Document And Entity Information
Document And Entity Information - shares | 9 Months Ended | |
Sep. 30, 2016 | Oct. 27, 2016 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2016 | |
Document Fiscal Period Focus | Q3 | |
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 | 151,434,120 |
Consolidated Statements Of Asse
Consolidated Statements Of Assets And Liabilities (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Assets: | |||
Cash and cash equivalents | $ 2,192 | $ 9,982 | [1] |
Agency mortgage-backed securities (including pledged assets of $10,117,658 and $11,587,014, respectively) | 11,742,018 | 12,927,996 | [1] |
U.S. Treasury securities (including pledged assets of $32,429 and $14,886, respectively) | 49,891 | 99,711 | [1] |
Receivable for securities sold and principal repayments | 2,598 | 1,084,844 | [1] |
Receivable for cash pledged as collateral | 63,464 | 21,751 | [1] |
Interest receivable | 33,273 | 34,563 | [1] |
Derivative assets, at fair value | 29,869 | 100,778 | [1] |
Other investments | 8,028 | 50,028 | [1] |
Other assets | 2,787 | 1,051 | [1] |
Total assets | 11,934,120 | 14,330,704 | [1] |
Liabilities: | |||
Repurchase agreements | 9,620,641 | 8,987,776 | |
FHLBC Advances, at fair value | 0 | 2,098,701 | |
Payable for securities purchased | 424,476 | 1,475,974 | [1] |
Payable for cash received as collateral | 10,882 | 18,534 | [1] |
Accrued interest payable | 21,521 | 32,588 | [1] |
Accrued expenses and other liabilities | 6,111 | 4,083 | [1] |
Dividends payable | 42,264 | 4,410 | [1] |
Derivative liabilities, at fair value | 50,240 | 14,024 | [1] |
Total liabilities | 10,176,135 | 12,636,090 | [1] |
Stockholders' equity: | |||
7.75% Series A Cumulative Redeemable Preferred Stock, (3,000 shares issued and outstanding, respectively, $75,000 in aggregate liquidation preference) | 72,369 | 72,369 | [1] |
7.50% Series B Cumulative Redeemable Preferred Stock, (8,000 shares issued and outstanding, respectively, $200,000 in aggregate liquidation preference) | 193,531 | 193,531 | [1] |
Common Stock, $0.01 par value, 500,000 shares authorized (151,415 and 151,740 shares issued and outstanding, respectively) | 1,514 | 1,517 | [1] |
Additional paid in capital | 1,943,952 | 1,946,419 | [1] |
Retained earnings (accumulated deficit) | (453,381) | (519,222) | [1] |
Total stockholders' equity | 1,757,985 | 1,694,614 | [1] |
Total liabilities and stockholders' equity | $ 11,934,120 | $ 14,330,704 | [1] |
[1] | Derived from audited consolidated financial statements. |
Condolidated Statements Of Asse
Condolidated Statements Of Assets And Liabilities (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Common Stock, Number of Shares, Par Value and Other Disclosures [Abstract] | ||
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 | 151,414,696 | 151,739,840 |
Common stock, shares outstanding | 151,414,696 | 151,739,840 |
Agency Mortgage-backed Securities [Member] | ||
Common Stock, Number of Shares, Par Value and Other Disclosures [Abstract] | ||
Investments in securities, pledged assets | $ 10,117,658 | $ 11,601,900 |
US Treasury Securities [Member] | ||
Common Stock, Number of Shares, Par Value and Other Disclosures [Abstract] | ||
Investments in securities, pledged assets | $ 32,429 | $ 14,886 |
Condensed Statements Of Operati
Condensed Statements Of Operations - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Interest income: | ||||
Agency RMBS | $ 68,602 | $ 83,816 | $ 224,101 | $ 243,455 |
Other | 1,059 | 166 | 1,868 | 1,909 |
Total interest income | 69,661 | 83,982 | 225,969 | 245,364 |
Interest expense: | ||||
Repurchase agreements | 17,265 | 10,232 | 50,062 | 29,450 |
FHLBC Advances | 214 | 2,029 | 4,049 | 2,715 |
Total interest expense | 17,479 | 12,261 | 54,111 | 32,165 |
Net interest income | 52,182 | 71,721 | 171,858 | 213,199 |
Other income (loss): | ||||
Net realized gain (loss) on investments | 18,155 | (10,332) | 55,716 | 17,356 |
Net unrealized gain (loss) on investments | (36,540) | 106,154 | 154,661 | 4,944 |
Net unrealized gain (loss) on FHLBC Advances | 0 | (726) | (1,299) | (737) |
Other income | 308 | 300 | 1,158 | 458 |
Net realized and unrealized gain (loss) on investments, FHLBC Advances and other income | (18,077) | 95,396 | 210,236 | 22,021 |
Swap and cap interest expense | (12,493) | (24,681) | (45,670) | (77,141) |
Net realized and unrealized gain (loss) on derivative instruments | 63,625 | (100,597) | (121,434) | (146,918) |
Net gain (loss) on derivative instruments | 51,132 | (125,278) | (167,104) | (224,059) |
Total other income (loss) | 33,055 | (29,882) | 43,132 | (202,038) |
Expenses: | ||||
Compensation and benefits | 3,619 | 3,655 | 11,049 | 10,921 |
General, administrative and other | 2,608 | 2,157 | 7,390 | 6,653 |
Total expenses | 6,227 | 5,812 | 18,439 | 17,574 |
Net income (loss) | 79,010 | 36,027 | 196,551 | (6,413) |
Less preferred stock dividends | (5,203) | (5,203) | (15,609) | (15,609) |
Net income (loss) available to common stockholders | $ 73,807 | $ 30,824 | $ 180,942 | $ (22,022) |
Net income (loss) per common share basic & diluted | $ 0.49 | $ 0.20 | $ 1.19 | $ (0.15) |
Dividends declared per common share | $ 0.25 | $ 0.26 | $ 0.76 | $ 0.84 |
Consolidated Statement Of Chang
Consolidated Statement Of Changes In Stockholders Equity - USD ($) $ in Thousands | Total | Common Stock Par Value | Additional Paid-in Capital | Retained Earnings (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) | (6,413) | 0 | 0 | (6,413) | 0 | 0 | |
Issuance of common stock | 0 | 5 | (5) | 0 | 0 | 0 | |
Amortization of share-based compensation | 3,069 | 0 | 3,069 | 0 | 0 | 0 | |
Repurchase and cancellation of common stock | (64,790) | (75) | (64,715) | 0 | 0 | 0 | |
Preferred dividends | (15,609) | 0 | 0 | (15,609) | 0 | 0 | |
Common dividends | (131,601) | 0 | 0 | (131,601) | 0 | 0 | |
Balance at Sep. 30, 2015 | 1,759,824 | 1,548 | 1,987,501 | (495,125) | 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) | 196,551 | 0 | 0 | 0 | 0 | ||
Issuance of common stock | 0 | 4 | (4) | 0 | 0 | 0 | |
Amortization of share-based compensation | 3,046 | 0 | 3,046 | 0 | 0 | 0 | |
Repurchase and cancellation of common stock | (5,516) | (7) | (5,509) | 0 | 0 | 0 | |
Preferred dividends | (15,609) | 0 | 0 | (15,609) | 0 | 0 | |
Common dividends | (115,101) | 0 | 0 | (115,101) | 0 | 0 | |
Balance at Sep. 30, 2016 | $ 1,757,985 | $ 1,514 | $ 1,943,952 | $ (453,381) | $ 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 | 9 Months Ended | 12 Months Ended | 20 Months Ended | |||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | Jul. 20, 2014 | |||
Cash flows from operating activities: | |||||||||
Net income (loss) | $ (79,010) | $ (36,027) | $ (196,551) | $ 6,413 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||||||||
Amortization of share-based compensation | 3,046 | 3,069 | |||||||
Amortization of premiums and discounts on investment securities | 60,586 | 71,875 | |||||||
Amortization of premiums on interest rate cap contracts | 13,125 | 13,125 | |||||||
Net realized (gain) loss on investments | (55,716) | (17,356) | |||||||
Net unrealized (gain) loss on investments | (154,661) | (4,944) | |||||||
Net realized and unrealized (gain) loss on derivative instruments | 94,000 | 130,474 | |||||||
Net unrealized (gain) loss on FHLBC Advances | 0 | 726 | 1,299 | 737 | |||||
Change in assets and liabilities: | |||||||||
Interest receivable | 1,290 | 1,376 | |||||||
Other assets | (1,736) | (167) | |||||||
Accrued interest payable | (11,067) | (8,755) | |||||||
Accrued expenses and other liabilities | 2,028 | 388 | |||||||
Net cash provided by (used in) operating activities | 148,745 | 183,409 | |||||||
Cash flows from investing activities: | |||||||||
Purchase of investment securities | (13,900,075) | (16,938,997) | |||||||
Purchase of other investments | 0 | 42,003 | |||||||
Proceeds from sale of available-for-sale investments | 13,902,132 | 16,205,227 | |||||||
Proceeds from sale of other investments | 42,000 | 0 | |||||||
Proceeds from paydowns of investment securities | 1,383,532 | 1,508,403 | |||||||
Change in assets and liabilities: | |||||||||
Receivable for securities sold and principal repayments | 1,082,246 | (163,564) | |||||||
Receivable for cash pledged as collateral | (41,713) | (60,551) | |||||||
Payable for securities purchased | (1,051,498) | (524,866) | |||||||
Payable for cash received as collateral | (7,652) | (34,130) | |||||||
Net cash provided by (used in) investing activities | 1,408,972 | (50,481) | |||||||
Cash flows from financing activities: | |||||||||
Proceeds from repurchase agreements | 76,708,876 | 70,980,648 | |||||||
Repayments of repurchase agreements | (76,076,011) | (73,017,526) | |||||||
Proceeds from FHLBC Advances | 2,175,000 | 23,085,000 | |||||||
Repayments of FHLBC Advances | (4,275,000) | (20,985,000) | |||||||
Net payments from repurchase of common stock | (5,516) | (64,790) | $ (87,700) | $ (1,500) | $ (115,700) | ||||
Dividends paid | (92,856) | (106,961) | |||||||
Net cash provided by (used in) financing activities | (1,565,507) | (108,629) | |||||||
Net increase (decrease) in cash and cash equivalents | (7,790) | 24,299 | |||||||
Cash and cash equivalents - Beginning of period | 9,982 | [1] | 4,323 | 4,323 | |||||
Cash and cash equivalents - End of period | 2,192 | 28,622 | 2,192 | 28,622 | 9,982 | [1] | $ 4,323 | ||
Supplemental disclosures of cash flow information: | |||||||||
Interest paid (excluding interest paid on interest rate swaps) | 53,474 | 34,086 | |||||||
Net interest paid on interest rate swaps | 44,248 | 67,067 | |||||||
Income taxes paid | 0 | 0 | |||||||
Supplemental disclosures of non-cash flow information: | |||||||||
Dividends declared, not paid | $ 42,264 | $ 44,659 | $ 42,264 | $ 44,659 | $ 4,410 | [1] | |||
[1] | Derived from audited consolidated financial statements. |
Orginazation
Orginazation | 9 Months Ended |
Sep. 30, 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's membership in the FHLBC must be terminated within one year of the effective date and it will not be permitted to secure any new advances. As a result, all FHLBC Advances are required to be repaid no later than February 19, 2017. The Company repaid all outstanding FHLBC Advances prior to September 30, 2016. CYS Insurance continues to be a member of the FHLBC. |
Significant Accounting Policies
Significant Accounting Policies | 9 Months Ended |
Sep. 30, 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 2015 Annual Report, "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 changes in fair value 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. Cash and Cash Equivalents Cash and cash equivalents represent cash held in banks, cash on hand, and liquid investments with original maturities of three months or less. We may have bank balances in excess of federally insured amounts; however, we deposit our cash and cash equivalents with high credit-quality institutions to minimize credit risk exposure. We have not experienced, and do not expect, any losses on our cash or cash equivalents. Investments in Securities The Company's investment securities are accounted for in accordance with the Financial Accounting Standards Board's ("FASB") Accounting Standards Codification ("ASC") 320 —Investments—Debt and Equity Securities . The Company has chosen to make a fair value election pursuant to ASC 825 —Financial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the consolidated balance sheets. Electing the fair value option requires the Company to record changes in fair value of our investments in the unaudited consolidated statements of operations (as a component of net unrealized gain (loss) on investments), 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. These investments meet the requirements to be classified as available-for-sale under ASC 320. The Company records security purchase and sale transactions, including forward settling transactions, on a trade date basis. Realized gains and losses on securities transactions are recorded 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 ASC 815 —Derivatives and Hedging ("ASC 815") , and are recorded on a trade date basis to the extent it is probable that we will take or make timely physical delivery of the related securities. 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 during monthly pricing meetings. The pricing committee is composed of individuals from the finance and investment teams and other members of senior management. Agency RMBS, U.S. 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. All valuations from third-party pricing services or broker quotes are non-binding. The pricing committee reviews all prices. To date, the Company has not adjusted any of the prices received from third-party pricing services or brokers. Our pricing review includes comparisons of similar market transactions, alternative third-party pricing services and broker quotes, or comparisons to a pricing model. To ensure proper characterization within the fair value hierarchy in ASC 820, Fair Value Measurement ( "ASC 820" ) , the Company reviews the third-party pricing services methodologies periodically to ascertain which observable or unobservable inputs are being used. See Note 8, Fair Value Measurements , for additional details related to the fair value of the Company's assets and liabilities. 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 caps (a "swap" or "cap", respectively) 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 a 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 the accompanying 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 swaps and caps 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 September 30, 2016 and December 31, 2015 , the Company did not anticipate non-performance by any counterparty. Should interest rates move contrary to the Company's expectations, 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 the accompanying 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 accompanying consolidated balance sheets with changes in fair value recognized in the accompanying 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 the accompanying unaudited consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections. 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 realized and unrealized gains (losses) on derivative instruments in the accompanying 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 premiums and discounts 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 in the accompanying unaudited consolidated statements of operations as it occurs. Other Investments CYS Insurance is a member of, and owns capital stock in, the FHLBC. As a condition of its membership in the FHLBC, CYS Insurance is required to maintain FHLBC stock, 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" in the accompanying consolidated balance sheets in accordance with ASC 325, Investments - Other . 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 declines. Repo borrowing counterparties and the FHLBC have the right to sell or repledge collateral pledged under repo borrowings 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, which approximates 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 with initial terms greater than one year and, therefore, this debt is recorded at fair market value in the accompanying 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 in the accompanying 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 the 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 are recognized in a consistent manner. Recent Accounting Pronouncements The following table provides a brief description of recent accounting pronouncements that could potentially impact the Company's consolidated financial statements: Accounting Standard Description Required Date of Adoption Anticipated Effect on the Financial Statements ASU 2016-15 Statement of Cash Flows (Topic 230) Classification of Certain Cash Receipts and Cash Payments ("ASU 2016-15") (a consensus of the Emerging Issues Task Force) On August 26, 2016, the FASB issued ASU 2016-15, which amends ASC 230, Statement of Cash Flows ("ASC 230), to add or clarify guidance on the classification of certain cash receipts and payments in the statement of cash flows. ASC 230 lacks consistent principles for evaluating the classification of cash payments and receipts in the statement of cash flows. This has led to diversity in practice and, in certain circumstances, financial statement restatements. Consequently, the FASB issued ASU 2016-15 with the intent of reducing diversity in practice with respect to certain types of cash flows. For public business entities, the guidance is effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Early adoption is permitted for all entities. Entities must apply the guidance retrospectively to all periods presented but may apply it prospectively if retrospective application would be impracticable. Not expected to have a significant impact on the consolidated financial statements. ASU 2016-02 Leases (Topic 842) The amendments require lessees to recognize a right-of-use asset and a liability to make lease payments in the balance sheets for most leases. The accounting for lessors is largely unchanged. January 1, 2019 (early adoption permitted) Not expected to have a significant impact on the consolidated financial statements. ASU 2016-01 Financial Instruments - Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Financial Liabilities The amendments address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. January 1, 2018 (early adoption permitted for a provision related to presentation of instrument-specific credit risk of liabilities accounted for under the fair value option) Not expected to have a significant impact on the consolidated financial statements. ASU 2016-09, Compensation — Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting (issued March 30, 2016) The amendment simplifies several aspects of the accounting for employee share-based payment transactions for both public and nonpublic entities, including the accounting for income taxes, forfeitures, and statutory tax withholding requirements, as well as classification in the statement of cash flows. December 15, 2016 (early adoption permitted) This standard is not expected to change the way the Company accounts for share-based payments to employees or directors. |
Investments in Securities
Investments in Securities | 9 Months Ended |
Sep. 30, 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 September 30, 2016 and December 31, 2015 (in thousands): September 30, 2016 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 8,649,826 $ (319 ) $ 163,095 $ 8,812,602 ARMs 257,141 — 3,100 260,241 Total Fannie Mae 8,906,967 (319 ) 166,195 9,072,843 Freddie Mac Certificates Fixed Rate 2,579,340 (219 ) 26,445 2,605,566 ARMs 25,669 — 674 26,343 Total Freddie Mac 2,605,009 (219 ) 27,119 2,631,909 Ginnie Mae Certificates - ARMs 36,831 — 435 37,266 Total Agency RMBS 11,548,807 (538 ) 193,749 11,742,018 U.S. Treasuries 49,944 (53 ) — 49,891 Total $ 11,598,751 $ (591 ) $ 193,749 $ 11,791,909 December 31, 2015 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 11,142,798 $ (45,018 ) $ 74,891 $ 11,172,671 ARMs 260,394 (1,859 ) 1,860 260,395 Total Fannie Mae 11,403,192 (46,877 ) 76,751 11,433,066 Freddie Mac Certificates Fixed Rate 1,379,566 (3,881 ) 11,822 1,387,507 ARMs 60,821 (727 ) 749 60,843 Total Freddie Mac 1,440,387 (4,608 ) 12,571 1,448,350 Ginnie Mae Certificates - ARMs 45,784 — 796 46,580 Total Agency RMBS 12,889,363 (51,485 ) 90,118 12,927,996 U.S. Treasuries 99,847 (136 ) — 99,711 Total $ 12,989,210 $ (51,621 ) $ 90,118 $ 13,027,707 The following table presents the gross unrealized loss and fair values of our available-for-sale investments by length of time that such securities have been in a continuous unrealized loss position as of September 30, 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 September 30, 2016 $ 1,237,721 $ (591 ) $ — $ — $ 1,237,721 $ (591 ) December 31, 2015 6,718,658 (50,318 ) 86,300 (1,303 ) 6,804,958 (51,621 ) The following table summarizes the Company’s available-for-sale investments as of September 30, 2016 and December 31, 2015 , according to their estimated weighted-average life classifications: September 30, 2016 December 31, 2015 Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ 5,392,970 $ 5,356,573 $ 6,130,300 $ 6,160,358 Greater than one year through five years 5,588,607 5,464,453 6,647,248 6,587,664 Greater than five years through ten years 810,332 777,725 250,159 241,188 Greater than ten years — — — — Total $ 11,791,909 $ 11,598,751 13,027,707 12,989,210 The following table summarizes our net realized gain (loss) from the sale of available-for-sale investments for the three and nine months ended September 30, 2016 and 2015 (in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2016 2015 2016 2015 Available-for-sale investments, at cost $ 7,041,173 $ 2,849,207 $ 13,846,416 $ 16,187,871 Proceeds from sale of available-for-sale investments 7,059,328 2,838,875 13,902,132 16,205,227 Net realized gain (loss) on sale of available-for-sale investments $ 18,155 $ (10,332 ) 55,716 17,356 Gross gain on sale of available-for-sale investments $ 21,363 $ 18,210 63,489 80,592 Gross (loss) on sale of available-for-sale investments (3,208 ) (28,542 ) (7,773 ) (63,236 ) Net realized gain (loss) on sale of available-for-sale investments $ 18,155 $ (10,332 ) $ 55,716 $ 17,356 The components of the carrying value of available-for-sale securities at September 30, 2016 and December 31, 2015 are presented below. A premium purchase price is generally due to the average coupon interest rates on these investments being higher than prevailing market rates; similarly, a discount purchase price is generally due to the average coupon interest rate on these investments being lower than prevailing market rates. (in thousands) September 30, 2016 December 31, 2015 Principal balance $ 11,159,693 $ 12,527,932 Unamortized premium 439,210 462,631 Unamortized discount (152 ) (273 ) Gross unrealized gains 193,749 89,038 Gross unrealized losses (591 ) (51,621 ) Fair value $ 11,791,909 $ 13,027,707 The weighted-average coupon interest rate on the Company's Debt Securities as of September 30, 2016 and December 31, 2015 was 3.35% 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 September 30, 2016 and December 31, 2015 , the range of final contractual maturities of the Company’s Agency RMBS portfolio was between 2024 and 2046 , and the final maturities of the Company's U.S. Treasuries was 2018 and 2017 , respectively. Credit Risk The Company believes it has minimal exposure to credit losses on its investment securities at September 30, 2016 and December 31, 2015 because it principally owns 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 September 30, 2016 and December 31, 2015, S&P maintained 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 | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Fair Value [Text Block] | The Company enters into swaps and caps with the intent of managing our interest rate exposure. The Company had the following activity in interest rate swap and cap transactions during the nine months ended September 30, 2016 and 2015 (in thousands): September 30, 2016 September 30, 2015 Trade Date Transaction Notional Trade Date Transaction Notional January 2016 Terminated $ (500,000 ) January 2015 Terminated $ (400,000 ) May 2016 Terminated (2,200,000 ) January 2015 Opened 500,000 May 2016 Opened 1,700,000 April 2015 Terminated (400,000 ) September 2016 Terminated (500,000 ) July 2015 Terminated (500,000 ) Net Decrease $ (1,500,000 ) July 2015 Opened 750,000 August 2015 Terminated (500,000 ) August 2015 Opened 500,000 September 2015 Terminated (1,500,000 ) September 2015 Opened 1,400,000 Net Decrease $ (150,000 ) As of September 30, 2016 and December 31, 2015 , the Company had pledged Debt Securities with a fair value of $69.8 million and $50.7 million , respectively, as collateral on swaps and caps. As of September 30, 2016 and December 31, 2015 , the Company had pledged cash of $63.5 million and $21.8 million , respectively, as collateral on swaps and caps. As of September 30, 2016 , the Company had Debt Securities of $11.5 million and cash of $10.5 million pledged to it as collateral for its derivative instruments. 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 swaps and caps. The table below summarizes fair value information about our derivative and other hedging instrument assets and liabilities as of September 30, 2016 and December 31, 2015 (in thousands): September 30, 2016 December 31, 2015 Derivative and Other Hedging Instruments - Assets Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative assets, at fair value $ 1,500,000 $ 1,342 $ 5,900,000 $ 39,435 Interest Rate Caps Derivative assets, at fair value 2,500,000 15,917 2,500,000 61,343 TBA Derivatives Derivative assets, at fair value 2,930,000 12,610 — — Total derivative assets at fair value $ 6,930,000 $ 29,869 $ 8,400,000 $ 100,778 Derivative and Other Hedging Instruments - Liabilities Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative liabilities, at fair value $ 4,950,000 $ (46,762 ) $ 2,050,000 $ (14,024 ) Interest Rate Caps Derivative liabilities, at fair value — — — — TBA Derivatives Derivative liabilities, at fair value 800,000 (3,478 ) — — Total derivative liabilities at fair value $ 5,750,000 $ (50,240 ) $ 2,050,000 $ (14,024 ) The average notional value of the Company's TBA Derivatives during the three and nine months ended September 30, 2016 was $2,980.5 million and $1,992.1 million , respectively. The following table presents information about the net realized and unrealized gain (loss) on swap, cap and TBA Derivatives for the three and nine months ended September 30, 2016 and 2015 (in thousands): Three Months Ended September 30, Nine Months Ended September 30, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2016 2015 2016 2015 Interest rate swaps and caps Swap and cap interest expense $ (12,493 ) $ (24,681 ) $ (45,670 ) $ (77,141 ) Interest rate swaps, caps and TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments 63,625 (100,597 ) (121,434 ) (146,918 ) Interest rate swaps, caps and TBA Derivatives Net gain (loss) on derivative instruments $ 51,132 $ (125,278 ) $ (167,104 ) $ (224,059 ) The swap and cap notional was $8,950.0 million at September 30, 2016 compared to $10,450.0 million at December 31, 2015 , and respectively 93.0% and 94.3% of our repo borrowings and FHLBC Advances at September 30, 2016 and December 31, 2015 . |
Repurchase Agreements and FHLB
Repurchase Agreements and FHLB Advances | 9 Months Ended |
Sep. 30, 2016 | |
Banking and Thrift [Abstract] | |
Repurchase Agreements | REPURCHASE AGREEMENTS AND FHLBC ADVANCES The Company leverages its Debt Securities portfolio primarily through repo borrowings and FHLBC Advances. Each of the Company's repo borrowings bears interest at a rate based on a spread above or below the London Interbank Offered Rate ("LIBOR"). The interest rates for FHLBC Advances are set by the FHLBC. 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 dates is summarized in the table below. (in thousands) September 30, 2016 December 31, 2015 Outstanding repurchase agreements $ 9,620,641 $ 8,987,776 Outstanding FHLBC Advances $ — $ 2,098,701 Interest accrued thereon $ 8,020 $ 7,383 Weighted-average borrowing rate 0.77 % 0.54 % Weighted-average remaining maturity (in days) 67.8 42.2 Fair value of pledged collateral (1) $ 10,077,489 $ 11,548,930 __________________ (1) Collateral for repo borrowings and FHLBC Advances consists of Agency RMBS and U.S. Treasuries. The following table presents the remaining contractual maturity of the repo borrowings and FHLBC Advances by collateral type as of September 30, 2016 and December 31, 2015 (in thousands): Remaining contractual maturity September 30, 2016 Up to 30 days 30-90 days Greater than 90 days Total Agency RMBS $ 3,671,570 $ 3,014,821 $ 2,934,250 $ 9,620,641 U.S. Treasuries — — — — Total $ 3,671,570 $ 3,014,821 $ 2,934,250 $ 9,620,641 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 September 30, 2016 and December 31, 2015 , our amount at risk with any individual counterparty related to our repo borrowings or FHLBC Advances was less than 2.3% of stockholders' equity, and our repo borrowings or FHLBC Advances with any individual counterparty were less than 6.5% 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. As a direct result of the Final Rule, all FHLBC Advances are now required to be repaid on or before February 19, 2017. During the quarter ended September 30, 2016 , the Company repaid all of its remaining FHLBC Advances. 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 in the accompanying consolidated balance sheets. The FHLBC requires that CYS Insurance purchase and hold activity stock in the FHLBC in an amount equal to a specified percentage of outstanding FHLBC Advances. As of September 30, 2016 and December 31, 2015 , CYS Insurance held a combined total of $3 thousand and $42.0 million , respectively, in FHLBC membership and activity stock that is included in "Other investments" in the accompanying unaudited consolidated balance sheets. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 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 September 30, 2016 and December 31, 2015 , no claims have been asserted against the Company under these indemnification agreements. Accordingly, the Company has no liabilities recorded for these agreements as of September 30, 2016 and December 31, 2015 . The Company occupied leased office space for which the term expired 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 "New Lease"). The New Lease has an initial term of 84 months from the rent commencement date. Both leases have been classified as operating leases. The Company’s aggregate future minimum lease payments total approximately $2.6 million . The following table details the lease payments (in thousands): Years Ending December 31, Lease Commitments 2016 (remaining) $ 87 2017 353 2018 363 2019 373 2020 383 Thereafter 998 $ 2,557 |
Pledged Assets
Pledged Assets | 9 Months Ended |
Sep. 30, 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 September 30, 2016 and December 31, 2015 (in thousands): September 30, 2016 Asset Type Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 10,080,545 $ 37,113 $ — $ 10,117,658 U.S. Treasuries - fair value 1,606 33,310 — 34,916 Accrued interest on pledged securities 27,012 147 — 27,159 Cash — 63,464 — 63,464 Total $ 10,109,163 $ 134,034 $ — $ 10,243,197 December 31, 2015 Asset Type Repurchase Agreements and FHLBC Advances 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 return collateral to us, which may be in the form of identical or similar securities, or cash. As of September 30, 2016 and December 31, 2015 , we had assets pledged to us as collateral under our repurchase agreements, derivative agreements and TBAs as summarized in the tables below (in thousands): September 30, 2016 Asset Type Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 2,643 $ 735 $ — $ 3,378 U.S. Treasuries - fair value 2,019 10,741 530 13,290 Accrued interest on pledged securities 13 53 2 68 Cash — 10,470 412 10,882 Total $ 4,675 $ 21,999 $ 944 $ 27,618 December 31, 2015 Asset Type 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 not restricted as to use and is recognized in "Cash and cash equivalents" with a corresponding amount recognized in "Payable for cash received as collateral" in the accompanying consolidated balance sheets. The Company's collateral received in the form of securities from counterparties is disclosed in Note 4, Derivative Instruments . The Company’s Master Repurchase Agreements ("MRAs"), Master Securities Forward Transaction Agreements ("MSFTA") and ISDA Master Agreements ("ISDAs", and together with MRAs, the “Master Agreements”) generally provide (unless specified otherwise) that the Company may sell, pledge, rehypothecate, assign, invest, use, commingle, dispose of, or otherwise use in its business any posted collateral it holds, free from any claim or right of any nature whatsoever of the counterparty. MSFTAs govern the considerations and factors surrounding the settlement of certain forward settling transactions, TBAs and secured borrowing transactions by and between the Company and our counterparties. As of September 30, 2016 , $13.3 million of assets were pledged to the Company under the Master Agreements, of which $2.5 million were pledged by the Company to other counterparties at September 30, 2016 . Since title to these assets remain with the counterparty under the Master Agreements, none of these assets are reflected in the accompanying consolidated balance sheets. Offsetting Assets and Liabilities Certain of our repo borrowings and derivative transactions are governed by underlying agreements that generally provide for a right of offset under MNAs (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 contractual right of offset, the Company may offset the related asset and liability and report the net amount in the accompanying consolidated balance sheets. However, the Company reports amounts subject to its MRAs and ISDAs in the consolidated balance sheets on a gross basis without regard to such rights of offset. At September 30, 2016 and December 31, 2015 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): September 30, 2016 Assets Liabilities Interest rate swap contracts $ 1,342 $ 46,762 Interest rate cap contracts 15,917 — TBA derivatives 12,610 3,478 Total derivative assets and liabilities 29,869 50,240 Derivatives not subject to a Master Netting Agreement — 46,441 Total assets and liabilities subject to a Master Netting Agreement $ 29,869 $ 3,799 December 31, 2015 Assets Liabilities Interest rate swap contracts $ 39,435 $ 14,024 Interest rate cap contracts 61,343 — Total derivative assets and liabilities 100,778 14,024 Derivatives not subject to a Master Netting Agreement 25,151 14,024 Total assets and liabilities subject to a Master Netting Agreement $ 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 Consolidated Balance Sheets As of Description Amount of Assets Presented in the Consolidated Balance Sheets Instruments Available for Offset Collateral Received (1) Net Amount (2) September 30, 2016 Derivative assets $ 29,869 $ 2,095 $ 17,970 $ 9,804 December 31, 2015 Derivative assets 75,627 — 59,907 15,720 Liabilities Gross Amounts Not Offset in the Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) September 30, 2016 Derivative liabilities $ 3,799 $ 2,095 $ 1,704 $ — September 30, 2016 Repurchase agreements and FHLBC Advances 9,620,641 — 9,620,641 — December 31, 2015 Derivative liabilities — — — — 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 | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | FAIR VALUE MEASUREMENTS The Company’s valuation techniques are based on observable and unobservable inputs. ASC 820 establishes a fair value hierarchy that prioritizes and ranks the level of market price observability used in measuring financial instruments. Market price observability is affected by a number of factors, including the type of financial instrument, the characteristics specific to the financial instrument, and the state of the marketplace, including the existence and transparency of transactions between market participants. Financial instruments with readily available quoted prices in active markets generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Financial instruments measured and reported at fair value are classified and disclosed based on the observability of inputs used in the determination, as follows: Level 1: Generally includes only unadjusted quoted prices that are available in active markets for identical financial instruments as of the reporting date. Level 2: Pricing inputs include quoted prices in active markets for similar instruments, quoted prices in less active or inactive markets for identical or similar instruments where multiple price quotes can be obtained, and other observable inputs, such as interest rates and yield curves. Level 3: Pricing inputs are unobservable for the financial instruments and include situations where there is little, if any, market activity for the financial instrument. These inputs require significant judgment or estimation by management when determining fair value and generally represent anything that does not meet the criteria of Levels 1 and 2. The estimated value of each asset reported at fair value using Level 3 inputs is approved by an internal committee composed of members of senior management, including our Chief Executive Officer, Chief Financial Officer, and other senior officers. 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 and cash equivalents, receivables, payables, repo borrowings and FHLBC Advances with initial terms of one year or less. We generally value 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. "Other investments" is comprised of our investment in FHLBC stock and our investment in a real estate asset. Investment in real estate is considered to be a Level 3 asset to which we periodically apply valuation techniques and/or impairment analysis. FHLBC stock of approximately $3 thousand and $42.0 million at September 30, 2016 and December 31, 2015 , respectively, is excluded from Other investments in the table below as the Company accounts for this investment as a cost method investment and periodically evaluates it 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 September 30, 2016 and December 31, 2015 (in thousands): September 30, 2016 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 11,742,018 $ — $ 11,742,018 U.S. Treasuries 49,891 — — 49,891 Other investments — — 8,025 8,025 Derivative assets — 29,869 — 29,869 Total $ 49,891 $ 11,771,887 $ 8,025 $ 11,829,803 Liabilities FHLBC Advances — — — — Derivative liabilities — 50,240 — 50,240 Total $ — $ 50,240 $ — $ 50,240 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 — 423,701 — 423,701 Derivative liabilities — 14,024 — 14,024 Total $ — $ 437,725 $ — $ 437,725 The table below presents a reconciliation of changes in Other investments classified as Level 3 and measured at fair value on a recurring basis in the accompanying consolidated balance sheets for the three and nine months ended September 30, 2016 and 2015 . Level 3 Fair Value Reconciliation (In thousands) Three and Nine Months Ended September 30, Other investments 2016 2015 Beginning balance Level 3 assets $ 8,025 $ 8,025 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 |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2016 | |
Stockholders' Equity Note [Abstract] | |
Share Capital | The Company has authorized 500,000,000 shares of common stock having par value of $0.01 per share. As of September 30, 2016 and December 31, 2015 , the Company had issued and outstanding 151,414,696 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 September 30, 2016 and December 31, 2015 , 3,000,000 shares of 7.75% Series A Cumulative Redeemable Preferred Stock ( $25.00 liquidation preference) were issued and outstanding. As of September 30, 2016 and December 31, 2015 , 8,000,000 shares of 7.50% Series B Cumulative Redeemable 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 September 30, 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 nine months ended September 30, 2016 and 2015 the Company did not issue any shares under the plan. As of September 30, 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 nine months ended September 30, 2016 , we repurchased 673,166 shares of the Company's common stock at a weighted-average purchase price of $7.85 per share, for an aggregate of approximately $5.3 million . For the nine months ended September 30, 2015 , we repurchased 7,503,709 shares of the Company's common stock at a weighted-average purchase price of $8.59 , for an aggregate of approximately $64.6 million . Accordingly, the Company was authorized to repurchase shares of its common stock of approximately $155.5 million and $183.9 million as of September 30, 2016 and September 30, 2015 , respectively. Restricted Stock Awards For the nine months ended September 30, 2016 and 2015 , the Company granted 378,029 and 480,736 shares of restricted stock, respectively, to certain of its directors, officers and employees. |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2016 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | EARNINGS PER SHARE Components of the computation of basic and diluted earnings per share ("EPS") are as follows (in thousands except per share amounts): Three Months Ended September 30, Nine Months Ended September 30, 2016 2015 2016 2015 Net income (loss) $ 79,010 $ 36,027 $ 196,551 $ (6,413 ) Less preferred stock dividends (5,203 ) (5,203 ) (15,609 ) (15,609 ) Net income (loss) available to common stockholders 73,807 30,824 180,942 (22,022 ) Less dividends paid: Common shares (37,599 ) (39,976 ) (114,312 ) (130,703 ) Unvested shares (254 ) (272 ) (789 ) (898 ) Undistributed earnings (loss) 35,954 (9,424 ) 65,841 (153,623 ) Basic weighted-average shares outstanding: Common shares 150,378 154,633 150,520 156,821 Basic earnings (loss) per common share: Distributed earnings $ 0.25 $ 0.26 $ 0.76 $ 0.83 Undistributed earnings (loss) 0.24 (0.06 ) 0.43 (0.98 ) Basic earnings (loss) per common share $ 0.49 $ 0.20 $ 1.19 $ (0.15 ) Diluted weighted-average shares outstanding: Common shares 150,378 154,633 150,520 156,821 Net effect of dilutive stock options (1) — — — — 150,378 154,633 150,520 156,821 Diluted earnings (loss) per common share: Distributed earnings $ 0.25 $ 0.26 $ 0.76 $ 0.83 Undistributed earnings (loss) 0.24 (0.06 ) 0.43 (0.98 ) Diluted earnings (loss) per common share $ 0.49 $ 0.20 $ 1.19 $ (0.15 ) __________________ (1) For the three and nine months ended September 30, 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 | 9 Months Ended |
Sep. 30, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS The Company has evaluated subsequent events through October 27, 2016 , the date these financial statements were issued, and determined that there have not been any events that have occurred that would require adjustments to or disclosures in the unaudited consolidated financial statements. |
Significant Accounting Polici18
Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 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 2015 Annual Report, "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 changes in fair value 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. |
Reclassification, Policy [Policy Text Block] | Reclassification Commencing with the 2015 Annual Report, "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 changes in fair value 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. |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash and Cash Equivalents Cash and cash equivalents represent cash held in banks, cash on hand, and liquid investments with original maturities of three months or less. We may have bank balances in excess of federally insured amounts; however, we deposit our cash and cash equivalents with high credit-quality institutions to minimize credit risk exposure. We have not experienced, and do not expect, any losses on our cash or cash equivalents. |
Investments in Securities | Investments in Securities The Company's investment securities are accounted for in accordance with the Financial Accounting Standards Board's ("FASB") Accounting Standards Codification ("ASC") 320 —Investments—Debt and Equity Securities . The Company has chosen to make a fair value election pursuant to ASC 825 —Financial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the consolidated balance sheets. Electing the fair value option requires the Company to record changes in fair value of our investments in the unaudited consolidated statements of operations (as a component of net unrealized gain (loss) on investments), 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. These investments meet the requirements to be classified as available-for-sale under ASC 320. The Company records security purchase and sale transactions, including forward settling transactions, on a trade date basis. Realized gains and losses on securities transactions are recorded 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 ASC 815 —Derivatives and Hedging ("ASC 815") , and are recorded on a trade date basis to the extent it is probable that we will take or make timely physical delivery of the related securities. 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 during monthly pricing meetings. The pricing committee is composed of individuals from the finance and investment teams and other members of senior management. Agency RMBS, U.S. 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. All valuations from third-party pricing services or broker quotes are non-binding. The pricing committee reviews all prices. To date, the Company has not adjusted any of the prices received from third-party pricing services or brokers. Our pricing review includes comparisons of similar market transactions, alternative third-party pricing services and broker quotes, or comparisons to a pricing model. To ensure proper characterization within the fair value hierarchy in ASC 820, Fair Value Measurement ( "ASC 820" ) , the Company reviews the third-party pricing services methodologies periodically to ascertain which observable or unobservable inputs are being used. See Note 8, Fair Value Measurements , for additional details related to the fair value of the Company's assets and liabilities. |
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 caps (a "swap" or "cap", respectively) 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 a 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 the accompanying 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 swaps and caps 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 September 30, 2016 and December 31, 2015 , the Company did not anticipate non-performance by any counterparty. Should interest rates move contrary to the Company's expectations, 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 the accompanying 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 accompanying consolidated balance sheets with changes in fair value recognized in the accompanying 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 the accompanying unaudited consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections. 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 realized and unrealized gains (losses) on derivative instruments in the accompanying 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 premiums and discounts 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 in the accompanying unaudited consolidated statements of operations as it occurs. |
Other investments | Other Investments CYS Insurance is a member of, and owns capital stock in, the FHLBC. As a condition of its membership in the FHLBC, CYS Insurance is required to maintain FHLBC stock, 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" in the accompanying consolidated balance sheets in accordance with ASC 325, Investments - Other . 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 declines. Repo borrowing counterparties and the FHLBC have the right to sell or repledge collateral pledged under repo borrowings 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, which approximates 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 with initial terms greater than one year and, therefore, this debt is recorded at fair market value in the accompanying 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 in the accompanying 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 the 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 are recognized in a consistent manner. |
Investments in Securities (Tabl
Investments in Securities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Available-for-sale Securities [Abstract] | |
Available-for-sale Securities | The available-for-sale portfolio consisted of the following as of September 30, 2016 and December 31, 2015 (in thousands): September 30, 2016 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 8,649,826 $ (319 ) $ 163,095 $ 8,812,602 ARMs 257,141 — 3,100 260,241 Total Fannie Mae 8,906,967 (319 ) 166,195 9,072,843 Freddie Mac Certificates Fixed Rate 2,579,340 (219 ) 26,445 2,605,566 ARMs 25,669 — 674 26,343 Total Freddie Mac 2,605,009 (219 ) 27,119 2,631,909 Ginnie Mae Certificates - ARMs 36,831 — 435 37,266 Total Agency RMBS 11,548,807 (538 ) 193,749 11,742,018 U.S. Treasuries 49,944 (53 ) — 49,891 Total $ 11,598,751 $ (591 ) $ 193,749 $ 11,791,909 December 31, 2015 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 11,142,798 $ (45,018 ) $ 74,891 $ 11,172,671 ARMs 260,394 (1,859 ) 1,860 260,395 Total Fannie Mae 11,403,192 (46,877 ) 76,751 11,433,066 Freddie Mac Certificates Fixed Rate 1,379,566 (3,881 ) 11,822 1,387,507 ARMs 60,821 (727 ) 749 60,843 Total Freddie Mac 1,440,387 (4,608 ) 12,571 1,448,350 Ginnie Mae Certificates - ARMs 45,784 — 796 46,580 Total Agency RMBS 12,889,363 (51,485 ) 90,118 12,927,996 U.S. Treasuries 99,847 (136 ) — 99,711 Total $ 12,989,210 $ (51,621 ) $ 90,118 $ 13,027,707 The following table presents the gross unrealized loss and fair values of our available-for-sale investments by length of time that such securities have been in a continuous unrealized loss position as of September 30, 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 September 30, 2016 $ 1,237,721 $ (591 ) $ — $ — $ 1,237,721 $ (591 ) December 31, 2015 6,718,658 (50,318 ) 86,300 (1,303 ) 6,804,958 (51,621 ) The following table summarizes the Company’s available-for-sale investments as of September 30, 2016 and December 31, 2015 , according to their estimated weighted-average life classifications: September 30, 2016 December 31, 2015 Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ 5,392,970 $ 5,356,573 $ 6,130,300 $ 6,160,358 Greater than one year through five years 5,588,607 5,464,453 6,647,248 6,587,664 Greater than five years through ten years 810,332 777,725 250,159 241,188 Greater than ten years — — — — Total $ 11,791,909 $ 11,598,751 13,027,707 12,989,210 The following table summarizes our net realized gain (loss) from the sale of available-for-sale investments for the three and nine months ended September 30, 2016 and 2015 (in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2016 2015 2016 2015 Available-for-sale investments, at cost $ 7,041,173 $ 2,849,207 $ 13,846,416 $ 16,187,871 Proceeds from sale of available-for-sale investments 7,059,328 2,838,875 13,902,132 16,205,227 Net realized gain (loss) on sale of available-for-sale investments $ 18,155 $ (10,332 ) 55,716 17,356 Gross gain on sale of available-for-sale investments $ 21,363 $ 18,210 63,489 80,592 Gross (loss) on sale of available-for-sale investments (3,208 ) (28,542 ) (7,773 ) (63,236 ) Net realized gain (loss) on sale of available-for-sale investments $ 18,155 $ (10,332 ) $ 55,716 $ 17,356 The components of the carrying value of available-for-sale securities at September 30, 2016 and December 31, 2015 are presented below. A premium purchase price is generally due to the average coupon interest rates on these investments being higher than prevailing market rates; similarly, a discount purchase price is generally due to the average coupon interest rate on these investments being lower than prevailing market rates. (in thousands) September 30, 2016 December 31, 2015 Principal balance $ 11,159,693 $ 12,527,932 Unamortized premium 439,210 462,631 Unamortized discount (152 ) (273 ) Gross unrealized gains 193,749 89,038 Gross unrealized losses (591 ) (51,621 ) Fair value $ 11,791,909 $ 13,027,707 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 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 nine months ended September 30, 2016 and 2015 (in thousands): September 30, 2016 September 30, 2015 Trade Date Transaction Notional Trade Date Transaction Notional January 2016 Terminated $ (500,000 ) January 2015 Terminated $ (400,000 ) May 2016 Terminated (2,200,000 ) January 2015 Opened 500,000 May 2016 Opened 1,700,000 April 2015 Terminated (400,000 ) September 2016 Terminated (500,000 ) July 2015 Terminated (500,000 ) Net Decrease $ (1,500,000 ) July 2015 Opened 750,000 August 2015 Terminated (500,000 ) August 2015 Opened 500,000 September 2015 Terminated (1,500,000 ) September 2015 Opened 1,400,000 Net Decrease $ (150,000 ) |
Schedule of Derivative Instruments | The table below summarizes fair value information about our derivative and other hedging instrument assets and liabilities as of September 30, 2016 and December 31, 2015 (in thousands): September 30, 2016 December 31, 2015 Derivative and Other Hedging Instruments - Assets Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative assets, at fair value $ 1,500,000 $ 1,342 $ 5,900,000 $ 39,435 Interest Rate Caps Derivative assets, at fair value 2,500,000 15,917 2,500,000 61,343 TBA Derivatives Derivative assets, at fair value 2,930,000 12,610 — — Total derivative assets at fair value $ 6,930,000 $ 29,869 $ 8,400,000 $ 100,778 Derivative and Other Hedging Instruments - Liabilities Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative liabilities, at fair value $ 4,950,000 $ (46,762 ) $ 2,050,000 $ (14,024 ) Interest Rate Caps Derivative liabilities, at fair value — — — — TBA Derivatives Derivative liabilities, at fair value 800,000 (3,478 ) — — Total derivative liabilities at fair value $ 5,750,000 $ (50,240 ) $ 2,050,000 $ (14,024 ) The average notional value of the Company's TBA Derivatives during the three and nine months ended September 30, 2016 was $2,980.5 million and $1,992.1 million , respectively. The following table presents information about the net realized and unrealized gain (loss) on swap, cap and TBA Derivatives for the three and nine months ended September 30, 2016 and 2015 (in thousands): Three Months Ended September 30, Nine Months Ended September 30, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2016 2015 2016 2015 Interest rate swaps and caps Swap and cap interest expense $ (12,493 ) $ (24,681 ) $ (45,670 ) $ (77,141 ) Interest rate swaps, caps and TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments 63,625 (100,597 ) (121,434 ) (146,918 ) Interest rate swaps, caps and TBA Derivatives Net gain (loss) on derivative instruments $ 51,132 $ (125,278 ) $ (167,104 ) $ (224,059 ) At September 30, 2016 and December 31, 2015 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): September 30, 2016 Assets Liabilities Interest rate swap contracts $ 1,342 $ 46,762 Interest rate cap contracts 15,917 — TBA derivatives 12,610 3,478 Total derivative assets and liabilities 29,869 50,240 Derivatives not subject to a Master Netting Agreement — 46,441 Total assets and liabilities subject to a Master Netting Agreement $ 29,869 $ 3,799 December 31, 2015 Assets Liabilities Interest rate swap contracts $ 39,435 $ 14,024 Interest rate cap contracts 61,343 — Total derivative assets and liabilities 100,778 14,024 Derivatives not subject to a Master Netting Agreement 25,151 14,024 Total assets and liabilities subject to a Master Netting Agreement $ 75,627 $ — |
Repurchase Agreements and FHL21
Repurchase Agreements and FHLB Advances (Tables) | 9 Months Ended |
Sep. 30, 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 dates is summarized in the table below. (in thousands) September 30, 2016 December 31, 2015 Outstanding repurchase agreements $ 9,620,641 $ 8,987,776 Outstanding FHLBC Advances $ — $ 2,098,701 Interest accrued thereon $ 8,020 $ 7,383 Weighted-average borrowing rate 0.77 % 0.54 % Weighted-average remaining maturity (in days) 67.8 42.2 Fair value of pledged collateral (1) $ 10,077,489 $ 11,548,930 |
Pledged Assets (Tables)
Pledged Assets (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, 2016 and December 31, 2015 (in thousands): September 30, 2016 Asset Type Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 10,080,545 $ 37,113 $ — $ 10,117,658 U.S. Treasuries - fair value 1,606 33,310 — 34,916 Accrued interest on pledged securities 27,012 147 — 27,159 Cash — 63,464 — 63,464 Total $ 10,109,163 $ 134,034 $ — $ 10,243,197 December 31, 2015 Asset Type Repurchase Agreements and FHLBC Advances 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 September 30, 2016 and December 31, 2015 , we had assets pledged to us as collateral under our repurchase agreements, derivative agreements and TBAs as summarized in the tables below (in thousands): September 30, 2016 Asset Type Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 2,643 $ 735 $ — $ 3,378 U.S. Treasuries - fair value 2,019 10,741 530 13,290 Accrued interest on pledged securities 13 53 2 68 Cash — 10,470 412 10,882 Total $ 4,675 $ 21,999 $ 944 $ 27,618 December 31, 2015 Asset Type 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 | The table below summarizes fair value information about our derivative and other hedging instrument assets and liabilities as of September 30, 2016 and December 31, 2015 (in thousands): September 30, 2016 December 31, 2015 Derivative and Other Hedging Instruments - Assets Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative assets, at fair value $ 1,500,000 $ 1,342 $ 5,900,000 $ 39,435 Interest Rate Caps Derivative assets, at fair value 2,500,000 15,917 2,500,000 61,343 TBA Derivatives Derivative assets, at fair value 2,930,000 12,610 — — Total derivative assets at fair value $ 6,930,000 $ 29,869 $ 8,400,000 $ 100,778 Derivative and Other Hedging Instruments - Liabilities Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative liabilities, at fair value $ 4,950,000 $ (46,762 ) $ 2,050,000 $ (14,024 ) Interest Rate Caps Derivative liabilities, at fair value — — — — TBA Derivatives Derivative liabilities, at fair value 800,000 (3,478 ) — — Total derivative liabilities at fair value $ 5,750,000 $ (50,240 ) $ 2,050,000 $ (14,024 ) The average notional value of the Company's TBA Derivatives during the three and nine months ended September 30, 2016 was $2,980.5 million and $1,992.1 million , respectively. The following table presents information about the net realized and unrealized gain (loss) on swap, cap and TBA Derivatives for the three and nine months ended September 30, 2016 and 2015 (in thousands): Three Months Ended September 30, Nine Months Ended September 30, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2016 2015 2016 2015 Interest rate swaps and caps Swap and cap interest expense $ (12,493 ) $ (24,681 ) $ (45,670 ) $ (77,141 ) Interest rate swaps, caps and TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments 63,625 (100,597 ) (121,434 ) (146,918 ) Interest rate swaps, caps and TBA Derivatives Net gain (loss) on derivative instruments $ 51,132 $ (125,278 ) $ (167,104 ) $ (224,059 ) At September 30, 2016 and December 31, 2015 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): September 30, 2016 Assets Liabilities Interest rate swap contracts $ 1,342 $ 46,762 Interest rate cap contracts 15,917 — TBA derivatives 12,610 3,478 Total derivative assets and liabilities 29,869 50,240 Derivatives not subject to a Master Netting Agreement — 46,441 Total assets and liabilities subject to a Master Netting Agreement $ 29,869 $ 3,799 December 31, 2015 Assets Liabilities Interest rate swap contracts $ 39,435 $ 14,024 Interest rate cap contracts 61,343 — Total derivative assets and liabilities 100,778 14,024 Derivatives not subject to a Master Netting Agreement 25,151 14,024 Total assets and liabilities subject to a Master Netting Agreement $ 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 Consolidated Balance Sheets As of Description Amount of Assets Presented in the Consolidated Balance Sheets Instruments Available for Offset Collateral Received (1) Net Amount (2) September 30, 2016 Derivative assets $ 29,869 $ 2,095 $ 17,970 $ 9,804 December 31, 2015 Derivative assets 75,627 — 59,907 15,720 Liabilities Gross Amounts Not Offset in the Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) September 30, 2016 Derivative liabilities $ 3,799 $ 2,095 $ 1,704 $ — September 30, 2016 Repurchase agreements and FHLBC Advances 9,620,641 — 9,620,641 — December 31, 2015 Derivative liabilities — — — — 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 Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) September 30, 2016 Derivative liabilities $ 3,799 $ 2,095 $ 1,704 $ — September 30, 2016 Repurchase agreements and FHLBC Advances 9,620,641 — 9,620,641 — December 31, 2015 Derivative liabilities — — — — 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) | 9 Months Ended |
Sep. 30, 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 September 30, 2016 and December 31, 2015 (in thousands): September 30, 2016 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 11,742,018 $ — $ 11,742,018 U.S. Treasuries 49,891 — — 49,891 Other investments — — 8,025 8,025 Derivative assets — 29,869 — 29,869 Total $ 49,891 $ 11,771,887 $ 8,025 $ 11,829,803 Liabilities FHLBC Advances — — — — Derivative liabilities — 50,240 — 50,240 Total $ — $ 50,240 $ — $ 50,240 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 — 423,701 — 423,701 Derivative liabilities — 14,024 — 14,024 Total $ — $ 437,725 $ — $ 437,725 |
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 and measured at fair value on a recurring basis in the accompanying consolidated balance sheets for the three and nine months ended September 30, 2016 and 2015 . Level 3 Fair Value Reconciliation (In thousands) Three and Nine Months Ended September 30, Other investments 2016 2015 Beginning balance Level 3 assets $ 8,025 $ 8,025 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 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 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") are as follows (in thousands except per share amounts): Three Months Ended September 30, Nine Months Ended September 30, 2016 2015 2016 2015 Net income (loss) $ 79,010 $ 36,027 $ 196,551 $ (6,413 ) Less preferred stock dividends (5,203 ) (5,203 ) (15,609 ) (15,609 ) Net income (loss) available to common stockholders 73,807 30,824 180,942 (22,022 ) Less dividends paid: Common shares (37,599 ) (39,976 ) (114,312 ) (130,703 ) Unvested shares (254 ) (272 ) (789 ) (898 ) Undistributed earnings (loss) 35,954 (9,424 ) 65,841 (153,623 ) Basic weighted-average shares outstanding: Common shares 150,378 154,633 150,520 156,821 Basic earnings (loss) per common share: Distributed earnings $ 0.25 $ 0.26 $ 0.76 $ 0.83 Undistributed earnings (loss) 0.24 (0.06 ) 0.43 (0.98 ) Basic earnings (loss) per common share $ 0.49 $ 0.20 $ 1.19 $ (0.15 ) Diluted weighted-average shares outstanding: Common shares 150,378 154,633 150,520 156,821 Net effect of dilutive stock options (1) — — — — 150,378 154,633 150,520 156,821 Diluted earnings (loss) per common share: Distributed earnings $ 0.25 $ 0.26 $ 0.76 $ 0.83 Undistributed earnings (loss) 0.24 (0.06 ) 0.43 (0.98 ) Diluted earnings (loss) per common share $ 0.49 $ 0.20 $ 1.19 $ (0.15 ) __________________ (1) For the three and nine months ended September 30, 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 | Sep. 30, 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) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Available-for-sale Securities [Abstract] | ||
WeightedAverageCouponDebtSecurities | 3.35% | 3.39% |
Debt Instrument, Maturity Date | 30 years | |
U.S. Treasury Security Maturity Date | 2,018 | 2,017 |
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 | Sep. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | $ (591) | $ (51,621) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 193,749 | 89,038 |
Fair value | 11,791,909 | 13,027,707 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 8,906,967 | 11,403,192 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (319) | (46,877) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 166,195 | 76,751 |
Fair value | 9,072,843 | 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 | 8,649,826 | 11,142,798 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (319) | (45,018) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 163,095 | 74,891 |
Fair value | 8,812,602 | 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 | 257,141 | 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 | 3,100 | 1,860 |
Fair value | 260,241 | 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 | 2,605,009 | 1,440,387 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (219) | (4,608) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 27,119 | 12,571 |
Fair value | 2,631,909 | 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 | 2,579,340 | 1,379,566 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (219) | (3,881) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 26,445 | 11,822 |
Fair value | 2,605,566 | 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 | 25,669 | 60,821 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | 0 | (727) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 674 | 749 |
Fair value | 26,343 | 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 | 36,831 | 45,784 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 435 | 796 |
Fair value | 37,266 | 46,580 |
US Treasury Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 49,944 | 99,847 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (53) | (136) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 0 | 0 |
Fair value | 49,891 | 99,711 |
Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 11,598,751 | 12,989,210 |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | (591) | (51,621) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax | 193,749 | 90,118 |
Fair value | $ 11,791,909 | $ 13,027,707 |
Investments in Securities (Av28
Investments in Securities (Available for sale, Continuous Unrealized Loss) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Investments, Debt and Equity Securities [Abstract] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 1,237,721 | $ 6,718,658 |
Unrealized loss on investments, owned less than 12 months | (591) | (50,318) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | 86,300 |
Unrealized loss on investments, owned more than 12 months | 0 | (1,303) |
Fair value of investments in unrealized loss position | 1,237,721 | 6,804,958 |
Available for sale securities, continuous unrealized loss | $ (591) | $ (51,621) |
Investments in Securities (Av29
Investments in Securities (Available-for-sale securities by maturity) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Fair Value | ||
Less than one year | $ 5,392,970 | $ 6,130,300 |
Greater than one year through five years | 5,588,607 | 6,647,248 |
Greater than five years through ten years | 810,332 | 250,159 |
Greater than ten years | 0 | 0 |
Total | 11,791,909 | 13,027,707 |
Amortized Cost | ||
Less than one year | 5,356,573 | 6,160,358 |
Greater than one year through five years | 5,464,453 | 6,587,664 |
Greater than five years through ten years | 777,725 | 241,188 |
Greater than ten years | 0 | 0 |
Total | $ 11,598,751 | $ 12,989,210 |
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 | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Available-for-sale investments, at cost | $ 7,041,173 | $ 2,849,207 | $ 13,846,416 | $ 16,187,871 |
Proceeds from securities sold | 7,059,328 | 2,838,875 | ||
Proceeds from sale of available-for-sale investments | 13,902,132 | 16,205,227 | ||
Net realized gain (loss) on sale of available-for-sale investments | 18,155 | (10,332) | 55,716 | 17,356 |
Gross gain on sale of available-for-sale investments | 21,363 | 18,210 | 63,489 | 80,592 |
Gross (loss) on sale of available-for-sale investments | $ (3,208) | $ (28,542) | $ (7,773) | $ (63,236) |
Investments in Securities (Comp
Investments in Securities (Components of the Carrying Value of Available-for-Sale Securities) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | $ 11,159,693 | $ 12,527,932 |
Unamortized premium | 439,210 | 462,631 |
Unamortized discount | (152) | (273) |
Gross unrealized gains | (193,749) | (89,038) |
Gross unrealized losses | (591) | (51,621) |
Fair value | 11,791,909 | 13,027,707 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | (8,906,967) | (11,403,192) |
Gross unrealized gains | (166,195) | (76,751) |
Gross unrealized losses | (319) | (46,877) |
Fair value | 9,072,843 | 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 | (2,605,009) | (1,440,387) |
Gross unrealized gains | (27,119) | (12,571) |
Gross unrealized losses | (219) | (4,608) |
Fair value | 2,631,909 | 1,448,350 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | (36,831) | (45,784) |
Gross unrealized gains | (435) | (796) |
Gross unrealized losses | 0 | 0 |
Fair value | 37,266 | 46,580 |
Total Agency RMBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | (11,548,807) | (12,889,363) |
Gross unrealized gains | (193,749) | (90,118) |
Gross unrealized losses | (538) | (51,485) |
Fair value | 11,742,018 | 12,927,996 |
US Treasury Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | (49,944) | (99,847) |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | (53) | (136) |
Fair value | 49,891 | 99,711 |
Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | (11,598,751) | (12,989,210) |
Gross unrealized gains | (193,749) | (90,118) |
Gross unrealized losses | (591) | (51,621) |
Fair value | $ 11,791,909 | $ 13,027,707 |
Derivative Instruments (Details
Derivative Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2016 | Dec. 31, 2015 | ||
Derivative [Line Items] | ||||
Derivative, Collateral, Right to Reclaim Cash | $ 63,464 | $ 63,464 | $ 21,751 | [1] |
Average notional on TBA derivatives | 2,980,500 | 1,992,100 | ||
SwapandCapNotional | $ 8,950,000 | $ 8,950,000 | $ 10,450,000 | |
SwapandCapNotionalasPercentageofRepoBorrowings | 93.00% | 93.00% | 94.30% | |
Interest Rate Swaps and Interest Rate Caps [Member] | ||||
Derivative [Line Items] | ||||
Trading Securities Pledged as Collateral | $ 69,800 | $ 69,800 | $ 50,700 | |
Derivative, Collateral, Right to Reclaim Cash | 63,500 | 63,500 | 21,800 | |
Securities Received as Collateral | 44,100 | |||
Derivative, Collateral, Obligation to Return Cash | $ 18,500 | |||
Derivative Instruments [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Collateral, Right to Reclaim Cash | 10,500 | 10,500 | ||
Securities Received as Collateral | $ 11,500 | $ 11,500 | ||
[1] | Derived from audited consolidated financial statements. |
Derivative Instruments (Summary
Derivative Instruments (Summary Of Interest Rate Swap And Cap Contracts) (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2015 | |
SeptemberTwoThousandAndFifteenOpened [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | $ 1,400,000 | |
Terminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | $ 1,500,000 | 150,000 |
Terminated [Member] | January 2016 Terminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | 500,000 | |
Terminated [Member] | May 2016 Terminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | 2,200,000 | |
Terminated [Member] | September Two Thousand Sixteen Terminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | 500,000 | |
Terminated [Member] | JanuaryTwoThousandAndFifteenTerminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | 400,000 | |
Terminated [Member] | AprilTwoThousandAndFifteenTerminatedMember [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | 400,000 | |
Terminated [Member] | JulyTwoThousandAndFifteenTerminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | 500,000 | |
Terminated [Member] | AugustTwoThousandAndFifteenTerminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | 500,000 | |
Terminated [Member] | SeptemberTwoThousandAndFifteenTerminated [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | 1,500,000 | |
Opened [Member] | May 2016 Opened [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | $ 1,700,000 | |
Opened [Member] | JanuaryTwoThousandAndFifteenOpened [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | 500,000 | |
Opened [Member] | JulyTwoThousandAndFifteenOpened [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | 750,000 | |
Opened [Member] | AugustTwoThousandAndFifteenOpened [Member] | ||
Transaction And Trade Date [Line Items] | ||
Notional transactions | $ 500,000 |
Derivative Instruments (Derivat
Derivative Instruments (Derivatives and Other Hedging Instrument Assets and Liabilities) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||
Derivative and other hedging instruments, assets, fair value | $ 29,869 | $ 75,627 |
Derivative and other hedging instruments, liabilities, fair value | (3,799) | 0 |
Derivative assets, at fair value [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative and other hedging instruments, assets, notional | 6,930,000 | 8,400,000 |
Derivative and other hedging instruments, assets, fair value | 29,869 | 100,778 |
Derivative assets, at fair value [Member] | Interest Rate Swap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative and other hedging instruments, assets, notional | 1,500,000 | 5,900,000 |
Derivative and other hedging instruments, assets, fair value | 1,342 | 39,435 |
Derivative assets, at fair value [Member] | Interest Rate Cap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative and other hedging instruments, assets, notional | 2,500,000 | 2,500,000 |
Derivative and other hedging instruments, assets, fair value | 15,917 | 61,343 |
Derivative assets, at fair value [Member] | TBA Derivatives [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative and other hedging instruments, assets, notional | 2,930,000 | 0 |
Derivative and other hedging instruments, assets, fair value | 12,610 | 0 |
Derivative liabilities, at fair value [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative and other hedging instruments, liabilities, notional | 5,750,000 | 2,050,000 |
Derivative and other hedging instruments, liabilities, fair value | (50,240) | (14,024) |
Derivative liabilities, at fair value [Member] | Interest Rate Swap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative and other hedging instruments, liabilities, notional | 4,950,000 | 2,050,000 |
Derivative and other hedging instruments, liabilities, fair value | (46,762) | (14,024) |
Derivative liabilities, at fair value [Member] | Interest Rate Cap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative and other hedging instruments, liabilities, notional | 0 | 0 |
Derivative and other hedging instruments, liabilities, fair value | 0 | 0 |
Derivative liabilities, at fair value [Member] | TBA Derivatives [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative and other hedging instruments, liabilities, notional | 800,000 | 0 |
Derivative and other hedging instruments, liabilities, fair value | $ (3,478) | $ 0 |
Derivative Instruments (Amount
Derivative Instruments (Amount recognized in income on derivatives) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Swap and cap interest expense | $ (12,493) | $ (24,681) | $ (45,670) | $ (77,141) |
Net realized and unrealized gain (loss) on derivative instruments | 63,625 | (100,597) | (121,434) | (146,918) |
Net gain (loss) on derivative instruments | $ 51,132 | $ (125,278) | $ (167,104) | $ (224,059) |
Repurchase Agreements and FHL36
Repurchase Agreements and FHLB Advances (Details) $ in Thousands | Sep. 30, 2016USD ($)d | Dec. 31, 2015USD ($)d | |
Short-term Debt [Line Items] | |||
Federal Home Loan Bank Stock | $ 3 | $ 42,000 | |
Long-term Federal Home Loan Bank Advances | 423,700 | ||
Outstanding repurchase agreements | 9,620,641 | 8,987,776 | |
Outstanding FHLBC Advances | 0 | 2,098,701 | |
Interest accrued thereon | $ 8,020 | $ 7,383 | |
Weighted average borrowing rate | 0.77% | 0.54% | |
Weighted-average remaining maturity (in days) | d | 67.8 | 42.2 | |
Fair value of pledged collateral(1) | [1] | $ 10,077,489 | $ 11,548,930 |
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 | 2.30% | 2.30% | |
Number Of Repurchase Agreements exceeding 10% of Stockholders' Equity | 0 | 0 | |
RepoBorrowingsandFHLBadvancesaspercentageoftotalassets | 6.50% | 14.70% | |
[1] | Collateral for repo borrowings and FHLBC Advances consists of Agency RMBS and U.S. Treasuries. |
Repurchase Agreements and FHL37
Repurchase Agreements and FHLB Advances Remaining contractual maturity of the agreements (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | $ 9,620,641 | $ 10,739,525 |
U.S. Treasuries Collateral | 0 | 348,251 |
Agency RMBS and U.S. Treasuries Collateral | 9,620,641 | 11,087,776 |
Maturity Less than 30 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | 3,671,570 | 7,579,885 |
U.S. Treasuries Collateral | 0 | 348,251 |
Agency RMBS and U.S. Treasuries Collateral | 3,671,570 | 7,928,136 |
Maturity 30 to 90 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | 3,014,821 | 2,235,246 |
U.S. Treasuries Collateral | 0 | 0 |
Agency RMBS and U.S. Treasuries Collateral | 3,014,821 | 2,235,246 |
Maturity Greater than 90 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Agency RMBS Collateral | 2,934,250 | 924,394 |
U.S. Treasuries Collateral | 0 | 0 |
Agency RMBS and U.S. Treasuries Collateral | $ 2,934,250 | $ 924,394 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) | 9 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | ||
RemainingLeaseTerm | 84 months | |
Indemnification claims | $ 0 | $ 0 |
Operating Leases, Future Minimum Payments Due | $ 2,557,000 |
Commitments and Contingencies L
Commitments and Contingencies Lease commitments table (Details) $ in Thousands | Sep. 30, 2016USD ($) |
Operating Leased Assets [Line Items] | |
Operating Leases, Future Minimum Payments Due, Next Twelve Months | $ 87 |
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 | 998 |
Operating Leases, Future Minimum Payments Due | $ 2,557 |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged to Counterparties) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | $ 10,243,197 | $ 11,654,742 | |
Agency RMBS [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,117,658 | 11,587,014 | |
US Treasury Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 34,916 | 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 | 27,159 | 31,091 | |
Cash [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 63,464 | 21,751 | |
Repurchase Agreements [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,109,163 | 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 | 10,080,545 | 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 | 1,606 | 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 | 27,012 | 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 | 134,034 | 72,658 | |
Derivative [Member] | Agency RMBS [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 37,113 | 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 | 33,310 | 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 | 147 | 196 | |
Derivative [Member] | Cash [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 63,464 | 21,751 | |
Forward Settling Trades [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 0 | [1] | 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 | 0 | [1] | 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 | [1] | 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 | 0 | [1] | 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 | [1] | $ 0 |
[1] | Excludes forward settling transactions classified as TBA Derivatives which are included in derivative instruments effective January 1, 2016. |
Pledged Assets (Assets Pledge41
Pledged Assets (Assets Pledged from Counterparties ) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | ||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $ 27,618 | $ 62,886 | ||
Agency RMBS [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 3,378 | |||
US Treasury Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 13,290 | 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 | 68 | 209 | ||
Cash [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 10,882 | 18,534 | ||
Repurchase Agreements [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 4,675 | 0 | ||
Repurchase Agreements [Member] | Agency RMBS [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 2,643 | |||
Repurchase Agreements [Member] | US Treasury Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 2,019 | 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 | 13 | 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 | 21,999 | 62,886 | ||
Derivative [Member] | Agency RMBS [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 735 | |||
Derivative [Member] | US Treasury Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 10,741 | 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 | 53 | 209 | ||
Derivative [Member] | Cash [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 10,470 | 18,534 | ||
Forward Settling Trades [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 944 | [1] | 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 | [1] | 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 | 530 | [1] | 0 | |
Forward Settling Trades [Member] | Accrued Interest on Pledged Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 2 | [1] | 0 | |
Forward Settling Trades [Member] | Cash [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $ 412 | [1] | $ 0 | |
[1] | (1)Excludes forward settling transactions classified as TBA Derivatives which are included in derivative instruments effective January 1, 2016. |
Pledged Assets (Derivatives) (D
Pledged Assets (Derivatives) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $ 27,618 | $ 62,886 |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 50,240 | 14,024 |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 29,869 | 100,778 |
Derivative Asset, Not Subject to Master Netting Arrangement | 0 | 25,151 |
Derivative Liability, Not Subject to Master Netting Arrangement | 46,441 | 14,024 |
Derivative Liability, Fair Value, Gross Liability | 3,799 | 0 |
Derivative Asset, Fair Value, Gross Asset | 29,869 | 75,627 |
Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 46,762 | 14,024 |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1,342 | 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 | 15,917 | 61,343 |
TBA Derivatives [Member] | ||
Derivative [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 3,478 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 12,610 | |
US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $ 13,290 | $ 44,143 |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Transfers and Servicing [Abstract] | |||
Derivative Asset, Fair Value, Gross Asset | $ 29,869 | $ 75,627 | |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 2,095 | 0 | |
Fair Value of Securities Received as Collateral that Have Been Resold or Repledged | [1] | 17,970 | 59,907 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | [2] | 9,804 | $ 15,720 |
Assets_repledged_to_counterparties | $ 2,500 | ||
[1] | (1)Collateral consists of Agency RMBS, U.S. Treasuries and Cash. Excess collateral pledged is not shown for financial reporting purposes. | ||
[2] | (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. |
Pledged Assets (Offsetting Liab
Pledged Assets (Offsetting Liabilities) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Transfers and Servicing [Abstract] | |||
Derivative Liability, Fair Value, Gross Liability | $ 3,799 | $ 0 | |
Derivative Liability, Fair Value of Collateral | [1] | 1,704 | 0 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | [2] | 0 | 0 |
RepurchaseagreementsandFederalHomeLoanBankAdvances | 9,620,641 | 11,086,477 | |
Securities Sold under Agreements to Repurchase and FHLBC Advances, Not Offset, Policy Election Deduction | 0 | 42,003 | |
Securities Sold under Agreements to Repurchase and FHLBC Advances, Right to Reclaim Securities and Cash | [1] | 9,620,641 | 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 | [2] | 0 | 0 |
InstrumentsAvailableToOffsetDerivativeLiability | $ 2,095 | $ 0 | |
[1] | (1)Collateral consists of Agency RMBS, U.S. Treasuries and Cash. Excess collateral pledged is not shown for financial reporting purposes. | ||
[2] | (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 (Detail
Fair Value Measurements (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Fair Value Disclosures [Abstract] | ||
Federal Home Loan Bank Stock | $ 3 | $ 42,000 |
Fair Value Measurements (Assets
Fair Value Measurements (Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | $ 11,742,018 | $ 12,927,996 | |
U.S. Treasuries | 49,891 | 99,711 | |
Other Investments | 8,025 | 8,025 | |
Derivative assets, at fair value | 29,869 | 100,778 | [1] |
Assets, Fair Value Disclosure, Recurring | 11,829,803 | 13,136,510 | |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 0 | 423,701 | |
Derivative liabilities, at fair value | 50,240 | 14,024 | [1] |
Liabilities, Fair Value Disclosure, Recurring | 50,240 | 437,725 | |
Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | 0 | 0 | |
U.S. Treasuries | 49,891 | 99,711 | |
Other Investments | 0 | 0 | |
Derivative assets, at fair value | 0 | 0 | |
Assets, Fair Value Disclosure, Recurring | 49,891 | 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 | 11,742,018 | 12,927,996 | |
U.S. Treasuries | 0 | 0 | |
Other Investments | 0 | 0 | |
Derivative assets, at fair value | 100,778 | ||
Assets, Fair Value Disclosure, Recurring | 11,771,887 | 13,028,774 | |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 0 | 423,701 | |
Derivative liabilities, at fair value | 14,024 | ||
Liabilities, Fair Value Disclosure, Recurring | 50,240 | 437,725 | |
Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Agency RMBS | 0 | 0 | |
U.S. Treasuries | 0 | 0 | |
Other Investments | 8,025 | 8,025 | |
Derivative assets, at fair value | 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 | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2015 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Beginning balance Level 3 assets | $ 8,025 | $ 8,025 |
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 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands | 9 Months Ended | 12 Months Ended | 20 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | Jul. 20, 2014 | Sep. 30, 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 | 151,414,696 | 151,739,840 | |||||
Common Stock, Shares, Outstanding | 151,414,696 | 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 | |||||
Number Of Common Stock Available To Sell Under Sales Agreement | 155,500,000 | 183,900,000 | 134,300,000 | ||||
Stock Repurchase Program, Authorized Amount | $ 250,000 | $ 250,000 | |||||
Treasury Stock Acquired, Average Cost Per Share | $ 7.85 | $ 8.59 | $ 8.28 | $ 8.88 | |||
Proceeds from (Repurchase of) Equity | $ 5,300 | $ 64,600 | |||||
Net proceeds (payments) from issuance and repurchase of common shares | $ 5,516 | $ 64,790 | $ 87,700 | $ 1,500 | $ 115,700 | ||
Stock Repurchased and Retired During Period, Shares | 673,166 | 7,503,709 | 10,559,493 | 172,549 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period | 378,029 | 480,736 | |||||
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 | 4,055,000 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||||
Net income | $ 79,010 | $ 36,027 | $ 196,551 | $ (6,413) | |
Less preferred stock dividends | (5,203) | (5,203) | (15,609) | (15,609) | |
Net income (loss) available to common stockholders | 73,807 | 30,824 | 180,942 | (22,022) | |
Common shares | (37,599) | (39,976) | (114,312) | (130,703) | |
Unvested shares | (254) | (272) | (789) | (898) | |
Undistributed earnings (loss) | $ 35,954 | $ (9,424) | $ 65,841 | $ (153,623) | |
Common shares | 150,378,000 | 154,633,000 | 150,520,000 | 156,821,000 | |
Distributed earnings | $ 0.25 | $ 0.26 | $ 0.76 | $ 0.83 | |
Undistributed earnings (loss) | 0.24 | (0.06) | 0.43 | (0.98) | |
Basic earnings (loss) per common share | $ 0.49 | $ 0.20 | $ 1.19 | $ (0.15) | |
Net effect of dilutive stock options (1) | [1] | 0 | 0 | 0 | 0 |
Diluted weighted average shares outstanding | 150,378,000 | 154,633,000 | 150,520,000 | 156,821,000 | |
Distributed earnings | $ 0.25 | $ 0.26 | $ 0.76 | $ 0.83 | |
Undistributed earnings (loss) | 0.24 | (0.06) | 0.43 | (0.98) | |
Diluted earnings (loss) per common share | $ 0.49 | $ 0.20 | $ 1.19 | $ (0.15) | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Number | 131,088 | 131,088 | 131,088 | 131,088 | |
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range, Exercisable Options, Weighted Average Exercise Price | $ 30 | $ 30 | $ 30 | $ 30 | |
[1] | For the three and nine months ended September 30, 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. |