15 | |
DerivativeNotionalTransactions | -400,000 | |
FebruaryTwoThousandFourteenTerminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | Feb-14 | |
DerivativeNotionalTransactions | -500,000 | |
JanuaryTwoThousandAndFifteenOpened [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | Jan-15 | |
DerivativeNotionalTransactions | $500,000 |
Investments_in_Interest_Rate_S4
Investments in Interest Rate Swap and Cap Contracts (Derivatives not designated as hedging activities under ASC 815) (Details) (Derivatives Not Designated As Hedging Instruments [Member], USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Interest Rate Swap [Member] | Assets [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $3,750,000 | $5,050,000 |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | 11,333 | 40,611 |
Interest Rate Swap [Member] | Liabilities [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 4,000,000 | 2,600,000 |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | -38,502 | -16,007 |
Interest Rate Cap [Member] | Assets [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 2,500,000 | 2,500,000 |
Derivative Asset, Fair Value, Gross Asset | $80,271 | $107,673 |
Investments_in_Interest_Rate_S5
Investments in Interest Rate Swap and Cap Contracts (Amount recognized in income on derivatives) (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Net realized gain (loss) on termination of swap and cap contracts | ($2,568) | ($9,323) |
Net unrealized gain (loss) on swap and cap contracts | -74,800 | -16,240 |
Derivative, Gain (Loss) on Derivative, Net | ($77,368) | ($25,563) |
Repurchase_Agreements_and_FHLB2
Repurchase Agreements and FHLB Advances (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | D | D | ||
Short-term Debt [Line Items] | ||||
Repopercentageofstockholdersequity | 1.60% | 1.60% | ||
RepoBorrowingsandFHLBadvancesaspercentageoftotalassets | 4.00% | |||
Outstanding repurchase agreements | $10,204,901 | $11,289,559 | [1] | |
FHLB advances | 510,000 | 0 | [1] | |
Interest accrued thereon | 3,574 | 5,334 | ||
Weighted average borrowing rate | 0.34% | [2] | 0.35% | [2] |
ShortTermDebtWeightedAverageInterestRateUSTreasuries | 0.04% | |||
Weighted Average Remaining Maturity (In Days) | 43.6 | 28.2 | ||
Fair value of the collateral(1) | $11,212,170 | [3] | $11,842,427 | [3] |
Number of repurchase agreements exceeding 10% of net assets | 0 | 0 | ||
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets | 1.50% | 1.60% | ||
[1] | Derived from audited financial statements. | |||
[2] | (1)The weighted-average borrowing rate as of MarchB 31, 2015 was determined as set forth in the table below.CollateralBorrowing amountB RateAgency RMBS$10,243,805B 0.36B %U.S. Treasuries471,096B (0.04)%Total / weighted-average borrowing rate $10,714,901B 0.34B % | |||
[3] | (2)Collateral for repo borrowings and FHLB advances consisted of Agency RMBS and U.S. Treasuries. |
Repurchase_Agreements_and_FHLB3
Repurchase Agreements and FHLB Advances Schedule of Weighted Average Borrowing Rate (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Debt Disclosure [Abstract] | ||||
SecuritiesSoldUnderAgreementsToRepurchaseAgencyRMBS | $10,243,805 | |||
ShortTermDebtWeightedAverageInterestRateAgencyRMBS | 0.36% | |||
Securities Sold under Agreements to Repurchase | -10,204,901 | -11,289,559 | [1] | |
Short-term Debt, Weighted Average Interest Rate | 0.34% | [2] | 0.35% | [2] |
SecuritiesSoldUnderAgreementsToRepurchaseUSTreasuries | 471,096 | |||
ShortTermDebtWeightedAverageInterestRateUSTreasuries | -0.04% | |||
SecuritiesSoldUnderAgreementsExcludingFHLBAdvances | $10,714,901 | |||
ShortTermDebtWeightedAverageInterestRateExcludingFHLBAcvances | 0.34% | |||
[1] | Derived from audited financial statements. | |||
[2] | (1)The weighted-average borrowing rate as of MarchB 31, 2015 was determined as set forth in the table below.CollateralBorrowing amountB RateAgency RMBS$10,243,805B 0.36B %U.S. Treasuries471,096B (0.04)%Total / weighted-average borrowing rate $10,714,901B 0.34B % |
Commitments_and_Contingencies_
Commitments and Contingencies (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Commitments and Contingencies Disclosure [Abstract] | ||
Indemnification claims | $0 | $0 |
Pledged_Assets_Assets_Pledged_
Pledged Assets (Assets Pledged to Counterparties) (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | $11,377,233 | $11,951,672 |
Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,809,634 | 11,741,879 |
US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 500,346 | 167,043 |
Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 30,037 | 31,646 |
Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 37,216 | 11,104 |
Repurchase Agreements [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 11,258,236 | 11,878,058 |
Repurchase Agreements [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,752,304 | 11,697,532 |
Repurchase Agreements [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 476,142 | 149,051 |
Repurchase Agreements [Member] | Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 29,790 | 31,475 |
Repurchase Agreements [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 0 | 0 |
Derivative [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 118,004 | 72,158 |
Derivative [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 56,339 | 42,894 |
Derivative [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 24,204 | 17,992 |
Derivative [Member] | Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 245 | 168 |
Derivative [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 37,216 | 11,104 |
Forward Settling Trades [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 993 | 1,456 |
Forward Settling Trades [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 991 | 1,453 |
Forward Settling Trades [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 0 | 0 |
Forward Settling Trades [Member] | Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 2 | 3 |
Forward Settling Trades [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | $0 | $0 |
Pledged_Assets_Assets_Pledged_1
Pledged Assets (Assets Pledged from Counterparties ) (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $99,912 | $127,543 |
Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 21,587 | 28,801 |
US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 29,927 | 25,807 |
Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 169 | 164 |
Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 48,229 | 72,771 |
Repurchase Agreements [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 16,358 | 4,169 |
Repurchase Agreements [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 5,154 | 3,464 |
Repurchase Agreements [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 11,122 | 692 |
Repurchase Agreements [Member] | Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 82 | 13 |
Repurchase Agreements [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 0 |
Derivative [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 82,347 | 119,349 |
Derivative [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 15,787 | 22,112 |
Derivative [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 18,805 | 25,115 |
Derivative [Member] | Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 85 | 142 |
Derivative [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 47,670 | 71,980 |
Forward Settling Trades [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 1,207 | 4,025 |
Forward Settling Trades [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 646 | 3,225 |
Forward Settling Trades [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 0 |
Forward Settling Trades [Member] | Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 2 | 9 |
Forward Settling Trades [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $559 | $791 |
Pledged_Assets_Derivatives_Det
Pledged Assets (Derivatives) (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | |
In Thousands, unless otherwise specified | |||
Transfers and Servicing [Abstract] | |||
Derivative Asset, Current | $11,333 | $40,611 | |
Derivative Liability, Current | 38,502 | 16,007 | |
Interest rate cap, asset position | 80,271 | 107,673 | |
Interest rate cap, liability position | 0 | 0 | |
Derivative Asset | 91,604 | 148,284 | [1] |
Derivative liabilities, at fair value | 38,502 | 16,007 | [1] |
Derivative Asset, Not Subject to Master Netting Arrangement | 843 | 7,008 | |
Derivative Liability, Not Subject to Master Netting Arrangement | 30,684 | 11,579 | |
DerivativeAssetSubjectToMasterNettingArrangement | 90,761 | 141,276 | |
DerivativeLiabilitySubjectToMasterNettingArrangement | $7,818 | $4,428 | |
[1] | Derived from audited financial statements. |
Pledged_Assets_Offsetting_Asse
Pledged Assets (Offsetting Assets) (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Transfers and Servicing [Abstract] | ||
DerivativeAssetSubjectToMasterNettingArrangement | $90,761 | $141,276 |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 2,546 | 4,341 |
Fair Value of Securities Received as Collateral that Have Been Resold or Repledged | 79,995 | 117,991 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | $8,220 | $18,944 |
Pledged_Assets_Offsetting_Liab
Pledged Assets (Offsetting Liabilities) (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | |
In Thousands, unless otherwise specified | |||
Transfers and Servicing [Abstract] | |||
DerivativeLiabilitySubjectToMasterNettingArrangement | $7,818 | $4,428 | |
NetDerivativeLiability | 4,428 | ||
InstrumentsAvailableToOffsetDerivativeLiability | 2,546 | 4,341 | |
Derivative Liability, Fair Value of Collateral | 5,272 | 87 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | 0 | |
Outstanding repurchase agreements | 10,204,901 | 11,289,559 | [1] |
InstrumentsAvailableToOffsetRepoLiability | 0 | 0 | |
SecuritiesSoldUnderAgreementsNotOffsetAgainstCollateral | $0 | $0 | |
[1] | Derived from audited financial statements. |
Fair_Value_Measurements_Detail
Fair Value Measurements (Details) | Mar. 31, 2015 |
Fair Value Disclosures [Abstract] | |
unobservable input capitalization rate min | 3.00% |
unobservable input capitalization rate max | 6.00% |
Fair_Value_Measurements_Assets
Fair Value Measurements (Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | |
In Thousands, unless otherwise specified | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | $14,555,943 | $14,452,456 | |
US Treasury fair value disclosure | 501,335 | 149,051 | |
Other Investments | 8,025 | 8,025 | |
Derivative Asset | 91,604 | 148,284 | [1] |
Assets, Fair Value Disclosure, Recurring | 15,156,907 | 14,757,816 | |
Derivative liabilities | 38,502 | 16,007 | |
Derivative liabilities, at fair value | 38,502 | 16,007 | [1] |
Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | 0 | 0 | |
US Treasury fair value disclosure | 501,335 | 149,051 | |
Other Investments | 0 | ||
Derivative Asset | 0 | 0 | |
Assets, Fair Value Disclosure, Recurring | 501,335 | 149,051 | |
Derivative liabilities | 0 | 0 | |
Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | 14,555,943 | 14,452,456 | |
US Treasury fair value disclosure | 0 | 0 | |
Other Investments | 0 | ||
Derivative Asset | 148,284 | ||
Assets, Fair Value Disclosure, Recurring | 14,647,547 | 14,600,740 | |
Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | 0 | 0 | |
US Treasury fair value disclosure | 0 | 0 | |
Other Investments | 8,025 | 8,025 | |
Derivative Asset | 0 | 0 | |
Assets, Fair Value Disclosure, Recurring | 8,025 | 8,025 | |
Derivative liabilities | $0 | $0 | |
[1] | Derived from audited financial statements. |
Fair_Value_Measurements_Level_
Fair Value Measurements (Level 3 Fair Value Reconciliation) (Details) (Other Investments [Member], USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Other Investments [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | $0 | $0 |
Beginning balance Level 3 assets | 8,025 | 6,945 |
Change in net unrealized gain (loss) | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Issuances | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | 0 | 0 |
Net gain (loss) on sales | 0 | 0 |
Transfers into (out of) level 3 | 0 | 0 |
Ending balance Level 3 assets | $8,025 | $6,945 |
Share_Capital_Details
Share Capital (Details) (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Mar. 31, 2015 | Mar. 31, 2014 | Jun. 30, 2014 | Dec. 31, 2014 | Jul. 22, 2014 | Nov. 15, 2012 | Jun. 07, 2011 | ||
Equity Issuance [Line Items] | ||||||||
Common stock, shares authorized | 500,000,000 | 500,000,000 | ||||||
Common stock, par value | $0.01 | $0.01 | ||||||
Common Stock, Shares, Issued | 158,114,483 | 161,849,878 | ||||||
Common Stock, Shares, Outstanding | 158,114,483 | 161,849,878 | ||||||
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 | ||||||
Preferred Stock, Par or Stated Value Per Share | $0.01 | $0.01 | ||||||
Preferred Stock, Shares Issued | 3,000,000 | 3,000,000 | ||||||
Preferred Stock, Shares Outstanding | 3,000,000 | 3,000,000 | ||||||
Preferred Stock B, Dividend Rate, Percentage 7.50% | 7.50% | |||||||
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $25 | $25 | ||||||
Preferred Stock A, Dividend Rate, Percentage 7.75% | 7.75% | |||||||
Series B Cumulative Redeemable Preferred Stock, shares outstanding | 8,000,000 | 8,000,000 | ||||||
Series B Cumulative Redeemable Preferred Stock, shares issued | 8,000,000 | 8,000,000 | ||||||
7.50% Series B Cumulative Redeemable Preferred Stock, (8,000 shares issued and outstanding, respectively, $200,000 in aggregate liquidation preference) | $193,531,000 | $193,531,000 | [1] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period | 438,617 | 389,880 | ||||||
Number Of Common Stock Available To Sell Under Sales Agreement | 134,300,000 | |||||||
Stock Repurchase Program, Authorized Amount | 250,000,000 | 250,000,000 | ||||||
Treasury Stock Acquired, Average Cost Per Share | $8.95 | |||||||
Net proceeds (payments) from issuance and repurchase of common shares | 37,200,000 | 115,700,000 | 1,500,000 | |||||
Stock Repurchased and Retired During Period, Shares | 4,149,571 | 172,549 | ||||||
July 2014 Repurchase Plan [Member] | ||||||||
Equity Issuance [Line Items] | ||||||||
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $211,200,000 | |||||||
Dividend Reinvestment And Direct Stock Purchase Plan [Member] | ||||||||
Equity Issuance [Line Items] | ||||||||
Stock Available For Issuance During Period Shares Dividend Reinvestment Plan | 4,100,000 | 4,055,245 | ||||||
Equity Placement Program [Member] | ||||||||
Equity Issuance [Line Items] | ||||||||
Number Of Common Stock Available To Sell Under Sales Agreement | 3,081,447 | 15,000,000 | ||||||
[1] | Derived from audited financial statements. |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||
Net income | $54,597 | $130,687 | ||
Less preferred stock dividends | -5,203 | -5,203 | ||
Net income (loss) available to common stockholders | 49,394 | 125,484 | ||
Common shares | -47,110 | -51,515 | ||
Unvested shares | -324 | -334 | ||
Undistributed earnings (loss) | $1,960 | $73,635 | ||
Common shares | 159,573,000 | 160,936,000 | ||
Distributed earnings | $0.30 | $0.32 | ||
Undistributed earnings (loss) | $0.01 | $0.46 | ||
Basic earnings (loss) per common share | $0.31 | $0.78 | ||
Net effect of dilutive stock options (1) | 0 | [1] | 0 | [1] |
Diluted weighted average shares outstanding | 159,573,000 | 160,936,000 | ||
Distributed earnings | $0.30 | $0.32 | ||
Undistributed earnings (loss) | $0.01 | $0.46 | ||
Diluted earnings (loss) per common share | $0.31 | $0.78 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Number | 131,088 | 131,088 | ||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range, Exercisable Options, Weighted Average Exercise Price | $30 | $30 | ||
[1] | For the three months ended MarchB 31, 2015 and 2014, the Company had an aggregate of 131,088 stock options outstanding with a weighted-average exercise price of $30.00 that were not included in the calculation of EPS, as their inclusion would have been anti-dilutive. These instruments may have a dilutive impact on future EPS. |
Subsequent_Events_Details
Subsequent Events (Details) (USD $) | 1 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Apr. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Subsequent Event [Line Items] | ||||
FHLB advances | $510,000 | $0 | [1] | |
Restricted Stock [Member] | Subsequent Event [Member] | ||||
Subsequent Event [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 21,303 | |||
[1] | Derived from audited financial statements. |