Document And Entity Information
Document And Entity Information - shares | 6 Months Ended | |
Jun. 30, 2015 | Jul. 23, 2015 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2015 | |
Document Fiscal Period Focus | Q2 | |
Document Fiscal Year Focus | 2,015 | |
Entity Registrant Name | CYS Investments, Inc. | |
Entity Central Index Key | 1,396,446 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 156,870,016 |
Consolidated Statements Of Asse
Consolidated Statements Of Assets And Liabilities (Unaudited) - Class of Stock [Domain] - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | ||
Assets: | ||||
Investments in securities, at fair value (including pledged assets of $12,385,443 and $11,908,922, respectively) | $ 14,240,290 | $ 14,601,507 | [1] | |
Other investments | [1] | 41,028 | 8,025 | |
Derivative assets, at fair value | 101,852 | 148,284 | [1] | |
Cash | 49,919 | 4,323 | [1] | |
Receivable for securities sold and principal repayments | 907,661 | 83,643 | [1] | |
Interest receivable | 37,551 | 37,894 | [1] | |
Receivable for cash pledged as collateral | 25,509 | 11,104 | [1] | |
Other assets | 1,304 | 1,083 | [1] | |
Total assets | 15,405,114 | 14,895,863 | [1] | |
Liabilities: | ||||
Repurchase agreements | 10,115,335 | 11,289,559 | [1] | |
Short-term FHLBC advances | 1,575,000 | 0 | [1] | |
Long-term FHLBC advances, at fair value | [1] | 0 | ||
Derivative liabilities, at fair value | 19,778 | 16,007 | [1] | |
Payable for securities purchased | 1,732,668 | 1,505,481 | [1] | |
Payable for cash received as collateral | 25,104 | 72,771 | [1] | |
Distribution payable | 48,328 | 4,410 | [1] | |
Accrued interest payable | 26,311 | 27,208 | [1] | |
Accrued expenses and other liabilities | 3,473 | 5,259 | [1] | |
Total liabilities | 13,621,008 | 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 (156,849 and 161,850 shares issued and outstanding, respectively) | 1,568 | 1,618 | [1] | |
Additional paid in capital | 2,002,339 | 2,049,152 | [1] | |
Accumulated deficit | (485,701) | (341,502) | [1] | |
Total stockholders' equity | 1,784,106 | 1,975,168 | [1] | |
Total liabilities and stockholders' equity | $ 15,405,114 | $ 14,895,863 | [1] | |
[1] | Derived from audited financial statements. |
Condolidated Statements Of Asse
Condolidated Statements Of Assets And Liabilities (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Common Stock, Number of Shares, Par Value and Other Disclosures [Abstract] | ||
Investments in securities, pledged assets | $ 12,385,443 | $ 11,908,922 |
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 | 156,849,200 | 161,849,878 |
Common stock, shares outstanding | 156,849,200 | 161,849,878 |
Condensed Statements Of Operati
Condensed Statements Of Operations - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Interest income: | ||||
Interest income from Agency RMBS | $ 79,579 | $ 65,420 | $ 159,639 | $ 145,606 |
Other interest income | 953 | 6,558 | 1,743 | 10,739 |
Total interest income | 80,532 | 71,978 | 161,382 | 156,345 |
Interest expense: | ||||
Repurchase agreement and short-term FHLBC advances interest expense | 10,157 | 7,583 | 19,799 | 17,012 |
Long-term FHLBC advances interest expense | 105 | 0 | 105 | 0 |
Swap and cap interest expense | 24,992 | 19,456 | 52,460 | 38,373 |
Total interest expense | 35,254 | 27,039 | 72,364 | 55,385 |
Net interest income | 45,278 | 44,939 | 89,018 | 100,960 |
Other income (loss): | ||||
Net realized gain (loss) on investments | 9,435 | 33,118 | 27,688 | 49,788 |
Net unrealized gain (loss) on investments | (176,899) | 157,479 | (101,210) | 246,713 |
Net realized gain (loss) on termination of swap and cap contracts | (2,300) | (6,004) | (4,868) | (15,327) |
Net unrealized gain (loss) on swap and cap contracts | 33,347 | (65,181) | (41,453) | (81,421) |
Net unrealized gain (loss) on long-term FHLBC advances | (11) | 0 | (11) | 0 |
Other income | 118 | 50 | 158 | 169 |
Total other income (loss) | (136,310) | 119,462 | (119,696) | 199,922 |
Expenses: | ||||
Compensation and benefits | 3,712 | 3,712 | 7,266 | 7,341 |
General, administrative and other | 2,293 | 2,308 | 4,496 | 4,473 |
Total expenses | 6,005 | 6,020 | 11,762 | 11,814 |
Net income (loss) | (97,037) | 158,381 | (42,440) | 289,068 |
Less preferred stock dividends | (5,203) | (5,203) | (10,406) | (10,406) |
Net income (loss) available to common stockholders | $ (102,240) | $ 153,178 | $ (52,846) | $ 278,662 |
Net income (loss) per common share basic & diluted | $ (0.66) | $ 0.95 | $ (0.34) | $ 1.72 |
Dividends declared per common share | $ 0.28 | $ 0.32 | $ 0.58 | $ 0.64 |
Consolidated Statement Of Chang
Consolidated Statement Of Changes In Stockholders Equity - 6 months ended Jun. 30, 2015 - USD ($) $ in Thousands | Total | Common Stock Par Value | Additional Paid-in Capital | Accumulated Deficit | Series A Preferred Stock | Series B Preferred Stock | |
Balance at Dec. 31, 2014 | $ 1,975,168 | [1] | $ 1,618 | $ 2,049,152 | $ (341,502) | $ 72,369 | $ 193,531 |
Net income (loss) | (42,440) | 0 | 0 | (42,440) | 0 | 0 | |
Issuance of common stock | 0 | 5 | (5) | 0 | 0 | 0 | |
Amortization of share-based compensation | 2,021 | 0 | 2,021 | 0 | 0 | 0 | |
Repurchase and cancellation of common stock | 48,884 | 55 | 48,829 | 0 | 0 | 0 | |
Preferred dividends | (10,406) | 0 | 0 | (10,406) | 0 | 0 | |
Common dividends | (91,353) | 0 | 0 | (91,353) | 0 | 0 | |
Balance at Jun. 30, 2015 | $ 1,784,106 | $ 1,568 | $ 2,002,339 | $ (485,701) | $ 72,369 | $ 193,531 | |
[1] | Derived from audited financial statements. |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | ||
Cash flows from operating activities: | |||
Net income (loss) | $ (42,440) | $ 289,068 | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Amortization of share-based compensation | 2,021 | 2,226 | |
Amortization of premiums and discounts on investment securities | 49,016 | 21,411 | |
Amortization of premiums on interest rate cap contracts | 8,750 | 11,477 | |
Net realized (gain) loss on investments | (27,688) | (49,788) | |
Net realized (gain) loss on termination of cap contracts | 0 | (6,562) | |
Net unrealized (gain) loss on investments | 101,210 | (246,713) | |
Net unrealized (gain) loss on swap and cap contracts | 41,453 | 81,421 | |
Net unrealized (gain) loss on long-term FHLBC advances | 11 | 0 | |
Change in assets and liabilities: | |||
Interest receivable | 343 | 3,941 | |
Other assets | (221) | (378) | |
Accrued interest payable | (897) | (4,329) | |
Accrued expenses and other liabilities | (1,786) | (1,184) | |
Net cash provided by operating activities | 129,772 | 100,590 | |
Cash flows from investing activities: | |||
Purchase of investment securities | (14,162,369) | (14,839,045) | |
Purchase of other investments | (33,003) | 0 | |
Proceeds from disposition of investment securities | 13,366,352 | 14,201,284 | |
Proceeds from termination of interest rate cap contracts | 0 | 34,225 | |
Proceeds from paydowns of investment securities | 1,034,696 | 574,537 | |
Change in assets and liabilities: | |||
Receivable for securities sold and principal repayments | (824,018) | 354,642 | |
Payable for securities purchased | 227,187 | 1,006,006 | |
Receivable for cash pledged as collateral | (14,405) | 0 | |
Payable for cash received as collateral | (47,667) | (24,994) | |
Net cash provided by (used in) investing activities | (453,227) | 1,306,655 | |
Cash flows from financing activities: | |||
Proceeds from repurchase agreements | 48,487,809 | 39,167,272 | |
Repayments of repurchase agreements | (49,662,033) | (40,500,385) | |
Proceeds from short-term FHLBC advances | 10,785,000 | 0 | |
Repayments of short-term FHLBC advances | (9,210,000) | 0 | |
Proceeds from long-term FHLBC advances | 75,000 | 0 | |
Net payments from repurchase of common stock | (48,884) | (133) | |
Distributions paid | (57,841) | (62,255) | |
Net cash provided by (used in) financing activities | 369,051 | (1,395,501) | |
Net increase in cash | 45,596 | 11,744 | |
Cash - Beginning of period | 4,323 | [1] | 4,992 |
Cash - End of period | 49,919 | 16,736 | |
Supplemental disclosures of cash flow information: | |||
Interest paid | 64,511 | 48,236 | |
Supplemental disclosures of non-cash flow information: | |||
Distributions declared, not yet paid | $ 48,328 | $ 56,256 | |
[1] | Derived from audited financial statements. |
Orginazation
Orginazation | 6 Months Ended |
Jun. 30, 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 Companyās 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") system, specifically in the FHLB of Cincinnati ("FHLBC"). The 11 regional FHLBs provide short- and long-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 FHLBC obligates CYS Insurance to purchase FHLBC membership stock and activity stock, the latter being a percentage of the advances it obtains from the FHLBC. CYS Insurance seeks both short- and long-term advances (collectively, "FHLBC Advances") from the FHLBC. |
Significant Accounting Policies
Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | SIGNIFICANT ACCOUNTING POLICIES Basis of Presentation The accompanying unaudited 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 unaudited consolidated financial statements should be read in conjunction with the Companyās audited financial statements as of and for the year ended December 31, 2014, included in the 2014 Annual Report. The results for interim periods are not necessarily indicative of the results to be expected for the fiscal year. The unaudited consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The unaudited 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 unaudited 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 āInvestments in Debt and Equity Securities . The Company has chosen to make a fair value election pursuant to ASC 825 āFinancial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the unaudited consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the unaudited 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 unaudited consolidated statements of operations, which in managementās 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 The Companyās 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 trade date, and maintains security positions such that sufficiently liquid assets will be available to make payment on the settlement date for 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 a 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 8, 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's pricing committee is 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 and derived from such servicesā 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/or economic events. The pricing services may also use a matrix approach, which uses 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 present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments are 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 proper fair value hierarchy, the Company reviews the third-party pricing services methodology periodically to ascertain which observable or unobservable inputs are being used. See Note 9, 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 unaudited 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 unaudited consolidated statements of operations as it occurs. Other Investments The Company's subsidiary, CYS Insurance, is a member of, and owns capital stock in, the FHLBC. The FHLBC provides CYS Insurance with credit capacity and authorizes advances based on the security of pledged Agency RMBS, provided the Company meets certain creditworthiness standards. FHLBC Advances, included in the "Short-term FHLBC advances" and "Long-term FHLBC advances" line items on the Company's unaudited consolidated balance sheets, are a funding source for the Company of both short- and long-term indebtedness. As a condition of its membership in the FHLBC, CYS Insurance is required to maintain a FHLBC stock investment, both for membership and for the level of advances from the FHLBC to CYS Insurance. The Company accounts for its investment in FHLBC stock as a cost method investment in "Other investments". The Company periodically evaluates FHLBC stock for impairment in accordance with ASC 320. Along with the FHLBC stock, the Company has also decided to record its investment in a real estate asset as āOther investmentsā and, accordingly, prior period balances have been reclassified to conform to the current period presentation. Repurchase Agreements and FHLBC Advances Borrowings under repurchase agreements ("repo borrowings") and FHLBC Advances are collateralized by the Companyās Agency RMBS and U.S. Treasuries (collectively, "Debt Securities"). The Companyās repo borrowing counterparties are institutional dealers in fixed income securities and large financial institutions, and CYS Insurance's counterparty for FHLBC Advances is the FHLBC. Collateral pledged on repo borrowings is valued daily, and on FHLBC Advances periodically, and our counterparties (including the FHLBC) may require posting of additional collateral when the fair value of pledged collateral decline. Repo borrowing counterparties and the FHLBC have the right to sell or repledge collateral pledged under repo borrowings and FHLBC Advances. See Note 5, Repurchase Agreements and Short-Term FHLBC Advances . We account for our repo borrowings and our short-term FHLBC advances as short-term indebtedness under ASC 470 āDebt; accordingly, these short-term instruments are accounted in our financial statements and carried at their amortized cost or carrying value, which approximates their fair value due to their short-term nature (generally 30 - 90 days). Also, we enter into long-term FHLBC advances ( i.e., debt with a term of more than one year), which are collateralized by the Company's Debt Securities. The Company has chosen to make a fair value election pursuant to ASC 825 āFinancial Instruments for its long-term FHLBC advances and, therefore, this debt is recorded at fair market value on its unaudited consolidated balance sheets. We price this debt daily through a pricing service that uses a discounted cash flow model to value the debt, and periodically we validate the prices we receive through this process. The changes in fair market value are recorded in current period earnings on our unaudited consolidated statements of operations as a component of net unrealized gain (loss) on long-term FHLBC advances. Electing the fair value option permits the Company to record changes in the fair value of our long-term indebtedness along with that of our investments in our unaudited consolidated statements of operations which, in managementās view, more appropriately reflects the results of operations for a particular reporting period as all income producing assets and liabilities will be treated in a similar manner. See Note 6, Long-Term FHLBC Advances . Interest Rate Swap and Cap Contracts We account for our interest rate swap and cap contracts transactions under ASC 815 āDerivatives and Hedging . The Company uses interest rate swaps and interest rate caps to economically hedge a portion of its exposure to market risks, including interest rate risk and extension risk. The objective of our risk management strategy is to reduce fluctuations in stockholdersā 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 the 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 our unaudited consolidated statements of operations. Swaps involve a risk that interest rates will move contrary to the Companyās expectations, thereby increasing the Companyās 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 June 30, 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 netting or setting off derivative assets and liabilities with the counterparty, the Company reports related assets and liabilities on a gross basis in our unaudited 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 unaudited 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 unaudited consolidated statements of operations. Cash receipts and payments related to derivative instruments are classified in our unaudited consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections in the Companyās unaudited consolidated statement of cash flows. See Note 4, Investments in Interest Rate Swap and Cap Contracts . Recent Accounting Pronouncement In June 2014, the FASB issued Accounting Standards Update ("ASU") 2014-11, Transfers and Servicing (Topic 860). This update did not change the Company's repo borrowings and short-term FHLBC advances accounting. However, additional disclosures have been added to Note 5, Repurchase Agreements and Short-Term FHLBC Advances . |
Investments in Securities
Investments in Securities | 6 Months Ended |
Jun. 30, 2015 | |
Available-for-sale Securities [Abstract] | |
Investments in Securities and Other Assets | INVESTMENTS IN SECURITIES The available-for-sale portfolio consisted of the following as of June 30, 2015 and December 31, 2014 (in thousands): June 30, 2015 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 12,560,911 $ (48,682 ) $ 95,893 $ 12,608,122 ARMs 289,626 (1,216 ) 3,087 291,497 Total Fannie Mae 12,850,537 (49,898 ) 98,980 12,899,619 Freddie Mac Certificates Fixed Rate 980,087 (1,258 ) 16,105 994,934 ARMs 65,578 (529 ) 1,157 66,206 Total Freddie Mac 1,045,665 (1,787 ) 17,262 1,061,140 Ginnie Mae Certificates - ARMs 54,201 ā 1,420 55,621 U.S. Treasuries 222,837 ā 1,073 223,910 Total $ 14,173,240 $ (51,685 ) $ 118,735 $ 14,240,290 December 31, 2014 Fannie Mae Certificates Fixed Rate $ 11,356,717 $ (2,984 ) $ 158,570 $ 11,512,303 ARMs 1,282,065 (13,144 ) 4,449 1,273,370 Total Fannie Mae 12,638,782 (16,128 ) 163,019 12,785,673 Freddie Mac Certificates Fixed Rate 1,183,764 ā 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 ā 1,743 68,133 U.S. Treasuries 149,585 (534 ) ā 149,051 Total $ 14,433,247 $ (23,415 ) $ 191,675 $ 14,601,507 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 June 30, 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 June 30, 2015 $ 5,001,845 $ (50,515 ) $ 93,313 $ (1,170 ) $ 5,095,158 $ (51,685 ) December 31, 2014 259,291 (577 ) 1,494,884 (22,838 ) 1,754,175 (23,415 ) The following table summarizes our net realized gain (loss) from the sale of available-for-sale investments for the three and six months ended June 30, 2015 and 2014 (in thousands): Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Available-for-sale investments, at cost $ 7,338,701 $ 6,380,082 $ 13,338,664 $ 14,151,496 Proceeds from available-for-sale investments sold 7,348,136 6,413,200 13,366,352 14,201,284 Net gain on sale of available-for-sale investments $ 9,435 $ 33,118 27,688 49,788 Gross gain on sale of available-for-sale investments $ 28,403 $ 40,495 62,382 91,637 Gross loss on sale of available-for-sale investments (18,968 ) (7,377 ) (34,694 ) (41,849 ) Net gain on sale of available-for-sale investments $ 9,435 $ 33,118 $ 27,688 $ 49,788 The components of the carrying value of available-for-sale securities at June 30, 2015 and December 31, 2014 are presented below. A premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates; similarly, a discount purchase price is due to the average coupon interest rate on these investments being lower than prevailing market rates. (in thousands) June 30, 2015 December 31, 2014 Principal balance $ 13,630,326 $ 13,880,953 Unamortized premium 545,216 552,869 Unamortized discount (2,302 ) (575 ) Gross unrealized gains 118,735 191,675 Gross unrealized losses (51,685 ) (23,415 ) Fair value $ 14,240,290 $ 14,601,507 The weighted-average coupon interest rate on the Company's Debt Securities as of June 30, 2015 and December 31, 2014 was 3.40% and 3.39% , respectively. Actual maturities of Agency RMBS are generally shorter than stated contractual maturities (which range up to 30 years), because they are affected by the contractual lives of the underlying mortgages, periodic payments and principal prepayments. As of June 30, 2015 , the range of final contractual maturity of the Companyās Agency RMBS portfolio was between 2024 and 2045 and the final maturity of the Company's U.S. Treasuries was between 2019 and 2020 . As of December 31, 2014 , the range of final contractual maturity of the Companyās 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 June 30, 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 & Poorās ("S&P") downgraded the U.S. governmentās 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 was changed to "stable" on March 21, 2014. As of June 30, 2015, S&P maintains a AA+ rating, while Fitch and Moody's rate the U.S. government AAA and Aaa, respectively. Because Fannie Mae and Freddie Mac remain under U.S. government conservatorship, the implied credit ratings of Agency RMBS are 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 Companyās portfolio, these developments increase the uncertainty regarding the credit risk of Debt Securities. |
Investments in Interest Rate Sw
Investments in Interest Rate Swap and Cap Contracts | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Fair Value [Text Block] | INVESTMENTS IN INTEREST RATE SWAP AND CAP CONTRACTS The Company enters into interest rate swap and cap contracts with the intent of managing our interest rate exposure. The Company had the following activity in interest rate swap and cap transactions during the three and six months ended June 30, 2015 and 2014 (in thousands): Six Months Ended June 30, 2015 Six Months Ended June 30, 2014 Trade Date Transaction Notional Trade Date Transaction Notional January 2015 Terminated $ (400,000 ) February 2014 Terminated $ (500,000 ) January 2015 Opened 500,000 April 2014 Terminated $ (1,100,000 ) April 2015 Terminated $ (400,000 ) April 2014 Opened $ 500,000 Net Decrease $ (300,000 ) May 2014 Terminated $ (300,000 ) May 2014 Opened $ 300,000 June 2014 Terminated $ (550,000 ) June 2014 Opened $ 1,200,000 Net Decrease $ (450,000 ) As of June 30, 2015 and December 31, 2014 , the Company had pledged Debt Securities with a fair value of $55.0 million and $60.9 million , respectively, as collateral on interest rate swap and cap contracts. As of June 30, 2015 , the Company had Debt Securities of $60.0 million and cash of $25.1 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 8, Pledged Assets . Below is a summary of our interest rate swap and cap contracts open as of June 30, 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 June 30, 2015 $ 2,600,000 $ (19,778 ) Derivative liabilities, at fair value June 30, 2015 4,750,000 16,974 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 June 30, 2015 $ 2,500,000 $ 84,878 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 and six months ended June 30, 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 Other Income (Loss) Three Months Ended June 30, Six Months Ended June 30, Derivative Type Location of Gain or (Loss) Recognized in Other Income (Loss) 2015 2014 2015 2014 Interest rate swaps and caps Net realized gain (loss) on termination of swap and cap contracts $ (2,300 ) $ (6,004 ) $ (4,868 ) $ (15,327 ) Interest rate swaps and caps Net unrealized gain (loss) on swap and cap contracts 33,347 (65,181 ) (41,453 ) (81,421 ) Interest rate swaps and caps Total gain (loss) recognized in income on derivatives $ 31,047 $ (71,185 ) $ (46,321 ) $ (96,748 ) In early April 2015, we terminated a cancelable swap with a notional of $400.0 million and a pay rate of 2.438% . As a result of this termination, we realized a loss of $(2.3) million in the three months ended June 30, 2014. The swap and cap notional was $9,850.0 million at June 30, 2015 compared to $10,150.0 million at December 31, 2014, and as a percentage of our repo borrowings and FHLB Advances was 83.7% at June 30, 2015 compared to 89.9% at December 31, 2014 (we had no FHLBC Advances at December 31, 2014). |
Repurchase Agreements and FHLB
Repurchase Agreements and FHLB Advances | 6 Months Ended |
Jun. 30, 2015 | |
Banking and Thrift [Abstract] | |
Repurchase Agreements | REPURCHASE AGREEMENTS AND SHORT-TERM FHLBC ADVANCES The Company leverages its portfolio primarily through repo borrowings and short-term FHLBC advances. Each of the Company's repo borrowings bear interest at a rate based on a spread above or below London Interbank Offered Rate ("LIBOR"). The interest rate for short-term FHLBC advances are set by the FHLBC. The fair value of repo borrowings and short-term FHLBC advances approximates their carrying amount or amortized cost due to the short-term nature of these financial instruments. While repo borrowings and short-term FHLBC advances are the Company's principal source of borrowings, the Company may issue long-term debt ( i.e. , greater than one year term) to diversify credit sources and to manage interest rate and duration risk. See Note 6, Long-Term FHLBC Advances , for a discussion of the Company's long-term FHLBC advances. Certain information with respect to the Companyās repo borrowings and short-term FHLBC advances outstanding at the balance sheet date is summarized in the table below. Each of the repo borrowings and short-term FHLBC advances are contractually due in one year or less. (in thousands) June 30, 2015 December 31, 2014 Outstanding repurchase agreements $ 10,115,335 $ 11,289,559 Outstanding short-term FHLBC advances $ 1,575,000 $ ā Interest accrued thereon $ 4,012 $ 5,334 Weighted-average borrowing rate (1) 0.34 % 0.35 % Weighted-average remaining maturity (in days) 30.6 28.2 Fair value of the collateral (2) $ 12,245,713 $ 11,842,427 __________________ (1) The weighted-average borrowing rate as of June 30, 2015 was determined as set forth in the table below. Collateral Borrowing amount Rate Agency RMBS $ 11,493,325 0.36 % U.S. Treasuries 197,010 (0.37 )% Total / weighted-average borrowing rate $ 11,690,335 0.34 % (2) Collateral for repo borrowings and short-term FHLBC advances consists of Agency RMBS and U.S. Treasuries. The following table presents information about collateral supporting repo borrowings and short-term FHLBC advances as of June 30, 2015 (in thousands): June 30, 2015 Remaining contractual maturity of the agreements Collateral for repurchase agreements and short-term FHLBC advances Overnight and continuous Up to 30 days 30-90 days Greater than 90 days Total Agency RMBS $ ā $ 6,181,266 $ 5,112,365 $ 199,694 $ 11,493,325 U.S. Treasuries ā 197,010 ā ā 197,010 Total $ ā $ 6,378,276 $ 5,112,365 $ 199,694 $ 11,690,335 December 31, 2014 Agency RMBS $ ā $ 7,574,906 $ 3,425,831 $ 140,742 $ 11,141,479 U.S. Treasuries ā 148,080 ā ā 148,080 Total $ ā $ 7,722,986 $ 3,425,831 $ 140,742 $ 11,289,559 At June 30, 2015 and December 31, 2014 , the Company had no repo borrowings or short-term FHLBC advances where the amount at risk with an individual counterparty exceeded 4.6% and 1.6% of stockholders' equity, respectively, nor any repo borrowings or short-term FHLBC advances with any counterparty that exceeded 10.3% and 3.9% of our total assets, respectively. At December 31, 2014, the Company had no short-term FHLBC advances. The FHLBC requires that CYS Insurance purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding FHLBC Advances. As of June 30, 2015 , CYS Insurance held $33.0 million in FHLBC stock that is included in "Other investments" on our unaudited consolidated balance sheets. |
Long-term FHLBC Advances (Notes
Long-term FHLBC Advances (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Statement of Financial Position [Abstract] | |
Federal Home Loan Bank Advances, Disclosure [Text Block] | LONG-TERM FHLBC ADVANCES Pursuant to the FHLBC terms and conditions of membership and applicable credit policies, CYS Insurance may obtain long-term advances, secured by eligible collateral, including, but not limited to, residential mortgage-backed securities. During the three months ended June 30, 2015, CYS Insurance secured $75.0 million in long-term FHLBC advances, and at June 30, 2015, we had $75.0 million in long-term FHLBC advances and $0.1 million in accrued interest expense thereon on our unaudited consolidated balance sheets. The long-term FHLBC advance had an original term of three years, carries an interest rate of 1.48% , has a maturity of 2.9 years at June 30, 2015, and is callable after the one-year anniversary of the advance and thereafter every six months. |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 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 June 30, 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 June 30, 2015 and December 31, 2014 . |
Pledged Assets
Pledged Assets | 6 Months Ended |
Jun. 30, 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, FHLBC Advances, and derivative agreements by type, including securities pledged related to securities purchased or sold but not yet settled, as of June 30, 2015 and December 31, 2014 (in thousands): June 30, 2015 Assets Pledged to Counterparties Repurchase Agreements and FHLBC Advances Derivative Instruments Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 12,125,540 $ 35,326 $ 4,933 $ 12,165,799 U.S. Treasuries - fair value 199,926 19,718 ā 219,644 Accrued interest on pledged securities 33,464 171 12 33,647 Cash ā 25,509 ā 25,509 Total $ 12,358,930 $ 80,724 $ 4,945 $ 12,444,599 December 31, 2014 Assets Pledged to Counterparties Repurchase Agreements (1) 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 ā 167,043 Accrued interest on pledged securities 31,475 168 3 31,646 Cash ā 11,104 ā 11,104 Total $ 11,878,058 $ 72,158 $ 1,456 $ 11,951,672 __________________ (1) At December 31, 2014, the Company had no FHLBC Advances. Assets Pledged from Counterparties If 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 June 30, 2015 and December 31, 2014 , we had assets pledged to us as collateral under our repurchase, derivative agreements and TBAs summarized in the tables below (in thousands): June 30, 2015 Assets Pledged to CYS Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 855 $ 41,159 $ ā $ 42,014 U.S. Treasuries - fair value 2,399 18,831 ā 21,230 Accrued interest on pledged securities 17 272 ā 289 Cash ā 25,104 ā 25,104 Total $ 3,271 $ 85,366 $ ā $ 88,637 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 ā 25,807 Accrued interest on pledged securities 13 142 9 164 Cash ā 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 unaudited consolidated balance sheets. Securities collateral received from counterparties is disclosed as a component of our liquidity amount in Note 4, Investments 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 unaudited 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 unaudited consolidated balance sheets on a gross basis without regard to such rights of offset. At June 30, 2015 and December 31, 2014 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): June 30, 2015 Assets Liabilities Interest rate swap contracts $ 16,974 $ 19,778 Interest rate cap contracts 84,878 ā Total derivative assets and liabilities in the unaudited consolidated balance sheets 101,852 19,778 Derivatives not subject to an MNA 1,362 19,246 Total assets and liabilities subject to an MNA $ 100,490 $ 532 December 31, 2014 Assets Liabilities Interest rate swap contracts $ 40,611 $ 16,007 Interest rate cap contracts 107,673 ā Total derivative assets and liabilities in the unaudited consolidated balance sheets 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 are summaries of the Company's assets and liabilities subject to offsetting provisions (in thousands): Assets Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Assets Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Received (1) Net Amount (2) June 30, 2015 Derivative assets $ 100,490 $ 532 $ 84,653 $ 15,305 December 31, 2014 Derivative assets 141,276 4,341 117,991 18,944 Liabilities Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) June 30, 2015 Derivative liabilities $ 532 $ 532 $ ā $ ā June 30, 2015 Repurchase agreements and FHLBC Advances 11,765,346 ā 11,765,346 ā December 31, 2014 Derivative liabilities $ 4,428 $ 4,341 $ 87 $ ā December 31, 2014 Repurchase agreements (3) 11,289,559 ā 11,289,559 ā ______________ (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 receivable (in the case of assets) and payable (in the case of liabilities) to the counterparty in the event of default. (3) We had no FHLBC Advances at December 31, 2014. |
Fair Value Measurements
Fair Value Measurements | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | FAIR VALUE MEASUREMENTS The Companyās valuation techniques are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect the Companyās market assumptions. ASC 820 āFair Value Measurements. Excluded from the tables below are short-term financial instruments carried in our consolidated financial statements at cost basis, which is deemed to approximate fair value, primarily due to the short duration of these instruments, including cash, receivables, payables and repo borrowings and short-term FHLBC Advances with initial terms of one year or less. "Other investments" is comprised of our investment in FHLBC stock and our investment in a real estate asset, both Level 3 assets to which we apply valuation techniques and/or impairment analysis periodically. We record the FHLBC stock at cost and evaluate it periodically for impairment. We derive the fair value of the real estate asset internally, and base this value on inputs observed from sales transactions and/or on discounted cash flow models. The significant unobservable inputs used in the fair value measurement are capitalization rates, which the Company estimates to be between 3% and 6% at June 30, 2015 and December 31, 2014, and comparable sales transactions. We also rely on available industry information about expected trends in rents and occupancy. A discussion of the method of fair valuing these assets is included in Note 2, Significant Accounting PoliciesāInvestments in SecuritiesāInvestment Valuation . Long-term FHLBC advances consists of amounts borrowed from the FHLBC for a term exceeding one year that are secured by Agency RMBS. We have made a fair value election pursuant to ASC 825 āFinancial Instruments with respect to this debt. The following tables provide a summary of the Companyās assets and liabilities that are measured at fair value on a recurring or non-recurring basis, as of June 30, 2015 and December 31, 2014 (in thousands): June 30, 2015 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ ā $ 14,016,380 $ ā $ 14,016,380 U.S. Treasuries 223,910 ā ā 223,910 Other investments ā ā 41,028 41,028 Derivative assets ā 101,852 ā 101,852 Total $ 223,910 $ 14,118,232 $ 41,028 $ 14,383,170 Liabilities Long-term FHLBC advances ā 75,011 ā 75,011 Derivative liabilities ā 19,778 ā 19,778 Total $ ā $ 94,789 $ ā $ 94,789 December 31, 2014 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ ā $ 14,452,456 $ ā $ 14,452,456 U.S. Treasuries 149,051 ā ā 149,051 Other investments ā ā 8,025 8,025 Derivative assets ā 148,284 ā 148,284 Total $ 149,051 $ 14,600,740 $ 8,025 $ 14,757,816 Liabilities Derivative liabilities $ ā $ 16,007 $ ā $ 16,007 The table below presents a reconciliation of changes in "Other investments" classified as Level 3 assets and measured for fair value on a recurring basis in the Companyās unaudited consolidated financial statements for the three and six months ended June 30, 2015 and 2014 . This table includes only assets that are fair valued on a recurring basis. Level 3 Fair Value Reconciliation (In thousands) Six Months Ended June 30, Other investments (1) 2015 2014 Beginning balance Level 3 assets $ 8,025 $ 6,945 Cash payments recorded as a reduction of cost basis ā ā Change in net unrealized gain (loss) ā ā Gross purchases ā ā Gross sales ā ā Net gain (loss) on sales ā ā Transfers into (out of) Level 3 ā ā Ending balance Level 3 assets $ 8,025 $ 6,945 __________________ (1) FHLBC stock of approximately $33.0 million is excluded from the table above as the Company accounts for its investment in FHLBC stock as a cost method investment and periodically evaluates FHLBC stock for impairment . |
Share Capital
Share Capital | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 , the Company had issued and outstanding 156,849,200 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 June 30, 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 June 30, 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 is not 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 a 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 June 30, 2015 , the Company had not issued any shares of common stock, preferred stock or debt securities under the prospectus. Dividend Reinvestment and Direct Stock Purchase Plan (āDSPPā) 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 six months ended June 30, 2015 and 2014 the Company did not issue any shares under the plan. As of June 30, 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 Companyās 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 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 two quarters of 2015, we repurchased 5,436,157 shares of the Company's common stock at a weighted-average purchase price of $8.93 , for an aggregate of approximately $48.7 million . Accordingly, the Company had approximately $199.8 million authorized to repurchase shares of its common stock as of June 30, 2015 . Restricted Stock Awards For the six months ended June 30, 2015 and 2014 , the Company granted 459,920 and 403,467 shares of restricted stock, respectively, to certain of its directors, officers and employees. |
Earnings Per Share
Earnings Per Share | 6 Months Ended |
Jun. 30, 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 June 30, Six Months Ended June 30, 2015 2014 2015 2014 Net income (loss) $ (97,037 ) $ 158,381 $ (42,440 ) $ 289,068 Less preferred stock dividends (5,203 ) (5,203 ) (10,406 ) (10,406 ) Net income (loss) available to common stockholders (102,240 ) 153,178 (52,846 ) 278,662 Less dividends paid: Common shares (43,617 ) (51,522 ) (90,727 ) (103,037 ) Unvested shares (301 ) (324 ) (625 ) (657 ) Undistributed earnings (loss) (146,158 ) 101,332 (144,198 ) 174,968 Basic weighted-average shares outstanding: Common shares 156,257 161,007 157,915 160,972 Basic earnings (loss) per common share: Distributed earnings $ 0.28 $ 0.32 $ 0.57 $ 0.64 Undistributed earnings (loss) (0.94 ) 0.63 (0.91 ) 1.08 Basic earnings (loss) per common share $ (0.66 ) $ 0.95 $ (0.34 ) $ 1.72 Diluted weighted-average shares outstanding: Common shares 156,257 161,007 157,915 160,972 Net effect of dilutive stock options (1) ā ā ā ā 156,257 161,007 157,915 160,972 Diluted earnings (loss) per common share: Distributed earnings $ 0.28 $ 0.32 $ 0.57 $ 0.64 Undistributed earnings (loss) (0.94 ) 0.63 (0.91 ) 1.08 Diluted earnings (loss) per common share $ (0.66 ) $ 0.95 $ (0.34 ) $ 1.72 __________________ (1) For the three and six months ended June 30, 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 | 6 Months Ended |
Jun. 30, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS On July 1, 2015, an aggregate of 20,816 shares of restricted common stock were granted to certain directors as a portion of their compensation for serving on the Companyās Board of Directors. |
Significant Accounting Polici19
Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Basis Of Presentation | Basis of Presentation The accompanying unaudited 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 unaudited consolidated financial statements should be read in conjunction with the Companyās audited financial statements as of and for the year ended December 31, 2014, included in the 2014 Annual Report. The results for interim periods are not necessarily indicative of the results to be expected for the fiscal year. The unaudited consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The unaudited 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 unaudited 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 āInvestments in Debt and Equity Securities . The Company has chosen to make a fair value election pursuant to ASC 825 āFinancial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the unaudited consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the unaudited 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 unaudited consolidated statements of operations, which in managementās 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 Companyās 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 trade date, and maintains security positions such that sufficiently liquid assets will be available to make payment on the settlement date for 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 a 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 8, 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's pricing committee is 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 and derived from such servicesā 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/or economic events. The pricing services may also use a matrix approach, which uses 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 present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments are 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 proper fair value hierarchy, the Company reviews the third-party pricing services methodology periodically to ascertain which observable or unobservable inputs are being used. See Note 9, 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 āInvestments in Debt and Equity Securities . The Company has chosen to make a fair value election pursuant to ASC 825 āFinancial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the unaudited consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the unaudited 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 unaudited consolidated statements of operations, which in managementās 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 The Companyās 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 trade date, and maintains security positions such that sufficiently liquid assets will be available to make payment on the settlement date for 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 a 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 8, 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's pricing committee is 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 and derived from such servicesā 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/or economic events. The pricing services may also use a matrix approach, which uses 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 present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments are 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 proper fair value hierarchy, the Company reviews the third-party pricing services methodology periodically to ascertain which observable or unobservable inputs are being used. See Note 9, Fair Value Measurements , for a discussion of how the Company values its assets. |
Interest Income | 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 unaudited 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 unaudited consolidated statements of operations as it occurs. |
Other investments | Other Investments The Company's subsidiary, CYS Insurance, is a member of, and owns capital stock in, the FHLBC. The FHLBC provides CYS Insurance with credit capacity and authorizes advances based on the security of pledged Agency RMBS, provided the Company meets certain creditworthiness standards. FHLBC Advances, included in the "Short-term FHLBC advances" and "Long-term FHLBC advances" line items on the Company's unaudited consolidated balance sheets, are a funding source for the Company of both short- and long-term indebtedness. As a condition of its membership in the FHLBC, CYS Insurance is required to maintain a FHLBC stock investment, both for membership and for the level of advances from the FHLBC to CYS Insurance. The Company accounts for its investment in FHLBC stock as a cost method investment in "Other investments". The Company periodically evaluates FHLBC stock for impairment in accordance with ASC 320. Along with the FHLBC stock, the Company has also decided to record its investment in a real estate asset as āOther investmentsā and, accordingly, prior period balances have been reclassified to conform to the current period presentation. |
Repurchase Agreements and FHLB Advances | Repurchase Agreements and FHLBC Advances Borrowings under repurchase agreements ("repo borrowings") and FHLBC Advances are collateralized by the Companyās Agency RMBS and U.S. Treasuries (collectively, "Debt Securities"). The Companyās repo borrowing counterparties are institutional dealers in fixed income securities and large financial institutions, and CYS Insurance's counterparty for FHLBC Advances is the FHLBC. Collateral pledged on repo borrowings is valued daily, and on FHLBC Advances periodically, and our counterparties (including the FHLBC) may require posting of additional collateral when the fair value of pledged collateral decline. Repo borrowing counterparties and the FHLBC have the right to sell or repledge collateral pledged under repo borrowings and FHLBC Advances. See Note 5, Repurchase Agreements and Short-Term FHLBC Advances . We account for our repo borrowings and our short-term FHLBC advances as short-term indebtedness under ASC 470 āDebt; accordingly, these short-term instruments are accounted in our financial statements and carried at their amortized cost or carrying value, which approximates their fair value due to their short-term nature (generally 30 - 90 days). Also, we enter into long-term FHLBC advances ( i.e., debt with a term of more than one year), which are collateralized by the Company's Debt Securities. The Company has chosen to make a fair value election pursuant to ASC 825 āFinancial Instruments for its long-term FHLBC advances and, therefore, this debt is recorded at fair market value on its unaudited consolidated balance sheets. We price this debt daily through a pricing service that uses a discounted cash flow model to value the debt, and periodically we validate the prices we receive through this process. The changes in fair market value are recorded in current period earnings on our unaudited consolidated statements of operations as a component of net unrealized gain (loss) on long-term FHLBC advances. Electing the fair value option permits the Company to record changes in the fair value of our long-term indebtedness along with that of our investments in our unaudited consolidated statements of operations which, in managementās view, more appropriately reflects the results of operations for a particular reporting period as all income producing assets and liabilities will be treated in a similar manner. See Note 6, Long-Term FHLBC Advances . |
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 āDerivatives and Hedging . The Company uses interest rate swaps and interest rate caps to economically hedge a portion of its exposure to market risks, including interest rate risk and extension risk. The objective of our risk management strategy is to reduce fluctuations in stockholdersā 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 the 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 our unaudited consolidated statements of operations. Swaps involve a risk that interest rates will move contrary to the Companyās expectations, thereby increasing the Companyās 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 June 30, 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 netting or setting off derivative assets and liabilities with the counterparty, the Company reports related assets and liabilities on a gross basis in our unaudited 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 unaudited 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 unaudited consolidated statements of operations. Cash receipts and payments related to derivative instruments are classified in our unaudited consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections in the Companyās unaudited consolidated statement of cash flows. See Note 4, Investments in Interest Rate Swap and Cap Contracts . |
New Accounting Pronouncements, Policy | Recent Accounting Pronouncement In June 2014, the FASB issued Accounting Standards Update ("ASU") 2014-11, Transfers and Servicing (Topic 860). This update did not change the Company's repo borrowings and short-term FHLBC advances accounting. However, additional disclosures have been added to Note 5, Repurchase Agreements and Short-Term FHLBC Advances . |
Investments in Securities (Tabl
Investments in Securities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Available-for-sale Securities [Abstract] | |
Available-for-sale Securities | June 30, 2015 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 12,560,911 $ (48,682 ) $ 95,893 $ 12,608,122 ARMs 289,626 (1,216 ) 3,087 291,497 Total Fannie Mae 12,850,537 (49,898 ) 98,980 12,899,619 Freddie Mac Certificates Fixed Rate 980,087 (1,258 ) 16,105 994,934 ARMs 65,578 (529 ) 1,157 66,206 Total Freddie Mac 1,045,665 (1,787 ) 17,262 1,061,140 Ginnie Mae Certificates - ARMs 54,201 ā 1,420 55,621 U.S. Treasuries 222,837 ā 1,073 223,910 Total $ 14,173,240 $ (51,685 ) $ 118,735 $ 14,240,290 December 31, 2014 Fannie Mae Certificates Fixed Rate $ 11,356,717 $ (2,984 ) $ 158,570 $ 11,512,303 ARMs 1,282,065 (13,144 ) 4,449 1,273,370 Total Fannie Mae 12,638,782 (16,128 ) 163,019 12,785,673 Freddie Mac Certificates Fixed Rate 1,183,764 ā 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 ā 1,743 68,133 U.S. Treasuries 149,585 (534 ) ā 149,051 Total $ 14,433,247 $ (23,415 ) $ 191,675 $ 14,601,507 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 June 30, 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 June 30, 2015 $ 5,001,845 $ (50,515 ) $ 93,313 $ (1,170 ) $ 5,095,158 $ (51,685 ) December 31, 2014 259,291 (577 ) 1,494,884 (22,838 ) 1,754,175 (23,415 ) The following table summarizes our net realized gain (loss) from the sale of available-for-sale investments for the three and six months ended June 30, 2015 and 2014 (in thousands): Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Available-for-sale investments, at cost $ 7,338,701 $ 6,380,082 $ 13,338,664 $ 14,151,496 Proceeds from available-for-sale investments sold 7,348,136 6,413,200 13,366,352 14,201,284 Net gain on sale of available-for-sale investments $ 9,435 $ 33,118 27,688 49,788 Gross gain on sale of available-for-sale investments $ 28,403 $ 40,495 62,382 91,637 Gross loss on sale of available-for-sale investments (18,968 ) (7,377 ) (34,694 ) (41,849 ) Net gain on sale of available-for-sale investments $ 9,435 $ 33,118 $ 27,688 $ 49,788 The components of the carrying value of available-for-sale securities at June 30, 2015 and December 31, 2014 are presented below. A premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates; similarly, a discount purchase price is due to the average coupon interest rate on these investments being lower than prevailing market rates. (in thousands) June 30, 2015 December 31, 2014 Principal balance $ 13,630,326 $ 13,880,953 Unamortized premium 545,216 552,869 Unamortized discount (2,302 ) (575 ) Gross unrealized gains 118,735 191,675 Gross unrealized losses (51,685 ) (23,415 ) Fair value $ 14,240,290 $ 14,601,507 |
Investments in Interest Rate 21
Investments in Interest Rate Swap and Cap Contracts (Tables) | 6 Months Ended |
Jun. 30, 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 and six months ended June 30, 2015 and 2014 (in thousands): Six Months Ended June 30, 2015 Six Months Ended June 30, 2014 Trade Date Transaction Notional Trade Date Transaction Notional January 2015 Terminated $ (400,000 ) February 2014 Terminated $ (500,000 ) January 2015 Opened 500,000 April 2014 Terminated $ (1,100,000 ) April 2015 Terminated $ (400,000 ) April 2014 Opened $ 500,000 Net Decrease $ (300,000 ) May 2014 Terminated $ (300,000 ) May 2014 Opened $ 300,000 June 2014 Terminated $ (550,000 ) June 2014 Opened $ 1,200,000 Net Decrease $ (450,000 ) |
Schedule of Derivative Instruments | Below is a summary of our interest rate swap and cap contracts open as of June 30, 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 June 30, 2015 $ 2,600,000 $ (19,778 ) Derivative liabilities, at fair value June 30, 2015 4,750,000 16,974 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 June 30, 2015 $ 2,500,000 $ 84,878 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 and six months ended June 30, 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 Other Income (Loss) Three Months Ended June 30, Six Months Ended June 30, Derivative Type Location of Gain or (Loss) Recognized in Other Income (Loss) 2015 2014 2015 2014 Interest rate swaps and caps Net realized gain (loss) on termination of swap and cap contracts $ (2,300 ) $ (6,004 ) $ (4,868 ) $ (15,327 ) Interest rate swaps and caps Net unrealized gain (loss) on swap and cap contracts 33,347 (65,181 ) (41,453 ) (81,421 ) Interest rate swaps and caps Total gain (loss) recognized in income on derivatives $ 31,047 $ (71,185 ) $ (46,321 ) $ (96,748 ) In early April 2015, we terminated a cancelable swap with a notional of $400.0 million and a pay rate of 2.438% . As a result of this termination, we realized a loss of $(2.3) million in the three months ended June 30, 2014. The swap and cap notional was $9,850.0 million at June 30, 2015 compared to $10,150.0 million at December 31, 2014, and as a percentage of our repo borrowings and FHLB Advances was 83.7% at June 30, 2015 compared to 89.9% at December 31, 2014 (we had no FHLBC Advances at December 31, 2014). At June 30, 2015 and December 31, 2014 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): June 30, 2015 Assets Liabilities Interest rate swap contracts $ 16,974 $ 19,778 Interest rate cap contracts 84,878 ā Total derivative assets and liabilities in the unaudited consolidated balance sheets 101,852 19,778 Derivatives not subject to an MNA 1,362 19,246 Total assets and liabilities subject to an MNA $ 100,490 $ 532 December 31, 2014 Assets Liabilities Interest rate swap contracts $ 40,611 $ 16,007 Interest rate cap contracts 107,673 ā Total derivative assets and liabilities in the unaudited consolidated balance sheets 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 FHL22
Repurchase Agreements and FHLB Advances (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Banking and Thrift [Abstract] | |
Schedule Of Company's Borrowings | Certain information with respect to the Companyās repo borrowings and short-term FHLBC advances outstanding at the balance sheet date is summarized in the table below. Each of the repo borrowings and short-term FHLBC advances are contractually due in one year or less. (in thousands) June 30, 2015 December 31, 2014 Outstanding repurchase agreements $ 10,115,335 $ 11,289,559 Outstanding short-term FHLBC advances $ 1,575,000 $ ā Interest accrued thereon $ 4,012 $ 5,334 Weighted-average borrowing rate (1) 0.34 % 0.35 % Weighted-average remaining maturity (in days) 30.6 28.2 Fair value of the collateral (2) $ 12,245,713 $ 11,842,427 |
Pledged Assets (Tables)
Pledged Assets (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Transfers and Servicing [Abstract] | |
Assets Pledged to Counterparties | The following tables summarize our assets pledged as collateral under our repo borrowings, FHLBC Advances, and derivative agreements by type, including securities pledged related to securities purchased or sold but not yet settled, as of June 30, 2015 and December 31, 2014 (in thousands): June 30, 2015 Assets Pledged to Counterparties Repurchase Agreements and FHLBC Advances Derivative Instruments Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 12,125,540 $ 35,326 $ 4,933 $ 12,165,799 U.S. Treasuries - fair value 199,926 19,718 ā 219,644 Accrued interest on pledged securities 33,464 171 12 33,647 Cash ā 25,509 ā 25,509 Total $ 12,358,930 $ 80,724 $ 4,945 $ 12,444,599 December 31, 2014 Assets Pledged to Counterparties Repurchase Agreements (1) 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 ā 167,043 Accrued interest on pledged securities 31,475 168 3 31,646 Cash ā 11,104 ā 11,104 Total $ 11,878,058 $ 72,158 $ 1,456 $ 11,951,672 |
Assets Pledged from Counterparties | As of June 30, 2015 and December 31, 2014 , we had assets pledged to us as collateral under our repurchase, derivative agreements and TBAs summarized in the tables below (in thousands): June 30, 2015 Assets Pledged to CYS Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 855 $ 41,159 $ ā $ 42,014 U.S. Treasuries - fair value 2,399 18,831 ā 21,230 Accrued interest on pledged securities 17 272 ā 289 Cash ā 25,104 ā 25,104 Total $ 3,271 $ 85,366 $ ā $ 88,637 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 ā 25,807 Accrued interest on pledged securities 13 142 9 164 Cash ā 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 June 30, 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 June 30, 2015 $ 2,600,000 $ (19,778 ) Derivative liabilities, at fair value June 30, 2015 4,750,000 16,974 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 June 30, 2015 $ 2,500,000 $ 84,878 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 and six months ended June 30, 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 Other Income (Loss) Three Months Ended June 30, Six Months Ended June 30, Derivative Type Location of Gain or (Loss) Recognized in Other Income (Loss) 2015 2014 2015 2014 Interest rate swaps and caps Net realized gain (loss) on termination of swap and cap contracts $ (2,300 ) $ (6,004 ) $ (4,868 ) $ (15,327 ) Interest rate swaps and caps Net unrealized gain (loss) on swap and cap contracts 33,347 (65,181 ) (41,453 ) (81,421 ) Interest rate swaps and caps Total gain (loss) recognized in income on derivatives $ 31,047 $ (71,185 ) $ (46,321 ) $ (96,748 ) In early April 2015, we terminated a cancelable swap with a notional of $400.0 million and a pay rate of 2.438% . As a result of this termination, we realized a loss of $(2.3) million in the three months ended June 30, 2014. The swap and cap notional was $9,850.0 million at June 30, 2015 compared to $10,150.0 million at December 31, 2014, and as a percentage of our repo borrowings and FHLB Advances was 83.7% at June 30, 2015 compared to 89.9% at December 31, 2014 (we had no FHLBC Advances at December 31, 2014). At June 30, 2015 and December 31, 2014 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): June 30, 2015 Assets Liabilities Interest rate swap contracts $ 16,974 $ 19,778 Interest rate cap contracts 84,878 ā Total derivative assets and liabilities in the unaudited consolidated balance sheets 101,852 19,778 Derivatives not subject to an MNA 1,362 19,246 Total assets and liabilities subject to an MNA $ 100,490 $ 532 December 31, 2014 Assets Liabilities Interest rate swap contracts $ 40,611 $ 16,007 Interest rate cap contracts 107,673 ā Total derivative assets and liabilities in the unaudited consolidated balance sheets 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 are summaries of the Company's assets and liabilities subject to offsetting provisions (in thousands): Assets Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Assets Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Received (1) Net Amount (2) June 30, 2015 Derivative assets $ 100,490 $ 532 $ 84,653 $ 15,305 December 31, 2014 Derivative assets 141,276 4,341 117,991 18,944 Liabilities Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) June 30, 2015 Derivative liabilities $ 532 $ 532 $ ā $ ā June 30, 2015 Repurchase agreements and FHLBC Advances 11,765,346 ā 11,765,346 ā December 31, 2014 Derivative liabilities $ 4,428 $ 4,341 $ 87 $ ā December 31, 2014 Repurchase agreements (3) 11,289,559 ā 11,289,559 ā |
Offsetting Liabilities | Liabilities Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) June 30, 2015 Derivative liabilities $ 532 $ 532 $ ā $ ā June 30, 2015 Repurchase agreements and FHLBC Advances 11,765,346 ā 11,765,346 ā December 31, 2014 Derivative liabilities $ 4,428 $ 4,341 $ 87 $ ā December 31, 2014 Repurchase agreements (3) 11,289,559 ā 11,289,559 ā ______________ (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 receivable (in the case of assets) and payable (in the case of liabilities) to the counterparty in the event of default. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following tables provide a summary of the Companyās assets and liabilities that are measured at fair value on a recurring or non-recurring basis, as of June 30, 2015 and December 31, 2014 (in thousands): June 30, 2015 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ ā $ 14,016,380 $ ā $ 14,016,380 U.S. Treasuries 223,910 ā ā 223,910 Other investments ā ā 41,028 41,028 Derivative assets ā 101,852 ā 101,852 Total $ 223,910 $ 14,118,232 $ 41,028 $ 14,383,170 Liabilities Long-term FHLBC advances ā 75,011 ā 75,011 Derivative liabilities ā 19,778 ā 19,778 Total $ ā $ 94,789 $ ā $ 94,789 December 31, 2014 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ ā $ 14,452,456 $ ā $ 14,452,456 U.S. Treasuries 149,051 ā ā 149,051 Other investments ā ā 8,025 8,025 Derivative assets ā 148,284 ā 148,284 Total $ 149,051 $ 14,600,740 $ 8,025 $ 14,757,816 Liabilities Derivative liabilities $ ā $ 16,007 $ ā $ 16,007 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | Level 3 Fair Value Reconciliation (In thousands) Six Months Ended June 30, Other investments (1) 2015 2014 Beginning balance Level 3 assets $ 8,025 $ 6,945 Cash payments recorded as a reduction of cost basis ā ā Change in net unrealized gain (loss) ā ā Gross purchases ā ā Gross sales ā ā Net gain (loss) on sales ā ā Transfers into (out of) Level 3 ā ā Ending balance Level 3 assets $ 8,025 $ 6,945 __________________ (1) FHLBC stock of approximately $33.0 million is excluded from the table above as the Company accounts for its investment in FHLBC stock as a cost method investment and periodically evaluates FHLBC stock for impairment . |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 6 Months Ended |
Jun. 30, 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 June 30, Six Months Ended June 30, 2015 2014 2015 2014 Net income (loss) $ (97,037 ) $ 158,381 $ (42,440 ) $ 289,068 Less preferred stock dividends (5,203 ) (5,203 ) (10,406 ) (10,406 ) Net income (loss) available to common stockholders (102,240 ) 153,178 (52,846 ) 278,662 Less dividends paid: Common shares (43,617 ) (51,522 ) (90,727 ) (103,037 ) Unvested shares (301 ) (324 ) (625 ) (657 ) Undistributed earnings (loss) (146,158 ) 101,332 (144,198 ) 174,968 Basic weighted-average shares outstanding: Common shares 156,257 161,007 157,915 160,972 Basic earnings (loss) per common share: Distributed earnings $ 0.28 $ 0.32 $ 0.57 $ 0.64 Undistributed earnings (loss) (0.94 ) 0.63 (0.91 ) 1.08 Basic earnings (loss) per common share $ (0.66 ) $ 0.95 $ (0.34 ) $ 1.72 Diluted weighted-average shares outstanding: Common shares 156,257 161,007 157,915 160,972 Net effect of dilutive stock options (1) ā ā ā ā 156,257 161,007 157,915 160,972 Diluted earnings (loss) per common share: Distributed earnings $ 0.28 $ 0.32 $ 0.57 $ 0.64 Undistributed earnings (loss) (0.94 ) 0.63 (0.91 ) 1.08 Diluted earnings (loss) per common share $ (0.66 ) $ 0.95 $ (0.34 ) $ 1.72 __________________ (1) For the three and six months ended June 30, 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) - $ / shares | Jun. 30, 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 Polici27
Significant Accounting Policies (Details) | 6 Months Ended |
Jun. 30, 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) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Available-for-sale Securities [Abstract] | ||
WeightedAverageCouponDebtSecurities | 3.40% | 3.39% |
Debt Instrument, Maturity Date | 30 years | |
U.S. Treasury Security Maturity Date | 2,019 | |
Agency RMBS Maturity Date Min | 2,024 | 2,024 |
Agency RMBS Maturity Date Max | 2,045 | 2,045 |
U.S. Treasury Securities Maturity Date Min | 2,019 | |
U.S. Treasury Securities Maturity Date Max | 2,020 |
Investments in Securities (Avai
Investments in Securities (Available-for-sale securities by GSE Agency and Coupon) (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ (51,685) | $ (23,415) |
Gross unrealized gains | 118,735 | 191,675 |
Fair value | 14,240,290 | 14,601,507 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 12,850,537 | 12,638,782 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | (49,898) | (16,128) |
Gross unrealized gains | 98,980 | 163,019 |
Fair value | 12,899,619 | 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 | 12,560,911 | 11,356,717 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | (48,682) | (2,984) |
Gross unrealized gains | 95,893 | 158,570 |
Fair value | 12,608,122 | 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 | 289,626 | 1,282,065 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | (1,216) | (13,144) |
Gross unrealized gains | 3,087 | 4,449 |
Fair value | 291,497 | 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 | 1,045,665 | 1,578,490 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | (1,787) | (6,753) |
Gross unrealized gains | 17,262 | 26,913 |
Fair value | 1,061,140 | 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 | 980,087 | 1,183,764 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | (1,258) | 0 |
Gross unrealized gains | 16,105 | 25,769 |
Fair value | 994,934 | 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 | 65,578 | 394,726 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | (529) | (6,753) |
Gross unrealized gains | 1,157 | 1,144 |
Fair value | 66,206 | 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 | 54,201 | 66,390 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 0 | 0 |
Gross unrealized gains | 1,420 | 1,743 |
Fair value | 55,621 | 68,133 |
US Treasury Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 222,837 | 149,585 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 0 | (534) |
Gross unrealized gains | 1,073 | 0 |
Fair value | 223,910 | 149,051 |
Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 14,173,240 | 14,433,247 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | (51,685) | (23,415) |
Gross unrealized gains | 118,735 | 191,675 |
Fair value | $ 14,240,290 | $ 14,601,507 |
Investments in Securities (Av30
Investments in Securities (Available for sale, Continuous Unrealized Loss) (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Investments, Debt and Equity Securities [Abstract] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 5,001,845 | $ 259,291 |
Unrealized loss on investments, owned less than 12 months | (50,515) | (577) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 93,313 | 1,494,884 |
Unrealized loss on investments, owned more than 12 months | (1,170) | (22,838) |
Fair value of investments in unrealized loss position | 5,095,158 | 1,754,175 |
Available for sale securities, continuous unrealized loss | $ (51,685) | $ (23,415) |
Investments in Securities (Summ
Investments in Securities (Summary of Net Gain (loss) from the Sale of Available-for-Sale Investments) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Available-for-sale investments, at cost | $ 7,338,701 | $ 6,380,082 | $ 13,338,664 | $ 14,151,496 |
Proceeds from available-for-sale investments sold | 7,348,136 | 6,413,200 | 13,366,352 | 14,201,284 |
Net gain on sale of available-for-sale investments | 9,435 | 33,118 | 27,688 | 49,788 |
Gross gain on sale of available-for-sale investments | 28,403 | 40,495 | 62,382 | 91,637 |
Gross loss on sale of available-for-sale investments | $ (18,968) | $ (7,377) | $ (34,694) | $ (41,849) |
Investments in Securities (Comp
Investments in Securities (Components of the Carrying Value of Available-for-Sale Securities) (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | $ 13,630,326 | $ 13,880,953 |
Unamortized premium | 545,216 | 552,869 |
Unamortized discount | (2,302) | (575) |
Gross unrealized gains | 118,735 | 191,675 |
Gross unrealized losses | (51,685) | (23,415) |
Fair value | 14,240,290 | 14,601,507 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 12,850,537 | 12,638,782 |
Gross unrealized gains | 98,980 | 163,019 |
Gross unrealized losses | (49,898) | (16,128) |
Fair value | 12,899,619 | 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 | 1,045,665 | 1,578,490 |
Gross unrealized gains | 17,262 | 26,913 |
Gross unrealized losses | (1,787) | (6,753) |
Fair value | 1,061,140 | 1,598,650 |
US Treasury Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 222,837 | 149,585 |
Gross unrealized gains | 1,073 | 0 |
Gross unrealized losses | 0 | (534) |
Fair value | $ 223,910 | $ 149,051 |
Investments in Interest Rate 33
Investments in Interest Rate Swap and Cap Contracts (Details) - USD ($) $ in Millions | 3 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Trading Securities Pledged as Collateral | $ 55 | $ 60.9 |
Securities Received as Collateral | 60 | 47.2 |
Derivative, Collateral, Obligation to Return Cash | 25.1 | 72 |
SwapClosedAprilTwoThousandFifteenNotional | $ 400 | |
SwapClosedAprilTwoThousandFifteenPayRate | 2.438% | |
Realizedlossonterminationofswap | $ (2.3) | |
SwapandCapNotional | $ 9,850 | $ 10,150 |
SwapandCapNotionalasPercentageofRepoBorrowings | 83.70% | 89.90% |
Investments in Interest Rate 34
Investments in Interest Rate Swap and Cap Contracts (Summary Of Interest Rate Swap And Cap Contracts) (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Transaction And Trade Date [Line Items] | ||
DerivativeNotionalTransactions | $ (300,000) | $ (450,000) |
JanuaryTwoThousandAndFifteenTerminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | ||
DerivativeNotionalTransactions | $ (400,000) | |
JanuaryTwoThousandAndFifteenOpened [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | ||
DerivativeNotionalTransactions | $ 500,000 | |
AprilTwoThousandAndFifteenTerminatedMember [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | ||
DerivativeNotionalTransactions | $ (400,000) | |
FebruaryTwoThousandFourteenTerminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | ||
DerivativeNotionalTransactions | $ (500,000) | |
AprilTwoThousandFourteenTerminatedMember [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | ||
DerivativeNotionalTransactions | $ (1,100,000) | |
AprilTwoThousandFourteenOpenedMember [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | ||
DerivativeNotionalTransactions | $ 500,000 | |
MayTwoThousandFourteenTerminatedMember [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | ||
DerivativeNotionalTransactions | $ (300,000) | |
MayTwoThousandFourteenOpenedMember [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | ||
DerivativeNotionalTransactions | $ 300,000 | |
JuneTwoThousandFourteenTerminatedMember [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | ||
DerivativeNotionalTransactions | $ (550,000) | |
JuneTwoThousandFourteenOpenedMember [Member] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | ||
DerivativeNotionalTransactions | $ 1,200,000 |
Investments in Interest Rate 35
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 ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Interest Rate Swap [Member] | Assets [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 4,750,000 | $ 5,050,000 |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | 16,974 | 40,611 |
Interest Rate Swap [Member] | Liabilities [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 2,600,000 | 2,600,000 |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | (19,778) | (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 | $ 84,878 | $ 107,673 |
Investments in Interest Rate 36
Investments in Interest Rate Swap and Cap Contracts (Amount recognized in income on derivatives) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Net realized gain (loss) on termination of swap and cap contracts | $ (2,300) | $ (6,004) | $ (4,868) | $ (15,327) |
Net unrealized gain (loss) on swap and cap contracts | 33,347 | (65,181) | (41,453) | (81,421) |
Derivative, Gain (Loss) on Derivative, Net | $ 31,047 | $ (71,185) | $ (46,321) | $ (96,748) |
Repurchase Agreements and FHL37
Repurchase Agreements and FHLB Advances (Details) $ in Thousands | Jun. 30, 2015USD ($)d | Dec. 31, 2014USD ($)d | ||
Short-term Debt [Line Items] | ||||
Number Of Repurchase Agreements | 0 | 0 | ||
Repopercentageofstockholdersequity | 4.60% | 1.60% | ||
RepoBorrowingsandFHLBadvancesaspercentageoftotalassets | 10.30% | 3.90% | ||
Federal Home Loan Bank Stock | $ 33,000 | |||
Outstanding repurchase agreements | 10,115,335 | $ 11,289,559 | [1] | |
Short-term FHLBC advances | 1,575,000 | 0 | [1] | |
Interest accrued thereon | $ 4,012 | $ 5,334 | ||
Weighted average borrowing rate | [2] | 0.34% | 0.35% | |
ShortTermDebtWeightedAverageInterestRateUSTreasuries | 0.37% | |||
Weighted Average Remaining Maturity (In Days) | d | 30.6 | 28.2 | ||
Fair value of the collateral(1) | [3] | $ 12,245,713 | $ 11,842,427 | |
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets | 4.60% | 1.60% | ||
[1] | Derived from audited financial statements. | |||
[2] | (1)The weighted-average borrowing rate as of JuneĀ 30, 2015 was determined as set forth in the table below.CollateralBorrowing amountĀ RateAgency RMBS$11,493,325Ā 0.36Ā %U.S. Treasuries197,010Ā (0.37)%Total / weighted-average borrowing rate $11,690,335Ā 0.34Ā % | |||
[3] | (2)Collateral for repo borrowings and short-term FHLBC advances consists of Agency RMBS and U.S. Treasuries. |
Repurchase Agreements and FHL38
Repurchase Agreements and FHLB Advances Schedule of Weighted Average Borrowing Rate (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | ||
Debt Disclosure [Abstract] | ||||
SecuritiesSoldUnderAgreementsToRepurchaseAgencyRMBS | $ 11,493,325 | |||
ShortTermDebtWeightedAverageInterestRateAgencyRMBS | 0.36% | |||
Securities Sold under Agreements to Repurchase | $ (10,115,335) | $ (11,289,559) | [1] | |
Short-term Debt, Weighted Average Interest Rate | [2] | 0.34% | 0.35% | |
SecuritiesSoldUnderAgreementsToRepurchaseUSTreasuries | $ 197,010 | |||
ShortTermDebtWeightedAverageInterestRateUSTreasuries | (0.37%) | |||
SecuritiesSoldUnderAgreementsExcludingFHLBAdvances | $ 11,690,335 | |||
ShortTermDebtWeightedAverageInterestRateExcludingFHLBAcvances | 0.34% | |||
[1] | Derived from audited financial statements. | |||
[2] | (1)The weighted-average borrowing rate as of JuneĀ 30, 2015 was determined as set forth in the table below.CollateralBorrowing amountĀ RateAgency RMBS$11,493,325Ā 0.36Ā %U.S. Treasuries197,010Ā (0.37)%Total / weighted-average borrowing rate $11,690,335Ā 0.34Ā % |
Repurchase Agreements and FHL39
Repurchase Agreements and FHLB Advances Remaining contractual maturity of the agreements (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | $ 11,493,325 | $ 11,141,479 |
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | 14,016,380 | 14,452,456 |
US Treasury fair value disclosure | 223,910 | 149,051 |
U.S. Treasuries Collateral | 197,010 | 148,080 |
Agency RMBS and U.S. Treasuries Collateral | 11,690,335 | 11,289,559 |
Maturity Overnight [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | 0 | 0 |
U.S. Treasuries Collateral | 0 | 0 |
Agency RMBS and U.S. Treasuries Collateral | 0 | 0 |
Maturity Less than 30 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | 6,181,266 | 7,574,906 |
U.S. Treasuries Collateral | 197,010 | 148,080 |
Agency RMBS and U.S. Treasuries Collateral | 6,378,276 | 7,722,986 |
Maturity 30 to 90 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | 5,112,365 | 3,425,831 |
U.S. Treasuries Collateral | 0 | 0 |
Agency RMBS and U.S. Treasuries Collateral | 5,112,365 | 3,425,831 |
Maturity Greater than 90 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | 199,694 | 140,742 |
U.S. Treasuries Collateral | 0 | 0 |
Agency RMBS and U.S. Treasuries Collateral | $ 199,694 | $ 140,742 |
Long-term FHLBC Advances (Detai
Long-term FHLBC Advances (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | |
Statement of Financial Position [Abstract] | |||
Federal Home Loan Bank, Advances, Par Value | $ 75,000,000 | ||
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 75,011,000 | ||
Long-term Federal Home Loan Bank Advances | [1] | $ 0 | |
AccruedInterestExpenseonLongTermFHLBCAdvances | $ 100,000 | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Weighted Average Interest Rate | 1.48% | ||
Federal Home Loan Bank, Advances, Maturities Summary, Fixed Rate, One to Five Years | $ 2.9 | ||
[1] | Derived from audited financial statements. |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) | Jun. 30, 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 ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | $ 12,444,599 | $ 11,951,672 | |
Agency RMBS [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 12,165,799 | 11,741,879 | |
US Treasury Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 219,644 | 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 | 33,647 | 31,646 | |
Cash [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 25,509 | 11,104 | |
Repurchase Agreements [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 12,358,930 | 11,878,058 | [1] |
Repurchase Agreements [Member] | Agency RMBS [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 12,125,540 | 11,697,532 | [1] |
Repurchase Agreements [Member] | US Treasury Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 199,926 | 149,051 | [1] |
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 | 33,464 | 31,475 | [1] |
Repurchase Agreements [Member] | Cash [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 0 | 0 | [1] |
Derivative [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 80,724 | 72,158 | |
Derivative [Member] | Agency RMBS [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 35,326 | 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 | 19,718 | 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 | 171 | 168 | |
Derivative [Member] | Cash [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 25,509 | 11,104 | |
Forward Settling Trades [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 4,945 | 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 | 4,933 | 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 | 12 | 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 | |
[1] | (1)At December 31, 2014, the Company had no FHLBC Advances. |
Pledged Assets (Assets Pledge43
Pledged Assets (Assets Pledged from Counterparties ) (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $ 88,637 | $ 127,543 |
Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 42,014 | 28,801 |
US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 21,230 | 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 | 289 | 164 |
Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 25,104 | 72,771 |
Repurchase Agreements [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 3,271 | 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 | 855 | 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 | 2,399 | 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 | 17 | 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 | 85,366 | 119,349 |
Derivative [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 41,159 | 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 | 18,831 | 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 | 272 | 142 |
Derivative [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 25,104 | 71,980 |
Forward Settling Trades [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 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 | 0 | 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 | 0 | 9 |
Forward Settling Trades [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $ 0 | $ 791 |
Pledged Assets (Derivatives) (D
Pledged Assets (Derivatives) (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Transfers and Servicing [Abstract] | |||
Derivative Asset, Current | $ 16,974 | $ 40,611 | |
Derivative Liability, Current | 19,778 | 16,007 | |
Interest rate cap, asset position | 84,878 | 107,673 | |
Interest rate cap, liability position | 0 | 0 | |
Derivative Asset | 101,852 | 148,284 | [1] |
Derivative liabilities, at fair value | 19,778 | 16,007 | [1] |
Derivative Asset, Not Subject to Master Netting Arrangement | 1,362 | 7,008 | |
Derivative Liability, Not Subject to Master Netting Arrangement | 19,246 | 11,579 | |
DerivativeAssetSubjectToMasterNettingArrangement | 100,490 | 141,276 | |
DerivativeLiabilitySubjectToMasterNettingArrangement | $ 532 | $ 4,428 | |
[1] | Derived from audited financial statements. |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets) (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Transfers and Servicing [Abstract] | ||
DerivativeAssetSubjectToMasterNettingArrangement | $ 100,490 | $ 141,276 |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 532 | 4,341 |
Fair Value of Securities Received as Collateral that Have Been Resold or Repledged | 84,653 | 117,991 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | $ 15,305 | $ 18,944 |
Pledged Assets (Offsetting Liab
Pledged Assets (Offsetting Liabilities) (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Transfers and Servicing [Abstract] | |||
DerivativeLiabilitySubjectToMasterNettingArrangement | $ 532 | $ 4,428 | |
NetDerivativeLiability | 4,428 | ||
Derivative Liability, Fair Value of Collateral | 0 | 87 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | 0 | |
RepurchaseagreementsandFederalHomeLoanBankAdvances | 11,765,346 | ||
Outstanding repurchase agreements | 10,115,335 | 11,289,559 | [1] |
InstrumentsAvailableToOffsetRepoLiability | 0 | 0 | |
InstrumentsAvailableToOffsetDerivativeLiability | 532 | 4,341 | |
SecuritiesSoldUnderAgreementsNotOffsetAgainstCollateral | $ 0 | $ 0 | |
[1] | Derived from audited financial statements. |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - Jun. 30, 2015 - USD ($) $ in Millions | Total |
Fair Value Disclosures [Abstract] | |
unobservable input capitalization rate min | 3.00% |
unobservable input capitalization rate max | 6.00% |
Federal Home Loan Bank Stock | $ 33 |
Fair Value Measurements (Assets
Fair Value Measurements (Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | $ 14,016,380 | $ 14,452,456 | |
US Treasury fair value disclosure | 223,910 | 149,051 | |
Other Investments | 41,028 | 8,025 | |
Derivative Asset | 101,852 | 148,284 | [1] |
Assets, Fair Value Disclosure, Recurring | 14,383,170 | 14,757,816 | |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 75,011 | ||
Derivative liabilities | 19,778 | 16,007 | |
Derivative liabilities, at fair value | 19,778 | 16,007 | [1] |
Liabilities, Fair Value Disclosure, Recurring | 94,789 | ||
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 | 223,910 | 149,051 | |
Other Investments | 0 | 0 | |
Derivative Asset | 0 | 0 | |
Assets, Fair Value Disclosure, Recurring | 223,910 | 149,051 | |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 0 | ||
Derivative liabilities | 0 | 0 | |
Liabilities, Fair Value Disclosure, Recurring | 0 | ||
Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | 14,016,380 | 14,452,456 | |
US Treasury fair value disclosure | 0 | 0 | |
Other Investments | 0 | 0 | |
Derivative Asset | 148,284 | ||
Assets, Fair Value Disclosure, Recurring | 14,118,232 | 14,600,740 | |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 75,011 | ||
Liabilities, Fair Value Disclosure, Recurring | 94,789 | ||
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 | |
Derivative Asset | 0 | 0 | |
Assets, Fair Value Disclosure, Recurring | 41,028 | 8,025 | |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 0 | ||
Derivative liabilities | 0 | $ 0 | |
Liabilities, Fair Value Disclosure, Recurring | $ 0 | ||
[1] | Derived from audited financial statements. |
Fair Value Measurements (Level
Fair Value Measurements (Level 3 Fair Value Reconciliation) (Details) - Other Investments [Member] - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2015 | [1] | Jun. 30, 2014 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Beginning balance Level 3 assets | $ 8,025 | $ 6,945 | |
Cash payments recorded as a reduction of cost basis | 0 | 0 | |
Change in net unrealized gain (loss) | 0 | 0 | |
Gross purchases | 0 | 0 | |
Gross 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 | |
[1] | (1)FHLBC stock of approximately $33.0 million is excluded from the table above as the Company accounts for its investment in FHLBC stock as a cost method investment and periodically evaluates FHLBC stock for impairment. |
Share Capital (Details)
Share Capital (Details) - USD ($) $ / shares in Units, $ in Thousands | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | Jul. 22, 2014 | Nov. 15, 2012 | ||
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 | 156,849,200 | 161,849,878 | ||||
Common Stock, Shares, Outstanding | 156,849,200 | 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 | $ 193,531 | [1] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period | 459,920 | 403,467 | ||||
Number Of Common Stock Available To Sell Under Sales Agreement | 199,800,000 | 134,300,000 | ||||
Stock Repurchase Program, Authorized Amount | $ 250,000 | $ 250,000 | ||||
Treasury Stock Acquired, Average Cost Per Share | $ 8.93 | |||||
Net proceeds (payments) from issuance and repurchase of common shares | $ 48,700 | $ 115,700 | $ 1,500 | |||
Stock Repurchased and Retired During Period, Shares | 5,436,157 | 172,549 | ||||
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 | |||||
[1] | Derived from audited financial statements. |
Earnings Per Share (Details)
Earnings Per Share (Details) - Class of Stock [Domain] - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||||
Net income | $ (97,037) | $ 158,381 | $ (42,440) | $ 289,068 | |
Less preferred stock dividends | (5,203) | (5,203) | (10,406) | (10,406) | |
Net income (loss) available to common stockholders | (102,240) | 153,178 | (52,846) | 278,662 | |
Common shares | (43,617) | (51,522) | (90,727) | (103,037) | |
Unvested shares | (301) | (324) | (625) | (657) | |
Undistributed earnings (loss) | $ (146,158) | $ 101,332 | $ (144,198) | $ 174,968 | |
Common shares | 156,257,000 | 161,007,000 | 157,915,000 | 160,972,000 | |
Distributed earnings | $ 0.28 | $ 0.32 | $ 0.57 | $ 0.64 | |
Undistributed earnings (loss) | (0.94) | 0.63 | (0.91) | 1.08 | |
Basic earnings (loss) per common share | $ (0.66) | $ 0.95 | $ (0.34) | $ 1.72 | |
Net effect of dilutive stock options (1) | [1] | 0 | 0 | 0 | 0 |
Diluted weighted average shares outstanding | 156,257,000 | 161,007,000 | 157,915,000 | 160,972,000 | |
Distributed earnings | $ 0.28 | $ 0.32 | $ 0.57 | $ 0.64 | |
Undistributed earnings (loss) | (0.94) | 0.63 | (0.91) | 1.08 | |
Diluted earnings (loss) per common share | $ (0.66) | $ 0.95 | $ (0.34) | $ 1.72 | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Number | 131,088 | 131,088 | 131,088 | 131,088 | |
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range, Exercisable Options, Weighted Average Exercise Price | $ 30 | $ 30 | $ 30 | $ 30 | |
[1] | For the three and six months ended JuneĀ 30, 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) | 1 Months Ended |
Jul. 31, 2015shares | |
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 | 20,816 |