Document And Entity Information
Document And Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Jan. 31, 2016 | Jun. 30, 2015 | |
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2015 | ||
Document Fiscal Period Focus | FY | ||
Document Fiscal Year Focus | 2,015 | ||
Entity Registrant Name | CYS Investments, Inc. | ||
Entity Central Index Key | 1,396,446 | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Public Float | $ 1,193,653,173 | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Common Stock, Shares Outstanding | 151,763,088 |
Balance Sheet
Balance Sheet - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Assets: | ||
Investments in securities, at fair value (including pledged assets of $11,601,900 and $11,908,922, respectively) | $ 13,027,707 | $ 14,601,507 |
Other investments | 50,028 | 8,025 |
Derivative assets, at fair value | 100,778 | 148,284 |
Cash and cash equivalents | 9,982 | 4,323 |
Receivable for securities sold and principal repayments | 1,084,844 | 83,643 |
Interest receivable | 34,563 | 37,894 |
Receivable for cash pledged as collateral | 21,751 | 11,104 |
Other assets | 1,051 | 1,083 |
Total assets | 14,330,704 | 14,895,863 |
Liabilities: | ||
Repurchase agreements | 8,987,776 | 11,289,559 |
Short-term FHLBC advances | 1,675,000 | 0 |
Long-term FHLBC advances | 423,701 | 0 |
Derivative liabilities, at fair value | 14,024 | 16,007 |
Payable for securities purchased | 1,475,974 | 1,505,481 |
Payable for cash received as collateral | 18,534 | 72,771 |
Distribution payable | 4,410 | 4,410 |
Accrued interest payable | 32,588 | 27,208 |
Accrued expenses and other liabilities | 4,083 | 5,259 |
Total liabilities | 12,636,090 | 12,920,695 |
Commitments and contingencies (Note 14) | 0 | 0 |
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 |
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 |
Common Stock, $0.01 par value, 500,000 shares authorized (151,740 and 161,850 shares issued and outstanding, respectively) | 1,517 | 1,618 |
Additional paid in capital | 1,946,419 | 2,049,152 |
Retained earnings (accumulated deficit) | (519,222) | (341,502) |
Total stockholders' equity | 1,694,614 | 1,975,168 |
Total liabilities and stockholders' equity | $ 14,330,704 | $ 14,895,863 |
Balance Sheet (Parenthetical)
Balance Sheet (Parenthetical) - USD ($) | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Statement of Financial Position [Abstract] | ||
Investments in securities, pledged assets | $ 11,601,900,000 | $ 11,908,922,000 |
Series A Cumulative Redeemable Preferred Stock, dividend rate | 7.75% | 7.75% |
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 | $ 75,000,000 | $ 75,000,000 |
Series A Cumulative Redeemable Preferred Stock, dividend rate | 7.50% | 7.50% |
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 | $ 200,000,000 | $ 200,000,000 |
Common stock, par value | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 151,739,840 | 161,849,878 |
Common stock, shares outstanding | 151,739,840 | 161,849,878 |
Statements Of Operations
Statements Of Operations - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | [1] | |||
Interest income: | ||||||
Interest income from Agency RMBS | $ 328,286 | $ 301,996 | $ 330,430 | |||
Other interest income | 2,909 | 15,080 | 1,481 | |||
Total interest income | 331,195 | 317,076 | 331,911 | |||
Interest expense: | ||||||
Repurchase agreement and short-term FHLBC advances interest expense | 43,074 | 33,825 | 52,763 | |||
Long-term FHLBC advances interest expense | 3,055 | 0 | 0 | |||
Total interest expense | 46,129 | 33,825 | 52,763 | |||
Net interest income | 285,066 | 283,251 | 279,148 | |||
Other income (loss): | ||||||
Net realized gain (loss) on investments | 13,652 | 132,563 | (595,116) | [2] | ||
Net unrealized gain (loss) on investments | (129,764) | 233,763 | (314,530) | [2] | ||
Net unrealized gain (loss) on long-term FHLBC advances | 1,299 | 0 | 0 | [3] | ||
Other income | 867 | 269 | 120 | |||
Subtotal | (113,946) | 366,595 | (909,526) | |||
Swap and cap interest expense | (100,110) | (90,812) | (93,497) | |||
Net realized and unrealized gain (loss) on swap and cap contracts | (54,932) | (110,542) | 269,128 | |||
Net gain (loss) from swap and cap contracts | (155,042) | (201,354) | 175,631 | |||
Total other income (loss) | (268,988) | 165,241 | (733,895) | |||
Expenses: | ||||||
Compensation and benefits | 12,121 | 14,105 | 12,599 | |||
General, administrative and other | 8,722 | 8,778 | 8,436 | |||
Total expenses | 20,843 | 22,883 | 21,035 | |||
Net income (loss) | (4,765) | 425,609 | (475,782) | [3] | ||
Dividends on preferred stock | (20,813) | [4] | (20,812) | [4] | (15,854) | [5] |
Net income (loss) available to common stockholders | $ (25,578) | $ 404,797 | $ (491,636) | |||
Net income (loss) per common share basic & diluted | $ (0.17) | $ 2.50 | $ (2.90) | |||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||
[2] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||
[3] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||
[4] | Preferred Series A and Series B dividends declared of $1.9375 and $1.875 per share, respectively, for the year ended December 31, 2015 and 2014. | |||||
[5] | Preferred Series A and Series B dividends declared of $1.9375 and $1.328125 per share, respectively, for the year ended December 31, 2013. |
Statement Of Changes In Stockho
Statement Of Changes In Stockholders' Equity - USD ($) | Total | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings [Member] | Series A Preferred Stock | Series B Preferred Stock | ||
Beginning Balance at Dec. 31, 2012 | [1] | $ 2,402,662,000 | $ 1,749,000 | $ 2,237,512,000 | $ 91,032,000 | $ 72,369,000 | $ 0 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Net investment income(a) | [1] | 258,233,000 | 0 | 0 | 258,233,000 | 0 | 0 | |
Net income (loss) | [2],[3] | (475,782,000) | ||||||
Net realized gain (loss) on investments | [1] | (595,116,000) | [2] | 0 | 0 | (595,116,000) | 0 | 0 |
Net unrealized gain (loss) on investments | [1] | (314,530,000) | [2] | 0 | 0 | (314,530,000) | 0 | 0 |
Net gain (loss) from swap and cap contracts(a) | [1] | 175,631,000 | 0 | 0 | 175,631,000 | 0 | 0 | |
Issuance of common stock | (193,000) | 3,000 | (196,000) | 0 | 0 | 0 | ||
Issuance of preferred stock | 193,531,000 | [3] | 0 | 0 | 0 | 0 | 193,531,000 | |
Amortization of share based compensation | 3,471,000 | 0 | 3,471,000 | 0 | 0 | 0 | ||
Return of capital distributions | (76,619,000) | 0 | (78,299,000) | 1,680,000 | 0 | 0 | ||
Repurchase and cancellation of common stock | 116,094,000 | [3] | (136,000) | (115,958,000) | 0 | 0 | 0 | |
Dividends on preferred stock | [4] | (15,854,000) | [2] | 0 | 0 | (15,854,000) | 0 | 0 |
Common dividends(d) | [5] | 146,466,000 | 0 | 0 | 146,466,000 | 0 | 0 | |
Ending Balance at Dec. 31, 2013 | [1] | $ 1,768,656,000 | 1,616,000 | 2,046,530,000 | (545,390,000) | $ 72,369,000 | $ 193,531,000 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Preferred stock, dividends declared (in dollars per share) | $ 1.9375 | $ 1.328125 | ||||||
Common stock, dividends declared (in dollars per share) | $ 1.32 | |||||||
Net income (loss) | $ 425,609,000 | 0 | 0 | 425,609,000 | $ 0 | $ 0 | ||
Net realized gain (loss) on investments | 132,563,000 | |||||||
Net unrealized gain (loss) on investments | 233,763,000 | |||||||
Issuance of common stock | 0 | 4,000 | (4,000) | 0 | 0 | 0 | ||
Issuance of preferred stock | 0 | |||||||
Amortization of share based compensation | 4,514,000 | 0 | 4,514,000 | 0 | 0 | 0 | ||
Return of capital distributions | 0 | 0 | 62,000 | (62,000) | 0 | 0 | ||
Repurchase and cancellation of common stock | 1,952,000 | |||||||
Repurchase and cancellation of common stock | (1,952,000) | (2,000) | (1,950,000) | 0 | 0 | 0 | ||
Dividends on preferred stock | [6] | (20,812,000) | 0 | 0 | (20,812,000) | 0 | 0 | |
Common dividends(d) | [5] | 200,847,000 | 0 | 0 | 200,847,000 | 0 | 0 | |
Ending Balance at Dec. 31, 2014 | $ 1,975,168,000 | 1,618,000 | 2,049,152,000 | (341,502,000) | $ 72,369,000 | $ 193,531,000 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Preferred stock, dividends declared (in dollars per share) | $ 1.9375 | $ 1.875 | ||||||
Common stock, dividends declared (in dollars per share) | $ 1.24 | |||||||
Net income (loss) | $ (4,765,000) | 0 | 0 | $ (4,765,000) | $ 0 | $ 0 | ||
Net realized gain (loss) on investments | 13,652,000 | |||||||
Net unrealized gain (loss) on investments | (129,764,000) | |||||||
Issuance of common stock | 0 | 5,000 | (5,000) | 0 | 0 | |||
Issuance of preferred stock | 0 | |||||||
Amortization of share based compensation | 4,021,000 | 0 | 4,021,000 | 0 | 0 | |||
Return of capital distributions | 0 | 0 | (18,911,000) | $ 18,911,000 | 0 | 0 | ||
Repurchase and cancellation of common stock | 87,944,000 | (106,000) | (87,838,000) | 0 | 0 | 0 | ||
Dividends on preferred stock | [6] | (20,813,000) | 0 | $ 0 | (20,813,000) | 0 | 0 | |
Common dividends(d) | [5] | 171,053,000 | 0 | 171,053,000 | 0 | 0 | ||
Ending Balance at Dec. 31, 2015 | $ 1,694,614,000 | $ 1,517,000 | $ 1,946,419,000 | $ (519,222,000) | $ 72,369,000 | $ 193,531,000 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Preferred stock, dividends declared (in dollars per share) | $ 1.9375 | $ 1.875 | ||||||
Common stock, dividends declared (in dollars per share) | $ 1.10 | |||||||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||||
[2] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||||
[3] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||||
[4] | Preferred Series A and Series B dividends declared of $1.9375 and $1.328125 per share, respectively, for the year ended December 31, 2013. | |||||||
[5] | Common dividends declared of $1.10, $1.24 and $1.32 per share for the years ended December 31, 2015, 2014 and 2013, respectively. | |||||||
[6] | Preferred Series A and Series B dividends declared of $1.9375 and $1.875 per share, respectively, for the year ended December 31, 2015 and 2014. |
Statements Of Cash Flows
Statements Of Cash Flows $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | Dec. 31, 2013USD ($) | [2] | ||
CASH FLOWS FROM OPERATING ACTIVITIES: | |||||
Net income | $ (4,765) | $ 425,609 | $ (475,782) | [1] | |
Adjustments to reconcile net income to net cash used in operating activities: | |||||
Amortization of share based compensation | 4,021 | 4,514 | 3,471 | ||
Amortization of premiums and discounts on investment securities | 90,448 | 52,495 | 115,413 | ||
Amortization of premiums on interest rate cap contracts | 17,500 | 20,228 | 24,240 | ||
Net realized (gain) loss on investments | (13,652) | (132,563) | 595,116 | ||
Net unrealized (gain) loss on investments | 129,764 | (233,763) | 314,530 | ||
Net realized and unrealized (gain) loss on swap and cap contracts | (28,023) | (79,519) | 276,310 | ||
Net unrealized (gain) loss on long-term debt | (1,299) | 0 | 0 | [1] | |
Change in assets and liabilities: | |||||
Interest receivable | 3,331 | (1,163) | 9,827 | ||
Other assets | 32 | (475) | 218 | ||
Accrued interest payable | 5,380 | 2,595 | (4,250) | ||
Accrued expenses and other liabilities | (1,176) | 1,041 | 3,783 | ||
Net cash provided by (used in) investing activities | 257,607 | 218,037 | 310,256 | ||
CASH FLOWS FROM INVESTING ACTIVITIES: | |||||
Purchase of investment securities | (22,633,230) | (31,870,614) | (44,752,803) | ||
Purchase of other investments | (42,003) | 0 | 0 | ||
Premium paid on interest rate caps | 0 | 0 | (91,860) | ||
Proceeds from disposition of investment securities | 22,099,486 | 30,106,923 | 48,296,551 | ||
Proceeds from termination of interest rate cap contracts | 0 | 34,225 | 103,275 | ||
Proceeds from paydowns of investment securities | 1,900,984 | 1,333,783 | 2,427,118 | ||
Change in assets and liabilities: | |||||
Receivable for securities sold and principal repayments | (1,001,201) | 345,590 | (418,890) | ||
Payable for securities purchased | (29,507) | (51,340) | (2,958,680) | ||
Receivable for cash pledged as collateral | (10,647) | (11,104) | 0 | ||
Payable for cash received as collateral | (54,237) | 34,833 | 9,028 | ||
Net cash provided by (used in) investing activities | 229,645 | (77,704) | 2,613,739 | ||
CASH FLOWS FROM FINANCING ACTIVITIES: | |||||
Proceeds from repurchase agreements | 89,890,611 | 81,669,640 | 115,545,756 | ||
Repayments of repurchase agreements | (92,192,394) | (81,587,031) | (118,320,113) | ||
Proceeds from short-term FHLBC advances | 31,160,000 | 0 | 0 | ||
Repayments of short-term FHLB advances | (29,485,000) | 0 | 0 | ||
Proceeds from issuance of long-term debt | 425,000 | 0 | 0 | ||
Net proceeds from issuance of common shares | 0 | 0 | (193) | ||
Net payments from repurchase of common shares | (87,944) | (1,952) | (116,094) | ||
Net proceeds from issuance of preferred shares | 0 | 0 | 193,531 | ||
Distributions paid | (191,866) | (221,659) | (235,772) | ||
Net cash used in financing activities | (481,593) | (141,002) | (2,932,885) | ||
Net increase (decrease) in cash and cash equivalents | 5,659 | (669) | (8,890) | ||
CASH AND CASH EQUIVALENTS - Beginning of period | 4,323 | 4,992 | [2] | 13,882 | |
CASH AND CASH EQUIVALENTS - End of period | 9,982 | 4,323 | 4,992 | ||
SUPPLEMENTAL DISCLOSURES OF CASH FLOW INFORMATION: | |||||
Interest paid | 123,360 | 101,814 | 135,920 | ||
SUPPLEMENTAL DISCLOSURES OF NONCASH FLOW INFORMATION: | |||||
Distributions declared, not yet paid | $ 4,410 | $ 4,410 | $ 4,410 | ||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | ||||
[2] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. |
Investments In Securities (Note
Investments In Securities (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Derivative, Fair Value, Net [Abstract] | |
Investments In Securities | INVESTMENTS IN SECURITIES In accordance with the discontinuation of investment company accounting under ASC 946, the Company was required to add the available-for-sale disclosures into this note. Those disclosures include (i) the table disclosing the amortized cost, gross unrealized gains, gross unrealized losses and fair value of available-for-sale investments, (ii) the table showing the gross gains and gross losses upon the sale of available-for-sale securities, and (iii) the table disclosing the unamortized premium and unamortized discount on available-for-sale securities. See Note 2, Significant Accounting Policies for more information on the impacts of the discontinuation of ASC 946. The available-for-sale portfolio consisted of the following as of December 31, 2015 and December 31, 2014 (in thousands): December 31, 2015 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 11,142,798 $ (45,018 ) $ 74,891 $ 11,172,671 ARMs 260,394 (1,859 ) 1,860 260,395 Total Fannie Mae 11,403,192 (46,877 ) 76,751 11,433,066 Freddie Mac Certificates Fixed Rate 1,379,566 (3,881 ) 11,822 1,387,507 ARMs 60,821 (727 ) 749 60,843 Total Freddie Mac 1,440,387 (4,608 ) 12,571 1,448,350 Ginnie Mae Certificates - ARMs 45,784 — 796 46,580 U.S. Treasuries 99,847 (136 ) — 99,711 Other Investments 48,948 — 1,080 50,028 Total $ 13,038,158 $ (51,621 ) $ 91,198 $ 13,077,735 December 31, 2014 Fannie Mae Certificates Fixed Rate $ 11,356,716 $ (2,984 ) $ 158,571 $ 11,512,303 ARMs 1,282,065 (13,144 ) 4,449 1,273,370 Total Fannie Mae 12,638,781 (16,128 ) 163,020 12,785,673 Freddie Mac Certificates Fixed Rate 1,183,764 — 25,769 1,209,533 ARMs 394,726 (6,753 ) 1,144 389,117 Total Freddie Mac 1,578,490 (6,753 ) 26,913 1,598,650 Ginnie Mae Certificates - ARMs 66,390 — 1,743 68,133 U.S. Treasuries 149,585 (534 ) — 149,051 Other Investments 6,945 — 1,080 8,025 Total $ 14,440,191 $ (23,415 ) $ 192,756 $ 14,609,532 The following table presents the gross unrealized loss and fair values of the Company's available-for-sale Agency RMBS by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2015 and December 31, 2014 (in thousands): Unrealized loss positions for Less than 12 Months Greater than 12 months Total As of Fair value Unrealized loss Fair value Unrealized loss Fair value Unrealized loss December 31, 2015 $ 6,718,658 $ (50,319 ) $ 86,300 $ (1,303 ) $ 6,804,958 $ (51,622 ) December 31, 2014 $ 259,291 (577 ) 1,494,884 (22,838 ) 1,754,175 (23,415 ) The following table is a summary of our net gain (loss) from the sale of available-for-sale investments for the year ended December 31, 2015 and 2014 (in thousands): For the year ended December 31, 2015 2014 Available-for-sale investments, at cost $ 22,085,834 $ 29,974,360 Proceeds from available-for-sale investments sold 22,099,486 30,106,923 Net gain on sale of available-for-sale investments 13,652 132,563 Gross gain on sale of available-for-sale investments 107,097 187,583 Gross loss on sale of available-for-sale investments (93,445 ) (55,020 ) Net gain on sale of available-for-sale investments $ 13,652 $ 132,563 The components of the carrying value of available-for-sale securities at December 31, 2015 and December 31, 2014 are presented below. The premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates and, conversely, the discount purchase price is due to the average coupon interest rates on these investments being lower than prevailing market rates. (in thousands) December 31, 2015 (1) December 31, 2014 Principal balance $ 12,534,877 $ 13,887,897 Unamortized premium 462,632 552,869 Unamortized discount (273 ) (575 ) Gross unrealized gains 90,118 192,756 Gross unrealized losses (51,622 ) (23,415 ) Fair value $ 13,035,732 $ 14,609,532 __________________ (1) FHLBC stock of approximately $42.0 million and $0.0 million at December 31, 2015 and 2014, respectively, is excluded from the table above as the Company accounts for its investment in FHLBC stock as a cost method investment. As of December 31, 2015 , the weighted-average coupon interest rate on the Company's Agency RMBS and U.S. Treasuries was 3.41% and 0.88% , respectively. As of December 31, 2014 , the weighted-average coupon interest rate on the Company's Agency RMBS and U.S. Treasuries was 3.41% and 1.50% , respectively. Actual maturities of Agency RMBS are generally shorter than stated contractual maturities (which range up to 30 years), as they are affected by the contractual lives of the underlying mortgages, periodic payments and prepayments of principal. As of December 31, 2015 , the range of final contractual maturity of the Company's Agency RMBS portfolio was between 2024 and 2046 . As of December 31, 2014 , the range of final contractual maturity of the Company's Agency RMBS portfolio was between 2024 and 2045 . As of December 31, 2015 , the weighted-average contractual maturity of the Company's Agency RMBS portfolio was 2037 , and of its U.S. Treasuries was 2017 . As of December 31, 2014 the weighted-average contractual maturity of our Agency RMBS portfolio was 2036 , and of its U.S. Treasuries was 2019 . Credit Risk The Company has minimal exposure to credit losses on its investment securities assets at December 31, 2015 and December 31, 2014 because it owns principally Agency RMBS and U.S. Treasuries. Principal and interest payments on Agency RMBS are guaranteed by Freddie Mac and Fannie Mae, while principal and interest payments on Ginnie Mae RMBS and U.S. Treasuries are backed by the full faith and credit of the U.S. government. In September 2008, both Freddie Mac and Fannie Mae were placed in the conservatorship of the U.S. government. On August 5, 2011, Standard & Poor's downgraded the U.S. government's credit rating for the first time to AA+. Fitch Ratings Inc. ("Fitch") announced on October 15, 2013 that it had placed the U.S. government's credit rating on "negative watch"; this negative watch was changed to "stable" on March 21, 2014. As of December 31, 2015 , S&P has maintained its AA+ rating for the U.S. government, while Fitch and Moody's rated the U.S. government AAA and Aaa, respectively. Because Fannie Mae and Freddie Mac are in U.S. government conservatorship, the implied credit ratings of Agency RMBS were similarly rated. While the GSE conservatorship, ratings downgrade and ratings watch appear not to have had a significant impact on the fair value of the Agency RMBS or U.S. Treasuries in the Company's portfolio, these developments raised concerns regarding the credit risk of Agency RMBS and U.S. Treasuries. |
Organization
Organization | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | ORGANIZATION CYS Investments, Inc. (the "Company") was formed as a Maryland corporation on January 3, 2006, and commenced operations on February 10, 2006. The Company has elected to be taxed, and intends to continue to qualify, as a real estate investment trust ("REIT"), and is required to comply with the provisions of the Internal Revenue Code of 1986, as amended (the "Code"), with respect thereto. The Company has primarily purchased residential mortgage-backed securities that are issued and the principal and interest of which are guaranteed by a federally chartered corporation ("Agency RMBS"), such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or an agency of the U.S. government such as the Government National Mortgage Association ("Ginnie Mae"), and debt securities issued by the United States Department of Treasury ("U.S. Treasuries"). The Company may also purchase collateralized mortgage obligations issued by a government agency or government-sponsored entity that are collateralized by Agency RMBS ("CMOs"), or securities issued by a government sponsored entity that are not backed by collateral but, in the case of government agencies, are backed by the full faith and credit of the U.S. government, and, in the case of government sponsored entities, are backed by the integrity and creditworthiness of the issuer ("U.S. Agency Debentures"). The Company's common stock, Series A Cumulative Redeemable Preferred Stock, $25.00 liquidation preference (the "Series A Preferred Stock"), and Series B Cumulative Redeemable Preferred Stock, $25.00 liquidation preference (the "Series B Preferred Stock"), trade on the New York Stock Exchange under the symbols "CYS," "CYS PrA" and "CYS PrB," respectively. In March 2015, our wholly-owned captive insurance subsidiary, CYS Insurance Services, LLC ("CYS Insurance"), was granted membership in the Federal Home Loan Bank ("FHLB") 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. On January 12, 2016, the Federal Housing Finance Agency ("FHFA") issued a final rule amending its regulations governing FHLB membership criteria for captive insurance companies. See Note 17, Subsequent Events. |
Significant Accounting Policies
Significant Accounting Policies (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | SIGNIFICANT ACCOUNTING POLICIES Basis of Presentation The accompanying consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("GAAP") and the instructions to Securities and Exchange Commission ("SEC") Form 10-K. The consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. The Company adopted Financial Accounting Standards Board ("FASB") Statement of Position ("SOP") 07-1, Clarification of the Scope of the Audit and Accounting Guide Investment Companies and Accounting by Parent Companies and Equity Method Investors for investments in Investment Companies , prior to its deferral in February 2008. Under SOP 07-1, the Company used financial reporting for investment companies, in accordance with FASB Accounting Standards Codification ("ASC") 946, Investment Companies . Accounting Standards Update No. 2013-08, which was effective for the Company on January 1, 2014 required, among other things, that entities that adopted SOP 07-1 before the FASB's indefinite deferral assess whether they continue to be within the scope of ASC 946. The Company determined that REITs are excluded from the scope of ASC 946, and effective January 1, 2014, the Company discontinued use of investment company accounting on a prospective basis. Reclassification and Presentation Effective January 1, 2014, the Company discontinued its use of investment company accounting under ASC 946. Upon transition, the following changes and elections were made: (i) Investments are now presented as available-for-sale securities in accordance with ASC 320 Investments – Debt and Equity Securities , (ii) Management elected the Fair Value Option ("FVO") under ASC 825 – Financial Instruments for all investments held. As a result of the FVO election, all changes in the fair value of investments held on January 1, 2014 continued to be recorded in the Company's consolidated statements of operations, and (iii) The Company elected not to designate its derivatives as hedging instruments in accordance with ASC 815 – Derivatives and Hedging . As a result, all changes in the fair value of derivative instruments held on January 1, 2014 also continued to be recorded in the Company's consolidated statement of operations. The discontinuation of investment company accounting under ASC 946, and the related accounting elections referred to above resulted in no changes in the Company's accounting for any financial statement item. However, the presentation of the Company's consolidated financial statements changed as follows: (i) reformatted the statement of assets and liabilities to a consolidated balance sheet presentation, (ii) reformatted the consolidated statements of operations to include the statement of comprehensive income (loss), as applicable, (iii) removed the statement of changes in net assets and included the consolidated statement of changes in stockholders' equity ( see Note 16, Investment Company Accounting , for the reconciliation of net investment income and net gain (loss) on investments and derivatives for the year ended December 31, 2013), (iv) reformatted the statement of cash flows to include an investing section, (v) changed certain footnotes to reflect conformity with applicable GAAP for non-investment companies, (vi) included summary information on the amortization/accretion of bond premium/discounts, and (vii) removed the financial highlights, as they are no longer required ( see Note 16, Investment Company Accounting , for financial highlights for the year ended December 31, 2013). On January 1, 2014, the Company reclassified its prior period consolidated financial statements to conform to the non-investment company financial statement presentation. This reclassification had no impact on the previously reported income, total assets and liabilities, net cash flows, or stockholders' equity. On the statement of cash flows, cash from investing activities, which were previously included in cash flows from operating activities, have been separately classified as cash flows from investing activities. Investments in Securities The Company's investment securities are accounted for in accordance with ASC 320. The Company has chosen to make a fair value election pursuant to ASC 825 for its securities and, therefore, our investment securities are recorded at fair market value on the consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the consolidated statements of operations as a component of net unrealized gain (loss) on investments. These investments generally meet the requirements to be classified as available-for-sale under ASC 320, which requires the securities to be carried at fair value on the balance sheet. Electing the fair value option permits the Company to record changes in fair value of our investments in the consolidated statements of operations which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. The Company records its transactions in securities on a trade date basis. We record realized gains and losses on securities transactions on an identified cost basis. Agency RMBS The Company's investments in Agency RMBS consist of pass-through certificates backed by fixed-rate, monthly-reset adjustable-rate loans ("ARMs") and Hybrid ARMs, the principal and interest of which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Hybrid ARMs have interest rates that have an initial fixed period (typically three, five, seven or 10 years) and thereafter reset at regular intervals in a manner similar to ARMs. Forward Settling Transactions The Company engages in forward settling transactions to purchase certain securities. The Company records forward settling transactions on the trade date, and maintains security positions such that sufficient liquid assets will be available to make payment on the settlement date for the securities purchased. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. Along with other forward settling transactions, the Company transacts in "to-be-announced" ("TBA") securities. As with other forward settling transactions, a seller agrees to issue TBAs at a future date; however, the seller does not specify the particular securities to be delivered. Instead, the Company agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Company records a TBA 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. At times, the Company may enter into TBA contracts as a means of investing in and financing Agency RMBS via "dollar roll" transactions. TBA dollar roll transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a "pair off"), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The Company records such pair offs on a gross basis such that there is a sale of the original TBA and a subsequent purchase of a new TBA. Investment Valuation The Company has a pricing committee responsible for establishing valuation policies and procedures, and 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, U.S. Agency Debentures and U.S. Treasuries are generally valued based on prices provided by third party services, as derived from such services' pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker quotations, prices or yields of securities with similar characteristics, prepayment rates, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may also use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. We generally value interest rate swaps and caps using prices provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments were made in determining the fair value of the Company's interest rate swaps and caps. The fair value of a long-lived asset, including real estate, is primarily derived internally, and is based on inputs observed from sales transactions of similar assets. We also rely on available industry information about capitalization rates and expected trends in rents and occupancy. All valuations we receive from third-party pricing services or broker quotes are non-binding. We review all prices. To date, the Company has not adjusted any of the prices received from third party pricing services or brokers. Our pricing review includes comparisons of similar market transactions, alternative third party pricing services and broker quotes, or comparisons to a pricing model. To ensure the proper classification within the fair value hierarchy, the Company reviews the third party pricing services' methodology periodically to understand whether observable or unobservable inputs are being used. See Note 8, Fair Value Measurements , for a discussion of how the Company values its assets. Interest Income We record interest income and expense on an accrual basis. We accrue interest income based on the outstanding principal amount of the settled securities in our portfolio and their contractual terms. We amortize premium and discount using the effective interest method, and this net amortization is either accretive to or a reduction of interest income from Agency RMBS in the Company's consolidated statements of operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. We record the unamortized/unaccreted amount of premium or discount associated with a prepayment through interest income from Agency RMBS on our consolidated statements of operations as it occurs. Other 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 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 records its investment in a real estate asset as "Other investments". For the year ended December 31, 2014 the Company's investment in real estate assets was recorded in Investments in securities, at fair value and, accordingly, prior period balances have been reclassified to conform to the current period presentation. 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. Repurchase Agreements and FHLBC Advances Borrowings under repurchase agreements ("repo borrowings") and FHLBC Advances are collateralized by the Company's Agency RMBS and U.S. Treasuries (collectively, "Debt Securities"). The Company's 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 declines. 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 —Debt; 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 30-180 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 —Financial Instruments for its long-term FHLBC advances and, therefore, this debt is recorded at fair market value on its 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 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 consolidated statements of operations which, in management's 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 Commencing with this report on Form 10-K for the year ended December 31, 2015, "Swap and cap interest expense", which up through September 30, 2015 was recognized in "Interest expense," in the Consolidated Statement of Operations, is now recognized in "Net gain (loss) from swap and cap contracts" in "Other income (loss)". This presentation change was made in order to record income, expenses and fair value changes related to derivatives in one line item in the financial statements, consistent with common practice of other companies that invest in similar assets and liabilities. Prior period balances have been reclassified to conform to current period presentation. The Company uses interest rate swaps and interest rate caps to manage its exposure to market risks, including interest rate risk. The objective of our interest rate risk management strategy is to reduce fluctuations in book value over a range of interest rate scenarios. In particular, the Company attempts to manage the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. Historically, we have sought to enter into interest rate swap contracts structured such that we receive payments based on a variable interest rate and make payments based on a fixed interest rate. The variable interest rate on which payments are received is calculated based on various reset mechanisms for LIBOR, and has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. Our swap agreements are privately negotiated in the over-the-counter ("OTC") market, with swap agreements entered into subsequent to May 2013 subject to central clearing through a registered commodities exchange ("centrally cleared swaps").We estimate the fair value of our centrally cleared interest rate swaps using the daily settlement price determined by the respective exchange. Centrally cleared swaps are valued by the exchange using a pricing model that references the underlying rates including the overnight index swap rate and LIBOR forward rate to produce the daily settlement price. We estimate the fair value of our "non-centrally cleared" swaps based on valuations obtained from third-party pricing services and the swap counterparty (collectively "third-party valuations"). The third-party valuations are model-driven using observable inputs consisting of LIBOR and the forward yield curve. We also consider the creditworthiness of both us and our counterparties and the impact of netting and credit enhancement provisions contained in each derivative agreement, such as collateral postings. All of our non-centrally cleared interest rate swaps are subject to bilateral collateral arrangements. No credit valuation adjustment was made in determining the fair value of our interest swap and cap contracts. Additionally, we have entered into interest rate cap contracts structured such that we receive payments based on a variable interest rate being above a fixed cap interest rate. The variable interest rate on which payments are received on interest rate caps is also calculated based on various reset mechanisms for LIBOR. Our interest rate swap and cap contracts effectively fix or cap a portion of our borrowing cost and are not held for speculative or trading purposes. When the Company terminates a swap or cap, it records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's cost basis in the contract, if any. The Company reports the periodic payments and amortization of premiums on cap contracts under swap and cap interest expense in the consolidated statements of operations. Swaps involve a risk that interest rates will move contrary to the Company's expectations, thereby increasing the Company's payment obligation. The Company's interest rate swap and cap contracts are subject to master netting arrangements. 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 December 31, 2015 and December 31, 2014 , the Company did not anticipate non-performance by any counterparty. Should interest rates move unexpectedly, the Company may not achieve the anticipated benefits of the interest rate swap or cap and may realize a loss. While the Company's derivative contracts generally permit for netting or setting off derivative assets and liabilities with the counterparty, the Company reports related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. The Company records changes in fair value of our derivative instruments in net realized and unrealized gain (loss) on swap and cap contracts in our consolidated statements of operations. Cash receipts and payments related to derivative instruments are classified in the Company's consolidated statements of cash flows in accordance with GAAP in both the operating and investing activities sections in the Company's consolidated statements of cash flows. See Note 4, Investments in Interest Rate Swap and Cap Contracts . Income Taxes The Company has elected to be treated as a REIT under the Code. The Company will generally not be subject to federal income tax to the extent that it distributes 90% of its taxable income, determined without regard to the deduction for dividends paid and excluding net capital gain; after application of available tax attributes, within the time limits prescribed by the Code and as long as it satisfies the ongoing REIT requirements including meeting certain asset, income and stock ownership tests. Earnings Per Share ("EPS") The Company computes basic EPS using the two-class method by dividing net income (loss), after adjusting for the impact of unvested stock awards deemed to be participating securities, by the weighted-average number of common shares outstanding calculated excluding unvested stock awards. The Company computes diluted EPS by dividing net income (loss), after adjusting for the impact of unvested stock awards deemed to be participating securities, by the weighted-average number of common shares outstanding calculated excluding unvested stock awards, giving effect to common stock options and warrants, if they are not anti-dilutive. See Note 10, Earnings Per Share for EPS computations. Recent Accounting Pronouncements In January 2016, the FASB issued ASU 2016-01, "Financial Instruments - Overall: Recognition and Measurement of Financial Assets and Financial Liabilities," ("ASU 2016-01"), which significantly revises an entity's accounting related to the classification and measurement of investments in equity securities and requires the presentation of certain fair value changes for financial liabilities measured at fair value. ASU 2016-01 is effective for financial statements issued for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. The Company is currently evaluating the impact that ASU 2016-01 will have on its statement of financial position or financial statement disclosures. |
Investments in Interest Rate Sw
Investments in Interest Rate Swap and CAP Contracts (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Investments in Interest Rate Swap and CAP Contracts | INVESTMENTS IN INTEREST RATE SWAP AND CAP CONTRACTS In order to manage its interest rate exposure, the Company enters into interest rate swap and cap contracts. The Company had the following activity in interest rate swap and cap transactions during the years ended December 31, 2015 and 2014 (in thousands): Year Ended December 31, 2015 (1) Year Ended December 31, 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 July 2015 Terminated $ (500,000 ) May 2014 Terminated $ (300,000 ) July 2015 Opened $ 750,000 May 2014 Opened $ 300,000 August 2015 Terminated $ (500,000 ) June 2014 Terminated $ (550,000 ) August 2015 Opened $ 500,000 June 2014 Opened $ 1,200,000 September 2015 Terminated $ (1,500,000 ) July 2014 Opened $ 400,000 September 2015 Opened $ 1,400,000 October 2014 Opened $ 500,000 October 2015 Terminated $ (300,000 ) October 2014 Terminated $ (500,000 ) October 2015 Opened $ 750,000 December 2014 Opened $ 500,000 Net Increase $ 300,000 December 2014 Terminated $ (500,000 ) Net Decrease $ (50,000 ) __________________ (1) For the year ended December 31, 2015 $1,700.0 million notional of cap and $500.0 million notional of swap contacts were novated by certain counterparties to other counterparties. There were no changes in the underlying terms of the original agreements with the Company. As of December 31, 2015 and December 31, 2014 , the Company pledged Agency RMBS and U.S. Treasuries with a fair value of $50.7 million and $60.9 million , respectively, as collateral on interest rate swap and cap contracts. As of December 31, 2015 and December 31, 2014 , the Company had pledged cash of $21.8 million and $11.1 million , as collateral for its interest rate swap and cap contracts. As of December 31, 2015 , the Company had Agency RMBS and U.S. Treasuries of $44.1 million and cash of $18.5 million pledged to it as collateral for its interest rate swap and cap contracts. As of December 31, 2014 , the Company had Agency RMBS and U.S. Treasuries of $47.2 million and cash of $72.0 million pledged to it as collateral for its interest rate swap and cap contracts. Below is a summary of our interest rate swap and cap contracts open as of December 31, 2015 and December 31, 2014 (in thousands): Derivatives not designated as hedging instruments under ASC 815 Interest Rate Swap Contracts Notional Amount Fair Value Consolidated Balance Sheets December 31, 2015 $ 2,050,000 $ (14,024 ) Derivative liabilities, at fair value December 31, 2015 5,900,000 39,435 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 Amount Fair Value Consolidated Balance Sheets December 31, 2015 $ 2,500,000 $ 61,343 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 years ended December 31, 2015 , 2014 and 2013 on the Company's interest rate swap and cap contracts not designated as hedging instruments under ASC 815 (in thousands): Gain (Loss) on Derivatives Year Ended December 31, Derivative Type Location of Gain or (Loss) on Derivatives 2015 2014 2013 Interest rate swaps and caps Swap and cap interest expense $ (100,110 ) $ (90,812 ) $ (93,497 ) Interest rate swaps and caps Net realized and unrealized gain (loss) on swap and cap contracts (54,932 ) (110,542 ) 269,128 Interest rate swaps and caps Net gain (loss) from swap and cap contracts $ (155,042 ) $ (201,354 ) $ 175,631 |
Repurchase Agreements and Short
Repurchase Agreements and Short-Term FHLBC Advances (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Short-term Debt [Abstract] | |
Repurchase Agreements and Short-Term FHLBC Advances | REPURCHASE AGREEMENTS AND SHORT-TERM FHLBC ADVANCES The Company leverages its Agency RMBS and U.S. Treasuries through the use of repo borrowings and short-term FHLBC advances. Each of the borrowing vehicles used by the Company bears interest at floating rates based on a spread above or below LIBOR. The interest rate for short-term FHLBC advances is set by the FHLBC. The fair value of repurchase agreements approximates their carrying amount 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 Company's repo borrowings and short-term FHLBC advances is summarized in the following tables. Each of the repo borrowings and short-term FHLBC advances listed is contractually due in one year or less (dollars in thousands). December 31, 2015 Outstanding repurchase agreements $ 8,987,776 Outstanding short-term FHLBC advances $ 1,675,000 Interest accrued thereon $ 6,847 Weighted average borrowing rate 0.50 % Weighted average remaining maturity (in days) 27.3 Fair value of the collateral (1) $ 11,136,801 December 31, 2014 Repurchase agreements (2) $ 11,289,559 Interest accrued thereon $ 5,334 Weighted average borrowing rate 0.35 % Weighted average remaining maturity (in days) 28.2 Fair value of the collateral (1) $ 11,842,427 __________________ (1) Collateral for repo borrowings and short-term FHLBC advances consists of Agency RMBS and U.S. Treasuries. (2) At December 31, 2014, the Company had no short-term FHLBC advances. The following table presents information about collateral supporting repo borrowings and short-term FHLBC advances as of December 31, 2015 and December 31, 2014 (in thousands): Collateral for repurchase agreements and short-term FHLBC advances Remaining contractual maturity of the repurchase agreements and short-term FHLB advances (1) December 31, 2015 Overnight and continuous Up to 30 days 30-90 days Greater than 90 days Total Agency RMBS $ — $ 7,579,885 $ 2,235,246 $ 499,394 $ 10,314,525 U.S. Treasuries — 348,251 — — 348,251 Total $ — $ 7,928,136 $ 2,235,246 $ 499,394 $ 10,662,776 December 31, 2014 Agency RMBS $ — $ 7,574,906 $ 3,425,831 $ 140,742 $ 11,141,479 U.S. Treasuries — 148,080 — — 148,080 Total $ — $ 7,722,986 $ 3,425,831 $ 140,742 $ 11,289,559 __________________ (1) At December 31, 2014, the Company had no short-term FHLBC advances. At December 31, 2015 and December 31, 2014 , our amount at risk with any individual counterparty related to our repo borrowings or short-term FHLBC advances was less than 2.7% and 1.6% of stockholders' equity, respectively, and our repo borrowings or short-term FHLBC advances with any individual counterparty were less than 11.7% and 3.9% of our total assets, respectively. The amount at risk is defined as the excess of the fair value of the securities, including accrued interest, and cash, pledged to secure the repurchase agreement and short-term FHLBC advances, over the amount of the repurchase agreement and short-term FHLBC advances liability adjusted for accrued interest. 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 December 31, 2015 , CYS Insurance held $42.0 million in FHLBC stock that is included in "Other investments" on our consolidated balance sheets. |
Long-term FHLBC Advances (Notes
Long-term FHLBC Advances (Notes) | 12 Months Ended |
Dec. 31, 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 FHLBC advances, secured by eligible collateral, including, but not limited to, residential mortgage-backed securities. During the year ended December 31, 2015 , CYS Insurance secured $425.0 million in long-term FHLBC advances, and at December 31, 2015 , we had $423.7 million in long-term FHLBC advances at fair value and $0.5 million in accrued interest expense thereon on our consolidated balance sheet. The long-term FHLBC advances were an original term of three years, carry a weighted average interest rate of 1.48% , have a maturity of 2.5 years at December 31, 2015 , and are callable after the one-year anniversary of the advance and thereafter every six months. At December 31, 2014 , the Company had no long-term FHLBC advances. |
Fair Value Measurements (Notes)
Fair Value Measurements (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | FAIR VALUE MEASUREMENTS The Company's valuation techniques are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect the Company's market assumptions. ASC 820 -- Fair Value Measurements , classifies these inputs into the following hierarchy: Level 1 Inputs —Quoted prices for identical instruments in active markets. Level 2 Inputs —Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level 3 Inputs —Instruments with primarily unobservable value drivers. "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. FHLBC stock of approximately $42.0 million and $0.0 million at December 31, 2015 and 2014, respectively, is excluded from Other investments in the table below as the Company accounts for its investment in FHLBC stock as a cost method investment and periodically evaluates FHLBC stock for impairment . Long-term FHLBC advances consist 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 with respect to this debt. Excluded from the tables below are 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 with initial terms of one year or less. The fair value of these instruments is determined using Level 2 Inputs. The following tables provide a summary of the Company's assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2015 and December 31, 2014 (in thousands): December 31, 2015 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 12,927,996 $ — $ 12,927,996 U.S. Treasuries 99,711 — — 99,711 Other investments — — 8,025 8,025 Derivative assets — 100,778 — 100,778 Total $ 99,711 $ 13,028,774 $ 8,025 $ 13,136,510 Liabilities Long-term FHLBC advances — 423,701 — 423,701 Derivative liabilities — 14,024 — 14,024 $ — $ 437,725 $ — $ 437,725 December 31, 2014 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 14,452,456 $ — $ 14,452,456 U.S. Treasuries 149,051 — — 149,051 Other investments — — 8,025 8,025 Derivative assets — 148,284 — 148,284 Total $ 149,051 $ 14,600,740 $ 8,025 $ 14,757,816 Liabilities Derivative liabilities $ — $ 16,007 $ — $ 16,007 The table below presents a reconciliation of changes in other investments classified as Level 3 in the Company's consolidated financial statements for the years ended December 31, 2015 and 2014 : Level 3 Fair Value Reconciliation (In thousands) Year Ended December 31, Other investments (1) 2015 2014 Beginning balance Level 3 assets $ 8,025 $ 6,945 Cash payments recorded as a reduction of cost basis — — Change in net unrealized gain (loss) — 1,080 Gross purchases — — Gross sales — — Net gain (loss) on sales — — Transfers into (out of) Level 3 — — Ending balance Level 3 assets $ 8,025 $ 8,025 __________________ (1) FHLBC stock of approximately $42.0 million and $0.0 million at December 31, 2015 and 2014, respectively, 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 . The fair value of a real estate asset is primarily derived internally, and is based on inputs observed from sales transactions of similar assets. We also rely on available industry information about capitalization rates and expected trends in rents and occupancy. A discussion of the method of fair valuing these assets is included above in Note 2, Significant Accounting Policies — Investments in Securities — Investment Valuation . The significant unobservable input used in the fair value measurement is capitalization rates, which the Company estimated to be between 3% and 6% at December 31, 2015 and December 31, 2014 . |
Share Capital (Notes)
Share Capital (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Stockholders' Equity Note [Abstract] | |
Share Capital | SHARE CAPITAL The Company has authorized 500,000,000 shares of common stock having par value of $0.01 per share. As of December 31, 2015 and 2014 , the Company had issued and outstanding 151,739,840 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 December 31, 2015 and 2014 , 3,000,000 shares of 7.75% Series A Preferred Stock ( $25.00 liquidation preference) were issued and outstanding. As of December 31, 2015 , 8,000,000 shares of 7.50% Series B Preferred Stock ( $25.00 liquidation preference) were issued and outstanding. The Series A Preferred Stock and Series B Preferred Stock will not be redeemable before August 3, 2017 and April 30, 2018, respectively, except under circumstances where it is necessary to preserve the Company's qualification as a REIT, for federal income tax purposes or the occurrence of a change of control. On or after August 3, 2017 and April 30, 2018, respectively, the Company may, at its option, redeem any or all of the shares of the Series A Preferred Stock and Series B Preferred Stock, respectively, at $25.00 per share plus any accumulated and unpaid dividends to, but not including, the respective redemption date. The Series A Preferred Stock and Series B Preferred Stock have no stated maturity, and are not subject to any sinking fund or mandatory redemption. The Company's common and preferred stock transactions during the year ended December 31, 2015 and 2014 are as follows (in thousands): Year Ended December 31, 2015 Year Ended December 31, 2014 Common stock Shares Amount Shares Amount Common shares sold in public offerings or issued as restricted common stock 503 $ — 439 $ — Shares repurchased or canceled (10,614 ) (87,944 ) (240 ) (1,952 ) Net increase (decrease) (10,111 ) $ (87,944 ) 199 $ (1,952 ) Equity Offerings On April 30, 2013, the Company closed a public offering of 8,000,000 shares of its Series B Preferred Stock, liquidation preference of $25.00 per share, for total net proceeds of approximately $193.6 million , after the underwriting discount and commissions and expenses. Dividend Reinvestment and Direct Stock Purchase Plan ("DSPP") The Company sponsors a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of common stock by reinvesting some or all of the 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 years ended December 31, 2015 and 2014 the Company did not issue any shares under the DSPP. As of December 31, 2015 and 2014 , there were approximately 4.1 million shares, respectively, available for issuance under this plan. Restricted Common Stock Awards See Note 12, Stock Options and Restricted Common Stock , for a summary of restricted common stock granted to certain its directors, officers and employees for the years ended December 31, 2015 , 2014 and 2013 . Equity Placement Program ("EPP") Effective May 15, 2014, the Company terminated that certain Equity Distribution Agreement by and between the Company and JMP Securities LLC ("JMP"), dated as of June 7, 2011 (the "JMP Agreement"), in connection with the expiration of the Company's prior shelf registration statement on Form S-3. Under the JMP Agreement, the Company could offer and sell, from time to time, up to 15.0 million shares of the Company's common stock through an "at the market" offering program with JMP. For the year ended December 31, 2015 and 2014 , the Company did not sell any shares of common stock under the JMP Agreement. Share Repurchase Program On November 15, 2012, the Company announced that its Board of Directors authorized the repurchase of shares of the Company's common stock having an aggregate value of up to $250 million . Pursuant to this program, through July 20, 2014, the Company repurchased approximately $115.7 million in aggregate value of its shares of common stock on the open market. On July 21, 2014, the Company announced that its Board of Directors authorized the repurchase of shares of the Company's common stock having an aggregate value of up to $250 million , which included the approximately $134.3 million available for repurchase under the November 2012 authorization. In the fourth quarter of 2014, we repurchased 132,749 shares at a weighted-average purchase price of $8.88 , for an aggregate purchase price of approximately $1.18 million , and in the third quarter of 2014 repurchased 39,800 shares at a weighted-average purchase price of $8.86 , for an aggregate purchase price of approximately $0.35 million . For the year ended December 31, 2015 , the Company repurchased 10,559,493 shares with a weighted average purchase price of $8.28 for approximately $87.7 million aggregate purchase price. Accordingly, the Company still had approximately $160.8 million authorized to repurchase shares of its common stock as of December 31, 2015 . |
Earnings Per Share (Notes)
Earnings Per Share (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |
Earnings Per Share [Text Block] | EARNINGS PER SHARE Components of the computation of basic and diluted EPS under the two-class method were as follows (in thousands, except per share numbers): Year Ended December 31, 2015 2014 2013 Net income (loss) $ (4,765 ) $ 425,609 $ (475,782 ) Less dividend on preferred shares (20,813 ) (20,812 ) (15,854 ) Net income (loss) available to common stockholders (25,578 ) 404,797 (491,636 ) Less dividends paid: Common shares (169,896 ) (199,647 ) (221,957 ) Unvested shares (1,157 ) (1,200 ) (1,128 ) Undistributed earnings (loss) $ (196,631 ) $ 203,950 $ (714,721 ) Basic weighted average shares outstanding: Common shares 155,659 160,991 169,967 Basic earnings (loss) per common share: Distributed earnings $ 1.09 $ 1.24 $ 1.31 Undistributed earnings (1.26 ) 1.26 (4.21 ) Basic earnings (loss) per common share $ (0.17 ) $ 2.50 $ (2.90 ) Diluted weighted average shares outstanding: Common shares 155,659 160,991 169,967 Net effect of dilutive warrants (1) — — — 155,659 160,991 169,967 Diluted earnings (loss) per common share: Distributed earnings $ 1.09 $ 1.24 $ 1.31 Undistributed earnings (1.26 ) 1.26 (4.21 ) Diluted earnings (loss) per common share $ (0.17 ) $ 2.50 $ (2.90 ) __________________ (1) For the years ended December 31, 2015 , 2014 and 2013 , the Company had an aggregate of 131 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. |
Incentive Compensation Plan
Incentive Compensation Plan | 12 Months Ended |
Dec. 31, 2015 | |
Compensation Related Costs [Abstract] | |
Disclosure of Compensation Related Costs, Share-based Payments [Text Block] | INCENTIVE COMPENSATION PLANS The Company has adopted Incentive Compensation Plans in 2015 ("2015 Plan"), 2014 ("2014 Plan") and 2013 ("2013 Plan") (collectively, the "Bonus Plans"). Pursuant to the Bonus Plans the Company pays discretionary bonus awards ("Bonus Awards") to eligible employees. The amount of each employee's Bonus Award is calculated at the discretion of the Compensation Committee of the board of directors (the "Compensation Committee") after consideration of the Company's performance and the employee's bonus target and performance for the applicable fiscal year. The Compensation Committee has discretion to determine the total amount to be awarded, and, subject to certain restrictions under the Bonus Plans, it also has discretion to determine what portion of each award will be paid in cash and what portion of each award will be paid in shares of restricted common stock of the Company. As of December 31, 2015 the Company had 7,569,216 shares remaining under the Bonus Plans. For the year ended December 31, 2015 , the Compensation Committee elected to award the Company's employees an aggregate of $4.7 million in Bonus Awards under the 2015 Plan. Approximately $2.7 million of the aggregate Bonus Award amount was accrued during the fiscal year ended December 31, 2015 . The remaining $2.0 million will be paid in shares of restricted common stock to be granted in 2016, with $1.7 million and $0.3 million vesting over a five -year and three -year period, respectively. For the year ended December 31, 2014 , the Compensation Committee elected to award the Company's employees an aggregate of $7.9 million in Bonus Awards under the 2014 Plan. Approximately $4.4 million of the aggregate Bonus Award amount was accrued during the fiscal year ended December 31, 2014 . The remaining $3.5 million was paid in shares of restricted common stock granted in 2015, with $3.2 million and $0.3 million vesting over a five -year and three -year period, respectively. For the year ended December 31, 2013 , the Compensation Committee elected to award the Company's employees an aggregate of $7.3 million in Bonus Awards under the 2013 Plan. Approximately $4.1 million of the aggregate Bonus Award amount was accrued during the fiscal year ended December 31, 2013 . The remaining $3.2 million was paid in shares of restricted common stock granted in 2014, with $2.9 million and $0.3 million vesting over a five year and three year period, respectively. |
Stock Options and Restricted St
Stock Options and Restricted Stock (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Disclosure of Compensation Related Costs, Share-based Payments [Text Block] | STOCK OPTIONS AND RESTRICTED COMMON STOCK On May 10, 2013, the Company's stockholders approved the 2013 Equity Incentive Plan (the "Equity Incentive Plan") that provides for the grant of non-qualified common stock options, stock appreciation rights, restricted common stock and other share based awards. As of December 31, 2015 the Company has only granted restricted common stock pursuant to the Equity Inventive Plan. The Compensation Committee administers the Equity Incentive Plan. Awards under the Equity Incentive Plan may be granted to the Company's directors, executive officers and employees and other service providers. The Equity Incentive Plan authorizes a total of 8,500,000 shares that may be used to satisfy awards under the plan. As of December 31, 2015 and December 31, 2014 , the remaining shares to be granted under the Equity Incentive Plan were 7,569,216 and 8,039,664 , respectively. Prior to May 10, 2013, the Company had a stock incentive plan (the "2006 Stock Incentive Plan") in place that provided for the grant of non-qualified common stock options, stock appreciation rights, restricted common stock and other share based awards. Following stockholder approval of the Equity Incentive Plan, the Company could no longer make awards under the 2006 Stock Incentive Plan. Under the 2006 Stock Incentive Plan, the Company only granted qualified common stock options and restricted common stock. The Compensation Committee administered the plan. Awards under the 2006 Stock Incentive Plan were granted to the Company's directors, executive officers and employees and other service providers. Restricted common stock granted to non-employee directors prior to January 1, 2014 vests over a one-year period. Effective January 1, 2014, all restricted common stock granted to non-employee directors, including the restricted common stock granted on January 2, 2014, vested at the end of the quarter in which it was granted. A description of the vesting schedules for restricted common stock granted to the Company's executive officers and employees is included in Note 11, Incentive Compensation Plan . The following table summarizes restricted common stock transactions for the years ended December 31, 2015 , 2014 and 2013 : Years ended December 31, 2013, 2014 and 2015 Officers and Employees (1) Directors Total Unvested Restricted Common Stock as of December 31, 2012 574,120 31,668 605,788 Granted (Weighted average grant date fair value $11.91) 319,979 44,765 364,744 Canceled/Forfeited (39,034 ) — (39,034 ) Vested (135,438 ) (31,668 ) (167,106 ) Unvested Restricted Common Stock as of December 31, 2013 719,627 44,765 764,392 Granted (Weighted average grant date fair value $8.54) 374,634 64,781 439,415 Canceled/Forfeited (67,102 ) — (67,102 ) Vested (206,360 ) (90,244 ) (296,604 ) Unvested Restricted Common Stock as of December 31, 2014 820,799 19,302 840,101 Granted (Weighted average grant date fair value $8.66) 417,415 86,081 503,496 Canceled/Forfeited (21,800 ) — (21,800 ) Vested (240,685 ) (82,623 ) (323,308 ) Unvested Restricted Common Stock as of December 31, 2015 975,729 22,760 998,489 ______________ (1) Include grants to the Company's executive officers and certain officers and employees of its external manager prior to September 1, 2011. Unrecognized compensation cost related to unvested restricted common stock granted as of December 31, 2015 and 2014 was $7.1 million and $7.0 million , respectively, assuming no forfeitures due to the small number of employees and historical employee attrition. The total fair value of restricted common stock awards vested during the years ended December 31, 2015 , 2014 and 2013 were $2.7 million , $3.0 million and $1.8 million , respectively, based upon the fair market value of the Company's common stock on the grant date. There were no common stock options granted during the years ended December 31, 2015 , 2014 and 2013 . As of December 31, 2015 and 2014 , there were 131,088 options outstanding, all of which were vested and exercisable, with a weighted average exercise price of $30.00 , expiration date of February 2016 and fair value of $0.00 per option. The components of share-based compensation expense for each period were as follows (in thousands): Year ended December 31, 2015 2014 2013 Restricted shares granted to officers and employees (1) $ 3,320 $ 3,811 $ 3,024 Restricted shares granted to certain directors 701 703 447 Total shared based compensation expense $ 4,021 $ 4,514 $ 3,471 _________ (1) Includes grants to certain officers and employees of the Company's external manager prior to September 1, 2011. |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Tax Disclosure [Text Block] | INCOME TAXES The Company has elected to be taxed as a REIT under Section 856 of the Code and intends to continue to comply with the provisions of the Code. As a REIT, the Company generally is not subject to federal or state income tax. To maintain its qualification as a REIT, the Company must distribute at least 90% of its REIT taxable income to its stockholders each year and meet certain other tests relating to assets and income. If the Company fails to qualify as a REIT in any taxable year, the Company will be subject to federal income tax on its taxable income at regular corporate rates. The Company may also be subject to certain state and local taxes. Under certain circumstances, even though the Company qualifies as a REIT, federal income and excise taxes may be due on its undistributed taxable income. No provision for income taxes has been provided in the accompanying financial statements because the Company, as a REIT, is not subject to federal or state taxation because it has paid or will pay dividends in amounts that exceed at least 90% of its current year taxable income. Book to tax differences primarily relate to amortization of realized losses on the termination of swap contracts, share- based compensation expense, and unrealized gain (loss) on investments and interest rate swaps and caps. The per share tax character of the common, Series A Preferred Stock and Series B Preferred Stock distributions declared to stockholders in 2015 of $1.10 , $1.9375 and $1.875 , respectively, is estimated to be $0.978 , and $1.9375 and $1.875 ordinary income, and $0.122 return of capital to the Company's common and preferred stockholders. The estimated federal tax cost and the tax basis components of distributable earnings were as follows (in thousands): December 31, 2015 Cost of investments $ 13,038,159 Gross gain $ 91,198 Gross loss (51,622 ) Net unrealized gain (loss) $ 39,576 Undistributed ordinary income $ — Capital loss carryforwards $ 456,258 As of December 31, 2015 , the Company's estimated capital loss carryforwards available to offset future realized gains are subject to current and future limitations in accordance with Internal Revenue Code section 382 and expire as follows (in thousands): December 31, 2018 456,258 Total $ 456,258 As of December 31, 2015 and 2014 , the Company had no undistributed taxable income. Tax years from 2011 through 2015 remain open to examination by U.S. federal, state and local, or non-U.S. tax jurisdictions. No income tax provision was recorded for the Company's open tax years. |
Contingencies (Notes)
Contingencies (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies | COMMITMENTS AND CONTINGENCIES The Company has leased office space for which the term expires on June 30, 2016. The lease has been classified as an operating lease. The rental expense for the year ended December 31, 2015 , 2014 and 2013 was $0.3 million , $0.3 million and $0.4 million , respectively. In September 2015, the Company entered into a new lease agreement with an estimated commencement date of January 1, 2016, and an estimated rent commencement date of July 1, 2016. The term of this lease expires 84 months after the rent commencement date. Both leases have been classified as operating leases. The Company's aggregate future minimum lease payments total approximately $2.8 million . The following table details the lease payments (in thousands): Years Ending December 31, Lease Commitments 2016 $ 327 2017 353 2018 363 2019 373 Later years 1,382 $ 2,798 The Company enters into certain contracts that contain a variety of indemnifications, principally with broker dealers. As of December 31, 2015 , 2014 and 2013 , no claims have been asserted under these indemnification agreements. Accordingly, the Company has no liabilities recorded for these agreements as of December 31, 2015 , 2014 , and 2013 . |
Financial Instruments With Off-
Financial Instruments With Off-Balance Sheet Risk or Concentrations of Credit Risk | 12 Months Ended |
Dec. 31, 2015 | |
Risks and Uncertainties [Abstract] | |
Concentration Risk Disclosure [Text Block] | FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK OR CONCENTRATIONS OF CREDIT RISK In the normal course of its business, the Company trades various financial instruments and enters into various investment activities with off-balance sheet risk, including interest rate swap and cap contracts. These financial instruments contain varying degrees of off-balance sheet risk whereby losses resulting from changes in the fair values of the securities underlying the financial instruments or the Company's obligations thereunder may ultimately exceed the amount recognized in the statement of assets and liabilities. The Company is subject to credit risk associated with counterparty nonperformance on repurchase agreements. The Company's exposure to credit risk associated with counterparty nonperformance on repurchase agreements is limited to the difference between the borrowings under repurchase agreements plus any accrued interest, minus the fair value of collateral pledge plus any accrued interest. Any counterparty nonperformance of these transactions is not expected to have a material effect on the Company's financial condition. The Company's investments are primarily concentrated in securities that pass through collections of principal and interest from underlying mortgages, and there is a risk that some borrowers on the underlying mortgages will default. Therefore, mortgage-backed securities may bear some exposure to credit losses. However, the Company manages credit risk by primarily holding securities that are guaranteed by government (or government-sponsored) agencies. The Company enters into derivative transactions with counterparties as hedges of interest rate exposure and in the course of investing. The notional amounts of the swap and cap contracts do not represent the Company's risk of loss due to counterparty nonperformance. The Company's exposure to credit risk associated with counterparty nonperformance on swap or cap contracts is limited to the difference between the fair value of the swap or cap, plus any accrued interest, minus the fair value of collateral pledged plus any accrued interest. Our swap agreements are privately negotiated in the OTC market, with swap agreements entered into subsequent to May 2013 subject to central clearing through a registered commodities exchange ("centrally cleared swaps"). In the case of centrally cleared swaps, we could be exposed to credit risk if the central clearing exchange or clearing member defaults on its respective obligation to perform under the contract. However, we believe the risk is minimal due to the clearing exchanges' initial and daily mark to market margin requirements and guarantee funds and other resources that are available in the event of a clearing member default. The Company is subject to interest rate risk. Generally, the value of fixed income securities will change inversely with changes in interest rates. As interest rates rise, the market value of fixed income securities tends to decrease. Conversely, as interest rates fall, the market value of fixed income securities tends to increase. |
Investment Company Accounting D
Investment Company Accounting Disclosure (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Company Accounting Disclosures | INVESTMENT COMPANY ACCOUNTING DISCLOSURES The information in the tables below was required under investment company accounting for which the Company ceased to meet the criteria on January 1, 2014. However, as of December 31, 2013, the Company used investment company financial statement presentation under ASC 946 and the following disclosures have been included to comply with ASC 946. See Note 2, Significant Accounting Policies, for more information. FINANCIAL HIGHLIGHTS In accordance with financial reporting requirements applicable to investment companies, the Company has included below certain financial highlight information for the year ended December 31, 2013: Per Common Share Year Ended December 31, 2013 Net asset value, beginning of period $13.31 Net income (loss): Net investment income 1.51 (a) Net gain (loss) from investments and swap and cap contracts (4.30) (a) Net income (loss) (2.79) Dividends on preferred stock (0.09) (a) Net income (loss) available to common stockholders (2.88) Capital transactions: Distributions to common stockholders (0.85) Return of capital distributions (0.47) Issuance/Repurchase of common and preferred shares and amortization of share based compensation 0.13 (a) Net decrease in net asset value from capital transactions (1.19) Net asset value, end of period $9.24 Net asset value total return (%) (b) (20.66 )% Market value total return (%) (27.36 )% Ratios to Average Net Assets Expenses before interest expense 0.98 % Total expenses 3.44 % Net investment income 12.04 % __________________ (a) Calculated based on average shares outstanding during the period. Average shares outstanding include vested and unvested restricted shares and differs from weighted-average shares outstanding used in calculating EPS. (b) May also be referred to as common book value total return. The following represents a presentation of the line items used in the Statement of Changes in Net Assets under Investment Company Accounting to the line items currently presented in the Company's consolidated Statements of Operations under non-Investment Company Accounting for the year ended December 31, 2013: Reconciliation of Net investment income and Net gain (loss) on investments and derivatives Year Ended December 31, (In thousands) 2013 Interest income from Agency RMBS $ 330,430 Other interest income 1,481 Repurchase agreement interest expense (52,763 ) Compensation and benefits (12,599 ) General, administrative and other (8,436 ) Other income 120 Net investment income 258,233 Net realized gain (loss) on investments (595,116 ) Net unrealized gain (loss) on investments (314,530 ) Net gain (loss) on investments (909,646 ) Swap and cap interest expense (93,497 ) Net realized gain (loss) on termination of swap and cap contracts 30,775 Net unrealized gain (loss) on swap and cap contracts 238,353 Net gain (loss) from swap and cap contracts 175,631 See Note 2, Significant Accounting Policies . |
Subsequent Events (Notes)
Subsequent Events (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS In January 2016, an aggregate of 23,248 shares of restricted common stock were granted to certain directors as a portion of their compensation for serving on the Company's board of directors. On January 12, 2016, the FHFA issued a Final Rule amending its regulations governing FHLB membership criteria for captive insurance companies. The Final Rule defines "insurance company" to exclude "captive insurers". CYS, through CYS Insurance, gained membership in the FHLBC in March, 2015. Under this Final Rule, which will become effective on February 19, 2016, CYS Insurance must terminate its membership in the FHLBC within one year of the effective date and will not be permitted to secure any new advances. On January 12, 2016, the FHLBC advised CYS Insurance that it would not be possible to renew any short-term FHLBC advances that mature before the effective date beyond February 8, 2016. CYS has replaced $1,450.0 million of its short-term FHLBC advances with repo borrowings from its other counterparties. Currently, CYS Insurance has $225.0 million of short-term FHLBC advances maturing within 6 months, which will not be renewed, and $425.0 million of long-term FHLBC advances with a weighted average maturity of approximately 2.5 years. The long-term FHLBC advances are callable after the one-year anniversary of the advance and every six months thereafter but will have to be repaid on or before February 19, 2017. As of December 31, 2015, CYS Insurance had a $42.0 million investment in stock in the FHLBC as required to support a specified percentage of FHLBC Advances. The FHLBC repaid $16.0 million of this investment on January 27, 2016. |
Summary of Quarterly Results of
Summary of Quarterly Results of Operations (Unaudited) | 12 Months Ended |
Dec. 31, 2015 | |
Statement of Financial Position [Abstract] | |
Quarterly Financial Information [Text Block] | SUMMARY OF QUARTERLY RESULTS OF OPERATIONS (UNAUDITED) Three Months Ended (in thousands except per share numbers) December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015 Total interest income $ 85,831 $ 83,982 $ 80,532 $ 80,850 Total interest expense 13,964 12,261 10,262 9,642 Net interest income 71,867 71,721 70,270 71,208 Other income (loss): Net realized gain (loss) on investments (3,704 ) (10,332 ) 9,435 18,253 Net unrealized gain (loss) on investments (134,708 ) 106,154 (176,899 ) 75,689 Net unrealized gain (loss) on long-term FHLBC advances 2,036 (726 ) (11 ) — Other income 409 300 118 40 Subtotal (135,967 ) 95,396 (167,357 ) 93,982 Swap and cap interest expense (22,969 ) (24,681 ) (24,992 ) (27,468 ) Net realized and unrealized gain (loss) on swap and cap contracts 91,986 (100,597 ) 31,047 (77,368 ) Net gain (loss) from swap and cap contracts $ 69,017 $ (125,278 ) $ 6,055 $ (104,836 ) Total other income (loss) $ (66,950 ) $ (29,882 ) $ (161,302 ) $ (10,854 ) Total expenses 3,269 5,812 6,005 5,757 Net income (loss) 1,648 36,027 (97,037 ) 54,597 Dividend on preferred shares (5,204 ) (5,203 ) (5,203 ) (5,203 ) Net income (loss) available to common stockholders $ (3,556 ) $ 30,824 $ (102,240 ) $ 49,394 Net income (loss) per common share basic & diluted $ (0.02 ) $ 0.20 $ (0.66 ) $ 0.31 Three Months Ended (in thousands except per share numbers) December 31, 2014 September 30, 2014 June 30, 2014 March 31, 2014 Total interest income $ 83,599 $ 77,132 $ 71,978 $ 84,367 Total interest expense 9,156 7,657 7,583 9,423 Net interest income 74,443 69,475 64,395 74,944 Other income (loss): Net realized gain (loss) on investments 42,305 40,470 33,118 16,670 Net unrealized gain (loss) on investments 99,135 (112,085 ) 157,479 89,234 Other income 50 50 50 119 Subtotal $ 141,490 $ (71,565 ) $ 190,647 $ 106,023 Swap and cap interest expense (26,650 ) (25,789 ) (19,456 ) (18,923 ) Net realized and unrealized gain (loss) on swap and cap contracts (72,703 ) 58,909 (71,185 ) (25,563 ) Net gain (loss) from swap and cap contracts $ (99,353 ) $ 33,120 $ (90,641 ) $ (44,486 ) Total other income (loss) $ 42,137 $ (38,445 ) $ 100,006 $ 61,537 Total expenses 5,024 6,045 6,020 5,794 Net income (loss) 111,556 24,985 158,381 130,687 Dividend on preferred shares (5,203 ) (5,203 ) (5,203 ) (5,203 ) Net income (loss) available to common stockholders $ 106,353 $ 19,782 $ 153,178 $ 125,484 Net income (loss) per common share basic & diluted $ 0.66 $ 0.12 $ 0.95 $ 0.78 |
Significant Accounting Polici24
Significant Accounting Policies (Policy) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis Of Presentation | Basis of Presentation The accompanying consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("GAAP") and the instructions to Securities and Exchange Commission ("SEC") Form 10-K. The consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. The Company adopted Financial Accounting Standards Board ("FASB") Statement of Position ("SOP") 07-1, Clarification of the Scope of the Audit and Accounting Guide Investment Companies and Accounting by Parent Companies and Equity Method Investors for investments in Investment Companies , prior to its deferral in February 2008. Under SOP 07-1, the Company used financial reporting for investment companies, in accordance with FASB Accounting Standards Codification ("ASC") 946, Investment Companies . Accounting Standards Update No. 2013-08, which was effective for the Company on January 1, 2014 required, among other things, that entities that adopted SOP 07-1 before the FASB's indefinite deferral assess whether they continue to be within the scope of ASC 946. The Company determined that REITs are excluded from the scope of ASC 946, and effective January 1, 2014, the Company discontinued use of investment company accounting on a prospective basis. |
Reclassifications and Presentation | Reclassification and Presentation Effective January 1, 2014, the Company discontinued its use of investment company accounting under ASC 946. Upon transition, the following changes and elections were made: (i) Investments are now presented as available-for-sale securities in accordance with ASC 320 Investments – Debt and Equity Securities , (ii) Management elected the Fair Value Option ("FVO") under ASC 825 – Financial Instruments for all investments held. As a result of the FVO election, all changes in the fair value of investments held on January 1, 2014 continued to be recorded in the Company's consolidated statements of operations, and (iii) The Company elected not to designate its derivatives as hedging instruments in accordance with ASC 815 – Derivatives and Hedging . As a result, all changes in the fair value of derivative instruments held on January 1, 2014 also continued to be recorded in the Company's consolidated statement of operations. The discontinuation of investment company accounting under ASC 946, and the related accounting elections referred to above resulted in no changes in the Company's accounting for any financial statement item. However, the presentation of the Company's consolidated financial statements changed as follows: (i) reformatted the statement of assets and liabilities to a consolidated balance sheet presentation, (ii) reformatted the consolidated statements of operations to include the statement of comprehensive income (loss), as applicable, (iii) removed the statement of changes in net assets and included the consolidated statement of changes in stockholders' equity ( see Note 16, Investment Company Accounting , for the reconciliation of net investment income and net gain (loss) on investments and derivatives for the year ended December 31, 2013), (iv) reformatted the statement of cash flows to include an investing section, (v) changed certain footnotes to reflect conformity with applicable GAAP for non-investment companies, (vi) included summary information on the amortization/accretion of bond premium/discounts, and (vii) removed the financial highlights, as they are no longer required ( see Note 16, Investment Company Accounting , for financial highlights for the year ended December 31, 2013). On January 1, 2014, the Company reclassified its prior period consolidated financial statements to conform to the non-investment company financial statement presentation. This reclassification had no impact on the previously reported income, total assets and liabilities, net cash flows, or stockholders' equity. On the statement of cash flows, cash from investing activities, which were previously included in cash flows from operating activities, have been separately classified as cash flows from investing activities. |
Investments in Securities | Investments in Securities The Company's investment securities are accounted for in accordance with ASC 320. The Company has chosen to make a fair value election pursuant to ASC 825 for its securities and, therefore, our investment securities are recorded at fair market value on the consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the consolidated statements of operations as a component of net unrealized gain (loss) on investments. These investments generally meet the requirements to be classified as available-for-sale under ASC 320, which requires the securities to be carried at fair value on the balance sheet. Electing the fair value option permits the Company to record changes in fair value of our investments in the consolidated statements of operations which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. The Company records its transactions in securities on a trade date basis. We record realized gains and losses on securities transactions on an identified cost basis. Agency RMBS The Company's investments in Agency RMBS consist of pass-through certificates backed by fixed-rate, monthly-reset adjustable-rate loans ("ARMs") and Hybrid ARMs, the principal and interest of which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Hybrid ARMs have interest rates that have an initial fixed period (typically three, five, seven or 10 years) and thereafter reset at regular intervals in a manner similar to ARMs. Forward Settling Transactions The Company engages in forward settling transactions to purchase certain securities. The Company records forward settling transactions on the trade date, and maintains security positions such that sufficient liquid assets will be available to make payment on the settlement date for the securities purchased. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. Along with other forward settling transactions, the Company transacts in "to-be-announced" ("TBA") securities. As with other forward settling transactions, a seller agrees to issue TBAs at a future date; however, the seller does not specify the particular securities to be delivered. Instead, the Company agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Company records a TBA 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. At times, the Company may enter into TBA contracts as a means of investing in and financing Agency RMBS via "dollar roll" transactions. TBA dollar roll transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a "pair off"), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The Company records such pair offs on a gross basis such that there is a sale of the original TBA and a subsequent purchase of a new TBA. Investment Valuation The Company has a pricing committee responsible for establishing valuation policies and procedures, and 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, U.S. Agency Debentures and U.S. Treasuries are generally valued based on prices provided by third party services, as derived from such services' pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker quotations, prices or yields of securities with similar characteristics, prepayment rates, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may also use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. We generally value interest rate swaps and caps using prices provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments were made in determining the fair value of the Company's interest rate swaps and caps. The fair value of a long-lived asset, including real estate, is primarily derived internally, and is based on inputs observed from sales transactions of similar assets. We also rely on available industry information about capitalization rates and expected trends in rents and occupancy. All valuations we receive from third-party pricing services or broker quotes are non-binding. We review all prices. To date, the Company has not adjusted any of the prices received from third party pricing services or brokers. Our pricing review includes comparisons of similar market transactions, alternative third party pricing services and broker quotes, or comparisons to a pricing model. To ensure the proper classification within the fair value hierarchy, the Company reviews the third party pricing services' methodology periodically to understand whether observable or unobservable inputs are being used. See Note 8, Fair Value Measurements , for a discussion of how the Company values its assets. |
Interest Income | Interest Income We record interest income and expense on an accrual basis. We accrue interest income based on the outstanding principal amount of the settled securities in our portfolio and their contractual terms. We amortize premium and discount using the effective interest method, and this net amortization is either accretive to or a reduction of interest income from Agency RMBS in the Company's consolidated statements of operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. We record the unamortized/unaccreted amount of premium or discount associated with a prepayment through interest income from Agency RMBS on our consolidated statements of operations as it occurs. |
Repurchase Agreements | Repurchase Agreements and FHLBC Advances |
Interest Rate Swap and Cap Contracts | Interest Rate Swap and Cap Contracts Commencing with this report on Form 10-K for the year ended December 31, 2015, "Swap and cap interest expense", which up through September 30, 2015 was recognized in "Interest expense," in the Consolidated Statement of Operations, is now recognized in "Net gain (loss) from swap and cap contracts" in "Other income (loss)". This presentation change was made in order to record income, expenses and fair value changes related to derivatives in one line item in the financial statements, consistent with common practice of other companies that invest in similar assets and liabilities. Prior period balances have been reclassified to conform to current period presentation. The Company uses interest rate swaps and interest rate caps to manage its exposure to market risks, including interest rate risk. The objective of our interest rate risk management strategy is to reduce fluctuations in book value over a range of interest rate scenarios. In particular, the Company attempts to manage the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. Historically, we have sought to enter into interest rate swap contracts structured such that we receive payments based on a variable interest rate and make payments based on a fixed interest rate. The variable interest rate on which payments are received is calculated based on various reset mechanisms for LIBOR, and has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. Our swap agreements are privately negotiated in the over-the-counter ("OTC") market, with swap agreements entered into subsequent to May 2013 subject to central clearing through a registered commodities exchange ("centrally cleared swaps").We estimate the fair value of our centrally cleared interest rate swaps using the daily settlement price determined by the respective exchange. Centrally cleared swaps are valued by the exchange using a pricing model that references the underlying rates including the overnight index swap rate and LIBOR forward rate to produce the daily settlement price. We estimate the fair value of our "non-centrally cleared" swaps based on valuations obtained from third-party pricing services and the swap counterparty (collectively "third-party valuations"). The third-party valuations are model-driven using observable inputs consisting of LIBOR and the forward yield curve. We also consider the creditworthiness of both us and our counterparties and the impact of netting and credit enhancement provisions contained in each derivative agreement, such as collateral postings. All of our non-centrally cleared interest rate swaps are subject to bilateral collateral arrangements. No credit valuation adjustment was made in determining the fair value of our interest swap and cap contracts. Additionally, we have entered into interest rate cap contracts structured such that we receive payments based on a variable interest rate being above a fixed cap interest rate. The variable interest rate on which payments are received on interest rate caps is also calculated based on various reset mechanisms for LIBOR. Our interest rate swap and cap contracts effectively fix or cap a portion of our borrowing cost and are not held for speculative or trading purposes. When the Company terminates a swap or cap, it records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's cost basis in the contract, if any. The Company reports the periodic payments and amortization of premiums on cap contracts under swap and cap interest expense in the consolidated statements of operations. Swaps involve a risk that interest rates will move contrary to the Company's expectations, thereby increasing the Company's payment obligation. The Company's interest rate swap and cap contracts are subject to master netting arrangements. 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 December 31, 2015 and December 31, 2014 , the Company did not anticipate non-performance by any counterparty. Should interest rates move unexpectedly, the Company may not achieve the anticipated benefits of the interest rate swap or cap and may realize a loss. While the Company's derivative contracts generally permit for netting or setting off derivative assets and liabilities with the counterparty, the Company reports related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. The Company records changes in fair value of our derivative instruments in net realized and unrealized gain (loss) on swap and cap contracts in our consolidated statements of operations. Cash receipts and payments related to derivative instruments are classified in the Company's consolidated statements of cash flows in accordance with GAAP in both the operating and investing activities sections in the Company's consolidated statements of cash flows. See Note 4, Investments in Interest Rate Swap and Cap Contracts . |
Income Taxes | Income Taxes The Company has elected to be treated as a REIT under the Code. The Company will generally not be subject to federal income tax to the extent that it distributes 90% of its taxable income, determined without regard to the deduction for dividends paid and excluding net capital gain; after application of available tax attributes, within the time limits prescribed by the Code and as long as it satisfies the ongoing REIT requirements including meeting certain asset, income and stock ownership tests. |
Earnings Per Share (EPS) | Earnings Per Share ("EPS") The Company computes basic EPS using the two-class method by dividing net income (loss), after adjusting for the impact of unvested stock awards deemed to be participating securities, by the weighted-average number of common shares outstanding calculated excluding unvested stock awards. The Company computes diluted EPS by dividing net income (loss), after adjusting for the impact of unvested stock awards deemed to be participating securities, by the weighted-average number of common shares outstanding calculated excluding unvested stock awards, giving effect to common stock options and warrants, if they are not anti-dilutive. See Note 10, Earnings Per Share for EPS computations. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements |
Investments In Securities (Tabl
Investments In Securities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Derivative, Fair Value, Net [Abstract] | |
Available-for-sale Securities | The available-for-sale portfolio consisted of the following as of December 31, 2015 and December 31, 2014 (in thousands): December 31, 2015 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 11,142,798 $ (45,018 ) $ 74,891 $ 11,172,671 ARMs 260,394 (1,859 ) 1,860 260,395 Total Fannie Mae 11,403,192 (46,877 ) 76,751 11,433,066 Freddie Mac Certificates Fixed Rate 1,379,566 (3,881 ) 11,822 1,387,507 ARMs 60,821 (727 ) 749 60,843 Total Freddie Mac 1,440,387 (4,608 ) 12,571 1,448,350 Ginnie Mae Certificates - ARMs 45,784 — 796 46,580 U.S. Treasuries 99,847 (136 ) — 99,711 Other Investments 48,948 — 1,080 50,028 Total $ 13,038,158 $ (51,621 ) $ 91,198 $ 13,077,735 December 31, 2014 Fannie Mae Certificates Fixed Rate $ 11,356,716 $ (2,984 ) $ 158,571 $ 11,512,303 ARMs 1,282,065 (13,144 ) 4,449 1,273,370 Total Fannie Mae 12,638,781 (16,128 ) 163,020 12,785,673 Freddie Mac Certificates Fixed Rate 1,183,764 — 25,769 1,209,533 ARMs 394,726 (6,753 ) 1,144 389,117 Total Freddie Mac 1,578,490 (6,753 ) 26,913 1,598,650 Ginnie Mae Certificates - ARMs 66,390 — 1,743 68,133 U.S. Treasuries 149,585 (534 ) — 149,051 Other Investments 6,945 — 1,080 8,025 Total $ 14,440,191 $ (23,415 ) $ 192,756 $ 14,609,532 The following table presents the gross unrealized loss and fair values of the Company's available-for-sale Agency RMBS by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2015 and December 31, 2014 (in thousands): Unrealized loss positions for Less than 12 Months Greater than 12 months Total As of Fair value Unrealized loss Fair value Unrealized loss Fair value Unrealized loss December 31, 2015 $ 6,718,658 $ (50,319 ) $ 86,300 $ (1,303 ) $ 6,804,958 $ (51,622 ) December 31, 2014 $ 259,291 (577 ) 1,494,884 (22,838 ) 1,754,175 (23,415 ) The following table is a summary of our net gain (loss) from the sale of available-for-sale investments for the year ended December 31, 2015 and 2014 (in thousands): For the year ended December 31, 2015 2014 Available-for-sale investments, at cost $ 22,085,834 $ 29,974,360 Proceeds from available-for-sale investments sold 22,099,486 30,106,923 Net gain on sale of available-for-sale investments 13,652 132,563 Gross gain on sale of available-for-sale investments 107,097 187,583 Gross loss on sale of available-for-sale investments (93,445 ) (55,020 ) Net gain on sale of available-for-sale investments $ 13,652 $ 132,563 The components of the carrying value of available-for-sale securities at December 31, 2015 and December 31, 2014 are presented below. The premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates and, conversely, the discount purchase price is due to the average coupon interest rates on these investments being lower than prevailing market rates. (in thousands) December 31, 2015 (1) December 31, 2014 Principal balance $ 12,534,877 $ 13,887,897 Unamortized premium 462,632 552,869 Unamortized discount (273 ) (575 ) Gross unrealized gains 90,118 192,756 Gross unrealized losses (51,622 ) (23,415 ) Fair value $ 13,035,732 $ 14,609,532 __________________ (1) FHLBC stock of approximately $42.0 million and $0.0 million at December 31, 2015 and 2014, respectively, is excluded from the table above as the Company accounts for its investment in FHLBC stock as a cost method investment. |
Investments in Interest Rate 26
Investments in Interest Rate Swap and CAP Contracts (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Interest Rate Derivatives | In order to manage its interest rate exposure, the Company enters into interest rate swap and cap contracts. The Company had the following activity in interest rate swap and cap transactions during the years ended December 31, 2015 and 2014 (in thousands): Year Ended December 31, 2015 (1) Year Ended December 31, 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 July 2015 Terminated $ (500,000 ) May 2014 Terminated $ (300,000 ) July 2015 Opened $ 750,000 May 2014 Opened $ 300,000 August 2015 Terminated $ (500,000 ) June 2014 Terminated $ (550,000 ) August 2015 Opened $ 500,000 June 2014 Opened $ 1,200,000 September 2015 Terminated $ (1,500,000 ) July 2014 Opened $ 400,000 September 2015 Opened $ 1,400,000 October 2014 Opened $ 500,000 October 2015 Terminated $ (300,000 ) October 2014 Terminated $ (500,000 ) October 2015 Opened $ 750,000 December 2014 Opened $ 500,000 Net Increase $ 300,000 December 2014 Terminated $ (500,000 ) Net Decrease $ (50,000 ) __________________ (1) For the year ended December 31, 2015 $1,700.0 million notional of cap and $500.0 million notional of swap contacts were novated by certain counterparties to other counterparties. There were no changes in the underlying terms of the original agreements with the Company. |
Schedule of Derivative Instruments | Below is a summary of our interest rate swap and cap contracts open as of December 31, 2015 and December 31, 2014 (in thousands): Derivatives not designated as hedging instruments under ASC 815 Interest Rate Swap Contracts Notional Amount Fair Value Consolidated Balance Sheets December 31, 2015 $ 2,050,000 $ (14,024 ) Derivative liabilities, at fair value December 31, 2015 5,900,000 39,435 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 Amount Fair Value Consolidated Balance Sheets December 31, 2015 $ 2,500,000 $ 61,343 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 years ended December 31, 2015 , 2014 and 2013 on the Company's interest rate swap and cap contracts not designated as hedging instruments under ASC 815 (in thousands): Gain (Loss) on Derivatives Year Ended December 31, Derivative Type Location of Gain or (Loss) on Derivatives 2015 2014 2013 Interest rate swaps and caps Swap and cap interest expense $ (100,110 ) $ (90,812 ) $ (93,497 ) Interest rate swaps and caps Net realized and unrealized gain (loss) on swap and cap contracts (54,932 ) (110,542 ) 269,128 Interest rate swaps and caps Net gain (loss) from swap and cap contracts $ (155,042 ) $ (201,354 ) $ 175,631 |
Repurchase Agreements and Sho27
Repurchase Agreements and Short-Term FHLBC Advances (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Short-term Debt [Abstract] | |
Schedule Of Company's Borrowings | Certain information with respect to the Company's repo borrowings and short-term FHLBC advances is summarized in the following tables. Each of the repo borrowings and short-term FHLBC advances listed is contractually due in one year or less (dollars in thousands). December 31, 2015 Outstanding repurchase agreements $ 8,987,776 Outstanding short-term FHLBC advances $ 1,675,000 Interest accrued thereon $ 6,847 Weighted average borrowing rate 0.50 % Weighted average remaining maturity (in days) 27.3 Fair value of the collateral (1) $ 11,136,801 December 31, 2014 Repurchase agreements (2) $ 11,289,559 Interest accrued thereon $ 5,334 Weighted average borrowing rate 0.35 % Weighted average remaining maturity (in days) 28.2 Fair value of the collateral (1) $ 11,842,427 __________________ (1) Collateral for repo borrowings and short-term FHLBC advances consists of Agency RMBS and U.S. Treasuries. (2) At December 31, 2014, the Company had no short-term FHLBC advances. |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Table Text Block] | The following table presents information about collateral supporting repo borrowings and short-term FHLBC advances as of December 31, 2015 and December 31, 2014 (in thousands): Collateral for repurchase agreements and short-term FHLBC advances Remaining contractual maturity of the repurchase agreements and short-term FHLB advances (1) December 31, 2015 Overnight and continuous Up to 30 days 30-90 days Greater than 90 days Total Agency RMBS $ — $ 7,579,885 $ 2,235,246 $ 499,394 $ 10,314,525 U.S. Treasuries — 348,251 — — 348,251 Total $ — $ 7,928,136 $ 2,235,246 $ 499,394 $ 10,662,776 December 31, 2014 Agency RMBS $ — $ 7,574,906 $ 3,425,831 $ 140,742 $ 11,141,479 U.S. Treasuries — 148,080 — — 148,080 Total $ — $ 7,722,986 $ 3,425,831 $ 140,742 $ 11,289,559 __________________ (1) At December 31, 2014, the Company had no short-term FHLBC advances. |
Pledged Assets (Tables)
Pledged Assets (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Transfers and Servicing [Abstract] | |
Schedule of Derivative Instruments | Below is a summary of our interest rate swap and cap contracts open as of December 31, 2015 and December 31, 2014 (in thousands): Derivatives not designated as hedging instruments under ASC 815 Interest Rate Swap Contracts Notional Amount Fair Value Consolidated Balance Sheets December 31, 2015 $ 2,050,000 $ (14,024 ) Derivative liabilities, at fair value December 31, 2015 5,900,000 39,435 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 Amount Fair Value Consolidated Balance Sheets December 31, 2015 $ 2,500,000 $ 61,343 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 years ended December 31, 2015 , 2014 and 2013 on the Company's interest rate swap and cap contracts not designated as hedging instruments under ASC 815 (in thousands): Gain (Loss) on Derivatives Year Ended December 31, Derivative Type Location of Gain or (Loss) on Derivatives 2015 2014 2013 Interest rate swaps and caps Swap and cap interest expense $ (100,110 ) $ (90,812 ) $ (93,497 ) Interest rate swaps and caps Net realized and unrealized gain (loss) on swap and cap contracts (54,932 ) (110,542 ) 269,128 Interest rate swaps and caps Net gain (loss) from swap and cap contracts $ (155,042 ) $ (201,354 ) $ 175,631 |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following tables provide a summary of the Company's assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2015 and December 31, 2014 (in thousands): December 31, 2015 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 12,927,996 $ — $ 12,927,996 U.S. Treasuries 99,711 — — 99,711 Other investments — — 8,025 8,025 Derivative assets — 100,778 — 100,778 Total $ 99,711 $ 13,028,774 $ 8,025 $ 13,136,510 Liabilities Long-term FHLBC advances — 423,701 — 423,701 Derivative liabilities — 14,024 — 14,024 $ — $ 437,725 $ — $ 437,725 December 31, 2014 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 14,452,456 $ — $ 14,452,456 U.S. Treasuries 149,051 — — 149,051 Other investments — — 8,025 8,025 Derivative assets — 148,284 — 148,284 Total $ 149,051 $ 14,600,740 $ 8,025 $ 14,757,816 Liabilities Derivative liabilities $ — $ 16,007 $ — $ 16,007 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | (In thousands) Year Ended December 31, Other investments (1) 2015 2014 Beginning balance Level 3 assets $ 8,025 $ 6,945 Cash payments recorded as a reduction of cost basis — — Change in net unrealized gain (loss) — 1,080 Gross purchases — — Gross sales — — Net gain (loss) on sales — — Transfers into (out of) Level 3 — — Ending balance Level 3 assets $ 8,025 $ 8,025 |
Share Capital (Tables)
Share Capital (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Stockholders' Equity Note [Abstract] | |
Common Stock Transactions | The Company's common and preferred stock transactions during the year ended December 31, 2015 and 2014 are as follows (in thousands): Year Ended December 31, 2015 Year Ended December 31, 2014 Common stock Shares Amount Shares Amount Common shares sold in public offerings or issued as restricted common stock 503 $ — 439 $ — Shares repurchased or canceled (10,614 ) (87,944 ) (240 ) (1,952 ) Net increase (decrease) (10,111 ) $ (87,944 ) 199 $ (1,952 ) |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |
Schedule Of Computation Of Basic And Diluted Earnings Per Share | Components of the computation of basic and diluted EPS under the two-class method were as follows (in thousands, except per share numbers): Year Ended December 31, 2015 2014 2013 Net income (loss) $ (4,765 ) $ 425,609 $ (475,782 ) Less dividend on preferred shares (20,813 ) (20,812 ) (15,854 ) Net income (loss) available to common stockholders (25,578 ) 404,797 (491,636 ) Less dividends paid: Common shares (169,896 ) (199,647 ) (221,957 ) Unvested shares (1,157 ) (1,200 ) (1,128 ) Undistributed earnings (loss) $ (196,631 ) $ 203,950 $ (714,721 ) Basic weighted average shares outstanding: Common shares 155,659 160,991 169,967 Basic earnings (loss) per common share: Distributed earnings $ 1.09 $ 1.24 $ 1.31 Undistributed earnings (1.26 ) 1.26 (4.21 ) Basic earnings (loss) per common share $ (0.17 ) $ 2.50 $ (2.90 ) Diluted weighted average shares outstanding: Common shares 155,659 160,991 169,967 Net effect of dilutive warrants (1) — — — 155,659 160,991 169,967 Diluted earnings (loss) per common share: Distributed earnings $ 1.09 $ 1.24 $ 1.31 Undistributed earnings (1.26 ) 1.26 (4.21 ) Diluted earnings (loss) per common share $ (0.17 ) $ 2.50 $ (2.90 ) __________________ (1) For the years ended December 31, 2015 , 2014 and 2013 , the Company had an aggregate of 131 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. |
Stock Options and Restricted 32
Stock Options and Restricted Stock (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Disclosure of Share-based Compensation Arrangements by Share-based Payment Award [Table Text Block] | The following table summarizes restricted common stock transactions for the years ended December 31, 2015 , 2014 and 2013 : Years ended December 31, 2013, 2014 and 2015 Officers and Employees (1) Directors Total Unvested Restricted Common Stock as of December 31, 2012 574,120 31,668 605,788 Granted (Weighted average grant date fair value $11.91) 319,979 44,765 364,744 Canceled/Forfeited (39,034 ) — (39,034 ) Vested (135,438 ) (31,668 ) (167,106 ) Unvested Restricted Common Stock as of December 31, 2013 719,627 44,765 764,392 Granted (Weighted average grant date fair value $8.54) 374,634 64,781 439,415 Canceled/Forfeited (67,102 ) — (67,102 ) Vested (206,360 ) (90,244 ) (296,604 ) Unvested Restricted Common Stock as of December 31, 2014 820,799 19,302 840,101 Granted (Weighted average grant date fair value $8.66) 417,415 86,081 503,496 Canceled/Forfeited (21,800 ) — (21,800 ) Vested (240,685 ) (82,623 ) (323,308 ) Unvested Restricted Common Stock as of December 31, 2015 975,729 22,760 998,489 ______________ (1) Include grants to the Company's executive officers and certain officers and employees of its external manager prior to September 1, 2011. |
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity [Table Text Block] | The components of share-based compensation expense for each period were as follows (in thousands): Year ended December 31, 2015 2014 2013 Restricted shares granted to officers and employees (1) $ 3,320 $ 3,811 $ 3,024 Restricted shares granted to certain directors 701 703 447 Total shared based compensation expense $ 4,021 $ 4,514 $ 3,471 _________ (1) Includes grants to certain officers and employees of the Company's external manager prior to September 1, 2011. |
Income Taxes (Federal Tax Cost
Income Taxes (Federal Tax Cost and the Tax Basis Components) (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Federal Tax Cost and the Tax Basis Components [Abstract] | |
Summary of Operating Loss Carryforwards [Table Text Block] | The estimated federal tax cost and the tax basis components of distributable earnings were as follows (in thousands): December 31, 2015 Cost of investments $ 13,038,159 Gross gain $ 91,198 Gross loss (51,622 ) Net unrealized gain (loss) $ 39,576 Undistributed ordinary income $ — Capital loss carryforwards $ 456,258 |
Summary of Tax Credit Carryforwards [Table Text Block] | As of December 31, 2015 , the Company's estimated capital loss carryforwards available to offset future realized gains are subject to current and future limitations in accordance with Internal Revenue Code section 382 and expire as follows (in thousands): December 31, 2018 456,258 Total $ 456,258 |
Contingencies (Rental Payments)
Contingencies (Rental Payments) (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Future Minimum Rental Payments for Operating Leases [Table Text Block] | The following table details the lease payments (in thousands): Years Ending December 31, Lease Commitments 2016 $ 327 2017 353 2018 363 2019 373 Later years 1,382 $ 2,798 |
Investment Company Accounting35
Investment Company Accounting Disclosure (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Reconciliation_of_Net investment_income_and_Netgain(loss)on_investments_and_derivatives [Table Text Block] | In accordance with financial reporting requirements applicable to investment companies, the Company has included below certain financial highlight information for the year ended December 31, 2013: Per Common Share Year Ended December 31, 2013 Net asset value, beginning of period $13.31 Net income (loss): Net investment income 1.51 (a) Net gain (loss) from investments and swap and cap contracts (4.30) (a) Net income (loss) (2.79) Dividends on preferred stock (0.09) (a) Net income (loss) available to common stockholders (2.88) Capital transactions: Distributions to common stockholders (0.85) Return of capital distributions (0.47) Issuance/Repurchase of common and preferred shares and amortization of share based compensation 0.13 (a) Net decrease in net asset value from capital transactions (1.19) Net asset value, end of period $9.24 Net asset value total return (%) (b) (20.66 )% Market value total return (%) (27.36 )% Ratios to Average Net Assets Expenses before interest expense 0.98 % Total expenses 3.44 % Net investment income 12.04 % __________________ (a) Calculated based on average shares outstanding during the period. Average shares outstanding include vested and unvested restricted shares and differs from weighted-average shares outstanding used in calculating EPS. (b) May also be referred to as common book value total return. The following represents a presentation of the line items used in the Statement of Changes in Net Assets under Investment Company Accounting to the line items currently presented in the Company's consolidated Statements of Operations under non-Investment Company Accounting for the year ended December 31, 2013: Reconciliation of Net investment income and Net gain (loss) on investments and derivatives Year Ended December 31, (In thousands) 2013 Interest income from Agency RMBS $ 330,430 Other interest income 1,481 Repurchase agreement interest expense (52,763 ) Compensation and benefits (12,599 ) General, administrative and other (8,436 ) Other income 120 Net investment income 258,233 Net realized gain (loss) on investments (595,116 ) Net unrealized gain (loss) on investments (314,530 ) Net gain (loss) on investments (909,646 ) Swap and cap interest expense (93,497 ) Net realized gain (loss) on termination of swap and cap contracts 30,775 Net unrealized gain (loss) on swap and cap contracts 238,353 Net gain (loss) from swap and cap contracts 175,631 See Note 2, Significant Accounting Policies . |
Schedule Of Financial Highlight Information [Table Text Block] | Per Common Share Year Ended December 31, 2013 Net asset value, beginning of period $13.31 Net income (loss): Net investment income 1.51 (a) Net gain (loss) from investments and swap and cap contracts (4.30) (a) Net income (loss) (2.79) Dividends on preferred stock (0.09) (a) Net income (loss) available to common stockholders (2.88) Capital transactions: Distributions to common stockholders (0.85) Return of capital distributions (0.47) Issuance/Repurchase of common and preferred shares and amortization of share based compensation 0.13 (a) Net decrease in net asset value from capital transactions (1.19) Net asset value, end of period $9.24 Net asset value total return (%) (b) (20.66 )% Market value total return (%) (27.36 )% Ratios to Average Net Assets Expenses before interest expense 0.98 % Total expenses 3.44 % Net investment income 12.04 % __________________ (a) Calculated based on average shares outstanding during the period. Average shares outstanding include vested and unvested restricted shares and differs from weighted-average shares outstanding used in calculating EPS. (b) May also be referred to as common book value total return. |
Summary of Quarterly Results 36
Summary of Quarterly Results of Operations (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Statement of Financial Position [Abstract] | |
Schedule of Quarterly Financial Information | Three Months Ended (in thousands except per share numbers) December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015 Total interest income $ 85,831 $ 83,982 $ 80,532 $ 80,850 Total interest expense 13,964 12,261 10,262 9,642 Net interest income 71,867 71,721 70,270 71,208 Other income (loss): Net realized gain (loss) on investments (3,704 ) (10,332 ) 9,435 18,253 Net unrealized gain (loss) on investments (134,708 ) 106,154 (176,899 ) 75,689 Net unrealized gain (loss) on long-term FHLBC advances 2,036 (726 ) (11 ) — Other income 409 300 118 40 Subtotal (135,967 ) 95,396 (167,357 ) 93,982 Swap and cap interest expense (22,969 ) (24,681 ) (24,992 ) (27,468 ) Net realized and unrealized gain (loss) on swap and cap contracts 91,986 (100,597 ) 31,047 (77,368 ) Net gain (loss) from swap and cap contracts $ 69,017 $ (125,278 ) $ 6,055 $ (104,836 ) Total other income (loss) $ (66,950 ) $ (29,882 ) $ (161,302 ) $ (10,854 ) Total expenses 3,269 5,812 6,005 5,757 Net income (loss) 1,648 36,027 (97,037 ) 54,597 Dividend on preferred shares (5,204 ) (5,203 ) (5,203 ) (5,203 ) Net income (loss) available to common stockholders $ (3,556 ) $ 30,824 $ (102,240 ) $ 49,394 Net income (loss) per common share basic & diluted $ (0.02 ) $ 0.20 $ (0.66 ) $ 0.31 Three Months Ended (in thousands except per share numbers) December 31, 2014 September 30, 2014 June 30, 2014 March 31, 2014 Total interest income $ 83,599 $ 77,132 $ 71,978 $ 84,367 Total interest expense 9,156 7,657 7,583 9,423 Net interest income 74,443 69,475 64,395 74,944 Other income (loss): Net realized gain (loss) on investments 42,305 40,470 33,118 16,670 Net unrealized gain (loss) on investments 99,135 (112,085 ) 157,479 89,234 Other income 50 50 50 119 Subtotal $ 141,490 $ (71,565 ) $ 190,647 $ 106,023 Swap and cap interest expense (26,650 ) (25,789 ) (19,456 ) (18,923 ) Net realized and unrealized gain (loss) on swap and cap contracts (72,703 ) 58,909 (71,185 ) (25,563 ) Net gain (loss) from swap and cap contracts $ (99,353 ) $ 33,120 $ (90,641 ) $ (44,486 ) Total other income (loss) $ 42,137 $ (38,445 ) $ 100,006 $ 61,537 Total expenses 5,024 6,045 6,020 5,794 Net income (loss) 111,556 24,985 158,381 130,687 Dividend on preferred shares (5,203 ) (5,203 ) (5,203 ) (5,203 ) Net income (loss) available to common stockholders $ 106,353 $ 19,782 $ 153,178 $ 125,484 Net income (loss) per common share basic & diluted $ 0.66 $ 0.12 $ 0.95 $ 0.78 |
Organization Organization (Deta
Organization Organization (Details) - $ / shares | Dec. 31, 2015 | Apr. 30, 2013 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $ 25 | $ 25 |
Series B Cumulative Redeemable Preferred Stock, liquidation preference per share | $ 25 |
Investments In Securities Fair
Investments In Securities Fair Value (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Fair Value | $ 13,035,732 | $ 14,609,532 |
Fannie Mae Certificates | ||
Derivative [Line Items] | ||
Amortized Cost | 11,403,192 | 12,638,781 |
Gross Unrealized Loss | (46,877) | (16,128) |
Gross Unrealized Gain | 76,751 | 163,020 |
Fair Value | 11,433,066 | 12,785,673 |
Fannie Mae Certificates | Fixed Rate | ||
Derivative [Line Items] | ||
Amortized Cost | 11,142,798 | 11,356,716 |
Gross Unrealized Loss | (45,018) | (2,984) |
Gross Unrealized Gain | 74,891 | 158,571 |
Fair Value | 11,172,671 | 11,512,303 |
Fannie Mae Certificates | ARMs | ||
Derivative [Line Items] | ||
Amortized Cost | 260,394 | 1,282,065 |
Gross Unrealized Loss | (1,859) | (13,144) |
Gross Unrealized Gain | 1,860 | 4,449 |
Fair Value | 260,395 | 1,273,370 |
Freddie Mac Certificates | ||
Derivative [Line Items] | ||
Amortized Cost | 1,440,387 | 1,578,490 |
Gross Unrealized Loss | (4,608) | (6,753) |
Gross Unrealized Gain | 12,571 | 26,913 |
Fair Value | 1,448,350 | 1,598,650 |
Freddie Mac Certificates | Fixed Rate | ||
Derivative [Line Items] | ||
Amortized Cost | 1,379,566 | 1,183,764 |
Gross Unrealized Loss | (3,881) | 0 |
Gross Unrealized Gain | 11,822 | 25,769 |
Fair Value | 1,387,507 | 1,209,533 |
Freddie Mac Certificates | ARMs | ||
Derivative [Line Items] | ||
Amortized Cost | 60,821 | 394,726 |
Gross Unrealized Loss | (727) | (6,753) |
Gross Unrealized Gain | 749 | 1,144 |
Fair Value | 60,843 | 389,117 |
Ginnie Mae Certificates - ARMs | ||
Derivative [Line Items] | ||
Amortized Cost | 45,784 | 66,390 |
Gross Unrealized Loss | 0 | 0 |
Gross Unrealized Gain | 796 | 1,743 |
Fair Value | 46,580 | 68,133 |
U.S. Treasuries | ||
Derivative [Line Items] | ||
Amortized Cost | 99,847 | 149,585 |
Gross Unrealized Loss | (136) | (534) |
Gross Unrealized Gain | 0 | 0 |
Fair Value | 99,711 | 149,051 |
Other Investments | ||
Derivative [Line Items] | ||
Amortized Cost | 48,948 | 6,945 |
Gross Unrealized Loss | 0 | 0 |
Gross Unrealized Gain | 1,080 | 1,080 |
Fair Value | 50,028 | 8,025 |
Total | ||
Derivative [Line Items] | ||
Amortized Cost | 13,038,158 | 14,440,191 |
Gross Unrealized Loss | (51,621) | (23,415) |
Gross Unrealized Gain | 91,198 | 192,756 |
Fair Value | $ 13,077,735 | $ 14,609,532 |
Significant Accounting Polici39
Significant Accounting Policies (Details) | 12 Months Ended |
Dec. 31, 2015 | |
Significant Accounting Policies [Line Items] | |
Percentage of REIT taxable income that must be distributed to stockholders | 90.00% |
Investments In Securities Unrea
Investments In Securities Unrealized Loss Positions (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Derivative, Fair Value, Net [Abstract] | ||
Fair Value, Less than 12 Months | $ 6,718,658 | $ 259,291 |
Unrealized loss, Less than 12 Months | (50,319) | (577) |
Fair value, Greater than 12 months | 86,300 | 1,494,884 |
Unrealized loss, Greater than 12 months | (1,303) | (22,838) |
Fair value, Total | 6,804,958 | 1,754,175 |
Unrealized loss, Total | $ (51,622) | $ (23,415) |
Investments In Securities Avail
Investments In Securities Available-for-Sale Investments (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | [1] | |
Derivative, Fair Value, Net [Abstract] | ||||
Available-for-sale investments, at cost | $ 22,085,834 | $ 29,974,360 | ||
Proceeds from available-for-sale investments sold | (22,099,486) | (30,106,923) | $ (48,296,551) | |
Net gain on sale of available-for-sale investments | 13,652 | 132,563 | ||
Gross gain on sale of available-for-sale investments | 107,097 | 187,583 | ||
Gross loss on sale of available-for-sale investments | $ 93,445 | $ 55,020 | ||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. |
Investments In Securities Carry
Investments In Securities Carrying Value of Available-for-sale Securities (Details) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
Derivative, Fair Value, Net [Abstract] | ||
Principal balance | $ 12,534,877,000 | $ 13,887,897,000 |
Unamortized premium | 462,632,000 | 552,869,000 |
Unamortized discount | (273,000) | (575,000) |
Gross unrealized gains | 90,118,000 | 192,756,000 |
Gross unrealized losses | (51,622,000) | (23,415,000) |
Fair value | 13,035,732,000 | 14,609,532,000 |
FHLBC stock | $ 42,000,000 | $ 0 |
Investments In Securities Narra
Investments In Securities Narrative (Details) | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative, Fair Value, Net [Abstract] | ||
Weighted average coupon on Agency RMBS | 3.41% | 3.41% |
Weighted average coupon interest rate on U.S. Treasuries | 0.88% | 1.50% |
Agency RMBS Maturity Years | 30 years | |
Agency RMBS Maturity Date Min | 2,024 | 2,024 |
Agency RMBS Maturity Date Max | 2,046 | 2,045 |
Agency RMBS Contractual Maturity | 2,037 | 2,036 |
U.S. Treasury Securities Maturity Date Max | 2,017 | 2,019 |
Investments in Interest Rate 44
Investments in Interest Rate Swap and CAP Contracts Narrative (Details) - USD ($) $ in Millions | Dec. 31, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Trading Securities Pledged as Collateral | $ 50.7 | $ 60.9 |
Derivative, Collateral, Obligation to Return Cash | 18.5 | 72 |
Securities Received as Collateral | 44.1 | 47.2 |
Not Designated as Hedging Instrument [Member] | ||
Derivative [Line Items] | ||
Derivative, Collateral, Obligation to Return Cash | $ 21.8 | $ 11.1 |
Investments in Interest Rate 45
Investments in Interest Rate Swap and CAP Contracts Interest Rate (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | ||
DerivativeNotionalTransactions | $ 300,000 | |
Interest Rate Cap [Member] | ||
Derivative [Line Items] | ||
Derivatives, Notional Amount, Novated | 1,700,000 | |
Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivatives, Notional Amount, Novated | $ 500,000 | |
February 2014, Closed | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | January 2,015 | |
DerivativeNotionalTransactions | $ (400,000) | |
April 2014, Terminated | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | January 2,015 | |
DerivativeNotionalTransactions | $ 500,000 | |
April 2014, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | April 2,015 | |
DerivativeNotionalTransactions | $ (400,000) | |
May 2014, Terminated | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | July 2,015 | |
DerivativeNotionalTransactions | $ (500,000) | |
May 2014, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | July 2,015 | |
DerivativeNotionalTransactions | $ 750,000 | |
June 2014, Terminated | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | August 2,015 | |
DerivativeNotionalTransactions | $ (500,000) | |
June 2014, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | August 2,015 | |
DerivativeNotionalTransactions | $ 500,000 | |
July 2014, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | September 2,015 | |
DerivativeNotionalTransactions | $ (1,500,000) | |
October 2014, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | September 2,015 | |
DerivativeNotionalTransactions | $ 1,400,000 | |
October 2014, Terminated | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | October 2,015 | |
DerivativeNotionalTransactions | $ (300,000) | |
December 2014, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | October 2,015 | |
DerivativeNotionalTransactions | $ 750,000 | |
February 2013, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | February 2,014 | |
DerivativeNotionalTransactions | $ (500,000) | |
March 2013, Terminated | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | April 2,014 | |
DerivativeNotionalTransactions | $ (1,100,000) | |
March 2013, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | April 2,014 | |
DerivativeNotionalTransactions | $ 500,000 | |
April 2013, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | May 2,014 | |
DerivativeNotionalTransactions | $ (300,000) | |
May 2013, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | May 2,014 | |
DerivativeNotionalTransactions | $ 300,000 | |
May 2013, Matured | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | June 2,014 | |
DerivativeNotionalTransactions | $ (550,000) | |
June 2013, Terminated | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | June 2,014 | |
DerivativeNotionalTransactions | $ 1,200,000 | |
June 2013, Matured | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | July 2,014 | |
DerivativeNotionalTransactions | $ 400,000 | |
July 2013, Matured | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | October 2,014 | |
DerivativeNotionalTransactions | $ 500,000 | |
August 2013, Terminated | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | October 2,014 | |
DerivativeNotionalTransactions | $ (500,000) | |
August 2013, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | December 2,014 | |
DerivativeNotionalTransactions | $ 500,000 | |
November 2013, Opened | ||
Derivative [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | December 2,014 | |
DerivativeNotionalTransactions | $ (500,000) | |
December 2013, Terminated | ||
Derivative [Line Items] | ||
DerivativeNotionalTransactions | $ (50,000) |
Investments in Interest Rate 46
Investments in Interest Rate Swap and CAP Contracts Derivatives not designated as hedging instruments (Details) - Not Designated as Hedging Instrument [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Liabilities, Total [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 2,050,000 | $ 2,600,000 |
Interest Rate Swap Contract, Fair Value | (14,024) | (16,007) |
Assets, Total [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 5,900,000 | 5,050,000 |
Interest Rate Swap Contract, Fair Value | (39,435) | (40,611) |
Assets, Total [Member] | Interest Rate Cap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 2,500,000 | 2,500,000 |
Interest Rate Cap Contracts, Fair Value | $ 61,343 | $ 107,673 |
Investments in Interest Rate 47
Investments in Interest Rate Swap and CAP Contracts Location of Gain or (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||
Swap and cap interest expense | $ (22,969) | $ (24,681) | $ (24,992) | $ (27,468) | $ (26,650) | $ (25,789) | $ (19,456) | $ (18,923) | $ (100,110) | $ (90,812) | $ (93,497) | [1] |
Net realized and unrealized gain (loss) on swap and cap contracts | $ 91,986 | $ (100,597) | $ 31,047 | $ (77,368) | $ (72,703) | $ 58,909 | $ (71,185) | $ (25,563) | (54,932) | (110,542) | 269,128 | [1] |
Net gain (loss) from swap and cap contracts | $ (155,042) | $ (201,354) | $ 175,631 | |||||||||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. |
Repurchase Agreements and Sho48
Repurchase Agreements and Short-Term FHLBC Advances (Schedule Of Company's Borrowings) (Details) | Dec. 31, 2015USD ($)D | Dec. 31, 2014USD ($)D |
Short-term Debt [Abstract] | ||
Repurchase agreements | $ 8,987,776,000 | $ 11,289,559,000 |
Outstanding short-term FHLBC advances | 1,675,000,000 | 0 |
Interest accrued thereon | $ 6,847,000 | $ 5,334,000 |
Weighted average borrowing rate | 0.50% | 0.35% |
Weighted average remaining maturity (in days) | D | 27.3 | 28.2 |
Fair value of the collateral | $ 11,136,801,000 | $ 11,842,427,000 |
Repo percentage of stockholders equity (less than) | 2.70% | 1.60% |
Repo percentage of total borrowings | 11.70% | 3.90% |
FHLBC stock | $ 42,000,000 | $ 0 |
Repurchase Agreements and Sho49
Repurchase Agreements and Short-Term FHLBC Advances (Remaining Contractual Maturity of the Repurchase Agreements and Short-term FHLB Advances) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | $ 10,662,776 | $ 11,289,559 |
Overnight and continuous | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 0 | 0 |
Up to 30 days | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 7,928,136 | 7,722,986 |
30-90 days | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 2,235,246 | 3,425,831 |
Greater than 90 days | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 499,394 | 140,742 |
Agency RMBS | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 10,314,525 | 11,141,479 |
Agency RMBS | Overnight and continuous | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 0 | 0 |
Agency RMBS | Up to 30 days | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 7,579,885 | 7,574,906 |
Agency RMBS | 30-90 days | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 2,235,246 | 3,425,831 |
Agency RMBS | Greater than 90 days | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 499,394 | 140,742 |
U.S. Treasuries | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 348,251 | 148,080 |
U.S. Treasuries | Overnight and continuous | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 0 | 0 |
U.S. Treasuries | Up to 30 days | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 348,251 | 148,080 |
U.S. Treasuries | 30-90 days | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | 0 | 0 |
U.S. Treasuries | Greater than 90 days | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral for repurchase agreements and short-term FHLBC advances | $ 0 | $ 0 |
Long-term FHLBC Advances (Detai
Long-term FHLBC Advances (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Statement of Financial Position [Abstract] | ||
Federal Home Loan Bank, Advances, Par Value | $ 425,000 | |
Long-term FHLBC advances | 423,701 | $ 0 |
AccruedInterestExpenseonLongTermFHLBCAdvances | $ 500 | |
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Weighted Average Interest Rate | 1.48% | |
FederalHomeLoanBankLongTermDebtWeightedAverageMaturity | 2 years 6 months |
Pledged Assets (Details)
Pledged Assets (Details) | 12 Months Ended |
Dec. 31, 2015 | |
Derivative [Line Items] | |
Repurchase Agreement Counterparty and FHLBC Advances, Amount at Risk, Percent of Stockholders' Equity | 2.30% |
Interest Rate Swap and Cap Agreement Counterparty, Excluding Centrally Cleared Swaps, Amount at Risk, Percent of Stockholders' Equity (less than) | 0.50% |
Minimum [Member] | |
Derivative [Line Items] | |
Haircuts on Securities, Percent | 3.00% |
Maximum [Member] | |
Derivative [Line Items] | |
Haircuts on Securities, Percent | 7.00% |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged to Counterparties) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | $ 11,654,742 | $ 11,951,672 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 62,886 | 127,543 |
Agency RMBS | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 11,587,014 | 11,741,879 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 28,801 | |
U.S. Treasuries | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 14,886 | 167,043 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 44,143 | 25,807 |
Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 31,091 | 31,646 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 209 | 164 |
Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 21,751 | 11,104 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 18,534 | 72,771 |
Repurchase Agreements [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 11,579,820 | 11,878,058 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 4,169 |
Repurchase Agreements [Member] | Agency RMBS | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 11,547,098 | 11,697,532 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 3,464 | |
Repurchase Agreements [Member] | U.S. Treasuries | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 1,832 | 149,051 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 692 |
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 | 30,890 | 31,475 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 13 |
Repurchase Agreements [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 0 | 0 |
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 to Counterparties, at Fair Value | 72,658 | 72,158 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 62,886 | 119,349 |
Derivative [Member] | Agency RMBS | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 37,657 | 42,894 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 22,112 | |
Derivative [Member] | U.S. Treasuries | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 13,054 | 17,992 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 44,143 | 25,115 |
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 | 196 | 168 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 209 | 142 |
Derivative [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 21,751 | 11,104 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 18,534 | 71,980 |
Forward Settling Trades [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 2,264 | 1,456 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 4,025 |
Forward Settling Trades [Member] | Agency RMBS | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 2,259 | 1,453 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 3,225 | |
Forward Settling Trades [Member] | U.S. Treasuries | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 0 | 0 |
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 to Counterparties, at Fair Value | 5 | 3 |
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 to Counterparties, at Fair Value | 0 | 0 |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $ 0 | $ 791 |
Pledged Assets (Assets Pledge53
Pledged Assets (Assets Pledged from Counterparties ) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $ 62,886 | $ 127,543 |
Agency RMBS | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 28,801 | |
U.S. Treasuries | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 44,143 | 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 | 209 | 164 |
Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 18,534 | 72,771 |
Repurchase Agreements [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 4,169 |
Repurchase Agreements [Member] | Agency RMBS | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 3,464 | |
Repurchase Agreements [Member] | U.S. Treasuries | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 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 | 0 | 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 | 62,886 | 119,349 |
Derivative [Member] | Agency RMBS | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 22,112 | |
Derivative [Member] | U.S. Treasuries | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 44,143 | 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 | 209 | 142 |
Derivative [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 18,534 | 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 | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 3,225 | |
Forward Settling Trades [Member] | U.S. Treasuries | ||
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 | Dec. 31, 2015 | Dec. 31, 2014 |
Transfers and Servicing [Abstract] | ||
Derivative Asset, Current | $ 39,435 | $ 40,611 |
Interest rate cap, asset position | 61,343 | 107,673 |
Derivative assets, at fair value | 100,778 | 148,284 |
Derivative Asset, Not Subject to Master Netting Arrangement | 25,151 | 7,008 |
DerivativeAssetSubjectToMasterNettingArrangement | 75,627 | 141,276 |
Derivative Liability, Current | 14,024 | 16,007 |
Interest rate cap, liability position | 0 | 0 |
Derivative liabilities, at fair value | 14,024 | 16,007 |
Derivative Liability, Not Subject to Master Netting Arrangement | 14,024 | 11,579 |
DerivativeLiabilitySubjectToMasterNettingArrangement | $ 0 | $ 4,428 |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Transfers and Servicing [Abstract] | ||
DerivativeAssetSubjectToMasterNettingArrangement | $ 75,627 | $ 141,276 |
InstrumentsAvailableToOffsetDerivativeLiability | 0 | 4,341 |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 4,341 | |
Fair Value of Securities Received as Collateral that Have Been Resold or Repledged | 59,907 | 117,991 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | $ 15,720 | $ 18,944 |
Pledged Assets (Offsetting Liab
Pledged Assets (Offsetting Liabilities) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Transfers and Servicing [Abstract] | ||
RepurchaseagreementsandFederalHomeLoanBankAdvances | $ 11,086,477 | |
Securities Sold under Agreements to Repurchase and FHLBC Advances, Not Offset, Policy Election Deduction | 42,003 | |
Securities Sold under Agreements to Repurchase and FHLBC Advances, Right to Reclaim Securities and Cash | 11,044,474 | |
Securities Sold under Agreements to Repurchase and FHLBC Advances, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 0 | |
NetDerivativeLiability | $ 4,428 | |
InstrumentsAvailableToOffsetDerivativeLiability | 0 | 4,341 |
Derivative Liability, Fair Value of Collateral | 87 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | |
Repurchase agreements | $ 8,987,776 | 11,289,559 |
InstrumentsAvailableToOffsetRepoLiability | 0 | |
SecuritiesSoldUnderAgreementsNotOffsetAgainstCollateral | $ 0 |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Agency RMBS | $ 12,927,996 | $ 14,452,456 |
U.S. Treasuries | 99,711 | 149,051 |
Other Investments (1) | 8,025 | 8,025 |
Derivative assets, at fair value | 100,778 | 148,284 |
Total | 13,136,510 | 14,757,816 |
Long-term FHLBC advances | 423,701 | |
Derivative liabilities | 14,024 | 16,007 |
Liabilities, Fair Value Disclosure, Recurring | 437,725 | |
Level 1 | ||
Derivative [Line Items] | ||
Agency RMBS | 0 | 0 |
U.S. Treasuries | 99,711 | 149,051 |
Other Investments (1) | 0 | 0 |
Derivative assets, at fair value | 0 | 0 |
Total | 99,711 | 149,051 |
Long-term FHLBC advances | 0 | |
Derivative liabilities | 0 | 0 |
Liabilities, Fair Value Disclosure, Recurring | 0 | |
Level 2 | ||
Derivative [Line Items] | ||
Agency RMBS | 12,927,996 | 14,452,456 |
U.S. Treasuries | 0 | 0 |
Other Investments (1) | 0 | 0 |
Derivative assets, at fair value | 148,284 | |
Total | 13,028,774 | 14,600,740 |
Derivative liabilities | 16,007 | |
Liabilities, Fair Value Disclosure, Recurring | 437,725 | |
Level 3 | ||
Derivative [Line Items] | ||
Agency RMBS | 0 | 0 |
U.S. Treasuries | 0 | 0 |
Other Investments (1) | 8,025 | 8,025 |
Derivative assets, at fair value | 0 | 0 |
Total | 8,025 | 8,025 |
Long-term FHLBC advances | 0 | |
Derivative liabilities | 0 | $ 0 |
Liabilities, Fair Value Disclosure, Recurring | $ 0 |
Fair Value Measurements Level 3
Fair Value Measurements Level 3 Investments (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | ||
Unobservable input capitalization rate min | 3.00% | 6.00% |
FHLBC stock | $ 42,000,000 | $ 0 |
Other Investments | ||
Derivative [Line Items] | ||
Beginning balance Level 3 assets | 8,025,000 | 6,945,000 |
Cash payments recorded as a reduction of cost basis | 0 | 0 |
Change in net unrealized gain (loss) | 0 | 1,080,000 |
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 | $ 8,025,000 | $ 8,025,000 |
Share Capital (Details)
Share Capital (Details) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Jul. 21, 2014 | Apr. 30, 2013 | Nov. 15, 2012 | Jun. 07, 2011 | |
Schedule of Capitalization, Equity [Line Items] | |||||||||||
Common stock, shares authorized | 500,000,000 | 500,000,000 | 500,000,000 | 500,000,000 | |||||||
Common stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
Common stock, shares issued | 151,739,840 | 161,849,878 | 151,739,840 | 161,849,878 | |||||||
Series A Cumulative Redeemable Preferred Stock, shares authorized | 50,000,000 | 50,000,000 | |||||||||
Series A Cumulative Redeemable Preferred Stock, par value | $ 0.01 | $ 0.01 | |||||||||
Preferred stock, shares outstanding | 3,000,000 | 3,000,000 | 3,000,000 | 3,000,000 | |||||||
Series A Cumulative Redeemable Preferred Stock, dividend rate | 7.75% | 7.75% | |||||||||
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $ 25 | $ 25 | $ 25 | ||||||||
Series B Cumulative Redeemable Preferred Stock, Value Issued | $ (193,531,000) | $ (193,531,000) | $ (193,531,000) | $ (193,531,000) | $ (193,600,000) | ||||||
Series B Cumulative Redeemable Preferred Stock, shares issued | 8,000,000 | 8,000,000 | 8,000,000 | 8,000,000 | 8,000,000 | ||||||
Preferred Stock B, Dividend Rate, Percentage | 7.50% | ||||||||||
Number Of Common Stock Available To Sell Under Sales Agreement | 134,300,000 | ||||||||||
Stock Repurchase Program, Authorized Amount | $ 250,000,000 | $ 250,000,000 | |||||||||
Stock Repurchased and Retired During Period, Shares | 132,749 | 39,800 | 10,559,493 | ||||||||
Treasury Stock Acquired, Average Cost Per Share | $ 8.88 | $ 8.86 | $ 8.28 | ||||||||
Payments for Repurchase of Common Stock | $ 1,180,000 | $ 350,000 | $ 115,700,000 | $ 87,700,000 | |||||||
Equity Placement Program [Member] | |||||||||||
Schedule of Capitalization, Equity [Line Items] | |||||||||||
Number Of Common Stock Available To Sell Under Sales Agreement | 15,000,000 | ||||||||||
Dividend Reinvestment And Direct Stock Purchase Plan [Member] | |||||||||||
Schedule of Capitalization, Equity [Line Items] | |||||||||||
Shares available for issuance during period shares dividend reinvestment plan | 4,100,000 | 4,100,000 | |||||||||
July 2014 Repurchase Plan [Member] | |||||||||||
Schedule of Capitalization, Equity [Line Items] | |||||||||||
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $ 160,796,241.843 | $ 160,796,241.843 |
Share Capital Stockholders' eq
Share Capital Stockholders' equity note (Details) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Stockholders' Equity Note [Abstract] | ||
Shares sold in public offerings or issued as restricted stock, Shares | 503 | 439 |
Shares Repurchased or Canceled (Shares) | (10,614) | (240) |
Stock Issued During Period, Shares, Period Increase (Decrease) | (10,111) | 199 |
Shares sold in public offerings or issued as restricted stock, Amount | $ 0 | $ 0 |
Shares Repurchased or Canceled (Value) | (87,944) | (1,952) |
Increase in net assets from capital transactions | $ (87,944) | $ (1,952) |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||||||
Net income (loss) | $ 1,648 | $ 36,027 | $ (97,037) | $ 54,597 | $ 111,556 | $ 24,985 | $ 158,381 | $ 130,687 | $ (4,765) | $ 425,609 | $ (475,782) | [1],[2] | ||
Dividends on preferred stock | (5,204) | (5,203) | (5,203) | (5,203) | (5,203) | (5,203) | (5,203) | (5,203) | (20,813) | [3] | (20,812) | [3] | (15,854) | [1],[4] |
Net income (loss) available to common stockholders | $ (3,556) | $ 30,824 | $ (102,240) | $ 49,394 | $ 106,353 | $ 19,782 | $ 153,178 | $ 125,484 | (25,578) | 404,797 | (491,636) | [1] | ||
Common shares | (169,896) | (199,647) | (221,957) | |||||||||||
Unvested shares | 1,157 | 1,200 | 1,128 | |||||||||||
Undistributed earnings (loss) | $ (196,631) | $ 203,950 | $ (714,721) | |||||||||||
Common shares | 155,659,000 | 160,991,000 | 169,967,000 | |||||||||||
Distributed earnings, basic | $ 1.09 | $ 1.24 | $ 1.31 | |||||||||||
Undistributed earnings | (1.26) | 1.26 | (4.21) | |||||||||||
Basic earnings (loss) per common share | $ (0.17) | $ 2.50 | $ (2.90) | |||||||||||
Net effect of dilutive warrants (1) | 0 | 0 | 0 | |||||||||||
Diluted weighted average shares outstanding | 155,659,000 | 160,991,000 | 169,967,000 | |||||||||||
Distributed earnings | $ 1.09 | $ 1.24 | $ 1.31 | |||||||||||
Undistributed earnings | (1.26) | 1.26 | (4.21) | |||||||||||
Diluted earnings per common share | $ (0.17) | $ 2.50 | $ (2.90) | |||||||||||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range, Number of Outstanding Options | 131,088 | 131,088 | 131,088 | 131,088 | 131,088 | |||||||||
Weighted average exercise price for stock options | $ 30 | $ 30 | $ 30 | $ 30 | $ 30 | |||||||||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||||||||||
[2] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||||||||||
[3] | Preferred Series A and Series B dividends declared of $1.9375 and $1.875 per share, respectively, for the year ended December 31, 2015 and 2014. | |||||||||||||
[4] | Preferred Series A and Series B dividends declared of $1.9375 and $1.328125 per share, respectively, for the year ended December 31, 2013. |
Incentive Compensation Plan (De
Incentive Compensation Plan (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 7,569,216 | 8,039,664 | |
IncentiveCompensation | $ 4.7 | $ 7.9 | $ 7.3 |
Salaries, Wages and Officers' Compensation | 2.7 | 4.4 | 4.1 |
Stock Issued During Period, Value, Restricted Stock Award, Gross | 2 | 3.5 | 3.2 |
StockIssuedDuringPeriodValueRestrictedStockAwardGross3YearVest | 1.7 | 3.2 | 2.9 |
StockIssuedDuringPeriodValueRestrictedStockAwardGross5YearVest | $ 0.3 | $ 0.3 | $ 0.3 |
ShareBasedCompensationArrangementByShareBasedPaymentAwardAwardVestingPeriod3Year | three | three | three |
ShareBasedCompensationArrangementByShareBasedPaymentAwardAwardVestingPeriod5Year | 5 years | 5 years | 5 years |
Stock Options and Restricted 63
Stock Options and Restricted Stock - Stock Incentive Plan (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 8.66 | $ 8.54 | $ 11.91 |
Weighted average exercise price for stock options | $ 30 | $ 30 | $ 30 |
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Authorized | 8,500,000 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 7,569,216 | 8,039,664 | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Number | 131,088 | 131,088 | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Intrinsic Value | $ 0 | $ 0 |
Stock Options and Restricted 64
Stock Options and Restricted Stock - Restricted Stock Expense (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized | $ 7,100,000 | $ 7,000,000 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Total Fair Value | $ 2,700,000 | $ 3,000,000 | $ 1,800,000 |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Number | 131,088 | 131,088 | |
Weighted average exercise price for stock options | $ 30 | $ 30 | $ 30 |
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Authorized | 8,500,000 | ||
ShareBasedCompensationOfficersandEmployees | $ 3,320 | $ 3,811 | $ 3,024 |
ShareBasedCompensationDirectors | 701 | 703 | 447 |
Restricted Stock or Unit Expense | $ 4,021 | $ 4,514 | $ 3,471 |
Stock Options and Restricted 65
Stock Options and Restricted Stock (Restricted Common Stock Activity) (Details) - $ / shares | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ||||
Unvested Share Based Compesation Employees | 975,729 | 820,799 | 719,627 | 574,120 |
Unvested Share Based Compensation Directors | 22,760 | 19,302 | 44,765 | 31,668 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 998,489 | 840,101 | 764,392 | 605,788 |
StockIssuedDuringPeriodSharesShareBasedCompensationGrossEmployee | 417,415 | 374,634 | 319,979 | |
StockIssuedDuringPeriodSharesShareBasedCompensationGrossDirector | 86,081 | 64,781 | 44,765 | |
Stock Issued During Period, Shares, Share-based Compensation, Gross | 503,496 | 439,415 | 364,744 | |
SharesPaidForTaxWithholdingForShareBasedCompensationEmployee | (21,800) | (67,102) | (39,034) | |
SharesPaidForTaxWithholdingForShareBasedCompensationDirector | 0 | 0 | 0 | |
Shares Paid for Tax Withholding for Share Based Compensation | (21,800) | (67,102) | (39,034) | |
ShareBasedCompensationAwardVestedEmployee | (240,685) | (206,360) | (135,438) | |
ShareBasedCompensationAwardVestedDirector | (82,623) | (90,244) | (31,668) | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | (323,308) | (296,604) | (167,106) | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 8.66 | $ 8.54 | $ 11.91 |
Income Taxes (Estimated Capital
Income Taxes (Estimated Capital Loss Carryforwards) (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Other Tax Carryforward [Line Items] | |||
Percentage of REIT taxable income that must be distributed to stockholders | 90.00% | ||
Dividends declared per common share | $ 1.10 | $ 1.24 | $ 1.32 |
Distribution to common shareholders as ordinary income (in dollars per share) | 0.98 | ||
Distribution to shareholders as return of capital (in dollars per share) | $ 0.122 | ||
Cost of investments | $ 13,038,159 | ||
Gross appreciation | 91,198 | ||
Gross depreciation | (51,622) | ||
Net unrealized appreciation (depreciation) | 39,576 | ||
Undistributed ordinary income | 0 | ||
Capital loss carryforwards | 456,258 | ||
Deferredtaxassetscapitallosscarryforwards2018 | $ 456,258 | ||
Series A Preferred Stock | |||
Other Tax Carryforward [Line Items] | |||
Preferred stock, dividends declared (in dollars per share) | $ 1.9375 | 1.9375 | 1.9375 |
Series B Preferred Stock | |||
Other Tax Carryforward [Line Items] | |||
Preferred stock, dividends declared (in dollars per share) | $ 1.875 | $ 1.875 | $ 1.328125 |
Contingencies (Details)
Contingencies (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Loss Contingencies [Line Items] | |||
Operating Leases, Rent Expense | $ 300,000 | $ 300,000 | $ 400,000 |
2,016 | 327,000 | ||
2,017 | 353,000 | ||
2,018 | 363,000 | ||
2,019 | 373,000 | ||
Later years | 1,382,000 | ||
Operating Leases, Future Minimum Payments Due | $ 2,798,000 | ||
Lessee Leasing Arrangements, Operating Leases, Term of Contract | 84 months | ||
Indemnification claims | $ 0 | $ 0 | $ 0 |
Investment Company Accounting68
Investment Company Accounting Disclosure Financial Higlights (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2013 | Dec. 31, 2012 | |
Investments, Debt and Equity Securities [Abstract] | ||
Net asset value, beginning of period | $ 9.24 | $ 13.31 |
Net investment income | 1.51 | |
Net gain (loss) from investments and swap and cap contracts | (4.30) | |
Net income (loss) | (2.79) | |
Dividends on preferred stock | $ (0.09) | |
Net income (loss) available to common stockholders | $ (2.88) | |
Distributions to common stockholders | $ (0.85) | |
ReturnOfCapitalPerShare | (0.47) | |
Issuance/Repurchase of common and preferred shares and amortization of share based compensation | 0.13 | |
Net decrease in net asset value from capital transactions | $ (1.19) | |
Net asset value total return (%) | (20.66%) | |
Market value total return (%) | (27.36%) | |
Expenses before interest expense | 0.98% | |
Total expenses | 3.44% | |
Net investment income | 12.04% |
Investment Company Accounting69
Investment Company Accounting Disclosure Reconciliation of Net Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Investments, Debt and Equity Securities [Abstract] | ||||||||||||
Interest income from Agency RMBS | $ 328,286 | $ 301,996 | $ 330,430 | [1] | ||||||||
Other interest income | 2,909 | 15,080 | 1,481 | [1] | ||||||||
Repurchase agreement and short-term FHLBC advances interest expense | 43,074 | 33,825 | 52,763 | [1] | ||||||||
Compensation and benefits | 12,121 | 14,105 | 12,599 | [1] | ||||||||
General, administrative and other | 8,722 | 8,778 | 8,436 | [1] | ||||||||
Other income | $ 409 | $ 300 | $ 118 | $ 40 | $ 50 | $ 50 | $ 50 | $ 119 | 867 | 269 | 120 | [1] |
Net investment income | 71,867 | 71,721 | 70,270 | 71,208 | 74,443 | 69,475 | 64,395 | 74,944 | 258,233 | [2] | ||
Net realized gain (loss) on investments | (3,704) | (10,332) | 9,435 | 18,253 | 42,305 | 40,470 | 33,118 | 16,670 | 13,652 | 132,563 | (595,116) | [1],[2] |
Net unrealized gain (loss) on investments | (134,708) | 106,154 | (176,899) | 75,689 | 99,135 | (112,085) | 157,479 | 89,234 | $ (129,764) | $ 233,763 | (314,530) | [1],[2] |
Net gain (loss) on investments | (66,950) | (29,882) | (161,302) | (10,854) | $ 42,137 | $ (38,445) | $ 100,006 | $ 61,537 | (909,646) | |||
Swap and cap interest expense | (93,497) | |||||||||||
Net unrealized gain (loss) on long-term FHLBC advances | $ 2,036 | $ (726) | $ (11) | $ 0 | 30,775 | |||||||
Net unrealized gain (loss) on swap and cap contracts | 238,353 | |||||||||||
Net gain (loss) from swap and cap contracts | $ 175,631 | |||||||||||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||||||||
[2] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) | Jan. 27, 2016 | Jan. 12, 2016 | Jan. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 |
Subsequent Event [Line Items] | |||||
Repurchase agreements to replace FHLBC advances | $ 8,987,776,000 | $ 11,289,559,000 | |||
Short-term FHLBC advances | 1,675,000,000 | 0 | |||
Long-term FHLBC advances | $ 423,701,000 | 0 | |||
FederalHomeLoanBankLongTermDebtWeightedAverageMaturity | 2 years 6 months | ||||
FHLBC stock | $ 42,000,000 | $ 0 | |||
Subsequent Event | |||||
Subsequent Event [Line Items] | |||||
Repurchase agreements to replace FHLBC advances | $ 1,450,000,000 | ||||
Short-term FHLBC advances | 225,000,000 | ||||
Long-term FHLBC advances | $ 425,000,000 | ||||
FederalHomeLoanBankLongTermDebtWeightedAverageMaturity | 2 years 6 months | ||||
Proceeds from Sale of Federal Home Loan Bank Stock | $ 16,000,000 | ||||
Restricted Stock | Subsequent Event | |||||
Subsequent Event [Line Items] | |||||
Shares granted | 23,248 |
Summary of Quarterly Results 71
Summary of Quarterly Results of Operations (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||||
Statement of Financial Position [Abstract] | ||||||||||||||
Total interest income | $ 85,831 | $ 83,982 | $ 80,532 | $ 80,850 | $ 83,599 | $ 77,132 | $ 71,978 | $ 84,367 | $ 331,195 | $ 317,076 | $ 331,911 | [1] | ||
Total interest expense | 13,964 | 12,261 | 10,262 | 9,642 | 9,156 | 7,657 | 7,583 | 9,423 | 46,129 | 33,825 | 52,763 | [1] | ||
Net interest income | 71,867 | 71,721 | 70,270 | 71,208 | 74,443 | 69,475 | 64,395 | 74,944 | 258,233 | [2] | ||||
Net realized gain (loss) on investments | (3,704) | (10,332) | 9,435 | 18,253 | 42,305 | 40,470 | 33,118 | 16,670 | 13,652 | 132,563 | (595,116) | [1],[2] | ||
Net unrealized gain (loss) on investments | (134,708) | 106,154 | (176,899) | 75,689 | 99,135 | (112,085) | 157,479 | 89,234 | (129,764) | 233,763 | (314,530) | [1],[2] | ||
Net unrealized gain (loss) on long-term FHLBC advances | 2,036 | (726) | (11) | 0 | 30,775 | |||||||||
Other income | 409 | 300 | 118 | 40 | 50 | 50 | 50 | 119 | 867 | 269 | 120 | [1] | ||
Subtotal | (135,967) | 95,396 | (167,357) | 93,982 | 141,490 | (71,565) | 190,647 | 106,023 | (113,946) | 366,595 | (909,526) | [1] | ||
Swap and cap interest expense | (22,969) | (24,681) | (24,992) | (27,468) | (26,650) | (25,789) | (19,456) | (18,923) | (100,110) | (90,812) | (93,497) | [1] | ||
Net realized and unrealized gain (loss) on swap and cap contracts | 91,986 | (100,597) | 31,047 | (77,368) | (72,703) | 58,909 | (71,185) | (25,563) | (54,932) | (110,542) | 269,128 | [1] | ||
Net gain (loss) from swap and cap contracts | 69,017 | (125,278) | 6,055 | (104,836) | (99,353) | 33,120 | (90,641) | (44,486) | (155,042) | (201,354) | 175,631 | [1] | ||
Total other income (loss) | (66,950) | (29,882) | (161,302) | (10,854) | 42,137 | (38,445) | 100,006 | 61,537 | (909,646) | |||||
Total expenses | 3,269 | 5,812 | 6,005 | 5,757 | 5,024 | 6,045 | 6,020 | 5,794 | 20,843 | 22,883 | 21,035 | [1] | ||
Net income (loss) | 1,648 | 36,027 | (97,037) | 54,597 | 111,556 | 24,985 | 158,381 | 130,687 | (4,765) | 425,609 | (475,782) | [1],[3] | ||
Dividends on preferred stock | (5,204) | (5,203) | (5,203) | (5,203) | (5,203) | (5,203) | (5,203) | (5,203) | (20,813) | [4] | (20,812) | [4] | (15,854) | [1],[5] |
Net income (loss) available to common stockholders | $ (3,556) | $ 30,824 | $ (102,240) | $ 49,394 | $ 106,353 | $ 19,782 | $ 153,178 | $ 125,484 | $ (25,578) | $ 404,797 | $ (491,636) | [1] | ||
Net income (loss) per common share basic & diluted | $ (0.02) | $ 0.20 | $ (0.66) | $ 0.31 | $ 0.66 | $ 0.12 | $ 0.95 | $ 0.78 | $ (0.17) | $ 2.50 | $ (2.90) | [1] | ||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||||||||||
[2] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||||||||||
[3] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2, Significant Accounting Policies, to consolidated financial statements. | |||||||||||||
[4] | Preferred Series A and Series B dividends declared of $1.9375 and $1.875 per share, respectively, for the year ended December 31, 2015 and 2014. | |||||||||||||
[5] | Preferred Series A and Series B dividends declared of $1.9375 and $1.328125 per share, respectively, for the year ended December 31, 2013. |