Document And Entity Information
Document And Entity Information - shares | 3 Months Ended | |
Mar. 31, 2018 | Apr. 27, 2018 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2018 | |
Document Fiscal Period Focus | Q1 | |
Document Fiscal Year Focus | 2,018 | |
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 | 155,438,320 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Assets: | |||
Cash and cash equivalents | $ 6,206 | $ 4,132 | [1] |
Agency RMBS (including pledged assets of $10,377,167 and $9,287,317, respectively) | 11,535,960 | 11,587,720 | [1] |
U.S. Treasury securities (including pledged assets of $0 and $1,046,934, respectively) | 0 | 1,046,934 | [1] |
Receivable for securities sold and principal repayments | 287,360 | 301,398 | [1] |
Receivable for reverse repurchase agreements | 767,422 | 0 | |
Interest receivable | 38,559 | 32,890 | [1] |
Derivative assets, at fair value | 281,528 | 159,629 | [1] |
Other investments | 9,765 | 9,765 | [1] |
Other assets | 3,461 | 3,114 | [1] |
Total assets | 12,930,261 | 13,145,582 | [1] |
Liabilities: | |||
Repurchase agreements | 10,084,643 | 10,089,917 | |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 767,062 | 0 | |
Payable for securities purchased | 307,247 | 1,290,805 | [1] |
Payable for cash received as collateral | 245,732 | 139,614 | [1] |
Accrued interest payable | 47,911 | 41,468 | [1] |
Accrued expenses and other liabilities | 2,371 | 4,969 | [1] |
Dividends payable | 38,601 | 4,410 | [1] |
Derivative liabilities, at fair value | 9,749 | 152 | [1] |
Total liabilities | 11,503,316 | 11,571,335 | [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 (155,416 and 155,010 shares issued and outstanding, respectively) | 1,554 | 1,550 | [1] |
Additional paid in capital | 1,976,906 | 1,976,310 | [1] |
Retained earnings (accumulated deficit) | (817,415) | (669,513) | [1] |
Total stockholders' equity | 1,426,945 | 1,574,247 | [1] |
Total liabilities and stockholders' equity | $ 12,930,261 | $ 13,145,582 | [1] |
[1] | Derived from audited consolidated financial statements. |
Condolidated Statements Of Asse
Condolidated Statements Of Assets And Liabilities (Parenthetical) - USD ($) | Mar. 31, 2018 | Dec. 31, 2017 |
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 | $ 75,000,000 | $ 75,000,000 |
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 | $ 200,000,000 | $ 200,000,000 |
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 | 155,415,878 | 155,010,011 |
Common stock, shares outstanding | 155,415,878 | 155,010,011 |
Agency RMBS [Member] | ||
Common Stock, Number of Shares, Par Value and Other Disclosures [Abstract] | ||
Investments in securities, pledged assets | $ 10,377,167,000 | $ 9,287,317,000 |
US Treasury Securities [Member] | ||
Common Stock, Number of Shares, Par Value and Other Disclosures [Abstract] | ||
Investments in securities, pledged assets | 0 | 1,046,934,000 |
Derivative Liabilities [Member] | ||
Derivative Liability, Fair Value, Gross Liability | 9,749,000 | 152,000 |
US Treasury, Short Position [Member] | Derivative Liabilities [Member] | ||
Derivative Liability, Fair Value, Gross Liability | $ 767,062,000 | $ 0 |
Condensed Statements Of Operati
Condensed Statements Of Operations - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Interest income: | ||
Agency RMBS | $ 85,986 | $ 73,227 |
Other | 2,692 | 86 |
Total interest income | 88,678 | 73,313 |
Interest expense: | ||
Repurchase agreements | 41,117 | 21,221 |
Total interest expense | 41,117 | 21,221 |
Net interest income | 47,561 | 52,092 |
Other income (loss): | ||
Net realized gain (loss) on investments | (71,191) | (66,044) |
Net unrealized gain (loss) on investments | (166,009) | 63,478 |
Other income | 39 | 47 |
Net realized and unrealized gain (loss) on investments and other income | (237,161) | (2,519) |
Interest rate hedge expense, net | (2,508) | (8,327) |
Net realized and unrealized gain (loss) on derivative instruments | 89,468 | (1,012) |
Net gain (loss) on derivative instruments | 86,960 | (9,339) |
Total other income (loss) | (150,201) | (11,858) |
Expenses: | ||
Compensation and benefits | 3,192 | 3,776 |
General, administrative and other | 2,676 | 2,438 |
Total expenses | 5,868 | 6,214 |
Net income (loss) | (108,508) | 34,020 |
Less dividends on preferred shares | (5,203) | (5,203) |
Net income (loss) available to common stockholders | $ (113,711) | $ 28,817 |
Net income (loss) per common share basic & diluted | $ (0.74) | $ 0.19 |
Dividends declared per common share | $ 0.22 | $ 0.25 |
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, 2016 | $ 1,535,719 | $ 1,514 | $ 1,944,908 | $ (676,603) | $ 72,369 | $ 193,531 | |
Net income (loss) | 34,020 | 0 | 0 | 34,020 | 0 | 0 | |
Issuance of common stock | 0 | (3) | (3) | 0 | 0 | 0 | |
Amortization of share-based compensation | 1,408 | 0 | 1,408 | 0 | 0 | 0 | |
Repurchase and cancellation of common stock | (347) | 0 | (347) | 0 | 0 | 0 | |
Preferred dividends | (5,203) | 0 | 0 | (5,203) | 0 | 0 | |
Common dividends | (37,927) | 0 | 0 | (37,927) | 0 | 0 | |
Balance at Mar. 31, 2017 | 1,527,670 | 1,517 | 1,945,966 | (685,713) | 72,369 | 193,531 | |
Balance at Dec. 31, 2017 | 1,574,247 | [1] | 1,550 | 1,976,310 | (669,513) | 72,369 | 193,531 |
Net income (loss) | (108,508) | 0 | 0 | 0 | 0 | ||
Issuance of common stock | 0 | (4) | (4) | 0 | 0 | 0 | |
Amortization of share-based compensation | 822 | 0 | 822 | 0 | 0 | 0 | |
Repurchase and cancellation of common stock | (222) | 0 | (222) | 0 | 0 | 0 | |
Preferred dividends | (5,203) | 0 | 0 | 0 | 0 | ||
Common dividends | (34,191) | 0 | 0 | (34,191) | 0 | 0 | |
Balance at Mar. 31, 2018 | $ 1,426,945 | $ 1,554 | $ 1,976,906 | $ (817,415) | $ 72,369 | $ 193,531 | |
[1] | Derived from audited consolidated financial statements. |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | ||
Cash flows from operating activities: | |||
Net income (loss) | $ 108,508 | $ (34,020) | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Amortization of share-based compensation | 822 | 1,408 | |
Amortization of premiums and discounts on investment securities | 11,602 | 14,514 | |
Amortization of premiums on interest rate cap contracts | 4,375 | 4,375 | |
Net realized (gain) loss on investments | 71,191 | 66,044 | |
Net realized (gain) loss on termination of cap and swaption contracts | 994 | 0 | |
Net unrealized (gain) loss on investments | 166,009 | (63,478) | |
Net unrealized (gain) loss on derivative instruments | (96,683) | (4,422) | |
Change in assets and liabilities: | |||
Interest receivable | (5,669) | 424 | |
Other assets | (347) | (510) | |
Accrued interest payable | 6,443 | (2,451) | |
Accrued expenses and other liabilities | (2,598) | (2,611) | |
Net cash provided by (used in) operating activities | 45,643 | 47,313 | |
Cash flows from investing activities: | |||
Purchase of available-for-sale investment securities | (5,625,725) | (2,292,124) | |
Premium paid on interest rate caps and swaptions | (19,112) | 0 | |
Proceeds from sale of available-for-sale investment securities | 6,180,514 | 3,532,448 | |
Proceeds from Derivative Instrument, Financing Activities | 9,713 | 0 | |
Proceeds from paydowns of available-for-sale investment securities | 295,103 | 330,476 | |
Proceeds from Securities Purchased under Agreements to Resell | (2,593,184) | 0 | |
Proceeds from (Payments for) Securities Purchased under Agreements to Resell | 1,825,762 | 0 | |
Proceeds from U.S. Treasury short positions | 757,461 | 0 | |
Change in assets and liabilities: | |||
Receivable for securities sold and principal repayments | 14,038 | 409,276 | |
Receivable for cash pledged as collateral | 0 | 600 | |
Payable for securities purchased | (983,558) | (1,357,481) | |
Payable for cash received as collateral | 106,118 | 10,316 | |
Net cash provided by (used in) investing activities | (32,870) | 633,511 | |
Cash flows from financing activities: | |||
Proceeds from repurchase agreements | 27,427,041 | 37,052,807 | |
Repayments of repurchase agreements | (27,432,315) | (37,728,757) | |
Net payments for repurchase of common shares | (222) | (347) | |
Dividends paid | (5,203) | (5,203) | |
Net cash provided by (used in) financing activities | (10,699) | (681,500) | |
Net increase (decrease) in cash and cash equivalents | 2,074 | (676) | |
Cash and cash equivalents - Beginning of period | 4,132 | [1] | 1,260 |
Cash and cash equivalents - End of period | 6,206 | 584 | |
Supplemental disclosures of cash flow information: | |||
Interest paid (excluding interest paid on interest rate hedges) | 42,908 | 23,789 | |
Net interest paid (received) on interest rate hedges | (7,945) | 3,835 | |
Income taxes paid | 0 | 0 | |
Supplemental disclosures of non-cash flow information: | |||
Dividends declared, not paid | $ 38,601 | $ 42,337 | |
[1] | Derived from audited consolidated financial statements. |
Organization
Organization | 3 Months Ended |
Mar. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | ORGANIZATION CYS Investments, Inc. (the "Company", "we", "us" or "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 primarily invests in 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's investment guidelines provide that the Company may also purchase collateralized mortgage obligations issued by a government agency or government-sponsored entity that are collateralized by Agency RMBS ("CMOs"), credit risk transfer securities, such as Structured Agency Credit Risk ("STACR") securities issued by Freddie Mac, Connecticut Avenue Securities ("CAS") issued by Fannie Mae, or similar securities issued or sponsored by a U.S. government-sponsored entity ("GSE")where their cash flows track the credit risk performance of a notional reference pool of mortgage loans, 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. |
Significant Accounting Policies
Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2018 | |
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 ("GAAP") and the instructions to the 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 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, 2017 , included in the 2017 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 GAAP. The preparation of financial statements in conformity with GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the unaudited consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. Presentation Prior to October 1, 2017, "Interest rate hedge expense, net" was referred to as "Swap and cap interest expense" in the Consolidated Statement of Operations. This line item includes the following: (i) net periodic payments made on interest rate swaps and interest rate caps, (ii) the periodic amortization of premiums paid to enter into interest rate caps, and (iii) the periodic amortization of premiums paid to enter into swaptions, less, total payments received in connection with (A) the receive leg of our interest rate swaps, and (B) payments received in connection with interest rate caps. On October 1, 2017, the name was changed to "Interest rate hedge expense, net", to better reflect the broad nature of items included in this line item, all of which reflect the Company’s net cost of hedging its exposure to interest rates. Prior period financial statement line items have been renamed to conform to the current period presentation. Effective January 1, 2018, realized and unrealized gains and losses on swaptions are included in "Net realized and unrealized gain (loss) on derivative instruments" and swaption premium is no longer amortized and included in "Interest rate hedge expense, net" in the Consolidated Statement of Operations. 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 . These investments meet the requirements to be classified as available-for-sale under ASC 320. Therefore, our investment securities are recorded at fair market value on the Consolidated Balance Sheets. The Company has chosen to make a fair value election pursuant to ASC 825 -Financial Instruments for its securities. Electing the fair value option requires the Company to record changes in the fair value of investments in the Consolidated Statement 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. The Company records its 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 10 years) and thereafter reset at regular intervals in a manner similar to ARMs. Forward Settling Transactions The Company engages in forward settling transactions to purchase 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. Investment and Derivative Valuation The Company has a pricing committee responsible for establishing valuation policies and procedures, and reviewing and approving valuations monthly. The pricing committee is composed of individuals from the finance and investment teams and other members of senior management. Fair Value Measurements Refer to Note 7, Fair Value Measurements, for the Company's accounting policy for, and details related to, the fair value of the Company's assets and liabilities. Interest Income and Expense We record interest income and expense on an accrual basis. We accrue interest income based on the outstanding principal amount of the settled securities in our portfolio and their contractual terms. We amortize premiums and discounts using the effective interest method as prepayments occur, and this net amortization is either a reduction of or accretive to interest income from Agency RMBS in the accompanying Consolidated Statement of Operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. Other Investments Other investments is mainly comprised of a net investment in real estate that is recorded at fair value, inclusive of $3.7 million of corresponding mortgage debt, with changes in estimated fair value recognized in the accompanying Consolidated Statements of Operations. Repurchase Agreements Borrowings under repurchase agreements ("repo borrowings") 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 financial institutions. Collateral pledged on repo borrowings is valued daily, and our counterparties may require posting of additional collateral when the fair value of pledged collateral declines. Repo borrowing counterparties have the right to sell or repledge collateral pledged under repo borrowings. We account for our repo borrowings as short-term indebtedness under ASC 470 -Debt; accordingly, these short-term instruments are reflected in our financial statements at their amortized cost, which approximates fair value due to their short-term nature. Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements The Company borrows U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below) to cover short sales. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value in the accompanying Consolidated Balance Sheet based on the value of the underlying borrowed securities as of period end. We account for our reverse repurchase agreements at amortized cost, which approximates fair value due to their short-term nature. Derivative Instruments Included in Derivative Instruments are interest rate swaps (cancelable and non-cancelable), swaptions, interest rate caps, TBA Derivatives and U.S. Treasury securities short positions (defined below). The Company uses interest rate swaps, swaptions and caps (a "swap", "swaption" or "cap", respectively) as well as U.S. Treasury securities short positions 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 value of our Agency RMBS declining and 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 and/or receives periodic payments and records unrealized gains or losses as a result of marking the swap or cap to fair value. During the term of a swaption, the Company will record unrealized gains or losses as the difference between the premium paid and the fair value of the swaption. We report the periodic interest payments and interest receipts on swaps (cancelable and non-cancelable) and caps and amortization of premiums on cap contracts in interest rate hedge expense, net in the accompanying Consolidated Statements of Operations . When the Company terminates a swap, swaption 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. Swaps and caps 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, swaptions and caps may be subject to a master netting arrangement ("MNA"), pursuant to which the Company may be exposed to credit loss in the event of non-performance by the counterparty to the swap, swaption 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. The Company has elected, as an accounting policy, to present these arrangements gross, and not on a net basis. As of March 31, 2018 and December 31, 2017 , 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, swaption or cap and may realize a loss. While some of 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 Consolidated Statements of Cash Flows in accordance with GAAP in the operating activities section, while the premium paid on interest rate caps and swaptions, and proceeds from the termination of interest rate caps and swaptions are recorded in the investing activities section of the accompanying Consolidated Statements of Cash Flows. 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. The Company purchases and sells short U.S. Treasury securities as an economic hedge against rising rates ("U.S. Treasury short position"). U.S. Treasury short positions are intended to reduce the volatility in the Company’s Agency RMBS portfolio value in a rising rate environment. We borrow U.S. Treasury securities under reverse repurchase agreements to cover short sales. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities in the accompanying Consolidated Balance Sheets as “Obligation to return securities borrowed under reverse repurchase agreements, at fair value”. Gains and losses associated with U.S. Treasury short positions are recognized in "Net realized and unrealized gain (loss) on derivative instruments" in the accompanying Consolidated Statements of Operations. None of the Company's derivatives have been designated as hedging instruments for accounting purposes. Effective January 1, 2016, the Company recognized all TBA Securities that do not qualify for the regular-way scope exception under ASC 815 as derivatives. Income Taxes The Company has elected to be treated as a REIT under the Code. The Company will generally not be subject to federal income tax to the extent that it distributes 90% of its taxable income, after application of available tax provisions, within the time limits prescribed by the Code and as long as the Company satisfies the ongoing REIT requirements, including meeting certain asset, income and stock ownership tests. Leases The Company occupies leased office space. The Company’s lease is accounted for in accordance with ASC 840 -Leases , and is classified as an operating lease. Rent expense is amortized on a straight-line basis over the lease term and is included in "General, administrative and other expense" in the accompanying Consolidated Statements of Operations. Stock-based Compensation The Company applies the provisions of ASC 718- Compensation-Stock Compensation , with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans. ASC 718 requires that compensation costs relating to stock-based payment transactions be recognized in the consolidated financial statements. Compensation costs related to restricted common shares issued are measured at their estimated fair value at the grant date, and are amortized and expensed over the vesting period on a straight-line basis. The Company estimates the impact of forfeitures to the extent practical, otherwise forfeitures are recognized as they occur. Earnings Per Share ("EPS") The Company computes basic EPS using the two-class method by dividing net income (loss), after adjusting for the impact of non-vested stock awards deemed to be participating securities, by the weighted-average number of common shares outstanding, calculated excluding non-vested stock awards. The Company computes diluted EPS by dividing net income (loss), after adjusting for the impact of non-vested stock awards deemed to be participating securities, by the weighted-average number of common shares outstanding, calculated excluding non-vested stock awards, giving effect to common stock options and warrants, if they are dilutive. See Note 9, Earnings Per Share for EPS computations. Recent Accounting Pronouncements The following table provides a brief description of recent accounting pronouncements that could potentially impact the Company's unaudited consolidated financial statements: Accounting Standard Description Required Date of Adoption Anticipated Effect on the 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. |
Investments in Securities
Investments in Securities | 3 Months Ended |
Mar. 31, 2018 | |
Available-for-sale Securities [Abstract] | |
Investments in Securities and Other Assets | INVESTMENTS IN SECURITIES The available-for-sale investments portfolio consisted of the following as of March 31, 2018 and December 31, 2017 (dollars in thousands): March 31, 2018 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 7,036,143 $ (100,604 ) $ 9,570 $ 6,945,109 ARMs 338,207 (6,743 ) 182 331,646 Total Fannie Mae 7,374,350 (107,347 ) 9,752 7,276,755 Freddie Mac Certificates Fixed Rate 4,146,859 (69,501 ) 3,842 4,081,200 ARMs 155,569 (4,244 ) 49 151,374 Total Freddie Mac 4,302,428 (73,745 ) 3,891 4,232,574 Ginnie Mae Certificates Fixed Rate 26,468 (79 ) 242 26,631 ARMs — — — — Ginnie Mae Certificates - ARMs 26,468 (79 ) 242 26,631 Total Agency RMBS 11,703,246 (181,171 ) 13,885 11,535,960 U.S. Treasuries — — — — Total $ 11,703,246 $ (181,171 ) $ 13,885 $ 11,535,960 December 31, 2017 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 7,117,481 $ (20,470 ) $ 23,067 $ 7,120,078 ARMs 273,660 (2,647 ) 1,101 272,114 Total Fannie Mae 7,391,141 (23,117 ) 24,168 7,392,192 Freddie Mac Certificates Fixed Rate 3,968,358 (11,045 ) 10,142 3,967,455 ARMs 200,405 (1,028 ) 329 199,706 Total Freddie Mac 4,168,763 (12,073 ) 10,471 4,167,161 Ginnie Mae Certificates Fixed Rate 1,602 (45 ) — 1,557 ARMs 26,460 — 350 26,810 Total Ginnie Mae 28,062 (45 ) 350 28,367 Total Agency RMBS 11,587,966 (35,235 ) 34,989 11,587,720 U.S. Treasuries 1,047,965 (1,031 ) — 1,046,934 Total $ 12,635,931 $ (36,266 ) $ 34,989 $ 12,634,654 The following table presents the gross unrealized loss and fair values of the Company's available-for-sale investments by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2018 and December 31, 2017 (dollars in thousands): Unrealized loss positions Less than 12 Months Greater than 12 months Total As of Fair value Unrealized loss Fair value Unrealized loss Fair value Unrealized loss March 31, 2018 $ 8,022,082 $ (155,401 ) $ 723,584 $ (25,770 ) $ 8,745,666 $ (181,171 ) December 31, 2017 7,925,876 (36,170 ) 24,896 (96 ) 7,950,772 (36,266 ) The following table summarizes the Company’s available-for-sale investments as of March 31, 2018 and December 31, 2017 , according to their estimated remaining weighted-average maturity classifications: March 31, 2018 December 31, 2017 Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ 24,896 $ 24,992 Greater than one year through five years 2,636,903 2,673,340 5,137,370 5,143,680 Greater than five years through ten years 8,892,462 9,023,136 7,472,388 7,467,259 Greater than ten years 6,595 6,770 — — Total $ 11,535,960 $ 11,703,246 $ 12,634,654 $ 12,635,931 The following table summarizes our net realized gain (loss) from the sale of available-for-sale investments for the three months ended March 31, 2018 and 2017 (dollars in thousands): Three Months Ended March 31, 2018 2017 Available-for-sale investments, at cost $ 6,251,705 $ 3,598,492 Proceeds from sale of available-for-sale investments 6,180,514 3,532,448 Net realized gain (loss) on sale of available-for-sale investments $ (71,191 ) $ (66,044 ) Gross gain on sale of available-for-sale investments $ 15,072 $ 8,603 Gross (loss) on sale of available-for-sale investments (86,263 ) (74,647 ) Net realized gain (loss) on sale of available-for-sale investments $ (71,191 ) $ (66,044 ) The components of the carrying value of available-for-sale investments at March 31, 2018 and December 31, 2017 are presented below. The premium purchase price is generally due to the average coupon interest rates on these investments being higher than prevailing market rates and conversely, the discount purchase price is generally due to the average coupon interest rates on these investments being lower than prevailing market rates. (dollars in thousands) March 31, 2018 December 31, 2017 Principal balance $ 11,389,337 $ 12,275,352 Unamortized premium 314,319 362,676 Unamortized discount (410 ) (2,097 ) Gross unrealized gains 13,885 34,989 Gross unrealized losses (181,171 ) (36,266 ) Fair value $ 11,535,960 $ 12,634,654 As of March 31, 2018 , the weighted-average coupon interest rate on the Company's Agency RMBS was 3.55% . As of December 31, 2017 , the weighted-average coupon interest rate on the Company's Agency RMBS and U.S. Treasuries was 3.52% and 1.85% , 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. Credit Risk The Company believes it has minimal exposure to credit losses on its Debt Securities at March 31, 2018 and December 31, 2017 . 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. Since September 2008, both Freddie Mac and Fannie Mae have operated in the conservatorship of the U.S. government. As of March 31, 2018 , S&P maintained its AA+ rating for the U.S. government, while Fitch and Moody's rated the U.S. government AAA and Aaa, respectively. Since Fannie Mae and Freddie Mac are in U.S. government conservatorship, the implied credit ratings of Agency RMBS are similarly rated. Refer to Note 7, Fair Value Measurements , for details regarding the characterization of our investments in securities' within the fair value hierarchy. |
Derivative Instruments
Derivative Instruments | 3 Months Ended |
Mar. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Fair Value [Text Block] | The Company enters into swaps (cancelable and non-cancelable), swaptions, caps and U.S. Treasury short positions as part of its efforts to manage its interest rate exposure. The Company had the following activity in interest rate swap, swaption and cap transactions during the three months ended March 31, 2018 and 2017 (dollars in thousands): March 31, 2018 March 31, 2017 Trade Date Transaction Notional Trade Date Transaction Notional February 2018 Opened $ 1,250,000 N/A N/A $ — February 2018 Terminated (1,000,000 ) March 2018 Opened 1,000,000 March 2018 Terminated (1,000,000 ) Net Increase $ 250,000 As of March 31, 2018 and December 31, 2017 , the Company had pledged Debt Securities with a fair value of $72.7 million and $76.5 million , respectively, as collateral on derivative instruments. As of March 31, 2018 and December 31, 2017 , the Company had no cash pledged as collateral on derivative instruments. As of March 31, 2018 , the Company had Agency RMBS and U.S. Treasuries of $11.7 million and cash of $245.7 million pledged to it as collateral for derivative instruments. As of December 31, 2017 , the Company had Agency RMBS and U.S. Treasuries of $9.6 million and cash of $139.6 million pledged to it as collateral for derivative instruments. At March 31, 2018 , the Company had a 10-year U.S. Treasury short position with a notional of $800 million and a fair market value of $767.1 million . The table below summarizes information about our derivative and economic hedging instrument assets and liabilities as of March 31, 2018 and December 31, 2017 (dollars in thousands): March 31, 2018 December 31, 2017 Derivative and Other Hedging Instruments - Assets Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative assets, at fair value $ 6,475,000 $ 219,940 $ 7,475,000 $ 120,154 Interest Rate Swaptions Derivative assets, at fair value 1,250,000 4,876 — — Interest Rate Caps Derivative assets, at fair value 2,500,000 54,669 2,500,000 39,466 TBA Derivatives Derivative assets, at fair value 975,000 2,043 25,000 9 Total derivative assets at fair value $ 11,200,000 $ 281,528 $ 10,000,000 $ 159,629 Derivative and Other Hedging Instruments - Liabilities Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative liabilities, at fair value $ — $ — $ — $ — Interest Rate Swaptions Derivative liabilities, at fair value — — — — Interest Rate Caps Derivative liabilities, at fair value — — — — TBA Derivatives Derivative liabilities, at fair value 2,346,000 (9,749 ) 425,000 (152 ) Total derivative liabilities at fair value $ 2,346,000 $ (9,749 ) $ 425,000 $ (152 ) U.S. Treasury short position Derivative liabilities, at fair value $ 800,000 $ (767,062 ) $ — $ — The average notional value of the Company's TBA Derivatives during the three months ended March 31, 2018 and March 31, 2017 was $2.2 billion and $1.5 billion , respectively. The average notional value of the Company's swaps, swaptions and caps during the three months ended March 31, 2018 and March 31, 2017 was $10.1 billion and $9.0 billion , respectively. The average notional value of the Company's U.S. Treasury short positions during the three months ended March 31, 2018 was $0.4 billion. We did not hold U.S. Treasury short positions during the three months ended March 31, 2017. The following table presents information about the net realized and unrealized gain and loss on swaps, swaptions, caps, TBA Derivatives and U.S. Treasury short positions for the three months ended March 31, 2018 and 2017 (dollars in thousands): Three Months Ended March 31, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2018 2017 Interest rate swaps and caps Interest rate hedge expense, net $ (2,508 ) $ (8,327 ) Interest rate swaps, swaptions and caps Net realized and unrealized gain (loss) on derivative instruments 115,798 7,208 TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments (16,043 ) (8,220 ) U.S. Treasury short position Net realized and unrealized gain (loss) on derivative instruments (10,287 ) — Interest rate swaps, swaptions, caps, TBA Derivatives and U.S. Treasury short position Net gain (loss) on derivative instruments $ 86,960 $ (9,339 ) The swap, swaption and cap notional was $10.2 billion at March 31, 2018 compared to $10.0 billion at December 31, 2017 , and respectively 101% and 99% of our repo borrowings at March 31, 2018 and December 31, 2017 . Refer to Note 6, Pledged Assets , and Note 7, Fair Value Measurements , for details regarding assets pledged under derivative contracts and the characterization of derivative contracts within fair value hierarchy, respectively. |
Repurchase Agreements
Repurchase Agreements | 3 Months Ended |
Mar. 31, 2018 | |
Banking and Thrift [Abstract] | |
Repurchase Agreements | Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements The Company borrows U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below) to cover short sales. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value in the accompanying Consolidated Balance Sheet based on the value of the underlying borrowed securities as of period end. We account for our reverse repurchase agreements at amortized cost, which approximates fair value due to their short-term nature. REPURCHASE AGREEMENTS The Company leverages its Debt Securities portfolio primarily through repo borrowings and TBA dollar roll transactions. 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"). While repo borrowings have historically been 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 outstanding principal at the balance sheet dates is summarized in the table below. (dollars in thousands) March 31, 2018 December 31, 2017 Outstanding repurchase agreements $ 10,084,643 $ 10,089,917 Interest accrued thereon $ 27,783 $ 30,108 Weighted-average borrowing rate 1.74 % 1.42 % Weighted-average remaining maturity (in days) 63 51 Fair value of pledged collateral (1) $ 10,605,968 $ 10,565,269 __________________ (1) Collateral for repo borrowings consists of Agency RMBS and U.S. Treasuries. The following table presents the remaining contractual maturity of repo borrowings by collateral type as of March 31, 2018 and December 31, 2017 (dollars in thousands): Remaining contractual maturity March 31, 2018 Overnight Less than 30 days 30-90 days Greater than 90 days Total Agency RMBS $ 234,276 $ 4,377,284 $ 2,371,475 $ 3,101,608 $ 10,084,643 U.S. Treasuries — — — — — Total $ 234,276 $ 4,377,284 $ 2,371,475 $ 3,101,608 $ 10,084,643 December 31, 2017 Agency RMBS $ 272,434 $ 3,763,712 $ 2,549,717 $ 2,482,742 $ 9,068,605 U.S. Treasuries — 1,021,312 — — 1,021,312 Total $ 272,434 $ 4,785,024 $ 2,549,717 $ 2,482,742 $ 10,089,917 At March 31, 2018 and December 31, 2017 , our amount at risk with any individual counterparty related to our repo borrowings was less than 2.4% and 2.3% of stockholders' equity, 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. |
Pledged Assets
Pledged Assets | 3 Months Ended |
Mar. 31, 2018 | |
Transfers and Servicing [Abstract] | |
Pledged Assets | PLEDGED ASSETS Assets Pledged to Counterparties The following tables summarize assets pledged as collateral under repo borrowings, and derivative instruments by type, including assets pledged to the Company that were repledged to other counterparties and securities pledged related to securities purchased or sold but not yet settled, as of March 31, 2018 and December 31, 2017 (dollars in thousands): March 31, 2018 Asset Type Repurchase Agreements Derivative Instruments (1) Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 10,607,288 $ 40,168 $ 17,257 $ 10,664,713 U.S. Treasuries - fair value 395 32,571 — 32,966 Accrued interest on pledged securities 30,974 315 53 31,342 Cash — — — — Total $ 10,638,657 $ 73,054 $ 17,310 $ 10,729,021 December 31, 2017 Asset Type Repurchase Agreements Derivative Instruments (1) Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 9,542,186 $ 44,490 $ 1,928 $ 9,588,604 U.S. Treasuries - fair value 1,023,083 31,968 — 1,055,051 Accrued interest on pledged securities 27,693 165 5 27,863 Cash — — — — Total $ 10,592,962 $ 76,623 $ 1,933 $ 10,671,518 ______________ (1) Includes amounts related to TBA Derivatives. Assets Pledged from Counterparties As the estimated fair value of our investment securities pledged as collateral increases due to changes in interest rates or other factors, we may require counterparties to return collateral to us, which may be in the form of identical securities, similar securities, or cash. As of March 31, 2018 and December 31, 2017 , we also had assets pledged to us as collateral under our repurchase agreements, reverse repurchase agreements, derivative instruments and forward settling trades summarized in the tables below (dollars in thousands): March 31, 2018 Asset Type Repurchase Agreements (1) Reverse Repurchase Agreements (1) Derivative Instruments (2) Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 1,716 $ — $ — $ — $ 1,716 U.S. Treasuries - fair value — 792,650 11,694 — 804,344 Accrued interest on pledged securities 5 2,442 16 — 2,463 Cash — — 245,732 — 245,732 Total $ 1,721 $ 795,092 $ 257,442 $ — $ 1,054,255 December 31, 2017 Asset Type Repurchase Agreements (3) Derivative Instruments (2) Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ — $ — $ — $ — U.S. Treasuries - fair value — 9,646 — 9,646 Accrued interest on pledged securities — 60 — 60 Cash — 139,614 — 139,614 Total $ — $ 149,320 $ — $ 149,320 ______________ (1) U.S. Treasury securities received as collateral under our reverse repurchase agreements that we use to cover short sales of U.S. Treasury securities are accounted for as securities borrowing transactions. We recognize a corresponding obligation to return the borrowed securities at fair value in the accompanying Consolidated Balance Sheet based on the value of the underlying borrowed securities at period end. Amounts presented are inclusive of collateral that the Company has sold or repledged, and may be presented on a net basis for repurchase and reverse repurchase agreements with the same counterparty. (2) Includes amounts related to TBA Derivatives. (3) We did not hold U.S. Treasury short positions at December 31, 2017. 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 ("MSFTAs") 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, TBA Securities and secured borrowing transactions by and between the Company and our counterparties. As of March 31, 2018 , $11.7 million of assets were pledged to the Company under the Master Agreements, of which $7.4 million were pledged by the Company to other counterparties at March 31, 2018 . As of December 31, 2017 , $9.6 million of assets were pledged to the Company under the Master Agreements, of which $8.1 million were pledged by the Company to other counterparties at December 31, 2017 . Since title to these assets remains 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 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 accompanying Consolidated Balance Sheets on a gross basis without regard for such rights of offset. At March 31, 2018 and December 31, 2017 , the Company's derivative assets and liabilities (by type) are as follows (dollars in thousands): March 31, 2018 Assets Liabilities Interest rate swap contracts $ 219,940 $ — Interest rate swaption contracts 4,876 — Interest rate cap contracts 54,669 — TBA derivatives 2,043 9,749 Total derivative assets and liabilities 281,528 9,749 Derivatives not subject to a Master Netting Agreement 219,940 — Total assets and liabilities subject to a Master Netting Agreement $ 61,588 $ 9,749 December 31, 2017 Assets Liabilities Interest rate swap contracts $ 120,154 $ — Interest rate cap contracts 39,466 — TBA derivatives 9 152 Total derivative assets and liabilities 159,629 152 Derivatives not subject to a Master Netting Agreement 119,230 — Total assets and liabilities subject to a Master Netting Agreement $ 40,399 $ 152 Below are summaries of the Company's assets subject to offsetting provisions (dollars 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) March 31, 2018 Derivative assets $ 61,588 $ 1,842 $ 57,751 $ 1,995 March 31, 2018 Reverse repurchase agreements 767,422 270,352 497,070 — December 31, 2017 Derivative assets 40,399 — 38,568 1,831 Below are summaries of the Company's liabilities subject to offsetting provisions (dollars in thousands): 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) March 31, 2018 Derivative liabilities $ 9,749 $ 1,842 $ 7,907 $ — March 31, 2018 Repurchase agreements 10,084,643 270,352 9,814,291 — December 31, 2017 Derivative liabilities 152 — 152 — December 31, 2017 Repurchase agreements 10,089,917 — 10,089,917 — ______________ (1) Collateral consists of Agency RMBS, U.S. Treasuries and Cash and cash equivalents. Excess collateral received is not shown for financial reporting purposes. (2) Net amount represents the amount receivable from (in the case of assets) and payable to (in the case of liabilities) the counterparty in the event of default. |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2018 | |
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. Refer to Note 3, Investments in Securities , and Note 4, Derivative Instruments , for more details related to the Company's investments in securities and derivative instruments, respectively. 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. Agency RMBS and U.S. Treasuries are generally valued based on prices provided by third-party pricing services (the "Pricing Service"), as derived from such services' pricing models. Our primary third party pricing service utilizes various valuation techniques, including market and income approaches to estimate the value of our Agency RMBS categorized within Level 2. When no direct information is available for a specific Agency RMBS, the Pricing Service utilizes a matrix approach referred to as a "multi-dimensional relational application" valuation technique (the "Valuation Technique") to value our Agency RMBS. The Pricing Service inputs include Trade Reporting and Compliance Engine ("TRACE ® ") reported trades and the following standard inputs, listed in approximate order of priority, when available: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, and reference data including market research publications. TRACE ® data includes, among other things, all Agency RMBS over-the-counter market activity in the secondary market. 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, prepayment rates, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The Pricing Service evaluates the adequacy of the Valuation Technique and the inputs described above on a regular basis. The evaluation process also includes monitoring market indicators, and industry and economic events. Information of this nature is a trigger to acquire further corroborating market data. The ongoing evaluation process includes multiple review processes throughout the month that help assess the available market, credit, and deal level information in support of valuations. As a result of the evaluation process, the Pricing Service may prioritize available inputs differently on any given day for any security, as not all inputs identified are available for use in the valuation process on any given day for each security valuation. If the Pricing Service determines that the level of available objective verifiable information is insufficient to continue to support a security’s valuation, then the Pricing Service will discontinue to value the security(ies) on an issue, issuer, and/or deal level until sufficient objective verifiable information can be obtained. All valuations we receive 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 classification within the fair value hierarchy in ASC 820, the Company reviews the third-party pricing services' methodologies periodically to understand whether observable or unobservable inputs are being used. We generally value swaps, swaptions 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. 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, due primarily to the short duration of these instruments, including cash and cash equivalents, receivables, payables, and repo borrowings. "Other investments" is mainly comprised of our net investment in a real estate asset at fair value, inclusive of the corresponding $3.7 million and $3.7 million of mortgage debt at March 31, 2018 and December 31, 2017 , respectively. Investment in real estate is considered to be a Level 3 asset to which we periodically apply valuation techniques and/or impairment analysis. The following tables summarize the Company’s assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2018 and December 31, 2017 (dollars in thousands): March 31, 2018 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 11,535,960 $ — $ 11,535,960 U.S. Treasuries — — — — Derivative assets — 281,528 — 281,528 Other investments — — 9,763 9,763 Total $ — $ 11,817,488 $ 9,763 $ 11,827,251 Liabilities Derivative liabilities — 9,749 — 9,749 Obligation to return securities borrowed under reverse repurchase agreements, at fair value 767,062 — — 767,062 Total $ 767,062 $ 9,749 $ — $ 776,811 December 31, 2017 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 11,587,720 $ — $ 11,587,720 U.S. Treasuries 1,046,934 — — 1,046,934 Derivative assets — 159,629 — 159,629 Other investments — — 9,763 9,763 Total $ 1,046,934 $ 11,747,349 $ 9,763 $ 12,804,046 Liabilities Derivative liabilities — 152 — 152 Total $ — $ 152 $ — $ 152 The table below presents a reconciliation of changes in other investments classified as Level 3 in the Company's consolidated financial statements for the three months ended March 31, 2018 and 2017 . Level 3 Fair Value Reconciliation (dollars in thousands) Three Months Ended March 31, Other investments 2018 2017 Beginning balance Level 3 assets $ 9,763 $ 8,028 Cash payments recorded as a reduction of cost basis — — Change in net unrealized gain (loss) — — Gross purchases — — Gross sales — — Net gain (loss) on sales — — Transfers into (out of) Level 3 — — Ending balance Level 3 assets $ 9,763 $ 8,028 The fair value of our net investment in a real estate asset is primarily derived internally, and is based on inputs observed from sales transactions of similar assets. We also rely on available industry information about capitalization rates and expected trends in rents and occupancy in determining estimates of the fair value of real estate. The significant unobservable input used in the fair value measurement of our net investment in real estate is the capitalization rate, which the Company estimated to be between 4.2% and 4.9% at March 31, 2018 and December 31, 2017 . |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2018 | |
Stockholders' Equity Note [Abstract] | |
Share Capital | STOCKHOLDERS' EQUITY The Company has authorized 500,000,000 shares of common stock having a par value of $0.01 per share. As of March 31, 2018 and December 31, 2017 , the Company had issued and outstanding 155,415,878 and 155,010,011 shares of common stock, respectively. The Company has authorized 50,000,000 shares of preferred stock having a par value of $0.01 per share. As of March 31, 2018 and December 31, 2017 , 3,000,000 shares of 7.75% Series A Cumulative Redeemable Preferred Stock ( $25.00 liquidation preference) were issued and outstanding. As of March 31, 2018 and December 31, 2017 , 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 are 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 (as defined in the Articles Supplementary of the Series A and Series B Preferred Stock, respectively). Under certain circumstances upon a Change of Control, our Series A and Series B Preferred Stock are convertible to shares of our common stock. 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 Placement Program On August 4, 2017, the Company entered into an equity distribution agreement (the "Equity Distribution Agreement") with JMP Securities LLC whereby the Company may, from time to time, publicly offer and sell up to 20,000,000 shares of the Company’s common stock through at-the-market transactions and/or privately negotiated transactions. During the three months ended March 31, 2018 , the Company did not issue any shares under the Equity Distribution Agreement. As of March 31, 2018 and December 31, 2017 , 17,048,509 shares of common stock remained available for issuance to be sold under the Equity Distribution Agreement. Dividend Reinvestment and Direct Stock Purchase Plan On September 15, 2017, the Company renewed its Dividend Reinvestment and Direct Stock Purchase Plan ("DRSPP"), whereby stockholders may reinvest cash dividends and purchase up to 10,000,000 shares of our common stock. Stockholders may also make optional cash purchases of shares of common stock subject to certain limitations detailed in the respective plan prospectus. For the three months ended March 31, 2018 and March 31, 2017 , the Company did not issue any shares under the DRSPP. As of March 31, 2018 , there were approximately 9.7 million shares available for issuance under the DRSPP. 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 and through the year ended December 31, 2017 the Company repurchased 5,796,502 shares at a weighted-average purchase price of $7.62 per share, for an aggregate purchase price of approximately $44.3 million . Accordingly, the Company was authorized to repurchase shares of its common stock of approximately $155.5 million as of December 31, 2017 . For the three months ended March 31, 2018 and March 31, 2017 , we did not repurchase any shares of the Company's common stock. Accordingly, the Company was authorized to repurchase shares of its common stock of approximately $155.5 million as of March 31, 2018 and 2017. Restricted Stock Awards For the three months ended March 31, 2018 and 2017 , the Company granted 439,151 and 317,396 shares of restricted stock, respectively, to certain of its directors, officers and employees. |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Mar. 31, 2018 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | EARNINGS PER SHARE Components of the computation of basic and diluted earnings per share ("EPS") under the two-class method were as follows (dollars in thousands, except per share numbers): Three Months Ended March 31, 2018 2017 Net income (loss) $ (108,508 ) $ 34,020 Less dividends on preferred shares (5,203 ) (5,203 ) Net income (loss) available to common stockholders (113,711 ) 28,817 Less dividends paid: Common shares (33,965 ) (37,695 ) Non-vested shares (226 ) (232 ) Undistributed earnings (loss) (147,902 ) (9,110 ) Basic weighted-average shares outstanding: Common shares 154,230 150,582 Basic earnings (loss) per common share: Distributed earnings $ 0.22 $ 0.25 Undistributed earnings (loss) (0.96 ) (0.06 ) Basic earnings (loss) per common share $ (0.74 ) $ 0.19 Diluted weighted-average shares outstanding: Common shares 154,230 150,582 Net effect of dilutive warrants (1) — — 154,230 150,582 Diluted earnings (loss) per common share: Distributed earnings $ 0.22 $ 0.25 Undistributed earnings (0.96 ) (0.06 ) Diluted earnings (loss) per common share $ (0.74 ) $ 0.19 __________________ (1) For the three months ended March 31, 2018 and 2017 , the Company had no stock options outstanding. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | COMMITMENTS AND CONTINGENCIES The Company enters into certain agreements that contain a variety of indemnifications, principally with broker-dealers. As of March 31, 2018 and December 31, 2017 , no claims have been asserted against the Company under these indemnification agreements. Accordingly, the Company has no liabilities recorded for these agreements as of March 31, 2018 and December 31, 2017 . 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 7 years from the rent commencement date, and one five-year extension option. The Company's lease has been classified as an operating lease. The Company’s aggregate future minimum lease payments total approximately $2.0 million . The following table details the Company's operating lease payments (dollars in thousands): Years Ending December 31, Lease Commitments 2018 (remaining) $ 273 2019 373 2020 383 2021 393 2022 403 Thereafter 203 $ 2,028 |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS The Company entered into a definitive merger agreement (the "Merger Agreement") with Two Harbors Investment Corp ("Two Harbors") on April 25, 2018. In connection with the proposed merger, the Company’s stockholders will exchange their shares of the Company’s common stock for newly issued shares of Two Harbors as well as an aggregate cash consideration of $15 million, payable to the Company’s stockholders. The number of Two Harbors’ shares to be received by the Company’s stockholders will be based on an exchange ratio to be determined by dividing 96.75% of the Company’s adjusted book value per share by 94.20% of the Two Harbors adjusted book value per share. As defined in the Merger Agreement, adjusted book value per share for each company means (i) such company’s total consolidated common stockholders’ equity after giving pro forma effect to any dividends or other distributions for which the record date is after the exchange ratio determination date but prior to the closing of the merger and as modified for potential transaction-related adjustments, divided by (ii) each respective company’s number of shares of common stock issued and outstanding, including shares issuable upon the vesting of restricted stock. The actual exchange ratio for the merger will be publicly announced at least five business days prior to the required stockholder votes on the merger. The completion of the proposed merger is subject to the satisfaction of certain customary conditions, and is subject to the approval of the stockholders of both Two Harbors and the Company. The Company cannot provide any assurance that the proposed merger will close in a timely manner or at all. The Company has evaluated subsequent events through April 27, 2018, the date these financial statements were issued, and determined that no additional events have occurred that would require adjustments to or disclosures in the accompanying unaudited consolidated financial statements. |
Significant Accounting Polici18
Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2018 | |
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 ("GAAP") and the instructions to the 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 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, 2017 , included in the 2017 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 GAAP. The preparation of financial statements in conformity with GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the unaudited consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. |
Reclassification | Presentation Prior to October 1, 2017, "Interest rate hedge expense, net" was referred to as "Swap and cap interest expense" in the Consolidated Statement of Operations. This line item includes the following: (i) net periodic payments made on interest rate swaps and interest rate caps, (ii) the periodic amortization of premiums paid to enter into interest rate caps, and (iii) the periodic amortization of premiums paid to enter into swaptions, less, total payments received in connection with (A) the receive leg of our interest rate swaps, and (B) payments received in connection with interest rate caps. On October 1, 2017, the name was changed to "Interest rate hedge expense, net", to better reflect the broad nature of items included in this line item, all of which reflect the Company’s net cost of hedging its exposure to interest rates. Prior period financial statement line items have been renamed to conform to the current period presentation. Effective January 1, 2018, realized and unrealized gains and losses on swaptions are included in "Net realized and unrealized gain (loss) on derivative instruments" and swaption premium is no longer amortized and included in "Interest rate hedge expense, net" in the Consolidated Statement of Operations. |
Cash and Cash Equivalents | 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 . These investments meet the requirements to be classified as available-for-sale under ASC 320. Therefore, our investment securities are recorded at fair market value on the Consolidated Balance Sheets. The Company has chosen to make a fair value election pursuant to ASC 825 -Financial Instruments for its securities. Electing the fair value option requires the Company to record changes in the fair value of investments in the Consolidated Statement 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. The Company records its 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 10 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. |
Investment Valuation | Investment and Derivative Valuation The Company has a pricing committee responsible for establishing valuation policies and procedures, and reviewing and approving valuations monthly. The pricing committee is composed of individuals from the finance and investment teams and other members of senior management. |
Fair Value Measurement, Policy [Policy Text Block] | Fair Value Measurements Refer to Note 7, Fair Value Measurements, for the Company's accounting policy for, and details related to, the fair value of the Company's assets and liabilities. |
Interest Income | Interest Income and Expense We record interest income and expense on an accrual basis. We accrue interest income based on the outstanding principal amount of the settled securities in our portfolio and their contractual terms. We amortize premiums and discounts using the effective interest method as prepayments occur, and this net amortization is either a reduction of or accretive to interest income from Agency RMBS in the accompanying Consolidated Statement of Operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. |
Other investments | Other Investments Other investments is mainly comprised of a net investment in real estate that is recorded at fair value, inclusive of $3.7 million of corresponding mortgage debt, with changes in estimated fair value recognized in the accompanying Consolidated Statements of Operations. |
Repurchase Agreements and FHLBC Advances | Repurchase Agreements Borrowings under repurchase agreements ("repo borrowings") 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 financial institutions. Collateral pledged on repo borrowings is valued daily, and our counterparties may require posting of additional collateral when the fair value of pledged collateral declines. Repo borrowing counterparties have the right to sell or repledge collateral pledged under repo borrowings. We account for our repo borrowings as short-term indebtedness under ASC 470 -Debt; accordingly, these short-term instruments are reflected in our financial statements at their amortized cost, which approximates fair value due to their short-term nature. |
Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block] | Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements The Company borrows U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below) to cover short sales. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value in the accompanying Consolidated Balance Sheet based on the value of the underlying borrowed securities as of period end. We account for our reverse repurchase agreements at amortized cost, which approximates fair value due to their short-term nature. REPURCHASE AGREEMENTS The Company leverages its Debt Securities portfolio primarily through repo borrowings and TBA dollar roll transactions. 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"). While repo borrowings have historically been 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 outstanding principal at the balance sheet dates is summarized in the table below. (dollars in thousands) March 31, 2018 December 31, 2017 Outstanding repurchase agreements $ 10,084,643 $ 10,089,917 Interest accrued thereon $ 27,783 $ 30,108 Weighted-average borrowing rate 1.74 % 1.42 % Weighted-average remaining maturity (in days) 63 51 Fair value of pledged collateral (1) $ 10,605,968 $ 10,565,269 __________________ (1) Collateral for repo borrowings consists of Agency RMBS and U.S. Treasuries. The following table presents the remaining contractual maturity of repo borrowings by collateral type as of March 31, 2018 and December 31, 2017 (dollars in thousands): Remaining contractual maturity March 31, 2018 Overnight Less than 30 days 30-90 days Greater than 90 days Total Agency RMBS $ 234,276 $ 4,377,284 $ 2,371,475 $ 3,101,608 $ 10,084,643 U.S. Treasuries — — — — — Total $ 234,276 $ 4,377,284 $ 2,371,475 $ 3,101,608 $ 10,084,643 December 31, 2017 Agency RMBS $ 272,434 $ 3,763,712 $ 2,549,717 $ 2,482,742 $ 9,068,605 U.S. Treasuries — 1,021,312 — — 1,021,312 Total $ 272,434 $ 4,785,024 $ 2,549,717 $ 2,482,742 $ 10,089,917 At March 31, 2018 and December 31, 2017 , our amount at risk with any individual counterparty related to our repo borrowings was less than 2.4% and 2.3% of stockholders' equity, 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. |
Derivative Instruments | Derivative Instruments Included in Derivative Instruments are interest rate swaps (cancelable and non-cancelable), swaptions, interest rate caps, TBA Derivatives and U.S. Treasury securities short positions (defined below). The Company uses interest rate swaps, swaptions and caps (a "swap", "swaption" or "cap", respectively) as well as U.S. Treasury securities short positions 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 value of our Agency RMBS declining and 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 and/or receives periodic payments and records unrealized gains or losses as a result of marking the swap or cap to fair value. During the term of a swaption, the Company will record unrealized gains or losses as the difference between the premium paid and the fair value of the swaption. We report the periodic interest payments and interest receipts on swaps (cancelable and non-cancelable) and caps and amortization of premiums on cap contracts in interest rate hedge expense, net in the accompanying Consolidated Statements of Operations . When the Company terminates a swap, swaption 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. Swaps and caps 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, swaptions and caps may be subject to a master netting arrangement ("MNA"), pursuant to which the Company may be exposed to credit loss in the event of non-performance by the counterparty to the swap, swaption 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. The Company has elected, as an accounting policy, to present these arrangements gross, and not on a net basis. As of March 31, 2018 and December 31, 2017 , 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, swaption or cap and may realize a loss. While some of 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 Consolidated Statements of Cash Flows in accordance with GAAP in the operating activities section, while the premium paid on interest rate caps and swaptions, and proceeds from the termination of interest rate caps and swaptions are recorded in the investing activities section of the accompanying Consolidated Statements of Cash Flows. 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. The Company purchases and sells short U.S. Treasury securities as an economic hedge against rising rates ("U.S. Treasury short position"). U.S. Treasury short positions are intended to reduce the volatility in the Company’s Agency RMBS portfolio value in a rising rate environment. We borrow U.S. Treasury securities under reverse repurchase agreements to cover short sales. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities in the accompanying Consolidated Balance Sheets as “Obligation to return securities borrowed under reverse repurchase agreements, at fair value”. Gains and losses associated with U.S. Treasury short positions are recognized in "Net realized and unrealized gain (loss) on derivative instruments" in the accompanying Consolidated Statements of Operations. None of the Company's derivatives have been designated as hedging instruments for accounting purposes. Effective January 1, 2016, the Company recognized all TBA Securities that do not qualify for the regular-way scope exception under ASC 815 as derivatives. |
Income Taxes | Income Taxes The Company has elected to be treated as a REIT under the Code. The Company will generally not be subject to federal income tax to the extent that it distributes 90% of its taxable income, after application of available tax provisions, within the time limits prescribed by the Code and as long as the Company satisfies the ongoing REIT requirements, including meeting certain asset, income and stock ownership tests. |
Leases | Leases The Company occupies leased office space. The Company’s lease is accounted for in accordance with ASC 840 -Leases , and is classified as an operating lease. Rent expense is amortized on a straight-line basis over the lease term and is included in "General, administrative and other expense" in the accompanying Consolidated Statements of Operations. |
Stock-based Compensation | Stock-based Compensation The Company applies the provisions of ASC 718- Compensation-Stock Compensation , with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans. ASC 718 requires that compensation costs relating to stock-based payment transactions be recognized in the consolidated financial statements. Compensation costs related to restricted common shares issued are measured at their estimated fair value at the grant date, and are amortized and expensed over the vesting period on a straight-line basis. The Company estimates the impact of forfeitures to the extent practical, otherwise forfeitures are recognized as they occur. |
Earnings Per Share | Earnings Per Share ("EPS") The Company computes basic EPS using the two-class method by dividing net income (loss), after adjusting for the impact of non-vested stock awards deemed to be participating securities, by the weighted-average number of common shares outstanding, calculated excluding non-vested stock awards. The Company computes diluted EPS by dividing net income (loss), after adjusting for the impact of non-vested stock awards deemed to be participating securities, by the weighted-average number of common shares outstanding, calculated excluding non-vested stock awards, giving effect to common stock options and warrants, if they are dilutive. See Note 9, Earnings Per Share for EPS computations. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements The following table provides a brief description of recent accounting pronouncements that could potentially impact the Company's unaudited consolidated financial statements: Accounting Standard Description Required Date of Adoption Anticipated Effect on the 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. |
Significant Accounting Polici19
Significant Accounting Policies (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Accounting Policies [Abstract] | |
Schedule of Prospective Adoption of New Accounting Pronouncements | The following table provides a brief description of recent accounting pronouncements that could potentially impact the Company's unaudited consolidated financial statements: Accounting Standard Description Required Date of Adoption Anticipated Effect on the 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. |
Investments in Securities (Tabl
Investments in Securities (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Available-for-sale Securities [Abstract] | |
Available-for-sale Securities | The available-for-sale investments portfolio consisted of the following as of March 31, 2018 and December 31, 2017 (dollars in thousands): March 31, 2018 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 7,036,143 $ (100,604 ) $ 9,570 $ 6,945,109 ARMs 338,207 (6,743 ) 182 331,646 Total Fannie Mae 7,374,350 (107,347 ) 9,752 7,276,755 Freddie Mac Certificates Fixed Rate 4,146,859 (69,501 ) 3,842 4,081,200 ARMs 155,569 (4,244 ) 49 151,374 Total Freddie Mac 4,302,428 (73,745 ) 3,891 4,232,574 Ginnie Mae Certificates Fixed Rate 26,468 (79 ) 242 26,631 ARMs — — — — Ginnie Mae Certificates - ARMs 26,468 (79 ) 242 26,631 Total Agency RMBS 11,703,246 (181,171 ) 13,885 11,535,960 U.S. Treasuries — — — — Total $ 11,703,246 $ (181,171 ) $ 13,885 $ 11,535,960 December 31, 2017 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 7,117,481 $ (20,470 ) $ 23,067 $ 7,120,078 ARMs 273,660 (2,647 ) 1,101 272,114 Total Fannie Mae 7,391,141 (23,117 ) 24,168 7,392,192 Freddie Mac Certificates Fixed Rate 3,968,358 (11,045 ) 10,142 3,967,455 ARMs 200,405 (1,028 ) 329 199,706 Total Freddie Mac 4,168,763 (12,073 ) 10,471 4,167,161 Ginnie Mae Certificates Fixed Rate 1,602 (45 ) — 1,557 ARMs 26,460 — 350 26,810 Total Ginnie Mae 28,062 (45 ) 350 28,367 Total Agency RMBS 11,587,966 (35,235 ) 34,989 11,587,720 U.S. Treasuries 1,047,965 (1,031 ) — 1,046,934 Total $ 12,635,931 $ (36,266 ) $ 34,989 $ 12,634,654 The following table presents the gross unrealized loss and fair values of the Company's available-for-sale investments by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2018 and December 31, 2017 (dollars in thousands): Unrealized loss positions Less than 12 Months Greater than 12 months Total As of Fair value Unrealized loss Fair value Unrealized loss Fair value Unrealized loss March 31, 2018 $ 8,022,082 $ (155,401 ) $ 723,584 $ (25,770 ) $ 8,745,666 $ (181,171 ) December 31, 2017 7,925,876 (36,170 ) 24,896 (96 ) 7,950,772 (36,266 ) The following table summarizes the Company’s available-for-sale investments as of March 31, 2018 and December 31, 2017 , according to their estimated remaining weighted-average maturity classifications: March 31, 2018 December 31, 2017 Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ 24,896 $ 24,992 Greater than one year through five years 2,636,903 2,673,340 5,137,370 5,143,680 Greater than five years through ten years 8,892,462 9,023,136 7,472,388 7,467,259 Greater than ten years 6,595 6,770 — — Total $ 11,535,960 $ 11,703,246 $ 12,634,654 $ 12,635,931 The following table summarizes our net realized gain (loss) from the sale of available-for-sale investments for the three months ended March 31, 2018 and 2017 (dollars in thousands): Three Months Ended March 31, 2018 2017 Available-for-sale investments, at cost $ 6,251,705 $ 3,598,492 Proceeds from sale of available-for-sale investments 6,180,514 3,532,448 Net realized gain (loss) on sale of available-for-sale investments $ (71,191 ) $ (66,044 ) Gross gain on sale of available-for-sale investments $ 15,072 $ 8,603 Gross (loss) on sale of available-for-sale investments (86,263 ) (74,647 ) Net realized gain (loss) on sale of available-for-sale investments $ (71,191 ) $ (66,044 ) The components of the carrying value of available-for-sale investments at March 31, 2018 and December 31, 2017 are presented below. The premium purchase price is generally due to the average coupon interest rates on these investments being higher than prevailing market rates and conversely, the discount purchase price is generally due to the average coupon interest rates on these investments being lower than prevailing market rates. (dollars in thousands) March 31, 2018 December 31, 2017 Principal balance $ 11,389,337 $ 12,275,352 Unamortized premium 314,319 362,676 Unamortized discount (410 ) (2,097 ) Gross unrealized gains 13,885 34,989 Gross unrealized losses (181,171 ) (36,266 ) Fair value $ 11,535,960 $ 12,634,654 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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, swaption and cap transactions during the three months ended March 31, 2018 and 2017 (dollars in thousands): March 31, 2018 March 31, 2017 Trade Date Transaction Notional Trade Date Transaction Notional February 2018 Opened $ 1,250,000 N/A N/A $ — February 2018 Terminated (1,000,000 ) March 2018 Opened 1,000,000 March 2018 Terminated (1,000,000 ) Net Increase $ 250,000 |
Schedule of Derivative Instruments | The table below summarizes information about our derivative and economic hedging instrument assets and liabilities as of March 31, 2018 and December 31, 2017 (dollars in thousands): March 31, 2018 December 31, 2017 Derivative and Other Hedging Instruments - Assets Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative assets, at fair value $ 6,475,000 $ 219,940 $ 7,475,000 $ 120,154 Interest Rate Swaptions Derivative assets, at fair value 1,250,000 4,876 — — Interest Rate Caps Derivative assets, at fair value 2,500,000 54,669 2,500,000 39,466 TBA Derivatives Derivative assets, at fair value 975,000 2,043 25,000 9 Total derivative assets at fair value $ 11,200,000 $ 281,528 $ 10,000,000 $ 159,629 Derivative and Other Hedging Instruments - Liabilities Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative liabilities, at fair value $ — $ — $ — $ — Interest Rate Swaptions Derivative liabilities, at fair value — — — — Interest Rate Caps Derivative liabilities, at fair value — — — — TBA Derivatives Derivative liabilities, at fair value 2,346,000 (9,749 ) 425,000 (152 ) Total derivative liabilities at fair value $ 2,346,000 $ (9,749 ) $ 425,000 $ (152 ) U.S. Treasury short position Derivative liabilities, at fair value $ 800,000 $ (767,062 ) $ — $ — The average notional value of the Company's TBA Derivatives during the three months ended March 31, 2018 and March 31, 2017 was $2.2 billion and $1.5 billion , respectively. The average notional value of the Company's swaps, swaptions and caps during the three months ended March 31, 2018 and March 31, 2017 was $10.1 billion and $9.0 billion , respectively. The average notional value of the Company's U.S. Treasury short positions during the three months ended March 31, 2018 was $0.4 billion. We did not hold U.S. Treasury short positions during the three months ended March 31, 2017. The following table presents information about the net realized and unrealized gain and loss on swaps, swaptions, caps, TBA Derivatives and U.S. Treasury short positions for the three months ended March 31, 2018 and 2017 (dollars in thousands): Three Months Ended March 31, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2018 2017 Interest rate swaps and caps Interest rate hedge expense, net $ (2,508 ) $ (8,327 ) Interest rate swaps, swaptions and caps Net realized and unrealized gain (loss) on derivative instruments 115,798 7,208 TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments (16,043 ) (8,220 ) U.S. Treasury short position Net realized and unrealized gain (loss) on derivative instruments (10,287 ) — Interest rate swaps, swaptions, caps, TBA Derivatives and U.S. Treasury short position Net gain (loss) on derivative instruments $ 86,960 $ (9,339 ) At March 31, 2018 and December 31, 2017 , the Company's derivative assets and liabilities (by type) are as follows (dollars in thousands): March 31, 2018 Assets Liabilities Interest rate swap contracts $ 219,940 $ — Interest rate swaption contracts 4,876 — Interest rate cap contracts 54,669 — TBA derivatives 2,043 9,749 Total derivative assets and liabilities 281,528 9,749 Derivatives not subject to a Master Netting Agreement 219,940 — Total assets and liabilities subject to a Master Netting Agreement $ 61,588 $ 9,749 December 31, 2017 Assets Liabilities Interest rate swap contracts $ 120,154 $ — Interest rate cap contracts 39,466 — TBA derivatives 9 152 Total derivative assets and liabilities 159,629 152 Derivatives not subject to a Master Netting Agreement 119,230 — Total assets and liabilities subject to a Master Netting Agreement $ 40,399 $ 152 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Banking and Thrift [Abstract] | |
Schedule Of Company's Borrowings | Certain information with respect to the Company’s repo borrowings outstanding principal at the balance sheet dates is summarized in the table below. (dollars in thousands) March 31, 2018 December 31, 2017 Outstanding repurchase agreements $ 10,084,643 $ 10,089,917 Interest accrued thereon $ 27,783 $ 30,108 Weighted-average borrowing rate 1.74 % 1.42 % Weighted-average remaining maturity (in days) 63 51 Fair value of pledged collateral (1) $ 10,605,968 $ 10,565,269 __________________ (1) Collateral for repo borrowings consists of Agency RMBS and U.S. Treasuries. |
Schedule of Repurchase Agreements | The following table presents the remaining contractual maturity of repo borrowings by collateral type as of March 31, 2018 and December 31, 2017 (dollars in thousands): Remaining contractual maturity March 31, 2018 Overnight Less than 30 days 30-90 days Greater than 90 days Total Agency RMBS $ 234,276 $ 4,377,284 $ 2,371,475 $ 3,101,608 $ 10,084,643 U.S. Treasuries — — — — — Total $ 234,276 $ 4,377,284 $ 2,371,475 $ 3,101,608 $ 10,084,643 December 31, 2017 Agency RMBS $ 272,434 $ 3,763,712 $ 2,549,717 $ 2,482,742 $ 9,068,605 U.S. Treasuries — 1,021,312 — — 1,021,312 Total $ 272,434 $ 4,785,024 $ 2,549,717 $ 2,482,742 $ 10,089,917 |
Pledged Assets (Tables)
Pledged Assets (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Transfers and Servicing [Abstract] | |
Assets Pledged to Counterparties | The following tables summarize assets pledged as collateral under repo borrowings, and derivative instruments by type, including assets pledged to the Company that were repledged to other counterparties and securities pledged related to securities purchased or sold but not yet settled, as of March 31, 2018 and December 31, 2017 (dollars in thousands): March 31, 2018 Asset Type Repurchase Agreements Derivative Instruments (1) Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 10,607,288 $ 40,168 $ 17,257 $ 10,664,713 U.S. Treasuries - fair value 395 32,571 — 32,966 Accrued interest on pledged securities 30,974 315 53 31,342 Cash — — — — Total $ 10,638,657 $ 73,054 $ 17,310 $ 10,729,021 December 31, 2017 Asset Type Repurchase Agreements Derivative Instruments (1) Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 9,542,186 $ 44,490 $ 1,928 $ 9,588,604 U.S. Treasuries - fair value 1,023,083 31,968 — 1,055,051 Accrued interest on pledged securities 27,693 165 5 27,863 Cash — — — — Total $ 10,592,962 $ 76,623 $ 1,933 $ 10,671,518 |
Assets Pledged from Counterparties | As of March 31, 2018 and December 31, 2017 , we also had assets pledged to us as collateral under our repurchase agreements, reverse repurchase agreements, derivative instruments and forward settling trades summarized in the tables below (dollars in thousands): March 31, 2018 Asset Type Repurchase Agreements (1) Reverse Repurchase Agreements (1) Derivative Instruments (2) Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 1,716 $ — $ — $ — $ 1,716 U.S. Treasuries - fair value — 792,650 11,694 — 804,344 Accrued interest on pledged securities 5 2,442 16 — 2,463 Cash — — 245,732 — 245,732 Total $ 1,721 $ 795,092 $ 257,442 $ — $ 1,054,255 December 31, 2017 Asset Type Repurchase Agreements (3) Derivative Instruments (2) Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ — $ — $ — $ — U.S. Treasuries - fair value — 9,646 — 9,646 Accrued interest on pledged securities — 60 — 60 Cash — 139,614 — 139,614 Total $ — $ 149,320 $ — $ 149,320 |
Schedule of Derivative Instruments | The table below summarizes information about our derivative and economic hedging instrument assets and liabilities as of March 31, 2018 and December 31, 2017 (dollars in thousands): March 31, 2018 December 31, 2017 Derivative and Other Hedging Instruments - Assets Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative assets, at fair value $ 6,475,000 $ 219,940 $ 7,475,000 $ 120,154 Interest Rate Swaptions Derivative assets, at fair value 1,250,000 4,876 — — Interest Rate Caps Derivative assets, at fair value 2,500,000 54,669 2,500,000 39,466 TBA Derivatives Derivative assets, at fair value 975,000 2,043 25,000 9 Total derivative assets at fair value $ 11,200,000 $ 281,528 $ 10,000,000 $ 159,629 Derivative and Other Hedging Instruments - Liabilities Consolidated Balance Sheets Notional Fair Value Notional Fair Value Interest Rate Swaps Derivative liabilities, at fair value $ — $ — $ — $ — Interest Rate Swaptions Derivative liabilities, at fair value — — — — Interest Rate Caps Derivative liabilities, at fair value — — — — TBA Derivatives Derivative liabilities, at fair value 2,346,000 (9,749 ) 425,000 (152 ) Total derivative liabilities at fair value $ 2,346,000 $ (9,749 ) $ 425,000 $ (152 ) U.S. Treasury short position Derivative liabilities, at fair value $ 800,000 $ (767,062 ) $ — $ — The average notional value of the Company's TBA Derivatives during the three months ended March 31, 2018 and March 31, 2017 was $2.2 billion and $1.5 billion , respectively. The average notional value of the Company's swaps, swaptions and caps during the three months ended March 31, 2018 and March 31, 2017 was $10.1 billion and $9.0 billion , respectively. The average notional value of the Company's U.S. Treasury short positions during the three months ended March 31, 2018 was $0.4 billion. We did not hold U.S. Treasury short positions during the three months ended March 31, 2017. The following table presents information about the net realized and unrealized gain and loss on swaps, swaptions, caps, TBA Derivatives and U.S. Treasury short positions for the three months ended March 31, 2018 and 2017 (dollars in thousands): Three Months Ended March 31, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2018 2017 Interest rate swaps and caps Interest rate hedge expense, net $ (2,508 ) $ (8,327 ) Interest rate swaps, swaptions and caps Net realized and unrealized gain (loss) on derivative instruments 115,798 7,208 TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments (16,043 ) (8,220 ) U.S. Treasury short position Net realized and unrealized gain (loss) on derivative instruments (10,287 ) — Interest rate swaps, swaptions, caps, TBA Derivatives and U.S. Treasury short position Net gain (loss) on derivative instruments $ 86,960 $ (9,339 ) At March 31, 2018 and December 31, 2017 , the Company's derivative assets and liabilities (by type) are as follows (dollars in thousands): March 31, 2018 Assets Liabilities Interest rate swap contracts $ 219,940 $ — Interest rate swaption contracts 4,876 — Interest rate cap contracts 54,669 — TBA derivatives 2,043 9,749 Total derivative assets and liabilities 281,528 9,749 Derivatives not subject to a Master Netting Agreement 219,940 — Total assets and liabilities subject to a Master Netting Agreement $ 61,588 $ 9,749 December 31, 2017 Assets Liabilities Interest rate swap contracts $ 120,154 $ — Interest rate cap contracts 39,466 — TBA derivatives 9 152 Total derivative assets and liabilities 159,629 152 Derivatives not subject to a Master Netting Agreement 119,230 — Total assets and liabilities subject to a Master Netting Agreement $ 40,399 $ 152 |
Offsetting Assets | Below are summaries of the Company's assets subject to offsetting provisions (dollars 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) March 31, 2018 Derivative assets $ 61,588 $ 1,842 $ 57,751 $ 1,995 March 31, 2018 Reverse repurchase agreements 767,422 270,352 497,070 — December 31, 2017 Derivative assets 40,399 — 38,568 1,831 Below are summaries of the Company's liabilities subject to offsetting provisions (dollars in thousands): 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) March 31, 2018 Derivative liabilities $ 9,749 $ 1,842 $ 7,907 $ — March 31, 2018 Repurchase agreements 10,084,643 270,352 9,814,291 — December 31, 2017 Derivative liabilities 152 — 152 — December 31, 2017 Repurchase agreements 10,089,917 — 10,089,917 — |
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) March 31, 2018 Derivative liabilities $ 9,749 $ 1,842 $ 7,907 $ — March 31, 2018 Repurchase agreements 10,084,643 270,352 9,814,291 — December 31, 2017 Derivative liabilities 152 — 152 — December 31, 2017 Repurchase agreements 10,089,917 — 10,089,917 — ______________ (1) Collateral consists of Agency RMBS, U.S. Treasuries and Cash and cash equivalents. Excess collateral received is not shown for financial reporting purposes. (2) Net amount represents the amount receivable from (in the case of assets) and payable to (in the case of liabilities) the counterparty in the event of default. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following tables summarize the Company’s assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2018 and December 31, 2017 (dollars in thousands): March 31, 2018 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 11,535,960 $ — $ 11,535,960 U.S. Treasuries — — — — Derivative assets — 281,528 — 281,528 Other investments — — 9,763 9,763 Total $ — $ 11,817,488 $ 9,763 $ 11,827,251 Liabilities Derivative liabilities — 9,749 — 9,749 Obligation to return securities borrowed under reverse repurchase agreements, at fair value 767,062 — — 767,062 Total $ 767,062 $ 9,749 $ — $ 776,811 December 31, 2017 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 11,587,720 $ — $ 11,587,720 U.S. Treasuries 1,046,934 — — 1,046,934 Derivative assets — 159,629 — 159,629 Other investments — — 9,763 9,763 Total $ 1,046,934 $ 11,747,349 $ 9,763 $ 12,804,046 Liabilities Derivative liabilities — 152 — 152 Total $ — $ 152 $ — $ 152 |
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 in the Company's consolidated financial statements for the three months ended March 31, 2018 and 2017 . Level 3 Fair Value Reconciliation (dollars in thousands) Three Months Ended March 31, Other investments 2018 2017 Beginning balance Level 3 assets $ 9,763 $ 8,028 Cash payments recorded as a reduction of cost basis — — Change in net unrealized gain (loss) — — Gross purchases — — Gross sales — — Net gain (loss) on sales — — Transfers into (out of) Level 3 — — Ending balance Level 3 assets $ 9,763 $ 8,028 The fair value of our net investment in a real estate asset is primarily derived internally, and is based on inputs observed from sales transactions of similar assets. We also rely on available industry information about capitalization rates and expected trends in rents and occupancy in determining estimates of the fair value of real estate. The significant unobservable input used in the fair value measurement of our net investment in real estate is the capitalization rate, which the Company estimated to be between 4.2% and 4.9% at March 31, 2018 and December 31, 2017 . |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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") under the two-class method were as follows (dollars in thousands, except per share numbers): Three Months Ended March 31, 2018 2017 Net income (loss) $ (108,508 ) $ 34,020 Less dividends on preferred shares (5,203 ) (5,203 ) Net income (loss) available to common stockholders (113,711 ) 28,817 Less dividends paid: Common shares (33,965 ) (37,695 ) Non-vested shares (226 ) (232 ) Undistributed earnings (loss) (147,902 ) (9,110 ) Basic weighted-average shares outstanding: Common shares 154,230 150,582 Basic earnings (loss) per common share: Distributed earnings $ 0.22 $ 0.25 Undistributed earnings (loss) (0.96 ) (0.06 ) Basic earnings (loss) per common share $ (0.74 ) $ 0.19 Diluted weighted-average shares outstanding: Common shares 154,230 150,582 Net effect of dilutive warrants (1) — — 154,230 150,582 Diluted earnings (loss) per common share: Distributed earnings $ 0.22 $ 0.25 Undistributed earnings (0.96 ) (0.06 ) Diluted earnings (loss) per common share $ (0.74 ) $ 0.19 __________________ (1) For the three months ended March 31, 2018 and 2017 , the Company had no stock options outstanding. |
Organization (Details)
Organization (Details) - $ / shares | Mar. 31, 2018 | Dec. 31, 2017 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 |
Series B Cumulative Redeemable Preferred Stock, liquidation preference per share | $ 25 | $ 25 |
Significant Accounting Polici27
Significant Accounting Policies Other Investments (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Statement of Financial Position [Abstract] | ||
Real Estate Investments, Net | $ 3.7 | $ 3.7 |
Significant Accounting Polici28
Significant Accounting Policies Income Taxes (Details) | 3 Months Ended |
Mar. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
RequiredAnnualDistributionOfTaxableNetIncome | 90.00% |
Investments in Securities (Deta
Investments in Securities (Details) | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Available-for-sale Securities [Abstract] | ||
Weighted average coupon on Agency RMBS | 3.55% | 3.52% |
U.S. Treasury coupon interest rate | 1.85% | |
Debt Instrument, Maturity Date | 30 years |
Investments in Securities (Avai
Investments in Securities (Available-for-sale securities by GSE Agency and Coupon) (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Schedule of Available-for-sale Securities [Line Items] | ||
Gross unrealized losses | $ 181,171 | $ 36,266 |
Gross unrealized gains | 13,885 | 34,989 |
Fair value | 11,535,960 | 12,634,654 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 7,374,350 | 7,391,141 |
Gross unrealized losses | 107,347 | 23,117 |
Gross unrealized gains | 9,752 | 24,168 |
Fair value | 7,276,755 | 7,392,192 |
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 | 7,036,143 | 7,117,481 |
Gross unrealized losses | 100,604 | 20,470 |
Gross unrealized gains | 9,570 | 23,067 |
Fair value | 6,945,109 | 7,120,078 |
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 | 338,207 | 273,660 |
Gross unrealized losses | (6,743) | (2,647) |
Gross unrealized gains | 182 | 1,101 |
Fair value | 331,646 | 272,114 |
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 | 4,302,428 | 4,168,763 |
Gross unrealized losses | 73,745 | 12,073 |
Gross unrealized gains | 3,891 | 10,471 |
Fair value | 4,232,574 | 4,167,161 |
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 | 4,146,859 | 3,968,358 |
Gross unrealized losses | 69,501 | 11,045 |
Gross unrealized gains | 3,842 | 10,142 |
Fair value | 4,081,200 | 3,967,455 |
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 | 155,569 | 200,405 |
Gross unrealized losses | (4,244) | (1,028) |
Gross unrealized gains | 49 | 329 |
Fair value | 151,374 | 199,706 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 26,468 | 28,062 |
Gross unrealized losses | 79 | 45 |
Gross unrealized gains | 242 | 350 |
Fair value | 26,631 | 28,367 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Fixed Rate Residential Mortgage [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 26,468 | 1,602 |
Gross unrealized losses | 79 | 45 |
Gross unrealized gains | 242 | 0 |
Fair value | 26,631 | 1,557 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Adjustable Rate Residential Mortgage [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 0 | 26,460 |
Gross unrealized losses | 0 | 0 |
Gross unrealized gains | 0 | 350 |
Fair value | 0 | 26,810 |
Agency RMBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 11,703,246 | 11,587,966 |
Gross unrealized losses | 181,171 | 35,235 |
Gross unrealized gains | 13,885 | 34,989 |
Fair value | 11,535,960 | 11,587,720 |
US Treasury Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 0 | 1,047,965 |
Gross unrealized losses | 0 | 1,031 |
Gross unrealized gains | 0 | 0 |
Fair value | 0 | 1,046,934 |
Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 11,703,246 | 12,635,931 |
Gross unrealized losses | 181,171 | 36,266 |
Gross unrealized gains | 13,885 | 34,989 |
Fair value | $ 11,535,960 | $ 12,634,654 |
Investments in Securities (Av31
Investments in Securities (Available for sale, Continuous Unrealized Loss) (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Investments, Debt and Equity Securities [Abstract] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 8,022,082 | $ 7,925,876 |
Unrealized loss on investments, owned less than 12 months | (155,401) | (36,170) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 723,584 | 24,896 |
Unrealized loss on investments, owned more than 12 months | (25,770) | (96) |
Fair value of investments in unrealized loss position | 8,745,666 | 7,950,772 |
Available for sale securities, continuous unrealized loss | $ (181,171) | $ (36,266) |
Investments in Securities (Av32
Investments in Securities (Available-for-sale securities by remaining maturity) (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Fair Value | ||
Less than one year | $ 0 | $ 24,896 |
Greater than one year through five years | 2,636,903 | 5,137,370 |
Greater than five years through ten years | 8,892,462 | 7,472,388 |
Greater than ten years | 6,595 | 0 |
Total | 11,535,960 | 12,634,654 |
Amortized Cost | ||
Less than one year | 0 | 24,992 |
Greater than one year through five years | 2,673,340 | 5,143,680 |
Greater than five years through ten years | 9,023,136 | 7,467,259 |
Greater than ten years | 6,770 | 0 |
Total | $ 11,703,246 | $ 12,635,931 |
Investments in Securities (Summ
Investments in Securities (Summary of Net Gain (loss) from the Sale of Available-for-Sale Investments) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | ||
Available-for-sale investments, at cost | $ 6,251,705 | $ 3,598,492 |
Proceeds from sale of available-for-sale investments | 6,180,514 | 3,532,448 |
Net realized gain (loss) on sale of available-for-sale investments | (71,191) | (66,044) |
Gross gain on sale of available-for-sale investments | 15,072 | 8,603 |
Gross (loss) on sale of available-for-sale investments | $ (86,263) | $ (74,647) |
Investments in Securities (Comp
Investments in Securities (Components of the Carrying Value of Available-for-sale securities) (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Investments, Debt and Equity Securities [Abstract] | ||
Principal balance | $ 11,389,337 | $ 12,275,352 |
Unamortized premium | 314,319 | 362,676 |
Unamortized discount | (410) | (2,097) |
Gross unrealized gains | 13,885 | 34,989 |
Gross unrealized losses | $ (181,171) | $ (36,266) |
Derivative Instruments (Details
Derivative Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Derivative [Line Items] | |||
Average notional on TBA derivatives | $ 2,200,000 | $ 1,500,000 | |
Derivative, Average Notional Amount | 10,100,000 | $ 9,000,000 | |
SwapandCapNotional | $ 10,200,000 | $ 10,000,000 | |
SwapandCapNotionalasPercentageofRepoBorrowings | 101.00% | 99.00% | |
U.S. Treasury short position, notional amount | $ 800,000 | ||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 767,062 | $ 0 | |
Not Designated as Hedging Instrument [Member] | |||
Derivative [Line Items] | |||
Trading Securities Pledged as Collateral | 72,700 | 76,500 | |
Derivative, Collateral, Right to Reclaim Cash | 0 | ||
Securities Received as Collateral | 11,700 | 9,600 | |
Derivative, Collateral, Obligation to Return Cash | $ 245,700 | $ 139,600 |
Derivative Instruments (Summary
Derivative Instruments (Summary Of Interest Rate Swap And Cap Contracts) (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Derivative Assets [Member] | ||
Derivative [Line Items] | ||
Derivative Asset, Notional Amount | $ 11,200,000 | $ 10,000,000 |
Derivative Assets [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative Asset, Notional Amount | 6,475,000 | 7,475,000 |
Derivative Assets [Member] | Interest Rate Swaption [Member] | ||
Derivative [Line Items] | ||
Derivative Asset, Notional Amount | 1,250,000 | 0 |
Derivative Assets [Member] | Interest Rate Cap [Member] | ||
Derivative [Line Items] | ||
Derivative Asset, Notional Amount | 2,500,000 | 2,500,000 |
Derivative Assets [Member] | TBA Derivatives [Member] | ||
Derivative [Line Items] | ||
Derivative Asset, Notional Amount | 975,000 | 25,000 |
Derivative Liabilities [Member] | ||
Derivative [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability | 9,749 | 152 |
Derivative Liabilities [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability | 0 | 0 |
Derivative Liabilities [Member] | Interest Rate Swaption [Member] | ||
Derivative [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability | 0 | 0 |
Derivative Liabilities [Member] | Interest Rate Cap [Member] | ||
Derivative [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability | 0 | 0 |
Derivative Liabilities [Member] | TBA Derivatives [Member] | ||
Derivative [Line Items] | ||
Derivative Liability, Fair Value, Gross Liability | $ (9,749) | $ (152) |
Derivative Instruments (Derivat
Derivative Instruments (Derivatives and Other Hedging Instrument Assets and Liabilities) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Derivatives, Fair Value [Line Items] | |||
U.S. Treasury short position, notional amount | $ 800,000 | ||
Derivative, Average Notional Amount | 10,100,000 | $ 9,000,000 | |
SwapandCapNotional | 10,200,000 | $ 10,000,000 | |
Interest rate hedge expense, net | 2,508 | 8,327 | |
Interest Rate Swaps, Swaptions, and Caps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Net realized and unrealized gain (loss) on swap, swaption and cap contracts | 115,798 | 7,208 | |
Derivative [Member] | |||
Derivatives, Fair Value [Line Items] | |||
TBA Derivatives, Realized and Unrealized Gain (loss), net | $ (16,043) | $ (8,220) | |
US Treasury, Short Position [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Instruments, Gain (Loss) [Table Text Block] | (10,287) | 0 | |
Derivative Assets [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | $ 281,528 | 159,629 | |
Derivative Asset, Notional Amount | 11,200,000 | 10,000,000 | |
Derivative Assets [Member] | Interest Rate Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 219,940 | 120,154 | |
Derivative Asset, Notional Amount | 6,475,000 | 7,475,000 | |
Derivative Assets [Member] | Interest Rate Swaption [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 4,876 | 0 | |
Derivative Asset, Notional Amount | 1,250,000 | 0 | |
Derivative Assets [Member] | Interest Rate Cap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 54,669 | 39,466 | |
Derivative Asset, Notional Amount | 2,500,000 | 2,500,000 | |
Derivative Assets [Member] | TBA Derivatives [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 2,043 | (9) | |
Derivative Asset, Notional Amount | 975,000 | 25,000 | |
Derivative Liabilities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative and other hedging instruments, liabilities, notional | 2,346,000 | 425,000 | |
Derivative Liability, Fair Value, Gross Liability | (9,749) | (152) | |
Derivative Liabilities [Member] | Interest Rate Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative and other hedging instruments, liabilities, notional | 0 | 0 | |
Derivative Liability, Fair Value, Gross Liability | 0 | 0 | |
Derivative Liabilities [Member] | Interest Rate Swaption [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative and other hedging instruments, liabilities, notional | 0 | 0 | |
Derivative Liability, Fair Value, Gross Liability | 0 | 0 | |
Derivative Liabilities [Member] | Interest Rate Cap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative and other hedging instruments, liabilities, notional | 0 | 0 | |
Derivative Liability, Fair Value, Gross Liability | 0 | 0 | |
Derivative Liabilities [Member] | TBA Derivatives [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative and other hedging instruments, liabilities, notional | 2,346,000 | 425,000 | |
Derivative Liability, Fair Value, Gross Liability | 9,749 | 152 | |
Derivative Liabilities [Member] | US Treasury, Short Position [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative and other hedging instruments, liabilities, notional | 800,000 | 0 | |
Derivative Liability, Fair Value, Gross Liability | (767,062) | $ 0 | |
Long [Member] | Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 250,000 | ||
Long [Member] | Not Designated as Hedging Instrument [Member] | Interest Rate Swap, Swaption, and Cap, March 2018 [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 1,000,000 | ||
Long [Member] | Not Designated as Hedging Instrument [Member] | Interest Rate Swap and Cap, February 2018 [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 1,250,000 | ||
Short [Member] | Not Designated as Hedging Instrument [Member] | Interest Rate Swap, Swaption, and Cap, March 2018 [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | (1,000,000) | ||
Short [Member] | Not Designated as Hedging Instrument [Member] | Interest Rate Swap and Cap, February 2018 [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | $ (1,000,000) |
Derivative Instruments (Amount
Derivative Instruments (Amount recognized in income on derivatives) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Derivative [Line Items] | ||
Interest rate hedge expense, net | $ 2,508 | $ 8,327 |
Net gain (loss) on derivative instruments | 86,960 | (9,339) |
Interest Rate Swaps, Swaptions, and Caps [Member] | ||
Derivative [Line Items] | ||
Net realized and unrealized gain (loss) on derivative instruments | 115,798 | 7,208 |
Derivative [Member] | ||
Derivative [Line Items] | ||
Net realized and unrealized gain (loss) on derivative instruments | $ (16,043) | $ (8,220) |
US Treasury, Short Position [Member] | ||
Derivative [Line Items] | ||
Net realized and unrealized gain (loss) on derivative instruments | (10,287) | 0 |
Repurchase Agreements (Details)
Repurchase Agreements (Details) $ in Thousands | Mar. 31, 2018USD ($)d | Dec. 31, 2017USD ($)d | |
Banking and Thrift [Abstract] | |||
Outstanding repurchase agreements | $ 10,084,643 | $ 10,089,917 | |
Interest accrued thereon | $ 27,783 | $ 30,108 | |
Weighted average borrowing rate | 1.74% | 1.42% | |
Weighted-average remaining maturity (in days) | d | 63 | 51 | |
Fair value of pledged collateral(1) | [1] | $ 10,605,968 | $ 10,565,269 |
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets | 2.40% | 2.30% | |
Number Of Repurchase Agreements exceeding 10% of Stockholders' Equity | 0 | 0 | |
[1] | Collateral for repo borrowings consists of Agency RMBS and U.S. Treasuries. |
Repurchase Agreements Remaining
Repurchase Agreements Remaining contractual maturity of the agreements (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | $ 10,084,643 | $ 10,089,917 |
Maturity Overnight [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 234,276 | 272,434 |
Up to 30 days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 4,377,284 | 4,785,024 |
30-90 days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 2,371,475 | 2,549,717 |
Greater than 90 days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 3,101,608 | 2,482,742 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 10,084,643 | 9,068,605 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Maturity Overnight [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 234,276 | 272,434 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Up to 30 days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 4,377,284 | 3,763,712 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | 30-90 days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 2,371,475 | 2,549,717 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Greater than 90 days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 3,101,608 | 2,482,742 |
US Treasury Securities [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 0 | 1,021,312 |
US Treasury Securities [Member] | Maturity Overnight [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 0 | |
US Treasury Securities [Member] | Up to 30 days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | $ 0 | 1,021,312 |
US Treasury Securities [Member] | 30-90 days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | 0 | |
US Treasury Securities [Member] | Greater than 90 days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Total remaining contractual maturity of repo borrowings | $ 0 |
Pledged Assets (Assets Pledged
Pledged Assets (Assets Pledged to Counterparties) (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | $ 10,729,021 | $ 10,671,518 | |
Agency RMBS [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,664,713 | 9,588,604 | |
US Treasury Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 32,966 | 1,055,051 | |
Accrued Interest on Pledged Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 31,342 | 27,863 | |
Cash [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 0 | 0 | |
Repurchase Agreements [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,638,657 | 10,592,962 | |
Repurchase Agreements [Member] | Agency RMBS [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,607,288 | 9,542,186 | |
Repurchase Agreements [Member] | US Treasury Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 395 | 1,023,083 | |
Repurchase Agreements [Member] | Accrued Interest on Pledged Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 30,974 | 27,693 | |
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 | [1] | 73,054 | 76,623 |
Derivative [Member] | Agency RMBS [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | [1] | 40,168 | 44,490 |
Derivative [Member] | US Treasury Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | [1] | 32,571 | 31,968 |
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 | [1] | 315 | 165 |
Derivative [Member] | Cash [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | [1] | 0 | 0 |
Forward Settling Trades [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 17,310 | 1,933 | |
Forward Settling Trades [Member] | Agency RMBS [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 17,257 | 1,928 | |
Forward Settling Trades [Member] | US Treasury Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 0 | 0 | |
Forward Settling Trades [Member] | Accrued Interest on Pledged Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 53 | 5 | |
Forward Settling Trades [Member] | Cash [Member] | |||
Schedule of Investments [Line Items] | |||
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | $ 0 | $ 0 | |
[1] | Includes amounts related to TBA Derivatives. |
Pledged Assets (Assets Pledge42
Pledged Assets (Assets Pledged from Counterparties ) (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | ||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $ 1,054,255 | $ 149,320 | ||
Residential Mortgage Backed Securities and US Treasury Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 11,700 | 9,600 | ||
Agency RMBS [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 1,716 | 0 | ||
US Treasury Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 804,344 | 9,646 | ||
Accrued Interest on Pledged Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 2,463 | 60 | ||
Cash [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 245,732 | 139,614 | ||
Repurchase Agreements [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 1,721 | 0 | ||
Repurchase Agreements [Member] | Agency RMBS [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 1,716 | 0 | ||
Repurchase Agreements [Member] | US Treasury Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 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 | 5 | 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 | ||
Reverse Repurchase Agreements [Domain] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 795,092 | |||
Reverse Repurchase Agreements [Domain] | Agency RMBS [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | |||
Reverse Repurchase Agreements [Domain] | US Treasury Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 792,650 | |||
Reverse Repurchase Agreements [Domain] | Accrued Interest on Pledged Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 2,442 | |||
Reverse Repurchase Agreements [Domain] | Cash [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | |||
Derivative [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 257,442 | 149,320 | [1] | |
Derivative [Member] | Agency RMBS [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 0 | [1] | |
Derivative [Member] | US Treasury Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 11,694 | 9,646 | [1] | |
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 | 16 | 60 | [1] | |
Derivative [Member] | Cash [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 245,732 | 139,614 | [1] | |
Forward Settling Trades [Member] | ||||
Schedule of Investments [Line Items] | ||||
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | [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 | 0 | [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 | 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 from Counterparties, at Fair Value | 0 | [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 | $ 0 | [1] | $ 0 | |
[1] | {F|ahBzfndlYmZpbGluZ3MtaHJkcmoLEgZYTUxEb2MiXlhCUkxEb2NHZW5JbmZvOmFiODkxMTA0MTUzOTQ0NzlhZDBiNzkwZDU3MzhkYzc3fFRleHRTZWxlY3Rpb246MTdGOEZFRTJENEYxNUFBQUJBMTA3RjMxRDc3RUE2MDQM} |
Pledged Assets (Derivatives) (D
Pledged Assets (Derivatives) (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Derivative [Line Items] | |||
Derivative assets | $ 281,528 | $ 159,629 | [1] |
Derivative Liability | 9,749 | 152 | [1] |
Derivative Asset, Not Subject to Master Netting Arrangement | 219,940 | 119,230 | |
Derivative Liability, Not Subject to Master Netting Arrangement | 0 | 0 | |
DerivativeAssetSubjectToMasterNettingArrangement | 61,588 | 40,399 | |
cys_DerivativeLiabilitySubjectToMasterNettingArrangement | 9,749 | 152 | |
Receivable for reverse repurchase agreements | 767,422 | 0 | |
Assets_repledged_to_counterparties | 7,400 | 8,100 | |
Derivative Assets [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 281,528 | 159,629 | |
Derivative Assets [Member] | Interest Rate Swap [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 219,940 | 120,154 | |
Derivative Assets [Member] | Interest Rate Swaption [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 4,876 | 0 | |
Derivative Assets [Member] | Interest Rate Cap [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 54,669 | 39,466 | |
Derivative Assets [Member] | TBA Derivatives [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 2,043 | (9) | |
Other Liabilities [Member] | Interest Rate Cap [Member] | |||
Derivative [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 0 | ||
Derivative Liabilities [Member] | |||
Derivative [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | (9,749) | (152) | |
Derivative Liabilities [Member] | Interest Rate Swap [Member] | |||
Derivative [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 0 | 0 | |
Derivative Liabilities [Member] | Interest Rate Swaption [Member] | |||
Derivative [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 0 | 0 | |
Derivative Liabilities [Member] | Interest Rate Cap [Member] | |||
Derivative [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 0 | 0 | |
Derivative Liabilities [Member] | TBA Derivatives [Member] | |||
Derivative [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | $ 9,749 | $ 152 | |
[1] | Derived from audited consolidated financial statements. |
Pledged Assets (Offsetting Asse
Pledged Assets (Offsetting Assets) (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Transfers and Servicing [Abstract] | |||
DerivativeAssetSubjectToMasterNettingArrangement | $ 61,588 | $ 40,399 | |
Offsetting Assets [Line Items] | |||
InstrumentsAvailableToOffsetDerivativeAsset | 1,842 | 0 | |
Derivative Asset, Fair Value of Collateral | 57,751 | 38,568 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 1,995 | 1,831 | |
Receivable Under Reverse Repurchase Agreements | (767,422) | 0 | |
cys_InstrumentsAvailableToOffsetReverseRepurchaseAgreements | 270,352 | ||
CollateralReceivedReverseRepurchaseAgreementSubjecttoMasterNetting | [1] | 497,070 | |
NetAmountNotOffsetUnderReverseRepurchaseAgreements | [2] | 0 | |
Receivable for reverse repurchase agreements | 10,084,643 | 10,089,917 | |
Fair Value of Securities Received as Collateral that Have Been Resold or Repledged | [1] | 9,814,291 | 10,089,917 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | [2] | $ 0 | $ 0 |
[1] | (1)Collateral consists of Agency RMBS, U.S. Treasuries and Cash and cash equivalents. Excess collateral received is not shown for financial reporting purposes. | ||
[2] | (2)Net amount represents the amount receivable from (in the case of assets) and payable to (in the case of liabilities) the counterparty in the event of default. |
Pledged Assets (Offsetting Liab
Pledged Assets (Offsetting Liabilities) (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Transfers and Servicing [Abstract] | |||
cys_DerivativeLiabilitySubjectToMasterNettingArrangement | $ 9,749 | $ 152 | |
Derivative Liability, Fair Value of Collateral | [1] | 7,907 | 152 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | [2] | 0 | 0 |
RepurchaseagreementsandFederalHomeLoanBankAdvances | (10,084,643) | (10,089,917) | |
Securities Sold under Agreements to Repurchase, Not Offset, Policy Election Deduction | 270,352 | 0 | |
Securities Sold under Agreements to Repurchase, Right to Reclaim Securities and Cash | [1] | 9,814,291 | 10,089,917 |
Securities Sold under Agreements to Repurchase, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [2] | 0 | 0 |
InstrumentsAvailableToOffsetDerivativeLiability | $ 1,842 | $ 0 | |
[1] | (1)Collateral consists of Agency RMBS, U.S. Treasuries and Cash and cash equivalents. Excess collateral received is not shown for financial reporting purposes. | ||
[2] | (2)Net amount represents the amount receivable from (in the case of assets) and payable to (in the case of liabilities) the counterparty in the event of default. |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Fair Value Disclosures [Abstract] | ||
Real Estate Investments, Net | $ 3.7 | $ 3.7 |
unobservable input capitalization rate min | 4.20% | 4.20% |
unobservable input capitalization rate max | 4.90% | 4.90% |
Fair Value Measurements (Assets
Fair Value Measurements (Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Agency RMBS | $ 11,535,960 | $ 11,587,720 | ||
U.S. Treasuries | 0 | 1,046,934 | ||
Derivative assets | 281,528 | 159,629 | [1] | |
Other investments | 9,763 | 9,763 | ||
Total | 11,827,251 | 12,804,046 | ||
Derivative liabilities, at fair value | 9,749 | 152 | [1] | |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 767,062 | 0 | ||
Total | 776,811 | 152 | ||
Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Agency RMBS | 0 | 0 | ||
U.S. Treasuries | 0 | 1,046,934 | ||
Derivative assets | 0 | 0 | ||
Other investments | 0 | 0 | ||
Total | 0 | 1,046,934 | ||
Derivative liabilities, at fair value | 0 | 0 | ||
Total | 767,062 | 0 | ||
Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Agency RMBS | 11,535,960 | 11,587,720 | ||
U.S. Treasuries | 0 | 0 | ||
Derivative assets | 281,528 | 159,629 | ||
Other investments | 0 | 0 | ||
Total | 11,817,488 | 11,747,349 | ||
Derivative liabilities, at fair value | 9,749 | 152 | ||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 0 | |||
Total | 9,749 | 152 | ||
Beginning balance Level 3 assets | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Agency RMBS | 0 | 0 | ||
U.S. Treasuries | 0 | 0 | ||
Derivative assets | 0 | 0 | ||
Other investments | 9,763 | 9,763 | ||
Total | 9,763 | 9,763 | ||
Derivative liabilities, at fair value | 0 | 0 | ||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 0 | |||
Total | 0 | $ 0 | ||
Other Investments [Member] | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | $ 0 | $ 0 | ||
[1] | Derived from audited consolidated financial statements. |
Fair Value Measurements (Level
Fair Value Measurements (Level 3 Fair Value Reconciliation) (Details) - Other Investments [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Beginning balance Level 3 assets | $ 8,028 | |
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 | $ 9,763 | $ 8,028 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) | Sep. 15, 2017 | Aug. 04, 2017 | Mar. 31, 2018 | Mar. 31, 2017 | Jul. 20, 2014 | Dec. 31, 2017 | Jul. 21, 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 | 155,415,878 | 155,010,011 | ||||||
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 | ||||||
Preferred Stock, Shares Outstanding | 3,000,000 | 3,000,000 | ||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | ||||||
Preferred Stock, Shares Issued | 3,000,000 | 3,000,000 | ||||||
Preferred Stock A, Dividend Rate, Percentage 7.75% | 7.75% | |||||||
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $ 25 | $ 25 | ||||||
Issuance of common stock | $ 0 | $ 0 | ||||||
cys_NumberOfCommonStockAvailableToSellUnderSalesAgreement | 17,048,509 | 17,048,509 | ||||||
Dividend Reinvestment and Direct Stock Purchase Plan [Table Text Block] | 10,000,000 | |||||||
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 | ||||||
Preferred Stock B, Dividend Rate, Percentage 7.50% | 7.50% | |||||||
us-gaap_PreferredStockLiquidationPreference_SeriesB | $ 25 | $ 25 | ||||||
Stock Issued During Period, Shares, Dividend Reinvestment Plan | 20,000,000 | |||||||
Stock Repurchase Program, Authorized Amount | $ 250,000,000 | $ 250,000,000 | ||||||
Net proceeds (payments) from issuance and repurchase of common shares | $ 222,000 | $ 347,000 | $ 115,700,000 | $ 44,300,000 | ||||
Number Of Common Stock Available To Sell Under Sales Agreement | 155,500,000 | 155,501,682.38 | 134,300,000 | |||||
Stock Repurchased and Retired During Period, Shares | 5,796,502 | |||||||
Treasury Stock Acquired, Average Cost Per Share | $ 7.62 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period | 439,151 | 317,396 | ||||||
July 2014 Repurchase Plan [Member] | ||||||||
Equity Issuance [Line Items] | ||||||||
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $ 155,500,000 | |||||||
Dividend Reinvestment And Direct Stock Purchase Plan [Member] | ||||||||
Equity Issuance [Line Items] | ||||||||
Stock Available For Issuance During Period Shares Dividend Reinvestment Plan | 9,700,000 | 4,054,000 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Net income (loss) | $ (108,508) | $ 34,020 | |
Less dividends on preferred shares | (5,203) | (5,203) | |
Net income (loss) available to common stockholders | (113,711) | 28,817 | |
Common shares | (33,965) | (37,695) | |
Non-vested shares | (226) | (232) | |
Undistributed earnings (loss) | $ (147,902) | $ (9,110) | |
Common shares | 154,230,000 | 150,582,000 | |
Distributed earnings | $ 0.22 | $ 0.25 | |
Undistributed earnings (loss) | (0.96) | (0.06) | |
Basic earnings (loss) per common share | $ (0.74) | $ 0.19 | |
Net effect of dilutive warrants (1) | [1] | 0 | 0 |
Diluted weighted average shares outstanding | 154,230,000 | 150,582,000 | |
Distributed earnings | $ 0.22 | $ 0.25 | |
Undistributed earnings | (0.96) | (0.06) | |
Diluted earnings (loss) per common share | $ (0.74) | $ 0.19 | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Number | 0 | 0 | |
[1] | For the three months ended March 31, 2018 and 2017, the Company had no stock options outstanding. |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | ||
RemainingLeaseTerm | 7 years | |
Indemnification claims | $ 0 | $ 0 |
Operating Leases, Future Minimum Payments Due | $ 2,028,000 |
Commitments and Contingencies L
Commitments and Contingencies Lease commitments table (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($) | |
Operating Leased Assets [Line Items] | |
Lessee Leasing Arrangements, Operating Leases, Term of Contract | 7 years |
Operating Leases, Future Minimum Payments Due, Next Twelve Months | $ 273 |
Operating Leases, Future Minimum Payments, Due in Two Years | 373 |
Operating Leases, Future Minimum Payments, Due in Three Years | 383 |
Operating Leases, Future Minimum Payments, Due in Four Years | 393 |
Operating Leases, Future Minimum Payments, Due in Five Years | 403 |
Operating Leases, Future Minimum Payments, Due Thereafter | 203 |
Operating Leases, Future Minimum Payments Due | $ 2,028 |