Document And Entity Information
Document And Entity Information - shares | 3 Months Ended | |
Mar. 31, 2016 | Apr. 22, 2016 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2016 | |
Document Fiscal Period Focus | Q1 | |
Document Fiscal Year Focus | 2,016 | |
Entity Registrant Name | CYS Investments, Inc. | |
Entity Central Index Key | 1,396,446 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 151,556,564 |
Consolidated Statements Of Asse
Consolidated Statements Of Assets And Liabilities (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | [1] |
Assets: | |||
Investments in securities, at fair value (including pledged assets of $10,898,745 and $11,601,900, respectively) | $ 12,918,402 | $ 13,027,707 | |
Other investments | 34,028 | 50,028 | |
Derivative assets, at fair value | 32,701 | 100,778 | |
Cash | 6,262 | 9,982 | |
Receivable for securities sold and principal repayments | 1,586 | 1,084,844 | |
Interest receivable | 34,033 | 34,563 | |
Receivable for cash pledged as collateral | 85,097 | 21,751 | |
Other assets | 1,219 | 1,051 | |
Total assets | 13,113,328 | 14,330,704 | |
Liabilities: | |||
Repurchase agreements | 9,656,969 | 8,987,776 | |
FHLBC Advances, at fair value | 649,553 | 2,098,701 | |
Derivative liabilities, at fair value | 85,461 | 14,024 | |
Payable for securities purchased | 937,163 | 1,475,974 | |
Payable for cash received as collateral | 9,141 | 18,534 | |
Distribution payable | 43,809 | 4,410 | |
Accrued interest payable | 20,020 | 32,588 | |
Accrued expenses and other liabilities | 3,113 | 4,083 | |
Total liabilities | 11,405,229 | 12,636,090 | |
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 (151,535 and 151,740 shares issued and outstanding, respectively) | 1,515 | 1,517 | |
Additional paid in capital | 1,943,177 | 1,946,419 | |
Accumulated deficit | (502,493) | (519,222) | |
Total stockholders' equity | 1,708,099 | 1,694,614 | |
Total liabilities and stockholders' equity | $ 13,113,328 | $ 14,330,704 | |
[1] | Derived from audited consolidated financial statements. |
Condolidated Statements Of Asse
Condolidated Statements Of Assets And Liabilities (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Common Stock, Number of Shares, Par Value and Other Disclosures [Abstract] | ||
Investments in securities, pledged assets | $ 10,898,745 | $ 11,601,900 |
Series Cumulative Redeemable Preferred Stock, par value | $ 0.01 | $ 0.01 |
Preferred Stock, shares authorized | 50,000,000 | 50,000,000 |
Series A Cumulative Redeemable Preferred Stock, shares issued | 3,000,000 | 3,000,000 |
Series A Cumulative Redeemable Preferred Stock, shares outstanding | 3,000,000 | 3,000,000 |
Series A Cumulative Redeemable Preferred Stock, aggregate liquidation value | $ 75,000 | $ 75,000 |
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $ 25 | $ 25 |
Series B Cumulative Redeemable Preferred Stock, shares issued | 8,000,000 | 8,000,000 |
Series B Cumulative Redeemable Preferred Stock, shares outstanding | 8,000,000 | 8,000,000 |
Series B Cumulative Redeemable Preferred Stock, aggregate liquidation value | $ 200,000 | $ 200,000 |
Series B Cumulative Redeemable Preferred Stock, liquidation preference per share | $ 25 | $ 25 |
Common stock, par value | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 151,535,316 | 151,739,840 |
Common stock, shares outstanding | 151,535,316 | 151,739,840 |
Condensed Statements Of Operati
Condensed Statements Of Operations - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Interest income: | ||
Interest income from Agency RMBS | $ 81,323 | $ 80,060 |
Other interest income | 128 | 790 |
Total interest income | 81,451 | 80,850 |
Interest expense: | ||
Interest expense on repurchase agreements and FHLBC Advances | 17,945 | 9,642 |
Net interest income | 63,506 | 71,208 |
Other income (loss): | ||
Net realized gain (loss) on investments | 1,202 | 18,253 |
Net unrealized gain (loss) on investments | 162,286 | 75,689 |
Net unrealized gain (loss) on FHLBC Advances | (851) | 0 |
Other income | 463 | 40 |
Subtotal | 163,100 | 93,982 |
Swap and cap interest expense | (18,398) | (27,468) |
Net realized and unrealized gain (loss) on derivative instruments | (140,524) | (77,368) |
Net gain (loss) on derivative instruments | (158,922) | (104,836) |
Total other income (loss) | 4,178 | (10,854) |
Expenses: | ||
Compensation and benefits | 3,865 | 3,554 |
General, administrative and other | 2,488 | 2,203 |
Total expenses | 6,353 | 5,757 |
Net income (loss) | 61,331 | 54,597 |
Less preferred stock dividends | (5,203) | (5,203) |
Net income (loss) available to common stockholders | $ 56,128 | $ 49,394 |
Net income (loss) per common share basic & diluted | $ 0.37 | $ 0.31 |
Dividends declared per common share | $ 0.26 | $ 0.30 |
Consolidated Statement Of Chang
Consolidated Statement Of Changes In Stockholders Equity - USD ($) $ in Thousands | Total | Common Stock Par Value | Additional Paid-in Capital | Accumulated Deficit | Series A Preferred Stock | Series B Preferred Stock | |
Balance at Dec. 31, 2014 | $ 1,975,168 | $ 1,618 | $ 2,049,152 | $ (341,502) | $ 72,369 | $ 193,531 | |
Net income (loss) | 54,597 | 0 | 0 | 54,597 | 0 | 0 | |
Issuance of common stock | 0 | 4 | (4) | 0 | 0 | 0 | |
Amortization of share-based compensation | 954 | 0 | 954 | 0 | 0 | 0 | |
Repurchase and cancellation of common stock | (37,446) | (41) | (37,405) | 0 | 0 | 0 | |
Preferred dividends | (5,203) | 0 | 0 | (5,203) | 0 | 0 | |
Common dividends | (47,434) | 0 | 0 | (47,434) | 0 | 0 | |
Balance at Mar. 31, 2015 | 1,940,636 | 1,581 | 2,012,697 | (339,542) | 72,369 | 193,531 | |
Balance at Dec. 31, 2015 | 1,694,614 | [1] | 1,517 | 1,946,419 | (519,222) | 72,369 | 193,531 |
Net income (loss) | 61,331 | 0 | 0 | 61,331 | 0 | 0 | |
Issuance of common stock | 0 | 3 | (3) | 0 | 0 | 0 | |
Amortization of share-based compensation | 979 | 0 | 979 | 0 | 0 | 0 | |
Repurchase and cancellation of common stock | (4,223) | (5) | (4,218) | 0 | 0 | 0 | |
Preferred dividends | (5,203) | 0 | 0 | (5,203) | 0 | 0 | |
Common dividends | (39,399) | 0 | 0 | (39,399) | 0 | 0 | |
Balance at Mar. 31, 2016 | $ 1,708,099 | $ 1,515 | $ 1,943,177 | $ (502,493) | $ 72,369 | $ 193,531 | |
[1] | Derived from audited consolidated financial statements. |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Cash flows from operating activities: | |||
Net income (loss) | $ 61,331 | $ 54,597 | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Amortization of share-based compensation | 979 | 954 | |
Amortization of premiums and discounts on investment securities | 15,869 | 21,450 | |
Amortization of premiums on interest rate cap contracts | 4,375 | 4,375 | |
Net realized (gain) loss on investments | (1,202) | (18,253) | |
Net unrealized (gain) loss on investments | (162,286) | (75,689) | |
Net realized and unrealized (gain) loss on derivative instruments | 129,411 | 74,800 | |
Net unrealized (gain) loss on FHLBC Advances | 851 | 0 | |
Change in assets and liabilities: | |||
Interest receivable | 530 | 580 | |
Other assets | (168) | (10,325) | |
Accrued interest payable | (12,568) | 4,214 | |
Accrued expenses and other liabilities | (970) | (2,814) | |
Net cash provided by operating activities | 36,152 | 53,889 | |
Cash flows from investing activities: | |||
Purchase of investment securities | (1,468,196) | (6,863,933) | |
Proceeds from disposition of investment securities | 1,382,390 | 6,018,216 | |
Proceeds from disposition of other investments | 16,000 | 0 | |
Proceeds from paydowns of investment securities | 348,459 | 462,438 | |
Change in assets and liabilities: | |||
Receivable for securities sold and principal repayments | 1,083,258 | (261,363) | |
Payable for securities purchased | (538,811) | 1,261,561 | |
Receivable for cash pledged as collateral | (63,346) | (26,112) | |
Payable for cash received as collateral | (9,393) | (24,542) | |
Net cash provided by (used in) investing activities | 750,361 | 566,265 | |
Cash flows from financing activities: | |||
Proceeds from repurchase agreements | 23,794,322 | 23,743,739 | |
Repayments of repurchase agreements | (23,125,129) | (24,828,397) | |
Proceeds from FHLBC Advances | 2,175,000 | 1,010,000 | |
Repayments of FHLBC Advances | (3,625,000) | (500,000) | |
Net payments from repurchase of common stock | (4,223) | (37,446) | |
Distributions paid | (5,203) | (5,203) | |
Net cash used in financing activities | (790,233) | (617,307) | |
Net increase (decrease) in cash | (3,720) | 2,847 | |
Cash - Beginning of period | 9,982 | [1] | 4,323 |
Cash - End of period | 6,262 | 7,170 | |
Supplemental disclosures of cash flow information: | |||
Interest paid | 44,535 | 28,522 | |
Supplemental disclosures of non-cash flow information: | |||
Distributions declared, not yet paid | $ 43,809 | $ 51,844 | |
[1] | Derived from audited consolidated financial statements. |
Orginazation
Orginazation | 3 Months Ended |
Mar. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | ORGANIZATION CYS Investments, Inc. (the "Company" "we", "us", and "our") was formed as a Maryland corporation on January 3, 2006, and commenced operations on February 10, 2006. The Company has elected to be taxed and intends to continue to qualify as a real estate investment trust ("REIT") and is required to comply with the provisions of the Internal Revenue Code of 1986, as amended (the "Code"), with respect thereto. The Company has primarily purchased residential mortgage-backed securities that are issued and the principal and interest of which are guaranteed by a federally chartered corporation ("Agency RMBS"), such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or an agency of the U.S. government such as the Government National Mortgage Association ("Ginnie Mae"), and debt securities issued by the United States Department of Treasury ("U.S. Treasuries"). The Company may also purchase collateralized mortgage obligations issued by a government agency or government-sponsored entity that are collateralized by Agency RMBS ("CMOs"), or securities issued by a government sponsored entity that are not backed by collateral but, in the case of government agencies, are backed by the full faith and credit of the U.S. government, and, in the case of government sponsored entities, are backed by the integrity and creditworthiness of the issuer ("U.S. Agency Debentures"). The Company’s common stock, Series A Cumulative Redeemable Preferred Stock, $25.00 liquidation preference (the "Series A Preferred Stock"), and Series B Cumulative Redeemable Preferred Stock, $25.00 liquidation preference (the "Series B Preferred Stock"), trade on the New York Stock Exchange under the symbols "CYS," "CYS PrA" and "CYS PrB," respectively. In March 2015, our wholly-owned captive insurance subsidiary, CYS Insurance Services, LLC ("CYS Insurance"), was granted membership in the Federal Home Loan Bank ("FHLB") system, specifically in the FHLB of Cincinnati ("FHLBC"). 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 (the "Final Rule") amending its regulations governing FHLB Membership criteria for captive insurance companies. The Final Rule defines "insurance company" to exclude "captive insurers". Under this Final Rule, which became 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. All FHLBC Advances are required to be repaid no later than February 19, 2017. See Note 5, Repurchase Agreements and FHLBC Advances. |
Significant Accounting Policies
Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | SIGNIFICANT ACCOUNTING POLICIES Basis of Presentation The accompanying unaudited consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and the instructions to Securities and Exchange Commission ("SEC") Form 10-Q and Article 10, Rule 10-01 of Regulation S-X. Accordingly, the financial statements do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. The unaudited consolidated financial statements should be read in conjunction with the Company’s audited financial statements as of and for the year ended December 31, 2015, included in the 2015 Annual Report. The results for interim periods are not necessarily indicative of the results to be expected for the entire fiscal year. The unaudited consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The unaudited consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the unaudited consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. Reclassification Commencing with the 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 as a separate component of " Total interest expense" in the consolidated statement of operations, is now recognized as a component of "Net gain (loss) on derivative instruments". This reclassification was made in order to record income, expenses and fair value changes related to derivative instruments in one line item in the consolidated statements of operations, consistent with common industry practice. Prior period balances have been reclassified to conform to the current period presentation. Investments in Securities The Company's investment securities are accounted for in accordance with Accounting Standards Codification ("ASC") 320 —Investments in Debt and Equity Securities . The Company has chosen to make a fair value election pursuant to ASC 825 —Financial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the unaudited consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the unaudited consolidated statements of operations as a component of net unrealized gain (loss) on investments. These investments generally meet the requirements to be classified as available-for-sale under ASC 320, which requires the securities to be carried at fair value on the balance sheet. Electing the fair value option requires the Company to record changes in fair value of our investments in the unaudited 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 ten years) and thereafter reset at regular intervals in a manner similar to ARMs. Forward Settling Transactions The Company engages in forward settling transactions to purchase or sell certain securities. Agency RMBS may include forward contracts for Agency RMBS purchases or sales of specified pools on a to-be-announced basis ("TBA Securities") that meet the regular-way scope exception in the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 815 - Derivatives and Hedging ("ASC 815"), and are recorded on a trade date basis. The Company maintains security positions such that sufficiently liquid assets will be available to make payment on the settlement date for securities purchased. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. See Note 7, Pledged Assets, for disclosure regarding the fair value of collateral pledged or received on forward settling transactions. Investment Valuation The Company's pricing committee is responsible for establishing valuation policies and procedures, as well as reviewing and approving valuations at a monthly pricing meeting. The pricing committee is composed of individuals from the accounting team, the investment team and senior management. Agency RMBS, Agency Debentures and U.S. Treasuries are generally valued based on prices provided by third-party services and derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and/or economic events. The pricing services may also use a matrix approach, which uses information regarding securities with similar characteristics to determine the valuation for a security. We generally value interest rate swaps and caps using prices provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments are made in determining the fair value of the Company's interest rate swaps and caps. All valuations from third-party pricing services or broker quotes are non-binding. We review all prices during our pricing process. To date, the Company has not adjusted any of the prices received from third-party pricing services or brokers. Our pricing review includes comparisons of similar market transactions, alternative third-party pricing services and broker quotes, or comparisons to a pricing model. To ensure proper fair value hierarchy, the Company reviews the third-party pricing services methodology periodically to ascertain which observable or unobservable inputs are being used. See Note 8, Fair Value Measurements , for a discussion of how the Company values its assets. Derivative Instruments Included in Derivative Instruments are interest rate swaps and interest rate caps and TBA Derivatives (defined below). The Company uses interest rate swaps and interest rate caps to economically hedge a portion of its exposure to market risks, including interest rate and extension risk. The objective of our risk management strategy is to reduce fluctuations in stockholders’ equity over a range of interest rate scenarios. In particular, we attempt to manage the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. During the term of an interest rate swap or cap, the Company makes or receives periodic payments and records unrealized gains or losses as a result of marking the swap or cap to fair value. When the Company terminates a swap or cap, we record a realized gain or loss equal to the difference between the proceeds from (or the cost of) closing the transaction and the Company's cost basis in the contract, if any. We report the periodic payments and amortization of premiums on cap contracts under swap and cap interest expense in our unaudited 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 (a "swap" or "cap", respectively) may be subject to a master netting arrangement ("MNA"). The Company is exposed to credit loss in the event of non-performance by the counterparty to the swap or cap limited to the fair value of collateral posted in excess of the fair value of the contract in a net liability position and the shortage of the fair value of collateral posted for the contract in a net asset position. As of March 31, 2016 and December 31, 2015 , the Company did not anticipate non-performance by any counterparty. Should interest rates move unexpectedly, the Company may not achieve the anticipated benefits of the interest rate swap or cap and may realize a loss. While the Company's derivative agreements generally permit netting or setting off derivative assets and liabilities with the counterparty, the Company reports derivative assets and liabilities on a gross basis in our unaudited consolidated balance sheets. Derivatives are accounted for in accordance with ASC 815 which requires recognition of all derivatives as either assets or liabilities at fair value in the consolidated balance sheets with changes in fair value recognized in the consolidated statements of operations in "Net realized and unrealized gain (loss) on derivative instruments". Cash receipts and payments related to derivative instruments are classified in our unaudited consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections. See Note 4, Derivative Instruments. The Company enters into TBA dollar roll transactions whereby the Company is not contractually obligated to accept delivery on the settlement date ("TBA Derivatives"). TBA Derivatives are accounted for as a series of derivative transactions. The fair value of TBA Derivatives is based on similar methods used to value Agency RMBS with gains and losses recorded in Net gains (losses) on derivative instruments in the consolidated statements of operations. TBA Derivative 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 Derivative and a subsequent purchase of a new TBA Derivative. None of the Company's derivatives have been designated as hedging instruments for accounting purposes. Effective January 1, 2016, the Company recognized all TBAs that do not qualify for the regular-way scope exception under ASC 815 as derivatives. Interest Income We record interest income and expense on an accrual basis. We accrue interest income based on the outstanding principal amount of the securities and their contractual terms. We amortize premium and discount using the effective interest method, and this net amortization is either accretive to or a reduction of interest income from Agency RMBS in the Company's unaudited consolidated statements of operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. We record the amount of premium or discount associated with a prepayment through interest income from Agency RMBS on our unaudited consolidated statements of operations as it occurs. Other Investments The Company's subsidiary, CYS Insurance, is a member of, and owns capital stock in, the FHLBC. The FHLBC provides CYS Insurance with credit capacity and authorizes advances based on the security of pledged Agency RMBS, provided the Company meets certain creditworthiness standards. FHLBC Advances at fair value are a funding source for the Company. 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 - Investments Debt and Equity Securities . Also included in other investments is a real estate asset which is recorded at fair value. 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 decline. Repo borrowing counterparties and the FHLBC have the right to sell or repledge collateral pledged under repo borrowings and FHLBC Advances. See Note 5, Repurchase Agreements and FHLBC Advances . We account for our repo borrowings 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. Also, we have entered into FHLBC Advances that may have an initial maturity of more than one year that 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 FHLBC Advances and, therefore, this debt is recorded at fair market value on the consolidated balance sheets. The unpaid principal balance of FHLBC Advances with initial maturities less than one year generally approximate fair value due to the short-term nature of the instruments. We price FHLBC Advances with an initial maturity greater than one year daily through a pricing service that uses a discounted cash flow model to value the debt, and periodically we validate the prices we receive through this process. The changes in fair market value are recorded in current period earnings on our unaudited consolidated statements of operations as a component of net unrealized gain (loss) on FHLBC Advances. Electing the fair value option permits the Company to record changes in the fair value of our FHLBC Advances along with that of our investments in our unaudited 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 5, Repurchase Agreements and FHLBC Advances . 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 consolidated financial statements. |
Investments in Securities
Investments in Securities | 3 Months Ended |
Mar. 31, 2016 | |
Available-for-sale Securities [Abstract] | |
Investments in Securities and Other Assets | INVESTMENTS IN SECURITIES The available-for-sale portfolio consisted of the following as of March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 10,925,812 $ (1,038 ) $ 172,749 $ 11,097,523 ARMs 263,926 — 2,711 266,637 Total Fannie Mae 11,189,738 (1,038 ) 175,460 11,364,160 Freddie Mac Certificates Fixed Rate 1,422,646 (88 ) 24,995 1,447,553 ARMs 31,680 (1 ) 720 32,399 Total Freddie Mac 1,454,326 (89 ) 25,715 1,479,952 Ginnie Mae Certificates - ARMs 43,596 — 722 44,318 U.S. Treasuries 29,959 — 13 29,972 Other Investments 32,948 — 1,080 34,028 Total $ 12,750,567 $ (1,127 ) $ 202,990 $ 12,952,430 December 31, 2015 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 The following table presents the gross unrealized loss and fair values of our available-for-sale Agency RMBS by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2016 and December 31, 2015 (in thousands): Unrealized loss positions for Less than 12 Months Greater than 12 months Total As of Fair value Unrealized loss Fair value Unrealized loss Fair value Unrealized loss March 31, 2016 $ 341,950 $ (770 ) $ 148,987 $ (221 ) $ 490,937 $ (991 ) December 31, 2015 6,718,658 (50,319 ) 86,300 (1,303 ) 6,804,958 (51,622 ) The following table summarizes our net realized gain (loss) from the sale of available-for-sale investments for the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, 2016 2015 Available-for-sale investments, at cost $ 1,397,188 $ 5,999,963 Proceeds from available-for-sale investments sold 1,398,390 6,018,216 Net gain (loss) on sale of available-for-sale investments $ 1,202 $ 18,253 Gross gain on sale of available-for-sale investments $ 5,383 $ 33,979 Gross (loss) on sale of available-for-sale investments (4,181 ) (15,726 ) Net gain (loss) on sale of available-for-sale investments $ 1,202 $ 18,253 The components of the carrying value of available-for-sale securities at March 31, 2016 and December 31, 2015 are presented below. A premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates; similarly, a discount purchase price is due to the average coupon interest rate on these investments being lower than prevailing market rates. (in thousands) March 31, 2016 (1) December 31, 2015 (1) Principal balance $ 12,265,726 $ 12,534,877 Unamortized premium 458,991 462,632 Unamortized discount (153 ) (273 ) Gross unrealized gains 202,990 90,118 Gross unrealized losses (1,127 ) (51,622 ) Fair value $ 12,926,427 $ 13,035,732 __________________ (1) FHLBC stock of approximately $26.0 million and $42.0 million at March 31, 2016 and December 31, 2015 , respectively, is excluded from the table above as the Company accounts for its investment in FHLBC stock as a cost method investment. The weighted-average coupon interest rate on the Company's Debt Securities as of March 31, 2016 and December 31, 2015 was 3.43% and 3.39% , respectively. Actual maturities of Agency RMBS are generally shorter than their stated contractual maturities (which range up to 30 years), because they are affected by the contractual lives of the underlying mortgages, periodic payments and principal prepayments. As of March 31, 2016 and December 31, 2015 , the range of final contractual maturity of the Company’s Agency RMBS portfolio was between 2024 and 2046 , and the final maturity of the Company's U.S. Treasuries was 2016 and 2019 , respectively. Credit Risk The Company believes it has minimal exposure to credit losses on its investment securities assets at March 31, 2016 and December 31, 2015 because it owns principally Debt Securities. Principal and interest payments on Agency RMBS are guaranteed by Freddie Mac and Fannie Mae, while principal and interest payments on Ginnie Mae RMBS and U.S. Treasuries are backed by the full faith and credit of the U.S. government. In September 2008, both Freddie Mac and Fannie Mae were placed in the conservatorship of the U.S. government. On August 5, 2011, Standard & Poor’s ("S&P") downgraded the U.S. government’s credit rating for the first time to AA+. Fitch Ratings Inc. ("Fitch") announced on October 15, 2013 that it had placed the U.S. government's credit rating on "negative watch". This was changed to "stable" on March 21, 2014 and Fitch reaffirmed the "stable outlook" on April 12, 2016. As of March 31, 2016, S&P maintains a AA+ rating, while Fitch and Moody's rate the U.S. government AAA and Aaa, respectively. Because Fannie Mae and Freddie Mac remain under U.S. government conservatorship, the implied credit ratings of Agency RMBS are similarly rated. While the conservatorship, ratings downgrade and ratings watch appear not to have had a significant impact on the fair value of the Agency RMBS or U.S. Treasuries in the Company’s portfolio, these developments create a level of uncertainty regarding the credit risk of Debt Securities. |
Derivative Instruments
Derivative Instruments | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Fair Value [Text Block] | The Company enters into interest rate swap and cap contracts with the intent of managing our interest rate exposure. The Company had the following activity in interest rate swap and cap transactions during the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, 2016 Three Months Ended March 31, 2015 Trade Date Transaction Notional Trade Date Transaction Notional January 2016 Terminated $ (500,000 ) January 2015 Terminated $ (400,000 ) January 2015 Opened $ 500,000 Net Increase $ 100,000 As of March 31, 2016 and December 31, 2015 , the Company had pledged Debt Securities with a fair value of $79.1 million and $50.7 million , respectively, as collateral on interest rate swap and cap contracts. As of March 31, 2016 and December 31, 2015 , the Company had pledged cash of $85.1 million and $21.8 million , respectively, as collateral on interest rate swap and cap contracts. As of March 31, 2016 , the Company had Debt Securities of $21.5 million and cash of $8.8 million pledged to it as collateral for its interest rate swap and cap contracts. As of December 31, 2015 , the Company had Debt Securities of $44.1 million and cash of $18.5 million pledged to it as collateral for its interest rate swap and cap contracts. See Note 7, Pledged Assets . Below is a summary of our interest rate swap and cap contracts and TBA Derivatives open as of March 31, 2016 and December 31, 2015 (in thousands): Derivatives not designated as hedging instruments under ASC 815 Interest Rate Swap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 1,000,000 $ 327 Derivative assets, at fair value March 31, 2016 $ 6,450,000 $ (84,173 ) Derivative liabilities, at fair value December 31, 2015 5,900,000 39,435 Derivative assets, at fair value December 31, 2015 2,050,000 (14,024 ) Derivative liabilities, at fair value Interest Rate Cap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 2,500,000 $ 29,325 Derivative assets, at fair value December 31, 2015 2,500,000 61,343 Derivative assets, at fair value TBA Derivatives Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 350,000 $ (1,288 ) Derivative liabilities, at fair value March 31, 2016 643,807 3,049 Derivative assets, at fair value The average notional value of the Company's TBA Derivatives during the quarter ended March 31, 2016 was $1,103.5 million . The following table presents information about the net realized and unrealized gain (loss) on swap, cap and TBA Derivatives for the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2016 2015 Interest rate swaps and caps Swap and cap interest expense $ (18,398 ) $ (27,468 ) Interest rate swaps, caps and TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments (140,524 ) (77,368 ) Interest rate swaps, caps and TBA Derivatives Net gain (loss) on derivative instruments (158,922 ) (104,836 ) The swap and cap notional was $9,950.0 million at March 31, 2016 compared to $10,450.0 million at December 31, 2015 , and as a percentage of our repo borrowings and FHLB Advances was 96.5% at March 31, 2016 compared to 94.3% at December 31, 2015 . |
Repurchase Agreements and FHLB
Repurchase Agreements and FHLB Advances | 3 Months Ended |
Mar. 31, 2016 | |
Banking and Thrift [Abstract] | |
Repurchase Agreements | REPURCHASE AGREEMENTS AND FHLBC ADVANCES The Company leverages its portfolio primarily through repo borrowings and FHLBC Advances. Each of the Company's repo borrowings bear interest at a rate based on a spread above or below the London Interbank Offered Rate ("LIBOR"). The interest rate for FHLBC Advances are set by the FHLBC. The fair value of repo borrowings and FHLBC Advances with initial maturities less than one year approximates their carrying amount or amortized cost due to the short-term nature of these financial instruments. While repo borrowings and FHLBC Advances are the Company's principal source of borrowings, the Company may issue long-term debt ( i.e. , debt with an initial term greater than one year) to diversify credit sources and to manage interest rate and duration risk. Certain information with respect to the Company’s repo borrowings and FHLBC Advances outstanding at the balance sheet date is summarized in the table below. (in thousands) March 31, 2016 December 31, 2015 Outstanding repurchase agreements $ 9,656,969 $ 8,987,776 Outstanding FHLBC advances (2) $ 649,553 $ 2,098,701 Interest accrued thereon $ 6,000 $ 7,383 Weighted-average borrowing rate 0.73 % 0.54 % Weighted-average remaining maturity (in days) 50.5 42.2 Fair value of the collateral (1) $ 10,816,817 $ 11,548,930 __________________ (1) Collateral for repo borrowings and FHLBC Advances consists of Agency RMBS and U.S. Treasuries. (2) During January 2016, CYS repaid $1,450.0 million of its FHLBC Advances and replaced the advances with repo borrowings from its existing counterparties. Currently, CYS Insurance has $650.0 million of FHLBC Advances that are required to be repaid on or prior to February 19, 2017. The following table presents information about collateral supporting repo borrowings and FHLBC Advances as of March 31, 2016 and December 31, 2015 (in thousands): Collateral for repurchase agreements and FHLBC Advances Remaining contractual maturity of the repurchase agreements and FHLBC Advances March 31, 2016 Up to 30 days 30-90 days Greater than 90 days Total Agency RMBS $ 6,204,602 $ 3,043,323 $ 1,048,145 $ 10,296,070 U.S. Treasuries 10,899 — — 10,899 Total $ 6,215,501 $ 3,043,323 $ 1,048,145 $ 10,306,969 December 31, 2015 Agency RMBS $ 7,579,885 $ 2,235,246 $ 924,394 $ 10,739,525 U.S. Treasuries 348,251 — — 348,251 Total $ 7,928,136 $ 2,235,246 $ 924,394 $ 11,087,776 At March 31, 2016 and December 31, 2015 , our amount at risk with any individual counterparty related to our repo borrowings or FHLBC Advances was less than 3.2% and 2.3% of stockholders' equity, respectively, and our repo borrowings or FHLBC Advances with any individual counterparty were less than 5.0% and 14.7% 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, over the amount of the repurchase agreement liability adjusted for accrued interest. Prior to the issuance of the Final Rule on January 12, 2016, pursuant to the FHLBC terms and conditions of membership and applicable credit policies, CYS Insurance was able to obtain long-term advances, secured by eligible collateral, including, but not limited to, residential mortgage-backed securities. At March 31, 2016 , we had $424.6 million in FHLBC Advances at fair value with initial maturities greater than one year with a related $0.5 million accrued interest expense on our unaudited consolidated balance sheet. These advances had an original term of three years, a weighted average interest rate of 1.48% , and a maturity of 0.9 years at March 31, 2016 . These are callable after the one-year anniversary of the advance and thereafter every six months. As a direct result of the Final Rule, all FHLBC Advances are now required to be repaid on or before February 19, 2017. At December 31, 2015, we had $423.7 million in FHLBC Advances at fair value with initial maturities greater than one year with a related $0.5 million accrued interest expense on our consolidated balance sheet. 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 March 31, 2016 and December 31, 2015 , CYS Insurance held $26.0 million and $42.0 million in FHLBC stock that is included in "Other investments" on our unaudited consolidated balance sheets. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | COMMITMENTS AND CONTINGENCIES The Company enters into certain agreements that contain a variety of indemnifications, principally with broker dealers. As of March 31, 2016 and December 31, 2015 , no claims have been asserted under these indemnification agreements. Accordingly, the Company has no liabilities recorded for these agreements as of March 31, 2016 and December 31, 2015 . The Company currently occupies leased office space for which the term expires on June 30, 2016. In September 2015, the Company entered into a new lease agreement with a 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 $2.7 million . The following table details the lease payments (in thousands): Years Ending December 31, Lease Commitments 2016 (remaining) $ 261 2017 353 2018 363 2019 373 2020 383 Later years 999 $ 2,732 |
Pledged Assets
Pledged Assets | 3 Months Ended |
Mar. 31, 2016 | |
Transfers and Servicing [Abstract] | |
Pledged Assets | PLEDGED ASSETS Assets Pledged to Counterparties The following tables summarize our assets pledged as collateral under our repo borrowings, FHLBC Advances, and derivative instruments by type, including securities pledged related to securities purchased or sold but not yet settled, as of March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Assets Pledged to Counterparties Repurchase Agreements and FHLBC Advances Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 10,804,826 $ 48,389 $ 2,367 $ 10,855,582 U.S. Treasuries - fair value 11,992 31,171 — 43,163 Accrued interest on pledged securities 29,521 134 7 29,662 Cash — 85,097 — 85,097 Total $ 10,846,339 $ 164,791 $ 2,374 $ 11,013,504 December 31, 2015 Assets Pledged to Counterparties Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 11,547,098 $ 37,657 $ 2,259 $ 11,587,014 U.S. Treasuries - fair value 1,832 13,054 — 14,886 Accrued interest on pledged securities 30,890 196 5 31,091 Cash — 21,751 — 21,751 Total $ 11,579,820 $ 72,658 $ 2,264 $ 11,654,742 __________________ (1) Excludes forward settling transactions classified as TBA Derivatives which are included in derivative instruments effective January 1, 2016. Assets Pledged from Counterparties If the estimated fair value of our investment securities pledged as collateral increases due to changes in interest rates or other factors, we may require counterparties to release collateral back to us, which may be in the form of identical securities, similar securities, or cash. As of March 31, 2016 and December 31, 2015 , we had assets pledged to us as collateral under our repurchase, derivative agreements and TBAs as summarized in the tables below (in thousands): March 31, 2016 Assets Pledged to CYS Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 15,499 $ — $ — $ 15,499 U.S. Treasuries - fair value 12,451 21,540 — 33,991 Accrued interest on pledged securities 71 104 — 175 Cash — 9,141 — 9,141 Total $ 28,021 $ 30,785 $ — $ 58,806 December 31, 2015 Assets Pledged to CYS Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) Total U.S. Treasuries - fair value — 44,143 — 44,143 Accrued interest on pledged securities — 209 — 209 Cash — 18,534 — 18,534 Total $ — $ 62,886 $ — $ 62,886 __________________ (1) Excludes forward settling transactions classified as TBA Derivatives which are included in derivative instruments effective January 1, 2016. Cash collateral received is recognized in "Cash" with a corresponding amount recognized in "Payable for cash received as collateral" on the accompanying unaudited consolidated balance sheets. Securities collateral received from counterparties is disclosed as a component of our liquidity amount in Note 4, Derivative Instruments . Cash and Debt Securities we pledge as collateral under our derivatives instruments are included in "Cash" and "Investment in securities, at fair value" on our unaudited consolidated balance sheets. Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of set-off under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. Under U.S. GAAP, if the Company has a valid right of set-off, it may offset the related asset and liability and report the net amount. However, the Company reports amounts subject to its Master Repurchase Agreements ("MRAs") and International Standard Derivative Association ("ISDA") Agreements in the unaudited consolidated balance sheets on a gross basis without regard to such rights of offset. At March 31, 2016 and December 31, 2015 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): March 31, 2016 Assets Liabilities Interest rate swap contracts $ 327 $ 84,173 Interest rate cap contracts 29,325 — TBA derivatives 3,049 1,288 Total derivative assets and liabilities in the unaudited consolidated balance sheets 32,701 85,461 Derivatives not subject to an MNA — 80,304 Total assets and liabilities subject to an MNA $ 32,701 $ 5,157 December 31, 2015 Assets Liabilities Interest rate swap contracts $ 39,435 $ 14,024 Interest rate cap contracts 61,343 — Total derivative assets and liabilities in the unaudited consolidated balance sheets 100,778 14,024 Derivatives not subject to an MNA 25,151 14,024 Total assets and liabilities subject to an MNA $ 75,627 $ — Below are summaries of the Company's assets and liabilities subject to offsetting provisions (in thousands): Assets Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Assets Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Received (1) Net Amount (2) March 31, 2016 Derivative assets $ 32,701 $ 2,132 $ 27,322 $ 3,247 December 31, 2015 Derivative assets 75,627 — 59,907 15,720 Liabilities Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) March 31, 2016 Derivative liabilities $ 5,157 $ 2,132 $ 3,025 $ — March 31, 2016 Repurchase agreements and FHLBC Advances 10,306,522 26,003 10,280,519 — December 31, 2015 Repurchase agreements and FHLBC Advances 11,086,477 42,003 11,044,474 — ______________ (1) Collateral consists of Agency RMBS, U.S. Treasuries and Cash. Excess collateral pledged is not shown for financial reporting purposes. (2) Net amount represents the net amount receivable (in the case of assets) and payable (in the case of liabilities) to the counterparty in the event of default. |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2016 | |
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. Excluded from the tables below are short-term financial instruments carried in our consolidated financial statements at cost basis, which is deemed to approximate fair value, primarily due to the short duration of these instruments, including cash, receivables, payables and repo borrowings with initial terms of one year or less. We generally value interest rate swaps and caps using prices provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments are made in determining the fair value of the Company's interest rate swaps and caps. "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 $26.0 million and $42.0 million at March 31, 2016 and December 31, 2015 , 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 . 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 March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 12,888,430 $ — $ 12,888,430 U.S. Treasuries 29,972 — — 29,972 Other investments — — 8,025 8,025 Derivative assets — 32,701 — 32,701 Total $ 29,972 $ 12,921,131 $ 8,025 $ 12,959,128 Liabilities FHLBC Advances — 649,553 — 649,553 Derivative liabilities — 85,461 — 85,461 Total $ — $ 735,014 $ — $ 735,014 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 FHLBC Advances — 2,098,701 — 2,098,701 Derivative liabilities — 14,024 — 14,024 $ — $ 2,112,725 $ — $ 2,112,725 The table below presents a reconciliation of changes in "Other investments" classified as Level 3 assets and measured for fair value on a recurring basis in the Company’s unaudited consolidated financial statements for the three months ended March 31, 2016 and 2015 . Level 3 Fair Value Reconciliation (In thousands) Three Months Ended March 31, Other investments (1) 2016 2015 Beginning balance Level 3 assets $ 8,025 $ 8,025 Cash payments recorded as a reduction of cost basis — — Change in net unrealized gain (loss) — — Gross purchases — — Gross sales — — Net gain (loss) on sales — — Transfers into (out of) Level 3 — — Ending balance Level 3 assets $ 8,025 $ 8,025 __________________ (1) FHLBC stock of approximately $26.0 million and $10.2 million at March 31, 2016 and 2015 , 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 . |
Share Capital
Share Capital | 3 Months Ended |
Mar. 31, 2016 | |
Stockholders' Equity Note [Abstract] | |
Share Capital | SHARE CAPITAL The Company has authorized 500,000,000 shares of common stock having par value of $0.01 per share. As of March 31, 2016 and December 31, 2015 , the Company had issued and outstanding 151,535,316 and 151,739,840 shares of common stock, respectively. The Company has authorized 50,000,000 shares of preferred stock having a par value of $0.01 per share. As of March 31, 2016 and December 31, 2015 , 3,000,000 shares of 7.75% Series A Preferred Stock ( $25.00 liquidation preference) were issued and outstanding. As of March 31, 2016 and 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 is not redeemable before August 3, 2017 and April 30, 2018, respectively, except under circumstances where it is necessary to preserve the Company's qualification as a REIT, for federal income tax purposes, or the occurrence of a change of control. On or after August 3, 2017 and April 30, 2018, the Company may, at its option, redeem any or all of the shares of the Series A Preferred Stock and Series B Preferred Stock, respectively, at $25.00 per share plus any accumulated and unpaid dividends to, but not including, the respective redemption date. The Series A Preferred Stock and Series B Preferred Stock have no stated maturity, and are not subject to a sinking fund requirement or mandatory redemption. Equity Offerings On May 23, 2014, the Company filed an automatically effective shelf registration statement on Form S-3 with the SEC. The Company may offer and sell, from time to time, shares of common stock, preferred stock and debt securities in one or more offerings pursuant to the prospectus that is a part of the registration statement. As of March 31, 2016 , the Company had not issued any shares of common stock, preferred stock or debt securities under the prospectus. Dividend Reinvestment and Direct Stock Purchase Plan ("DSPP") The Company sponsors a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of common stock by reinvesting some or all cash dividends received on shares of common stock. Stockholders may also make optional cash purchases of shares of common stock subject to certain limitations detailed in the plan prospectus. For the three months ended March 31, 2016 and 2015 the Company did not issue any shares under the plan. As of March 31, 2016 and December 31, 2015 , there were approximately 4.1 million shares available for issuance under the plan. Share Repurchase Program On November 15, 2012, the Company announced that its Board of Directors authorized the repurchase of shares of the Company’s common stock having an aggregate value of up to $250 million . Pursuant to this program, through July 20, 2014, the Company repurchased approximately $115.7 million in aggregate value of its shares of common stock on the open market. On July 21, 2014, the Company announced that its Board of Directors authorized the repurchase of shares of the Company's common stock having an aggregate value of up to $250 million , which included approximately $134.3 million available for repurchase under the November 2012 authorization. Subsequently, during 2014 we repurchased 172,549 shares with a weighted average purchase price of $8.88 per share for an aggregate of approximately $1.5 million and for the year ended December 31, 2015 , the Company repurchased 10,559,493 shares with a weighted average purchase price of $8.28 per share for an aggregate of approximately $87.7 million . For the three months ended March 31, 2016 , we repurchased 510,618 shares of the Company's common stock at a weighted-average purchase price of $7.82 per share, for an aggregate of approximately $4.0 million . Accordingly, the Company had approximately $156.8 million authorized to repurchase shares of its common stock as of March 31, 2016 . Restricted Stock Awards For the three months ended March 31, 2016 and 2015 , the Company granted 336,101 and 438,617 shares of restricted stock, respectively, to certain of its directors, officers and employees. |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Mar. 31, 2016 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | EARNINGS PER SHARE Components of the computation of basic and diluted earnings per share ("EPS") were as follows (in thousands except per share amounts): Three Months Ended March 31, 2016 2015 Net income (loss) $ 61,331 $ 54,597 Less preferred stock dividends (5,203 ) (5,203 ) Net income (loss) available to common stockholders 56,128 49,394 Less dividends paid: Common shares (39,126 ) (47,110 ) Unvested shares (273 ) (324 ) Undistributed earnings (loss) 16,729 1,960 Basic weighted-average shares outstanding: Common shares 150,776 159,573 Basic earnings (loss) per common share: Distributed earnings $ 0.26 $ 0.30 Undistributed earnings (loss) 0.11 0.01 Basic earnings (loss) per common share $ 0.37 $ 0.31 Diluted weighted-average shares outstanding: Common shares 150,776 159,573 Net effect of dilutive stock options (1) — — 150,776 159,573 Diluted earnings (loss) per common share: Distributed earnings $ 0.26 $ 0.30 Undistributed earnings (loss) 0.11 0.01 Diluted earnings (loss) per common share $ 0.37 $ 0.31 __________________ (1) For the three months ended March 31, 2016 and 2015 , the Company had an aggregate of zero and 131,088 stock options outstanding, respectively, with a weighted-average exercise price of $30.00 that were not included in the calculation of EPS, as they were out-of-the-money. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS On April 1, 2016, an aggregate of 21,248 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. |
Significant Accounting Polici18
Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis Of Presentation | Basis of Presentation The accompanying unaudited consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and the instructions to Securities and Exchange Commission ("SEC") Form 10-Q and Article 10, Rule 10-01 of Regulation S-X. Accordingly, the financial statements do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. The unaudited consolidated financial statements should be read in conjunction with the Company’s audited financial statements as of and for the year ended December 31, 2015, included in the 2015 Annual Report. The results for interim periods are not necessarily indicative of the results to be expected for the entire fiscal year. The unaudited consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The unaudited consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the unaudited consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. Reclassification Commencing with the 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 as a separate component of " Total interest expense" in the consolidated statement of operations, is now recognized as a component of "Net gain (loss) on derivative instruments". This reclassification was made in order to record income, expenses and fair value changes related to derivative instruments in one line item in the consolidated statements of operations, consistent with common industry practice. Prior period balances have been reclassified to conform to the current period presentation. |
Investments in Securities | Investments in Securities The Company's investment securities are accounted for in accordance with Accounting Standards Codification ("ASC") 320 —Investments in Debt and Equity Securities . The Company has chosen to make a fair value election pursuant to ASC 825 —Financial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the unaudited consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the unaudited consolidated statements of operations as a component of net unrealized gain (loss) on investments. These investments generally meet the requirements to be classified as available-for-sale under ASC 320, which requires the securities to be carried at fair value on the balance sheet. Electing the fair value option requires the Company to record changes in fair value of our investments in the unaudited consolidated statements of operations, which in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. The Company records its transactions in securities on a trade date basis. We record realized gains and losses on securities transactions on an identified cost basis. |
Agency RMBS | Agency RMBS The Company’s investments in Agency RMBS consist of pass-through certificates backed by fixed-rate, monthly-reset adjustable-rate loans ("ARMs") and hybrid ARMs, the principal and interest of which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Hybrid ARMs have interest rates that have an initial fixed period (typically three, five, seven or ten years) and thereafter reset at regular intervals in a manner similar to ARMs. |
Forward Settling Transactions | Forward Settling Transactions The Company engages in forward settling transactions to purchase or sell certain securities. Agency RMBS may include forward contracts for Agency RMBS purchases or sales of specified pools on a to-be-announced basis ("TBA Securities") that meet the regular-way scope exception in the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 815 - Derivatives and Hedging ("ASC 815"), and are recorded on a trade date basis. The Company maintains security positions such that sufficiently liquid assets will be available to make payment on the settlement date for securities purchased. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. See Note 7, Pledged Assets, for disclosure regarding the fair value of collateral pledged or received on forward settling transactions. |
Investment Valuation | Investment Valuation The Company's pricing committee is responsible for establishing valuation policies and procedures, as well as reviewing and approving valuations at a monthly pricing meeting. The pricing committee is composed of individuals from the accounting team, the investment team and senior management. Agency RMBS, Agency Debentures and U.S. Treasuries are generally valued based on prices provided by third-party services and derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and/or economic events. The pricing services may also use a matrix approach, which uses information regarding securities with similar characteristics to determine the valuation for a security. We generally value interest rate swaps and caps using prices provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments are made in determining the fair value of the Company's interest rate swaps and caps. All valuations from third-party pricing services or broker quotes are non-binding. We review all prices during our pricing process. To date, the Company has not adjusted any of the prices received from third-party pricing services or brokers. Our pricing review includes comparisons of similar market transactions, alternative third-party pricing services and broker quotes, or comparisons to a pricing model. To ensure proper fair value hierarchy, the Company reviews the third-party pricing services methodology periodically to ascertain which observable or unobservable inputs are being used. See Note 8, Fair Value Measurements , for a discussion of how the Company values its assets. |
Derivative Instruments | Derivative Instruments Included in Derivative Instruments are interest rate swaps and interest rate caps and TBA Derivatives (defined below). The Company uses interest rate swaps and interest rate caps to economically hedge a portion of its exposure to market risks, including interest rate and extension risk. The objective of our risk management strategy is to reduce fluctuations in stockholders’ equity over a range of interest rate scenarios. In particular, we attempt to manage the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. During the term of an interest rate swap or cap, the Company makes or receives periodic payments and records unrealized gains or losses as a result of marking the swap or cap to fair value. When the Company terminates a swap or cap, we record a realized gain or loss equal to the difference between the proceeds from (or the cost of) closing the transaction and the Company's cost basis in the contract, if any. We report the periodic payments and amortization of premiums on cap contracts under swap and cap interest expense in our unaudited 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 (a "swap" or "cap", respectively) may be subject to a master netting arrangement ("MNA"). The Company is exposed to credit loss in the event of non-performance by the counterparty to the swap or cap limited to the fair value of collateral posted in excess of the fair value of the contract in a net liability position and the shortage of the fair value of collateral posted for the contract in a net asset position. As of March 31, 2016 and December 31, 2015 , the Company did not anticipate non-performance by any counterparty. Should interest rates move unexpectedly, the Company may not achieve the anticipated benefits of the interest rate swap or cap and may realize a loss. While the Company's derivative agreements generally permit netting or setting off derivative assets and liabilities with the counterparty, the Company reports derivative assets and liabilities on a gross basis in our unaudited consolidated balance sheets. Derivatives are accounted for in accordance with ASC 815 which requires recognition of all derivatives as either assets or liabilities at fair value in the consolidated balance sheets with changes in fair value recognized in the consolidated statements of operations in "Net realized and unrealized gain (loss) on derivative instruments". Cash receipts and payments related to derivative instruments are classified in our unaudited consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections. See Note 4, Derivative Instruments. The Company enters into TBA dollar roll transactions whereby the Company is not contractually obligated to accept delivery on the settlement date ("TBA Derivatives"). TBA Derivatives are accounted for as a series of derivative transactions. The fair value of TBA Derivatives is based on similar methods used to value Agency RMBS with gains and losses recorded in Net gains (losses) on derivative instruments in the consolidated statements of operations. TBA Derivative 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 Derivative and a subsequent purchase of a new TBA Derivative. None of the Company's derivatives have been designated as hedging instruments for accounting purposes. Effective January 1, 2016, the Company recognized all TBAs that do not qualify for the regular-way scope exception under ASC 815 as derivatives. |
Interest Income | Interest Income We record interest income and expense on an accrual basis. We accrue interest income based on the outstanding principal amount of the securities and their contractual terms. We amortize premium and discount using the effective interest method, and this net amortization is either accretive to or a reduction of interest income from Agency RMBS in the Company's unaudited consolidated statements of operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. We record the amount of premium or discount associated with a prepayment through interest income from Agency RMBS on our unaudited consolidated statements of operations as it occurs. |
Other investments | Other Investments The Company's subsidiary, CYS Insurance, is a member of, and owns capital stock in, the FHLBC. The FHLBC provides CYS Insurance with credit capacity and authorizes advances based on the security of pledged Agency RMBS, provided the Company meets certain creditworthiness standards. FHLBC Advances at fair value are a funding source for the Company. 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 - Investments Debt and Equity Securities . Also included in other investments is a real estate asset which is recorded at fair value. |
Repurchase Agreements and FHLB Advances | 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 decline. Repo borrowing counterparties and the FHLBC have the right to sell or repledge collateral pledged under repo borrowings and FHLBC Advances. See Note 5, Repurchase Agreements and FHLBC Advances . We account for our repo borrowings 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. Also, we have entered into FHLBC Advances that may have an initial maturity of more than one year that 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 FHLBC Advances and, therefore, this debt is recorded at fair market value on the consolidated balance sheets. The unpaid principal balance of FHLBC Advances with initial maturities less than one year generally approximate fair value due to the short-term nature of the instruments. We price FHLBC Advances with an initial maturity greater than one year daily through a pricing service that uses a discounted cash flow model to value the debt, and periodically we validate the prices we receive through this process. The changes in fair market value are recorded in current period earnings on our unaudited consolidated statements of operations as a component of net unrealized gain (loss) on FHLBC Advances. Electing the fair value option permits the Company to record changes in the fair value of our FHLBC Advances along with that of our investments in our unaudited 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 5, Repurchase Agreements and FHLBC Advances . |
Investments in Securities (Tabl
Investments in Securities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Available-for-sale Securities [Abstract] | |
Available-for-sale Securities | The available-for-sale portfolio consisted of the following as of March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 10,925,812 $ (1,038 ) $ 172,749 $ 11,097,523 ARMs 263,926 — 2,711 266,637 Total Fannie Mae 11,189,738 (1,038 ) 175,460 11,364,160 Freddie Mac Certificates Fixed Rate 1,422,646 (88 ) 24,995 1,447,553 ARMs 31,680 (1 ) 720 32,399 Total Freddie Mac 1,454,326 (89 ) 25,715 1,479,952 Ginnie Mae Certificates - ARMs 43,596 — 722 44,318 U.S. Treasuries 29,959 — 13 29,972 Other Investments 32,948 — 1,080 34,028 Total $ 12,750,567 $ (1,127 ) $ 202,990 $ 12,952,430 December 31, 2015 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 The following table presents the gross unrealized loss and fair values of our available-for-sale Agency RMBS by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2016 and December 31, 2015 (in thousands): Unrealized loss positions for Less than 12 Months Greater than 12 months Total As of Fair value Unrealized loss Fair value Unrealized loss Fair value Unrealized loss March 31, 2016 $ 341,950 $ (770 ) $ 148,987 $ (221 ) $ 490,937 $ (991 ) December 31, 2015 6,718,658 (50,319 ) 86,300 (1,303 ) 6,804,958 (51,622 ) The following table summarizes our net realized gain (loss) from the sale of available-for-sale investments for the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, 2016 2015 Available-for-sale investments, at cost $ 1,397,188 $ 5,999,963 Proceeds from available-for-sale investments sold 1,398,390 6,018,216 Net gain (loss) on sale of available-for-sale investments $ 1,202 $ 18,253 Gross gain on sale of available-for-sale investments $ 5,383 $ 33,979 Gross (loss) on sale of available-for-sale investments (4,181 ) (15,726 ) Net gain (loss) on sale of available-for-sale investments $ 1,202 $ 18,253 The components of the carrying value of available-for-sale securities at March 31, 2016 and December 31, 2015 are presented below. A premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates; similarly, a discount purchase price is due to the average coupon interest rate on these investments being lower than prevailing market rates. (in thousands) March 31, 2016 (1) December 31, 2015 (1) Principal balance $ 12,265,726 $ 12,534,877 Unamortized premium 458,991 462,632 Unamortized discount (153 ) (273 ) Gross unrealized gains 202,990 90,118 Gross unrealized losses (1,127 ) (51,622 ) Fair value $ 12,926,427 $ 13,035,732 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Interest Rate Derivatives [Table Text Block] | The Company had the following activity in interest rate swap and cap transactions during the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, 2016 Three Months Ended March 31, 2015 Trade Date Transaction Notional Trade Date Transaction Notional January 2016 Terminated $ (500,000 ) January 2015 Terminated $ (400,000 ) January 2015 Opened $ 500,000 Net Increase $ 100,000 |
Schedule of Derivative Instruments | Below is a summary of our interest rate swap and cap contracts and TBA Derivatives open as of March 31, 2016 and December 31, 2015 (in thousands): Derivatives not designated as hedging instruments under ASC 815 Interest Rate Swap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 1,000,000 $ 327 Derivative assets, at fair value March 31, 2016 $ 6,450,000 $ (84,173 ) Derivative liabilities, at fair value December 31, 2015 5,900,000 39,435 Derivative assets, at fair value December 31, 2015 2,050,000 (14,024 ) Derivative liabilities, at fair value Interest Rate Cap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 2,500,000 $ 29,325 Derivative assets, at fair value December 31, 2015 2,500,000 61,343 Derivative assets, at fair value TBA Derivatives Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 350,000 $ (1,288 ) Derivative liabilities, at fair value March 31, 2016 643,807 3,049 Derivative assets, at fair value The average notional value of the Company's TBA Derivatives during the quarter ended March 31, 2016 was $1,103.5 million . The following table presents information about the net realized and unrealized gain (loss) on swap, cap and TBA Derivatives for the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2016 2015 Interest rate swaps and caps Swap and cap interest expense $ (18,398 ) $ (27,468 ) Interest rate swaps, caps and TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments (140,524 ) (77,368 ) Interest rate swaps, caps and TBA Derivatives Net gain (loss) on derivative instruments (158,922 ) (104,836 ) The swap and cap notional was $9,950.0 million at March 31, 2016 compared to $10,450.0 million at December 31, 2015 , and as a percentage of our repo borrowings and FHLB Advances was 96.5% at March 31, 2016 compared to 94.3% at December 31, 2015 . At March 31, 2016 and December 31, 2015 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): March 31, 2016 Assets Liabilities Interest rate swap contracts $ 327 $ 84,173 Interest rate cap contracts 29,325 — TBA derivatives 3,049 1,288 Total derivative assets and liabilities in the unaudited consolidated balance sheets 32,701 85,461 Derivatives not subject to an MNA — 80,304 Total assets and liabilities subject to an MNA $ 32,701 $ 5,157 December 31, 2015 Assets Liabilities Interest rate swap contracts $ 39,435 $ 14,024 Interest rate cap contracts 61,343 — Total derivative assets and liabilities in the unaudited consolidated balance sheets 100,778 14,024 Derivatives not subject to an MNA 25,151 14,024 Total assets and liabilities subject to an MNA $ 75,627 $ — |
Repurchase Agreements and FHL21
Repurchase Agreements and FHLB Advances (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Banking and Thrift [Abstract] | |
Schedule Of Company's Borrowings | Certain information with respect to the Company’s repo borrowings and FHLBC Advances outstanding at the balance sheet date is summarized in the table below. (in thousands) March 31, 2016 December 31, 2015 Outstanding repurchase agreements $ 9,656,969 $ 8,987,776 Outstanding FHLBC advances (2) $ 649,553 $ 2,098,701 Interest accrued thereon $ 6,000 $ 7,383 Weighted-average borrowing rate 0.73 % 0.54 % Weighted-average remaining maturity (in days) 50.5 42.2 Fair value of the collateral (1) $ 10,816,817 $ 11,548,930 |
Pledged Assets (Tables)
Pledged Assets (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Transfers and Servicing [Abstract] | |
Assets Pledged to Counterparties | The following tables summarize our assets pledged as collateral under our repo borrowings, FHLBC Advances, and derivative instruments by type, including securities pledged related to securities purchased or sold but not yet settled, as of March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Assets Pledged to Counterparties Repurchase Agreements and FHLBC Advances Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 10,804,826 $ 48,389 $ 2,367 $ 10,855,582 U.S. Treasuries - fair value 11,992 31,171 — 43,163 Accrued interest on pledged securities 29,521 134 7 29,662 Cash — 85,097 — 85,097 Total $ 10,846,339 $ 164,791 $ 2,374 $ 11,013,504 December 31, 2015 Assets Pledged to Counterparties Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 11,547,098 $ 37,657 $ 2,259 $ 11,587,014 U.S. Treasuries - fair value 1,832 13,054 — 14,886 Accrued interest on pledged securities 30,890 196 5 31,091 Cash — 21,751 — 21,751 Total $ 11,579,820 $ 72,658 $ 2,264 $ 11,654,742 |
Assets Pledged from Counterparties | As of March 31, 2016 and December 31, 2015 , we had assets pledged to us as collateral under our repurchase, derivative agreements and TBAs as summarized in the tables below (in thousands): March 31, 2016 Assets Pledged to CYS Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 15,499 $ — $ — $ 15,499 U.S. Treasuries - fair value 12,451 21,540 — 33,991 Accrued interest on pledged securities 71 104 — 175 Cash — 9,141 — 9,141 Total $ 28,021 $ 30,785 $ — $ 58,806 December 31, 2015 Assets Pledged to CYS Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) Total U.S. Treasuries - fair value — 44,143 — 44,143 Accrued interest on pledged securities — 209 — 209 Cash — 18,534 — 18,534 Total $ — $ 62,886 $ — $ 62,886 |
Schedule of Derivative Instruments | Below is a summary of our interest rate swap and cap contracts and TBA Derivatives open as of March 31, 2016 and December 31, 2015 (in thousands): Derivatives not designated as hedging instruments under ASC 815 Interest Rate Swap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 1,000,000 $ 327 Derivative assets, at fair value March 31, 2016 $ 6,450,000 $ (84,173 ) Derivative liabilities, at fair value December 31, 2015 5,900,000 39,435 Derivative assets, at fair value December 31, 2015 2,050,000 (14,024 ) Derivative liabilities, at fair value Interest Rate Cap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 2,500,000 $ 29,325 Derivative assets, at fair value December 31, 2015 2,500,000 61,343 Derivative assets, at fair value TBA Derivatives Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 350,000 $ (1,288 ) Derivative liabilities, at fair value March 31, 2016 643,807 3,049 Derivative assets, at fair value The average notional value of the Company's TBA Derivatives during the quarter ended March 31, 2016 was $1,103.5 million . The following table presents information about the net realized and unrealized gain (loss) on swap, cap and TBA Derivatives for the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2016 2015 Interest rate swaps and caps Swap and cap interest expense $ (18,398 ) $ (27,468 ) Interest rate swaps, caps and TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments (140,524 ) (77,368 ) Interest rate swaps, caps and TBA Derivatives Net gain (loss) on derivative instruments (158,922 ) (104,836 ) The swap and cap notional was $9,950.0 million at March 31, 2016 compared to $10,450.0 million at December 31, 2015 , and as a percentage of our repo borrowings and FHLB Advances was 96.5% at March 31, 2016 compared to 94.3% at December 31, 2015 . At March 31, 2016 and December 31, 2015 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): March 31, 2016 Assets Liabilities Interest rate swap contracts $ 327 $ 84,173 Interest rate cap contracts 29,325 — TBA derivatives 3,049 1,288 Total derivative assets and liabilities in the unaudited consolidated balance sheets 32,701 85,461 Derivatives not subject to an MNA — 80,304 Total assets and liabilities subject to an MNA $ 32,701 $ 5,157 December 31, 2015 Assets Liabilities Interest rate swap contracts $ 39,435 $ 14,024 Interest rate cap contracts 61,343 — Total derivative assets and liabilities in the unaudited consolidated balance sheets 100,778 14,024 Derivatives not subject to an MNA 25,151 14,024 Total assets and liabilities subject to an MNA $ 75,627 $ — |
Offsetting Assets | Below are summaries of the Company's assets and liabilities subject to offsetting provisions (in thousands): Assets Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Assets Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Received (1) Net Amount (2) March 31, 2016 Derivative assets $ 32,701 $ 2,132 $ 27,322 $ 3,247 December 31, 2015 Derivative assets 75,627 — 59,907 15,720 Liabilities Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) March 31, 2016 Derivative liabilities $ 5,157 $ 2,132 $ 3,025 $ — March 31, 2016 Repurchase agreements and FHLBC Advances 10,306,522 26,003 10,280,519 — December 31, 2015 Repurchase agreements and FHLBC Advances 11,086,477 42,003 11,044,474 — |
Offsetting Liabilities | Liabilities Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) March 31, 2016 Derivative liabilities $ 5,157 $ 2,132 $ 3,025 $ — March 31, 2016 Repurchase agreements and FHLBC Advances 10,306,522 26,003 10,280,519 — December 31, 2015 Repurchase agreements and FHLBC Advances 11,086,477 42,003 11,044,474 — ______________ (1) Collateral consists of Agency RMBS, U.S. Treasuries and Cash. Excess collateral pledged is not shown for financial reporting purposes. (2) Net amount represents the net amount receivable (in the case of assets) and payable (in the case of liabilities) to the counterparty in the event of default. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 12,888,430 $ — $ 12,888,430 U.S. Treasuries 29,972 — — 29,972 Other investments — — 8,025 8,025 Derivative assets — 32,701 — 32,701 Total $ 29,972 $ 12,921,131 $ 8,025 $ 12,959,128 Liabilities FHLBC Advances — 649,553 — 649,553 Derivative liabilities — 85,461 — 85,461 Total $ — $ 735,014 $ — $ 735,014 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 FHLBC Advances — 2,098,701 — 2,098,701 Derivative liabilities — 14,024 — 14,024 $ — $ 2,112,725 $ — $ 2,112,725 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The table below presents a reconciliation of changes in "Other investments" classified as Level 3 assets and measured for fair value on a recurring basis in the Company’s unaudited consolidated financial statements for the three months ended March 31, 2016 and 2015 . Level 3 Fair Value Reconciliation (In thousands) Three Months Ended March 31, Other investments (1) 2016 2015 Beginning balance Level 3 assets $ 8,025 $ 8,025 Cash payments recorded as a reduction of cost basis — — Change in net unrealized gain (loss) — — Gross purchases — — Gross sales — — Net gain (loss) on sales — — Transfers into (out of) Level 3 — — Ending balance Level 3 assets $ 8,025 $ 8,025 __________________ (1) FHLBC stock of approximately $26.0 million and $10.2 million at March 31, 2016 and 2015 , 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 . |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Earnings Per Share [Abstract] | |
Schedule Of Computation Of Basic And Diluted Earnings Per Share | Components of the computation of basic and diluted earnings per share ("EPS") were as follows (in thousands except per share amounts): Three Months Ended March 31, 2016 2015 Net income (loss) $ 61,331 $ 54,597 Less preferred stock dividends (5,203 ) (5,203 ) Net income (loss) available to common stockholders 56,128 49,394 Less dividends paid: Common shares (39,126 ) (47,110 ) Unvested shares (273 ) (324 ) Undistributed earnings (loss) 16,729 1,960 Basic weighted-average shares outstanding: Common shares 150,776 159,573 Basic earnings (loss) per common share: Distributed earnings $ 0.26 $ 0.30 Undistributed earnings (loss) 0.11 0.01 Basic earnings (loss) per common share $ 0.37 $ 0.31 Diluted weighted-average shares outstanding: Common shares 150,776 159,573 Net effect of dilutive stock options (1) — — 150,776 159,573 Diluted earnings (loss) per common share: Distributed earnings $ 0.26 $ 0.30 Undistributed earnings (loss) 0.11 0.01 Diluted earnings (loss) per common share $ 0.37 $ 0.31 __________________ (1) For the three months ended March 31, 2016 and 2015 , the Company had an aggregate of zero and 131,088 stock options outstanding, respectively, with a weighted-average exercise price of $30.00 that were not included in the calculation of EPS, as they were out-of-the-money. |
Organization (Details)
Organization (Details) - $ / shares | Mar. 31, 2016 | Dec. 31, 2015 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $ 25 | $ 25 |
Investments in Securities (Deta
Investments in Securities (Details) | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Available-for-sale Securities [Abstract] | ||
WeightedAverageCouponDebtSecurities | 3.43% | 3.39% |
Debt Instrument, Maturity Date | 30 years | |
U.S. Treasury Security Maturity Date | 2,019 | |
Agency RMBS Maturity Date Min | 2,024 | |
Agency RMBS Maturity Date Max | 2,046 |
Investments in Securities (Avai
Investments in Securities (Available-for-sale securities by GSE Agency and Coupon) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | $ (1,127) | $ (51,622) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 202,990 | 90,118 |
Fair value | 12,926,427 | 13,035,732 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 11,189,738 | 11,403,192 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (1,038) | (46,877) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 175,460 | 76,751 |
Fair value | 11,364,160 | 11,433,066 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Fixed Rate Residential Mortgage [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 10,925,812 | 11,142,798 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (1,038) | (45,018) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 172,749 | 74,891 |
Fair value | 11,097,523 | 11,172,671 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Adjustable Rate Residential Mortgage [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 263,926 | 260,394 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | 0 | (1,859) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 2,711 | 1,860 |
Fair value | 266,637 | 260,395 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 1,454,326 | 1,440,387 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (89) | (4,608) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 25,715 | 12,571 |
Fair value | 1,479,952 | 1,448,350 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Fixed Rate Residential Mortgage [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 1,422,646 | 1,379,566 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (88) | (3,881) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 24,995 | 11,822 |
Fair value | 1,447,553 | 1,387,507 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Adjustable Rate Residential Mortgage [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 31,680 | 60,821 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (1) | (727) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 720 | 749 |
Fair value | 32,399 | 60,843 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 43,596 | 45,784 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 722 | 796 |
Fair value | 44,318 | 46,580 |
US Treasury Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 29,959 | 99,847 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | 0 | (136) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 13 | 0 |
Fair value | 29,972 | 99,711 |
Other Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 32,948 | 48,948 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 1,080 | 1,080 |
Fair value | 34,028 | 50,028 |
Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 12,750,567 | 13,038,158 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (1,127) | (51,621) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 202,990 | 91,198 |
Fair value | $ 12,952,430 | $ 13,077,735 |
Investments in Securities (Av28
Investments in Securities (Available for sale, Continuous Unrealized Loss) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Investments, Debt and Equity Securities [Abstract] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 341,950 | $ 6,718,658 |
Unrealized loss on investments, owned less than 12 months | (770) | (50,319) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 148,987 | 86,300 |
Unrealized loss on investments, owned more than 12 months | (221) | (1,303) |
Fair value of investments in unrealized loss position | 490,937 | 6,804,958 |
Available for sale securities, continuous unrealized loss | $ (991) | $ (51,622) |
Investments in Securities (Summ
Investments in Securities (Summary of Net Gain (loss) from the Sale of Available-for-Sale Investments) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | ||
Available-for-sale investments, at cost | $ 1,397,188 | $ 5,999,963 |
Proceeds from securities sold | 1,398,390 | 6,018,216 |
Proceeds from available-for-sale investments sold | 1,382,390 | 6,018,216 |
Net gain (loss) on sale of available-for-sale investments | 1,202 | 18,253 |
Gross gain on sale of available-for-sale investments | 5,383 | 33,979 |
Gross (loss) on sale of available-for-sale investments | $ (4,181) | $ (15,726) |
Investments in Securities (Comp
Investments in Securities (Components of the Carrying Value of Available-for-Sale Securities) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | $ 12,265,726 | $ 12,534,877 |
Unamortized premium | 458,991 | 462,632 |
Unamortized discount | (153) | (273) |
Gross unrealized gains | (202,990) | (90,118) |
Gross unrealized losses | (1,127) | (51,622) |
Fair value | 12,926,427 | 13,035,732 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | (11,189,738) | (11,403,192) |
Gross unrealized gains | (175,460) | (76,751) |
Gross unrealized losses | (1,038) | (46,877) |
Fair value | 11,364,160 | 11,433,066 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | (1,454,326) | (1,440,387) |
Gross unrealized gains | (25,715) | (12,571) |
Gross unrealized losses | (89) | (4,608) |
Fair value | 1,479,952 | 1,448,350 |
US Treasury Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | (29,959) | (99,847) |
Gross unrealized gains | (13) | 0 |
Gross unrealized losses | 0 | (136) |
Fair value | 29,972 | 99,711 |
Other Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | (32,948) | (48,948) |
Gross unrealized gains | (1,080) | (1,080) |
Gross unrealized losses | 0 | 0 |
Fair value | 34,028 | 50,028 |
Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | (12,750,567) | (13,038,158) |
Gross unrealized gains | (202,990) | (91,198) |
Gross unrealized losses | (1,127) | (51,621) |
Fair value | $ 12,952,430 | $ 13,077,735 |
Derivative Instruments (Details
Derivative Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | |||
Trading Securities Pledged as Collateral | $ 79,100 | $ 50,700 | |
Derivative, Collateral, Right to Reclaim Cash | 85,097 | 21,751 | [1] |
Securities Received as Collateral | 21,500 | 44,100 | |
Derivative, Collateral, Obligation to Return Cash | 8,800 | 18,500 | |
SwapandCapNotional | $ 9,950,000 | $ 10,450,000 | |
SwapandCapNotionalasPercentageofRepoBorrowings | 96.50% | 94.30% | |
Not Designated as Hedging Instrument [Member] | |||
Derivative [Line Items] | |||
Derivative, Average Notional Amount | $ 1,103,500 | ||
[1] | Derived from audited consolidated financial statements. |
Derivative Instruments (Summary
Derivative Instruments (Summary Of Interest Rate Swap And Cap Contracts) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Transaction And Trade Date [Line Items] | ||
DerivativeNotionalTransactions | $ 100,000 | |
JanuaryTwoThousandSixteenTerminated [Domain] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | January 2,016 | |
DerivativeNotionalTransactions | $ (500,000) | |
JanuarylTwoThousandFifteenOpened [Domain] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | January 2,015 | |
DerivativeNotionalTransactions | $ 500,000 | |
JanuaryTwoThousandFifteenTerminated [Domain] | ||
Transaction And Trade Date [Line Items] | ||
Trade Date Of Interest Rate Swap And Cap Contracts | January 2,015 | |
DerivativeNotionalTransactions | $ (400,000) |
Derivative Instruments (Derivat
Derivative Instruments (Derivatives not designated as hedging activities under ASC 815) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability | $ (5,157) | $ 0 |
Derivative Asset, Fair Value, Gross Asset | 32,701 | 75,627 |
Derivatives Not Designated As Hedging Instruments [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 1,103,500 | |
Interest Rate Swap [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Assets [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 1,000,000 | 5,900,000 |
Derivative Asset, Fair Value, Gross Asset | 327 | 39,435 |
Interest Rate Swap [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Liabilities [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 6,450,000 | 2,050,000 |
Derivative Liability, Fair Value, Gross Liability | (84,173) | (14,024) |
Interest Rate Cap [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Assets [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 2,500,000 | 2,500,000 |
Derivative Asset, Fair Value, Gross Asset | 29,325 | $ 61,343 |
TBA Derivatives [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Assets [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 643,807 | |
Derivative Asset, Fair Value, Gross Asset | 3,049 | |
TBA Derivatives [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Liabilities [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 350,000 | |
Derivative Liability, Fair Value, Gross Liability | $ (1,288) |
Derivative Instruments (Amount
Derivative Instruments (Amount recognized in income on derivatives) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Swap and cap interest expense | $ (18,398) | $ (27,468) |
Net realized and unrealized gain (loss) on derivative instruments | (140,524) | (77,368) |
Derivative, Gain (Loss) on Derivative, Net | $ (158,922) | $ (104,836) |
Repurchase Agreements and FHL35
Repurchase Agreements and FHLB Advances (Details) $ in Thousands | 1 Months Ended | 3 Months Ended | |||
Jan. 31, 2016USD ($) | Mar. 31, 2016USD ($)d | Dec. 31, 2015USD ($)d | Mar. 31, 2015USD ($) | ||
Short-term Debt [Line Items] | |||||
Payments for Federal Home Loan Bank Advances | $ 1,450,000 | ||||
Number Of Repurchase Agreements | 0 | 0 | |||
RepoBorrowingsandFHLBadvancesaspercentageoftotalassets | 5.00% | 14.70% | |||
Federal Home Loan Bank Stock | $ 26,000 | $ 42,000 | $ 10,200 | ||
Securities Sold under Agreements to Repurchase, Fair Value of Collateral | 10,816,817 | 11,548,930 | |||
Long-term Federal Home Loan Bank Advances | 650,000 | ||||
Federal Home Loan Bank, Advances, Maturities Summary, Due in Next Twelve Months | 649,553 | 2,098,701 | [1] | ||
Outstanding repurchase agreements | 9,656,969 | 8,987,776 | [1] | ||
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 649,553 | 2,098,701 | |||
Interest accrued thereon | $ 6,000 | $ 7,383 | |||
Debt, Weighted Average Interest Rate | 1.48% | ||||
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 10 months 24 days | ||||
Weighted average borrowing rate | 0.73% | 0.54% | |||
Weighted Average Remaining Maturity (In Days) | d | 50.5 | 42.2 | |||
Fair value of the collateral(1) | $ 424,600 | $ 423,700 | |||
AccruedInterestExpenseonLongTermFHLBCAdvances | $ 500 | ||||
Accrued interest on federal home loan bank advances with initial term over one year | $ 500 | ||||
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets | 3.20% | 2.30% | |||
[1] | Derived from audited consolidated financial statements. |
Repurchase Agreements and FHL36
Repurchase Agreements and FHLB Advances Remaining contractual maturity of the agreements (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | $ 10,296,070 | $ 10,739,525 |
U.S. Treasuries Collateral | 10,899 | 348,251 |
Agency RMBS and U.S. Treasuries Collateral | 10,306,969 | 11,087,776 |
Maturity Less than 30 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | 6,204,602 | 7,579,885 |
U.S. Treasuries Collateral | 10,899 | 348,251 |
Agency RMBS and U.S. Treasuries Collateral | 6,215,501 | 7,928,136 |
Maturity 30 to 90 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | 3,043,323 | 2,235,246 |
U.S. Treasuries Collateral | 0 | 0 |
Agency RMBS and U.S. Treasuries Collateral | 3,043,323 | 2,235,246 |
Maturity Greater than 90 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | 1,048,145 | 924,394 |
U.S. Treasuries Collateral | 0 | 0 |
Agency RMBS and U.S. Treasuries Collateral | $ 1,048,145 | $ 924,394 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | ||
RemainingLeaseTerm | 84 months | |
Indemnification claims | $ 0 | $ 0 |
Operating Leases, Future Minimum Payments Due | $ 2,732,000 |
Commitments and Contingencies L
Commitments and Contingencies Lease commitments table (Details) $ in Thousands | Mar. 31, 2016USD ($) |
Operating Leased Assets [Line Items] | |
Operating Leases, Future Minimum Payments Due, Next Twelve Months | $ 261 |
Operating Leases, Future Minimum Payments, Due in Two Years | 353 |
Operating Leases, Future Minimum Payments, Due in Three Years | 363 |
Operating Leases, Future Minimum Payments, Due in Four Years | 373 |
Operating Leases, Future Minimum Payments, Due in Five Years | 383 |
Operating Leases, Future Minimum Payments, Due Thereafter | 999 |
Operating Leases, Future Minimum Payments Due | $ 2,732 |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged to Counterparties) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | $ 11,013,504 | $ 11,654,742 |
Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,855,582 | 11,587,014 |
US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 43,163 | 14,886 |
Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 29,662 | 31,091 |
Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 85,097 | 21,751 |
Repurchase Agreements [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,846,339 | 11,579,820 |
Repurchase Agreements [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,804,826 | 11,547,098 |
Repurchase Agreements [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 11,992 | 1,832 |
Repurchase Agreements [Member] | Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 29,521 | 30,890 |
Repurchase Agreements [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 0 | 0 |
Derivative [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 164,791 | 72,658 |
Derivative [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 48,389 | 37,657 |
Derivative [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 31,171 | 13,054 |
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 | 134 | 196 |
Derivative [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 85,097 | 21,751 |
Forward Settling Trades [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 2,374 | 2,264 |
Forward Settling Trades [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 2,367 | 2,259 |
Forward Settling Trades [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 0 | 0 |
Forward Settling Trades [Member] | Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 7 | 5 |
Forward Settling Trades [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | $ 0 | $ 0 |
Pledged Assets (Assets Pledge40
Pledged Assets (Assets Pledged from Counterparties ) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $ 58,806 | $ 62,886 |
Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 15,499 | |
US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 33,991 | 44,143 |
Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 175 | 209 |
Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 9,141 | 18,534 |
Repurchase Agreements [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 28,021 | 0 |
Repurchase Agreements [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 15,499 | |
Repurchase Agreements [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 12,451 | 0 |
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 | 71 | 0 |
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 | 30,785 | 62,886 |
Derivative [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | |
Derivative [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 21,540 | 44,143 |
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 | 104 | 209 |
Derivative [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 9,141 | 18,534 |
Forward Settling Trades [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 0 |
Forward Settling Trades [Member] | Agency RMBS [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | |
Forward Settling Trades [Member] | US Treasury Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 0 |
Forward Settling Trades [Member] | Accrued Interest on Pledged Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 0 |
Forward Settling Trades [Member] | Cash [Member] | ||
Schedule of Investments [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $ 0 | $ 0 |
Pledged Assets (Derivatives) (D
Pledged Assets (Derivatives) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 85,461 | $ 14,024 |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 32,701 | 100,778 |
Derivative Asset, Not Subject to Master Netting Arrangement | 0 | 25,151 |
Derivative Liability, Not Subject to Master Netting Arrangement | 80,304 | 14,024 |
Derivative Asset, Fair Value, Gross Asset | 32,701 | 75,627 |
Derivative Liability, Fair Value, Gross Liability | 5,157 | 0 |
Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 84,173 | 14,024 |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 327 | 39,435 |
Interest Rate Cap [Member] | ||
Derivative [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 29,325 | $ 61,343 |
TBA Derivatives [Member] | ||
Derivative [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 1,288 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | $ 3,049 |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Transfers and Servicing [Abstract] | ||
Derivative Asset, Fair Value, Gross Asset | $ 32,701 | $ 75,627 |
DerivativeAssetSubjectToMasterNettingArrangement | 75,627 | |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 2,132 | 0 |
Fair Value of Securities Received as Collateral that Have Been Resold or Repledged | 27,322 | 59,907 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | $ 3,247 | $ 15,720 |
Pledged Assets (Offsetting Liab
Pledged Assets (Offsetting Liabilities) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Transfers and Servicing [Abstract] | ||
Derivative Liability, Fair Value, Gross Liability | $ 5,157 | $ 0 |
Derivative Liability, Fair Value of Collateral | 3,025 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | |
RepurchaseagreementsandFederalHomeLoanBankAdvances | 10,306,522 | 11,086,477 |
Securities Sold under Agreements to Repurchase and FHLBC Advances, Not Offset, Policy Election Deduction | 26,003 | 42,003 |
Securities Sold under Agreements to Repurchase and FHLBC Advances, Right to Reclaim Securities and Cash | 10,280,519 | 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 | $ 0 |
InstrumentsAvailableToOffsetDerivativeLiability | $ 2,132 |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 |
Fair Value Disclosures [Abstract] | |||
unobservable input capitalization rate min | 3.00% | ||
unobservable input capitalization rate max | 6.00% | ||
Federal Home Loan Bank Stock | $ 26 | $ 42 | $ 10.2 |
Fair Value Measurements (Assets
Fair Value Measurements (Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | $ 12,888,430 | $ 12,927,996 | |
US Treasury fair value disclosure | 29,972 | 99,711 | |
Other Investments | 8,025 | 8,025 | |
Other Investments | 34,028 | 50,028 | [1] |
Derivative Asset | 32,701 | 100,778 | [1] |
Assets, Fair Value Disclosure, Recurring | 12,959,128 | 13,136,510 | |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 649,553 | 2,098,701 | |
Derivative liabilities, at fair value | 85,461 | 14,024 | [1] |
Liabilities, Fair Value Disclosure, Recurring | 735,014 | 2,112,725 | |
Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | 0 | 0 | |
US Treasury fair value disclosure | 29,972 | 99,711 | |
Other Investments | 0 | 0 | |
Derivative Asset | 0 | 0 | |
Assets, Fair Value Disclosure, Recurring | 29,972 | 99,711 | |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 0 | 0 | |
Derivative liabilities, at fair value | 0 | 0 | |
Liabilities, Fair Value Disclosure, Recurring | 0 | 0 | |
Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | 12,888,430 | 12,927,996 | |
US Treasury fair value disclosure | 0 | 0 | |
Other Investments | 0 | 0 | |
Derivative Asset | 100,778 | ||
Assets, Fair Value Disclosure, Recurring | 12,921,131 | 13,028,774 | |
Derivative liabilities, at fair value | 14,024 | ||
Liabilities, Fair Value Disclosure, Recurring | 735,014 | 2,112,725 | |
Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | 0 | 0 | |
US Treasury fair value disclosure | 0 | 0 | |
Other Investments | 8,025 | ||
Other Investments | 8,025 | ||
Derivative Asset | 0 | 0 | |
Assets, Fair Value Disclosure, Recurring | 8,025 | 8,025 | |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 0 | 0 | |
Derivative liabilities, at fair value | 0 | 0 | |
Liabilities, Fair Value Disclosure, Recurring | $ 0 | $ 0 | |
[1] | Derived from audited consolidated financial statements. |
Fair Value Measurements (Level
Fair Value Measurements (Level 3 Fair Value Reconciliation) (Details) - Other Investments [Member] - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | [1] | Mar. 31, 2015 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Beginning balance Level 3 assets | $ 8,025 | $ 8,025 | |
Cash payments recorded as a reduction of cost basis | 0 | 0 | |
Change in net unrealized gain (loss) | 0 | 0 | |
Gross purchases | 0 | 0 | |
Gross sales | 0 | 0 | |
Net gain (loss) on sales | 0 | 0 | |
Transfers into (out of) level 3 | 0 | 0 | |
Ending balance Level 3 assets | $ 8,025 | $ 8,025 | |
[1] | (1)FHLBC stock of approximately $26.0 million and $10.2 million at March 31, 2016 and 2015, respectively, is excluded from the table above as the Company accounts for its investment in FHLBC stock as a cost method investment and periodically evaluates FHLBC stock for impairment. |
Share Capital (Details)
Share Capital (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | 20 Months Ended | ||||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | Jul. 20, 2014 | Nov. 15, 2012 | ||
Equity Issuance [Line Items] | |||||||
Common stock, shares authorized | 500,000,000 | 500,000,000 | |||||
Common stock, par value | $ 0.01 | $ 0.01 | |||||
Common Stock, Shares, Issued | 151,535,316 | 151,739,840 | |||||
Common Stock, Shares, Outstanding | 151,535,316 | 151,739,840 | |||||
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 | |||||
Preferred Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | |||||
Preferred Stock, Shares Issued | 3,000,000 | 3,000,000 | |||||
Preferred Stock, Shares Outstanding | 3,000,000 | 3,000,000 | |||||
Preferred Stock B, Dividend Rate, Percentage 7.50% | 7.50% | ||||||
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $ 25 | $ 25 | |||||
Preferred Stock A, Dividend Rate, Percentage 7.75% | 7.75% | ||||||
Series B Cumulative Redeemable Preferred Stock, shares outstanding | 8,000,000 | 8,000,000 | |||||
Series B Cumulative Redeemable Preferred Stock, shares issued | 8,000,000 | 8,000,000 | |||||
7.50% Series B Cumulative Redeemable Preferred Stock, (8,000 shares issued and outstanding, respectively, $200,000 in aggregate liquidation preference) | $ 193,531 | $ 193,531 | [1] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period | 336,101 | 438,617 | |||||
Number Of Common Stock Available To Sell Under Sales Agreement | 156,800,000 | 134,300,000 | |||||
Stock Repurchase Program, Authorized Amount | $ 250,000 | $ 250,000 | |||||
Treasury Stock Acquired, Average Cost Per Share | $ 7.82 | $ 8.28 | $ 8.88 | ||||
Proceeds from (Repurchase of) Equity | $ 4,000 | ||||||
Net proceeds (payments) from issuance and repurchase of common shares | $ 4,223 | $ 37,446 | $ 87,700 | $ 1,500 | $ 115,700 | ||
Stock Repurchased and Retired During Period, Shares | 510,618 | 10,559,493 | 172,549 | ||||
Dividend Reinvestment And Direct Stock Purchase Plan [Member] | |||||||
Equity Issuance [Line Items] | |||||||
Stock Available For Issuance During Period Shares Dividend Reinvestment Plan | 4,100,000 | 4,055,245 | |||||
Equity Placement Program [Member] | |||||||
Equity Issuance [Line Items] | |||||||
Number Of Common Stock Available To Sell Under Sales Agreement | 3,081,447 | ||||||
[1] | Derived from audited consolidated financial statements. |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Net income | $ 61,331 | $ 54,597 | |
Less preferred stock dividends | (5,203) | (5,203) | |
Net income (loss) available to common stockholders | 56,128 | 49,394 | |
Common shares | (39,126) | (47,110) | |
Unvested shares | (273) | (324) | |
Undistributed earnings (loss) | $ 16,729 | $ 1,960 | |
Common shares | 150,776,000 | 159,573,000 | |
Distributed earnings | $ 0.26 | $ 0.30 | |
Undistributed earnings (loss) | 0.11 | 0.01 | |
Basic earnings (loss) per common share | $ 0.37 | $ 0.31 | |
Net effect of dilutive stock options (1) | [1] | 0 | 0 |
Diluted weighted average shares outstanding | 150,776,000 | 159,573,000 | |
Distributed earnings | $ 0.26 | $ 0.30 | |
Undistributed earnings (loss) | 0.11 | 0.01 | |
Diluted earnings (loss) per common share | $ 0.37 | $ 0.31 | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Number | 131,088 | 131,088 | |
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range, Exercisable Options, Weighted Average Exercise Price | $ 30 | $ 30 | |
[1] | For the three months ended March 31, 2016 and 2015, the Company had an aggregate of zero and 131,088 stock options outstanding, respectively, with a weighted-average exercise price of $30.00 that were not included in the calculation of EPS, as they were out-of-the-money. |
Subsequent Events (Details)
Subsequent Events (Details) | Apr. 01, 2016shares |
Restricted Stock [Member] | Subsequent Event [Member] | |
Subsequent Event [Line Items] | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 21,248 |