Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2015 | Oct. 29, 2015 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q3 | |
Trading Symbol | HTS | |
Entity Registrant Name | HATTERAS FINANCIAL CORP | |
Entity Central Index Key | 1,419,521 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 96,770,690 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Assets | ||
Mortgage-backed securities, at fair value (including pledged assets of $14,904,322 and $16,538,214, respectively) | $ 15,472,580 | $ 17,587,010 |
Mortgage loans held for investment, at fair value (including pledged assets of $27,835 and $0, respectively) | 265,281 | 31,460 |
Mortgage loans held for sale, at fair value (including pledged assets of $9,572 and $0, respectively) | 9,572 | |
Mortgage servicing rights, at fair value | 170,447 | |
Cash and cash equivalents (including pledged cash of $493,021 and $323,791, respectively) | 711,148 | 627,595 |
Unsettled purchased mortgage-backed securities, at fair value | 65,834 | 24,792 |
Receivable for securities sold | 51,729 | 5,197 |
Accrued interest receivable | 47,563 | 54,274 |
Principal payments receivable | 144,261 | 111,439 |
Other investments | 52,047 | 41,252 |
Derivative assets, at fair value | 4,365 | 27,151 |
Other assets | 51,284 | 6,630 |
Total assets | 17,046,111 | 18,516,800 |
Borrowings: | ||
Repurchase agreements | 14,240,809 | 15,759,831 |
Warehouse lines of credit | 33,172 | |
Federal Home Loan Bank advances | 14,132 | |
Total borrowings | 14,288,113 | 15,759,831 |
Payable for unsettled securities | 66,266 | 24,750 |
Accrued interest payable | 2,533 | 6,968 |
Derivative liabilities, at fair value | 418,921 | 244,591 |
Dividends payable | 48,175 | 53,014 |
Accounts payable and other liabilities | 29,661 | 6,850 |
Total liabilities | 14,853,669 | 16,096,004 |
Shareholders’ equity: | ||
7.625% Series A Cumulative Redeemable Preferred stock, $.001 par value, 25,000,000 shares authorized, 11,500,000 shares issued and outstanding, respectively ($287,500 aggregate liquidation preference) | 278,252 | 278,252 |
Common stock, $.001 par value, 200,000,000 shares authorized, 96,770,690 and 96,771,158 shares issued and outstanding, respectively | 97 | 97 |
Additional paid-in capital | 2,451,483 | 2,454,718 |
Accumulated deficit | (768,686) | (518,036) |
Accumulated other comprehensive income | 231,296 | 205,765 |
Total shareholders’ equity | 2,192,442 | 2,420,796 |
Total liabilities and shareholders’ equity | $ 17,046,111 | $ 18,516,800 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Statement Of Financial Position [Abstract] | ||
Mortgage-backed securities, pledged assets | $ 14,904,322 | $ 16,538,214 |
Mortgage loans held for investment, pledged assets | 27,835 | 0 |
Pledged cash | 493,021 | 323,791 |
Mortgage loans held for sale, pledged assets | $ 9,572 | $ 0 |
Series A preferred stock dividend rate per year | 7.625% | 7.625% |
7.625% Series A Cumulative Redeemable Preferred stock, par value | $ 0.001 | $ 0.001 |
7.625% Series A Cumulative Redeemable Preferred stock, shares authorized | 25,000,000 | 25,000,000 |
7.625% Series A Cumulative Redeemable Preferred stock, shares issued | 11,500,000 | 11,500,000 |
7.625% Series A Cumulative Redeemable Preferred stock, shares outstanding | 11,500,000 | 11,500,000 |
7.625% Series A Cumulative Redeemable Preferred stock, aggregate Liquidation Preference | $ 287,500 | $ 287,500 |
Common stock, par value | $ 0.001 | $ 0.001 |
Common stock, shares authorized | 200,000,000 | 200,000,000 |
Common stock, shares issued | 96,770,690 | 96,770,690 |
Common stock, shares outstanding | 96,771,158 | 96,771,158 |
Consolidated Statements of Inco
Consolidated Statements of Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Interest income: | ||||
Mortgage-backed securities | $ 70,874 | $ 80,969 | $ 233,506 | $ 266,734 |
Mortgage loans | 1,786 | 3,341 | ||
Short-term cash investments | 328 | 330 | 934 | 959 |
Total interest income | 72,988 | 81,299 | 237,781 | 267,693 |
Interest expense: | ||||
Repurchase agreements | 20,956 | 31,950 | 72,020 | 105,529 |
Warehouse lines | 292 | 292 | ||
Total interest expense | 21,248 | 31,950 | 72,312 | 105,529 |
Net interest margin | 51,740 | 49,349 | 165,469 | 162,164 |
Other income (loss): | ||||
Net mortgage servicing rights income | 3,808 | 3,808 | ||
Management fee income | 524 | 524 | ||
Net realized gain on sale of mortgage-backed securities | 1,216 | 237 | 17,360 | 3,089 |
Net unrealized loss on mortgage-backed securities | (912) | (912) | ||
Net gain on mortgage loans | 1,361 | 916 | ||
Net loss on mortgage servicing rights | (539) | (539) | ||
Net gain (loss) on derivative instruments | (130,301) | 35,430 | (252,501) | (61,445) |
Total other income (loss) | (124,843) | 35,667 | (231,344) | (58,356) |
Operating expenses: | ||||
Management fee | 4,037 | 4,122 | 12,215 | 12,420 |
Share-based compensation | 966 | 890 | 3,045 | 2,592 |
General and administrative | 5,786 | 2,113 | 12,736 | 6,584 |
Total operating expenses | 10,789 | 7,125 | 27,996 | 21,596 |
Net income (loss) | (83,892) | 77,891 | (93,871) | 82,212 |
Dividends on preferred stock | 5,480 | 5,480 | 16,441 | 16,441 |
Net income (loss) available to common shareholders | $ (89,372) | $ 72,411 | $ (110,312) | $ 65,771 |
Earnings (loss) per share - common stock, basic | $ (0.93) | $ 0.75 | $ (1.14) | $ 0.68 |
Earnings (loss) per share - common stock, diluted | (0.93) | 0.75 | (1.14) | 0.68 |
Dividends per share of common stock | $ 0.45 | $ 0.50 | $ 1.45 | $ 1.50 |
Weighted average common shares outstanding, basic | 96,545,913 | 96,563,132 | 96,705,682 | 96,561,446 |
Weighted average common shares outstanding, diluted | 96,545,913 | 96,563,132 | 96,705,682 | 96,561,446 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Statement Of Income And Comprehensive Income [Abstract] | ||||
Net income (loss) | $ (83,892) | $ 77,891 | $ (93,871) | $ 82,212 |
Other comprehensive income (loss): | ||||
Net unrealized gains (losses) on securities available for sale | (1,902) | (31,382) | (608) | 83,790 |
Net unrealized gains on derivative instruments | 6,389 | 17,923 | 26,139 | 75,026 |
Other comprehensive income (loss) | 4,487 | (13,459) | 25,531 | 158,816 |
Comprehensive income (loss) | (79,405) | 64,432 | (68,340) | 241,028 |
Dividends on preferred stock | 5,480 | 5,480 | 16,441 | 16,441 |
Comprehensive income (loss) available to common shareholders | $ (84,885) | $ 58,952 | $ (84,781) | $ 224,587 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Shareholders' Equity - 9 months ended Sep. 30, 2015 - USD ($) $ in Thousands | Total | 7.625% Series A Cumulative Redeemable Preferred Stock | Common Stock | Additional Paid-in Capital | Accumulated Deficit | Accumulated Other Comprehensive Income |
Balance at Dec. 31, 2014 | $ 2,420,796 | $ 278,252 | $ 97 | $ 2,454,718 | $ (518,036) | $ 205,765 |
Repurchase of common stock | (6,280) | (6,280) | ||||
Share based compensation expense | 3,045 | 3,045 | ||||
Dividends declared on preferred stock | (16,441) | (16,441) | ||||
Dividends declared on common stock | (140,338) | (140,338) | ||||
Net loss | (93,871) | (93,871) | ||||
Other comprehensive income | 25,531 | 25,531 | ||||
Balance at Sep. 30, 2015 | $ 2,192,442 | $ 278,252 | $ 97 | $ 2,451,483 | $ (768,686) | $ 231,296 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows $ in Thousands | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2015USD ($) | Sep. 30, 2015USD ($) | Sep. 30, 2014USD ($) | |
Operating activities | |||
Net income (loss) | $ (83,892) | $ (93,871) | $ 82,212 |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||
Net amortization of premium related to mortgage-backed securities | 92,760 | 76,374 | |
Reclassification of deferred swap loss | 28,150 | 67,413 | |
Amortization related to interest rate swap agreements | 51 | 184 | |
Share-based compensation expense | 966 | 3,045 | 2,592 |
Net realized gain on sale of mortgage-backed securities | (1,216) | (17,360) | (3,089) |
Net unrealized loss on mortgage-backed securities | 912 | 912 | |
Net unrealized loss on MSR | 539 | ||
Net unrealized gain on mortgage loans held for investment | (687) | ||
Net unrealized gain on mortgage loans held for sale | (64) | ||
Purchase of mortgage loans held for sale | (27,408) | ||
Sale of mortgage loans held for sale | 22,192 | ||
Net loss on derivative instruments | 130,301 | 252,501 | 61,445 |
Changes in operating assets and liabilities: | |||
Decrease in accrued interest receivable | 6,711 | 2,399 | |
Increase in other assets | (15,881) | (13,211) | |
Decrease in accrued interest payable | (4,435) | (5,438) | |
Increase (decrease) in accounts payable and other liabilities | 15,490 | (814) | |
Net cash provided by operating activities | 262,645 | 270,067 | |
Investing activities | |||
Purchases of mortgage-backed securities | (2,371,473) | (3,541,220) | |
Principal repayments on mortgage-backed securities | 3,038,059 | 2,559,882 | |
Sales of mortgage-backed securities | 1,281,541 | 1,942,004 | |
Purchases of mortgage loans held for investment | (259,752) | ||
Principal repayments on mortgage loans held for investment | 26,618 | ||
Purchases of mortgage servicing rights | (170,952) | ||
Acquisition of Pingora, net of cash acquired | (21,473) | ||
Net payments on derivative instruments | (58,055) | (46,532) | |
Purchase of equity investment | (6,000) | ||
Purchase of broker/dealer | (1,349) | ||
Net cash provided by investing activities | 1,464,513 | 906,785 | |
Financing activities | |||
Repurchase of common stock | (6,280) | (1,912) | |
Cash dividends paid | (161,618) | (161,258) | |
Proceeds from borrowings | 123,004,256 | 122,704,915 | |
Principal repayments on borrowings | (124,479,963) | (123,913,639) | |
Proceeds from dollar roll financing | 241,121 | ||
Repayments on dollar roll financing | (592,947) | ||
Net cash used in financing activities | (1,643,605) | (1,723,720) | |
Net decrease in cash and cash equivalents | 83,553 | (546,868) | |
Cash and cash equivalents, beginning of period | 627,595 | 988,705 | |
Cash and cash equivalents, end of period | 711,148 | 711,148 | 441,837 |
Supplemental disclosure of cash flow information | |||
Cash paid for interest | 85,827 | 131,614 | |
Supplemental schedule of non-cash investing and financing activities | |||
Obligation to brokers for purchase of unsettled mortgage-backed securities | 66,266 | 45,571 | |
Receivable for securities sold | 51,729 | ||
Dividends accrued not yet paid | 48,175 | 48,175 | |
Redeemable Preferred Stock | |||
Supplemental schedule of non-cash investing and financing activities | |||
Dividends accrued not yet paid | 4,628 | 4,628 | 4,628 |
Common Stock | |||
Supplemental schedule of non-cash investing and financing activities | |||
Dividends accrued not yet paid | $ 43,547 | $ 43,547 | $ 48,360 |
Organization and Business Descr
Organization and Business Description | 9 Months Ended |
Sep. 30, 2015 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Organization and Business Description | 1. Organization and Business Description Hatteras Financial Corp. (the “Company”) was incorporated in Maryland on September 19, 2007. The Company invests in single-family residential mortgage assets, such as mortgage-backed securities (“MBS”), and other financial assets. To date, the Company has primarily invested in adjustable-rate (“ARMs”) and fixed rate MBS, issued or guaranteed by a U.S. Government agency, such as Ginnie Mae, or by a U.S. Government-sponsored entity, such as Fannie Mae and Freddie Mac (“agency securities”). The Company is externally managed and advised by its manager, Atlantic Capital Advisors LLC (“ACA”). The Company has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”). As a result, the Company does not pay federal income taxes on taxable income distributed to shareholders if certain REIT qualification tests are met. It is the Company’s policy to distribute 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Code, which may extend into the subsequent taxable year. However, the Company may conduct certain activities that cause it to earn income which will not be qualifying income for REIT purposes. The Company has designated certain of its subsidiaries as taxable REIT subsidiaries (“TRSs”) as defined in the Code to engage in such activities, and the Company may in the future form additional TRSs. On August 31, 2015, the Company closed on its acquisition of Pingora Asset Management, LLC (“PAM”) and Pingora Loan Servicing, LLC (“PLS,” and together, “Pingora”), a specialized asset manager focused on investing in new-production performing mortgage servicing rights (“MSR”) and master-servicing residential mortgage loans sourced primarily from direct, ongoing relationships with loan originators. PAM is a registered investment advisor and PLS is an approved servicer with Fannie Mae, Freddie Mac and Ginnie Mae that is managed by PAM. The acquisition provides the Company with MSR portfolio management and master-servicing oversight capabilities to the Company, accelerating the Company’s entry into investing in MSR (see Note 6 for further discussion). In addition to being an income-producing investment, the Company expects that MSR will serve as a natural hedge against the impact of changes in interest rates on the fair value of the Company’s MBS portfolio. The Company acquired 100% of the voting interests of Pingora for cash consideration of approximately $23.5 million. In conjunction with the transaction, the Company also issued approximately $4.4 million of equity interests to Pingora management, a significant portion of which is subject to future vesting. The Company has accounted for the transaction as a business combination in accordance with ASC 805, Business Combination The opening balance sheet of Pingora as of the acquisition date consisted of the following assets and liabilities: Assets / (Liabilities) Mortgage loans held for sale, at fair value $ 4,292 Cash and cash equivalents 1,937 Ascent software platform 2,000 Customer relationships intangible 16,000 Licenses 2,000 Goodwill 3,498 Warehouse lines of credit (3,989 ) Deferred tax liabilities (2,060 ) Other net liabilities (215 ) $ 23,463 The acquisition is subject to certain post-closing adjustments and the Company’s allocation of the purchase price to the assets and liabilities acquired may be adjusted accordingly. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | 2. Summary of Significant Accounting Policies Basis of Presentation and Use of Estimates The accompanying unaudited consolidated financial statements have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, they 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. Operating results for the three and nine months ended September 30, 2015 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2015. These unaudited consolidated financial statements should be read in conjunction with the audited financial statements and notes thereto included in the Company’s annual report on Form 10-K for the year ended December 31, 2014. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying consolidated financial statements include the valuation of MBS and derivative instruments. Certain prior period amounts have been reclassified to conform to the current period classification. Principles of Consolidation The consolidated financial statements include the accounts of the Company and all of its subsidiaries. The Company also considers the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 810 on Consolidation in determining whether consolidation is appropriate for any interests held in variable interest entities. All significant intercompany balances and transactions have been eliminated. PLS has been determined to be a variable interest entity (“VIE”) pursuant to ASC 810, Consolidation The following table presents the assets and liabilities of PLS that have been included in the Company’s consolidated balance sheets: September 30, 2015 Mortgage loans held for sale $ 9,572 Mortgage servicing rights 170,447 Cash and cash equivalents 20,547 Accrued interest receivable 19 Other assets 18,983 Total assets $ 219,568 Accounts payable and other liabilities $ 16,776 Warehouse lines of credit 8,709 Derivative liabilities 41 Total liabilities $ 25,526 Cash and Cash Equivalents The Company considers all highly liquid investments with original maturities of three months or less to be cash equivalents. The carrying amounts of cash equivalents approximate their fair value. Cash and cash equivalents includes pledged cash held in margin accounts at various counterparties as collateral on interest rate swaps, Eurodollar futures contracts and forward commitments to purchase TBA securities (as defined below). Financial Instruments The Company considers its cash and cash equivalents, MBS (settled and unsettled), mortgage loans, forward purchase commitments, debt security held-to-maturity, receivable for securities sold, accrued interest receivable, principal payments receivable, payable for unsettled securities, derivative instruments, borrowings and accrued interest payable to meet the definition of financial instruments. The carrying amount of cash and cash equivalents, receivable for securities sold, accrued interest receivable and payable for unsettled securities approximate their fair value due to the short maturities of these instruments and would be valued using Level 1 inputs. The carrying amount of borrowings are deemed to approximate fair value given their short-term duration and would be valued using Level 2 inputs. See Note 4 for discussion of the fair value of MBS. See Note 5 for discussion of the fair value of mortgage loans. See Note 7 for discussion of the fair value of the held-to-maturity debt security. See Note 9 for discussion of the fair value of derivative instruments, including forward purchase commitments. See Note 3 for a summary of all the Company’s financial instruments. The Company limits its exposure to credit losses on its portfolio of securities by purchasing predominantly agency securities. The Company’s investments are diversified to avoid undue exposure to loan originator, geographic and other types of concentration. The Company manages the risk of prepayments of the underlying mortgages by creating a diversified portfolio with a variety of expected prepayment characteristics. See Note 4 for additional information on MBS. The Company is engaged in various trading and brokerage activities including repurchase agreements, dollar roll transactions, interest rate swap agreements, interest rate swaptions and futures contracts in which counterparties primarily include broker-dealers, banks, and other financial institutions. In the event counterparties do not fulfill their obligations, the Company may be exposed to risk of loss. The risk of default depends on the creditworthiness of the counterparty and/or issuer of the instrument. It is the Company’s policy to review, as necessary, the credit standing for each counterparty and retain collateral when appropriate. See Note 8 for additional information on repurchase agreements and Note 9 for additional information on dollar roll transactions, interest rate swap agreements, interest rate swaptions and futures contracts. Mortgage-Backed Securities The Company invests in MBS representing interests in or obligations backed by pools of single-family residential mortgage loans. Other than securities for which the fair value option is elected, GAAP requires the Company to classify its investment securities as either trading, available-for-sale or held-to-maturity securities. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. Other than its investments in credit risk transfer bonds issued by Fannie Mae and Freddie Mac (“GSE CRT bonds”), the Company currently classifies all of its MBS as available-for-sale. All MBS that are classified as available-for-sale are carried at fair value and unrealized gains and losses are included in other comprehensive income (loss). The Company accounts for its GSE CRT bonds under the fair value option. Under the fair value option, these bonds are carried at fair value and unrealized gains and losses are included in “Net unrealized loss on mortgage backed securities” in the consolidated statements of income. All the Company’s security purchase and sale transactions are recorded on the trade date. Gains or losses realized from the sale of securities are included in “Net realized gain on sale of mortgage-backed securities” in the consolidated statements of income and are determined using the specific identification method. Forward purchase commitments to acquire “when issued” or to-be-announced (“TBA”) securities are recorded at fair value in accordance with ASC Topic 815, Derivatives and Hedging (“ASC 815”). The fair value of these forward purchase commitments is included in derivative assets or derivative liabilities in the accompanying consolidated balance sheets. If the Company intends to take physical delivery of the securities, as is the case for forward purchase commitments to acquire TBA securities from mortgage originators, the commitment is designated as an all-in-one cash flow hedge and its unrealized gains and losses are recorded in other comprehensive income. If the Company does not intend to take physical delivery of the securities, as is the case with most TBA dollar roll transactions, the commitment is not designated as an accounting hedge and unrealized gains and losses are recorded in “Loss on derivative instruments, net.” See Note 9 for additional information on forward purchase commitments. The Company assesses its available-for-sale investment securities for other-than-temporary impairment on at least a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date the impairment is designated as either “temporary” or “other-than-temporary.” In deciding on whether or not a security is other-than-temporarily impaired, the Company uses a two-step evaluation process. First, the Company determines whether it has made any decision to sell a security that is in an unrealized loss position, or, if not, the Company determines whether it is more likely than not that the Company will be required to sell the security prior to recovering its amortized cost basis. If the answer to either of these questions is “yes” then the security is considered other-than-temporarily impaired. No other-than temporary impairments were recognized during the periods presented herein. Mortgage Loans Held for Investment The Company purchases individual prime jumbo adjustable-rate whole mortgage loans with the intention of holding them as investments. In order to finance its investment in the loans, the Company may securitize the loans into MBS not issued or guaranteed by a U.S. Government agency or U.S. Government-sponsored entity. The Company would then purchase the majority of the MBS that the securitization trusts would issue, and would expect to consolidate the trusts pursuant to GAAP. The Company has elected to account for these loans under the fair value option, pursuant to ASC Topic 825. As a result of electing the fair value option, the mortgage loans are carried at fair value with changes therein reflected in consolidated net income (loss), consistent with the accounting for the related hedging instruments, thereby enhancing the usefulness of the Company’s financial statements. See “Interest Income” below for discussion of the recognition of interest income on mortgage loans. Other changes in fair value are reported in “Net gain on mortgage loans” in the consolidated statements of income. Given the Company’s intent to hold the mortgage loans as investments, purchases and sales or paydowns of mortgage loans held for investment are classified as investing cash flows in the consolidated statements of cash flows. Mortgage Loans Held for Sale The Company purchases certain individual whole mortgage loans with the intention of selling them to Ginnie Mae for inclusion in securitizations. The Company has elected to account for these loans under the fair value option, pursuant to ASC Topic 825, because it better reflects the short-term nature of the Company’s holdings in these loans. As a result of electing the fair value option, the mortgage loans are carried at fair value with changes therein reflected in consolidated net income (loss). See “Interest Income” below for discussion of the recognition of interest income on mortgage loans. Other changes in fair value are reported in “Net gain on mortgage loans” in the consolidated statements of income. Mortgage Servicing Rights The Company purchases MSR with the intention of holding them as investments. The Company and its subsidiaries do not originate or directly service mortgage loans. Rather, it utilizes duly licensed subservicers to perform substantially all servicing functions for the loans underlying the MSR. The Company has elected to account for its investments in MSR at fair value pursuant to ASC 860, Transfers and Servicing. As a result, MSR are carried at fair value with changes therein reported in “Net loss on mortgage servicing rights” in the consolidated statements of income. Servicing fee income and expense are reported on a net basis in “Net mortgage servicing rights income” in the consolidated statements of income. Derivative Instruments The Company manages economic risks, including interest rate, liquidity and credit risks, primarily by managing the amount, sources, cost and duration of its debt funding. The objectives of the Company’s risk management strategy are 1) to attempt to mitigate the risk of the cost of its variable rate liabilities increasing during a period of rising interest rates, and 2) to reduce fluctuations in net book value over a range of interest rate scenarios. The principal instruments that the Company uses to achieve these objectives are interest rate swaps and Eurodollar Futures Contracts (“Futures Contracts”). The Company uses Futures Contracts to approximate the economic hedging results achieved with interest rate swaps. The Company does not enter into any of these transactions for speculative purposes. The Company accounts for derivative instruments in accordance with ASC 815, which requires an entity to recognize all derivatives as either assets or liabilities, measured at fair value. The accounting for changes in the fair value of derivative instruments depends on whether the instruments are designated and qualify as part of a hedging relationship pursuant to ASC 815. Changes in fair value related to derivatives not in hedge designated relationships are recorded in “Net gain (loss) on derivative instruments” in the Company’s consolidated statements of income, whereas changes in fair value related to derivatives in hedge designated relationships are initially recorded in other comprehensive income (loss) and later reclassified to income at the time that the hedged transactions affect earnings. Any portion of the changes in fair value due to hedge ineffectiveness is immediately recognized in the income statement. Derivative instruments in a gain position are reported as derivative assets and derivative instruments in a loss position are reported as derivative liabilities in the Company’s consolidated balance sheets. In the Company’s consolidated statements of cash flows, cash receipts and payments related to derivative instruments are classified according to the underlying nature or purpose of the derivative transaction, generally in the operating section if the derivatives are designated as accounting hedges and in the investing section otherwise. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments in an asset position fail to perform their obligations under the contracts. The Company attempts to minimize this risk by limiting its counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. The Company’s interest rate swaps have historically been accounted for as cash flow hedges under ASC 815. However, on September 30, 2013, the Company discontinued hedge accounting for its interest rate swap agreements by de-designating the interest rate swaps as cash flow hedges. No interest rate swaps were terminated in conjunction with this action, and the Company’s risk management and hedging practices were not impacted. As a result of discontinuing hedge accounting, beginning October 1, 2013 changes in the fair value of the Company’s interest rate swap agreements are recorded in “Net gain (loss) on derivative instruments” in the Company’s consolidated statements of income, rather than in other comprehensive income (loss). Also, net interest paid or received under the interest rate swaps, which up through September 30, 2013 was recognized in “interest expense,” is instead recognized in “Net gain (loss) on derivative instruments.” These interest rate swaps continue to be reported as assets or liabilities on the Company’s consolidated balance sheets at their fair value. As long as the forecasted transactions that were being hedged (i.e. rollovers of the Company’s repurchase agreement borrowings) are still expected to occur, the balance in accumulated other comprehensive income (AOCI) from interest rate swap activity up through September 30, 2013 remains in AOCI and is recognized in the Company’s consolidated statements of income as “interest expense” over the remaining term of the interest rate swaps. See Note 9 for further information. The Company may also enter into forward purchase commitments as a means of investing in and financing agency securities via TBA dollar roll transactions. TBA dollar roll transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The agency securities purchased at the later settlement date are typically priced at a discount to securities for settlement in the current month. This difference is referred to as the “price drop.” The price drop represents compensation to the Company for foregoing net interest margin (interest income less repurchase agreement financing cost) and is referred to as “dollar roll income,” which the Company classifies in “Net gain (loss) on derivative instruments.” Realized and unrealized gains and losses related to TBA dollar roll transactions are also recognized in “Net gain (loss) on derivative instruments.” TBA dollar roll transactions represent off-balance sheet financing. Repurchase Agreements The Company finances the acquisition of its MBS primarily through the use of repurchase agreements. Under these repurchase agreements, the Company sells securities to a lender and agrees to repurchase the same securities in the future for a price that is higher than the original sales price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although structured as a sale and repurchase obligation, a repurchase agreement operates as a financing under which the Company pledges its securities as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. The Company records repurchase agreements on the consolidated balance sheets at the amount of cash received (or contract value), with accrued interest recorded separately. The Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, the Company is required to repay the loan and concurrently receives back its pledged collateral from the lender or, with the consent of the lender, the Company may renew such agreement at the then-prevailing financing rate. These repurchase agreements may require the Company to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. Warehouse Lines of Credit Warehouse lines of credit include borrowings under mortgage loan warehouse facilities with various counterparties that expire within one year. These borrowings are collateralized by mortgage loans. If the value of the underlying collateral (as determined by the counterparty) securing these borrowings decreases, the Company may be subject to margin calls during the period the borrowing is outstanding. To satisfy these margin calls, the Company may have to pledge additional collateral or repay portions of the borrowings. Federal Home Loan Bank Advances During the third quarter of 2015, a wholly-owned subsidiary of the Company became a member of the Federal Home Loan Bank of Atlanta (the “FHLB”). The FHLB offers a variety of products and services, including short-term and long-term secured advances. FHLB advances are carried at their contractual amounts. Offsetting of Assets and Liabilities The Company’s derivative agreements and repurchase agreements generally contain provisions that allow for netting or the offsetting of receivables and payables with each counterparty. The Company reports amounts in its consolidated balance sheets on a gross basis without regard for such rights of offset or master netting arrangements. Interest Income Interest income on MBS is earned and recognized based on the outstanding principal amount of the investment securities and their contractual terms. Premiums and discounts associated with the purchase of the investment securities are amortized or accreted into interest income over the actual lives of the securities using the effective interest method. The Company recognizes interest income on mortgage loans held based on their stated coupon rates. If a loan becomes 90 days past due, it is considered non-performing and is placed in non-accrual status; accrual of interest income ceases and any existing interest receivables are reversed. Any cash received while a loan is in non-accrual status is first applied to unpaid principal and then to unpaid interest. In general, non-performing loans are only restored to accrual status when no principal or interest remains due and unpaid. Income Taxes The Company has elected to be taxed as a REIT under the Code. The Company will generally not be subject to federal income tax to the extent that it distributes 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Code and as long as it satisfies the ongoing REIT requirements including meeting certain asset, income and stock ownership tests. The Company has made an election to treat certain of its subsidiaries as TRSs. These TRSs are taxable as domestic C corporations and are subject to federal, state and local income taxes based upon their taxable income. Share-Based Compensation Share-based compensation is accounted for under the guidance included in the ASC Topic on Stock Compensation. For share and share-based awards issued to employees, a compensation charge is recorded in earnings based on the fair value of the award. For transactions with non-employees in which services are performed in exchange for the Company’s common stock or other equity instruments, the transactions are recorded on the basis of the fair value of the service received or the fair value of the equity instruments issued, whichever is more readily measurable at the date of issuance. The Company’s share-based compensation transactions resulted in compensation expense of $966 and $890 for the three months ended September 30, 2015 and 2014, respectively. Share-based compensation expense was $3,045 and $2,592 for the nine months ended September 30, 2015 and 2014, respectively. Earnings Per Common Share (EPS) Basic EPS is computed by dividing net income less preferred stock dividends to arrive at net income available to holders of common stock by the weighted average number of shares of common stock outstanding during the period. Diluted EPS is computed using the two class method, as described in the ASC Topic on Earnings Per Share, which takes into account certain adjustments related to participating securities. Participating securities are unvested share-based awards that contain rights to receive nonforfeitable dividends, such as those awarded under the Company’s equity incentive plan. Net income available to holders of common stock after deducting dividends on unvested participating securities if antidilutive, is divided by the weighted average shares of common stock and common equivalent shares outstanding during the period. For the diluted EPS calculation, common equivalent shares outstanding includes the weighted average number of shares of common stock outstanding adjusted for the effect of dilutive unexercised stock options, if any. Other Comprehensive Income (Loss) Other comprehensive income refers to revenue, expenses, gains, and losses that are recorded directly as an adjustment to shareholders’ equity. Other comprehensive income for the Company generally arises from unrealized gains or losses generated from changes in market values of available-for-sale securities and derivative instruments that have been designated as accounting hedges. Recent Accounting Pronouncements In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 3. Financial Value Measurements The Company’s valuation techniques for financial instruments are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect the Company’s market assumptions. The ASC Topic on Fair Value Measurements classifies these inputs into the following hierarchy: Level 1 Inputs – Quoted prices for identical instruments in active markets. Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level 3 Inputs – Instruments with primarily unobservable value drivers. The Company’s Futures Contracts were valued using Level 1 inputs. The Company’s MBS, mortgage loans held for sale and derivatives other than Futures Contracts were valued using Level 2 inputs. Mortgage loans held for investment along with related purchase commitments and MSR were valued using Level 3 inputs. See Notes 4, 5, 6 and 9, respectively, for a discussion of the valuation of MBS, mortgage loans, MSR and derivatives. The carrying values and fair values of assets and liabilities that are required to be reported or disclosed at fair value as of September 30, 2015 and December 31, 2014 were as follows. September 30, 2015 December 31, 2014 Carrying Value Fair Value Carrying Value Fair Value Assets MBS $ 15,472,580 $ 15,472,580 $ 17,587,010 $ 17,587,010 Mortgage loans held for investment 265,281 265,281 31,460 31,460 Mortgage loans held for sale 9,572 9,572 - - MSR 170,447 170,447 - - Cash and cash equivalents 711,148 711,148 627,595 627,595 Unsettled purchased MBS 65,834 65,834 24,792 24,792 Receivable for securities sold 51,729 51,729 5,197 5,197 Accrued interest receivable 47,563 47,563 54,274 54,274 Principal payments receivable 144,261 144,261 111,439 111,439 Debt security, held-to-maturity (1) 15,000 14,620 15,000 14,853 Short-term investments (1) 30,444 30,444 20,252 20,252 Interest rate swaps and swaptions (2) 1,831 1,831 11,050 11,050 Forward purchase commitments (2) 2,534 2,534 16,101 16,101 Liabilities Repurchase agreements $ 14,240,809 14,240,809 $ 15,759,831 $ 15,759,831 Warehouse lines of credit 33,172 33,172 - - FHLB advances 14,132 14,132 - - Payable for unsettled securities 66,266 66,266 24,750 24,750 Accrued interest payable 2,533 2,533 6,968 6,968 Interest rate swap liability (3) 22,964 22,964 42,052 42,052 Futures Contracts liability (3) 394,221 394,221 202,501 202,501 Forward purchase commitments (3) 1,736 1,736 38 38 (1) ncluded in other investments on the consolidated balance sheets. ( 2 ) ncluded in derivative assets on the consolidated balance sheets. (3) ncluded in derivative liabilities on the consolidated balance sheets. |
Mortgage-Backed Securities
Mortgage-Backed Securities | 9 Months Ended |
Sep. 30, 2015 | |
Available-for-sale MBS | |
Mortgage-Backed Securities | 4. Mortgage-Backed Securities All of the Company’s MBS, other than GSE CRT bonds, are classified as available-for-sale and, as such, are reported at their estimated fair value. The GSE CRT bonds are accounted for under the fair value option as discussed in Note 2. The MBS market is primarily an over-the-counter market. As such, there are no standard, public market quotations for individual MBS. The Company estimates the fair value of its MBS based on a market approach by obtaining values for its securities from third-party pricing services. The third-party pricing services gather trade data and use pricing models that incorporate such factors as coupons, primary mortgage rates, prepayment speeds, spread to the U.S. Treasury and interest rate swap curves, periodic and life caps and other similar factors. The Company regularly reviews the prices obtained and the methods used to derive those prices. As part of this evaluation, the Company considers security-specific factors such as coupon, prepayment experience, fixed/adjustable rate, annual and life caps, coupon index, time to next reset and issuing agency, among other factors to ensure that estimated fair values are appropriate. The Company’s analysis of pricing information obtained also includes comparing the data received to other available information, such as other independent pricing services, repurchase agreement pricing, discounted cash flow analysis, matrix pricing, option adjusted spread models and other fundamental analysis of observable market factors. In addition to agency securities, the Company’s MBS portfolio includes MBS not issued or guaranteed by a U.S. Government agency or a U.S. Government-sponsored entity (“non-agency securities”) and GSE CRT bonds. The following table presents the composition of the Company’s MBS at September 30, 2015. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Estimated Fair Value Agency Securities Fannie Mae Certificates ARMs $ 7,946,906 $ (2,542 ) $ 157,850 $ 8,102,214 Fixed-Rate 1,034,126 - 7,023 1,041,149 Total Fannie Mae 8,981,032 (2,542 ) 164,873 9,143,363 Freddie Mac Certificates ARMs 6,076,068 (6,337 ) 73,684 6,143,415 Fixed-Rate 131,775 - 1,642 133,417 Total Freddie Mac 6,207,843 (6,337 ) 75,326 6,276,832 Total Agency Securities 15,188,875 (8,879 ) 240,199 15,420,195 Total Available-for-Sale MBS 15,188,875 (8,879 ) 240,199 15,420,195 GSE CRT Bonds 52,780 (395 ) - 52,385 Total MBS $ 15,241,655 $ (9,274 ) $ 240,199 $ 15,472,580 The following table presents the composition of the Company’s MBS at December 31, 2014. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Estimated Fair Value Agency Securities Fannie Mae Certificates ARMs $ 9,203,741 $ (13,737 ) $ 183,889 $ 9,373,893 Fixed-Rate 1,111,288 - 5,177 1,116,465 Total Fannie Mae 10,315,029 (13,737 ) 189,066 10,490,358 Freddie Mac Certificates ARMs 6,805,885 (21,794 ) 76,790 6,860,881 Fixed-Rate 158,402 - 1,767 160,169 Total Freddie Mac 6,964,287 (21,794 ) 78,557 7,021,050 Total Agency Securities 17,279,316 (35,531 ) 267,623 17,511,408 Total Non-Agency ARMs 75,454 - 148 75,602 Total MBS $ 17,354,770 $ (35,531 ) $ 267,771 $ 17,587,010 The components of the carrying value of MBS at September 30, 2015 and December 31, 2014 are presented below: September 30, December 31, 2015 2014 Principal balance $ 14,824,999 $ 16,864,583 Unamortized premium 418,148 490,187 Unamortized discount (1,492 ) - Gross unrealized gains 240,199 267,771 Gross unrealized losses (9,274 ) (35,531 ) Carrying value/estimated fair value $ 15,472,580 $ 17,587,010 The following table presents components of interest income on the Company’s MBS portfolio for the three and nine months ended September 30, 2015 and 2014. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Coupon interest $ 104,357 $ 110,382 $ 326,266 $ 343,108 Net premium amortization (33,483 ) (29,413 ) (92,760 ) (76,374 ) Interest income $ 70,874 $ 80,969 $ 233,506 $ 266,734 Gross gains and losses from sales of MBS for the three and nine months ended September 30, 2015 and 2014 were as follows: Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Gross gains $ 4,831 $ 237 $ 21,329 $ 13,713 Gross losses (3,615 ) - (3,969 ) (10,624 ) Net gain (loss) $ 1,216 $ 237 $ 17,360 $ 3,089 The Company monitors the performance and market value of its MBS portfolio on an ongoing basis, and on a quarterly basis reviews its MBS for impairment. At September 30, 2015 and December 31, 2014, the Company had the following securities in a loss position as presented in the following two tables: As of September 30, 2015 Less than 12 Months Greater than 12 Months Total Fair Market Unrealized Fair Market Unrealized Fair Market Unrealized Value Loss Value Loss Value Loss Fannie Mae Certificates ARMs $ 177,892 $ (329 ) $ 539,176 $ (2,212 ) $ 717,068 $ (2,541 ) Fixed-Rate - - - - - - Freddie Mac Certificates ARMs 206,857 (283 ) 911,208 (6,055 ) 1,118,065 (6,338 ) Fixed-Rate - - - - - - Total temporarily impaired securities $ 384,749 $ (612 ) $ 1,450,384 $ (8,267 ) $ 1,835,133 $ (8,879 ) Number of securities in an unrealized loss position 23 52 75 As of December 31, 2014 Less than 12 Months Greater than 12 Months Total Fair Market Unrealized Fair Market Unrealized Fair Market Unrealized Value Loss Value Loss Value Loss Fannie Mae Certificates ARMs $ 806,600 $ (1,240 ) $ 1,306,153 $ (12,497 ) $ 2,112,753 $ (13,737 ) Fixed-Rate - - - - - - Freddie Mac Certificates ARMs 498,994 (792 ) 1,737,760 (21,002 ) 2,236,754 (21,794 ) Fixed-Rate - - - - - - Total temporarily impaired securities $ 1,305,594 $ (2,032 ) $ 3,043,913 $ (33,499 ) $ 4,349,507 $ (35,531 ) Number of securities in an unrealized loss position 56 108 164 The Company did not make the decision to sell the above securities as of September 30, 2015 and December 31, 2014, nor was it deemed more likely than not the Company would be required to sell these securities before recovery of their amortized cost basis. The unrealized losses on the above securities are the result of market interest rates and are not considered to be credit related. No impairment losses were recognized during the periods presented herein. The contractual maturity of the Company’s MBS ranges from 15 to 30 years. Because of prepayments on the underlying mortgage loans, the actual weighted-average life is expected to be significantly less than the stated maturity. |
Mortgage Loans
Mortgage Loans | 9 Months Ended |
Sep. 30, 2015 | |
Mortgage Loans | |
Mortgage-Backed Securities | 5. Mortgage Loans Mortgage Loans Held for Investment The Company purchases individual jumbo adjustable-rate whole mortgage loans with the intention of holding them as investments. The loans are being accounted for under the fair value option. See Note 2 for further discussion. As of September 30, 2015, the unpaid principal balance and the fair value of the Company’s mortgage loans held for investment were $259,165 and $265,281, respectively. As of December 31, 2014, the unpaid principal balance and the fair value of the Company’s mortgage loans held for investment were $30,792 and $31,460, respectively. The Company did not invest in mortgage loans prior to the fourth quarter of 2014. The following table provides the geographic distribution of mortgage loans held for investment at September 30, 2015 and December 31, 2014, based on unpaid principal balance. September 30, 2015 December 31, 2014 California 54 % 82 % Texas 9 % 3 % Illinois 6 % 2 % Washington 5 % 2 % All other 26 % 11 % Total 100 % 100 % The following table provides additional data on the Company’s mortgage loans held for investment portfolio at September 30, 2015 and December 31, 2014. September 30, 2015 December 31, 2014 Portfolio Portfolio Portfolio Range Weighted Average Portfolio Range Weighted Average Unpaid principal balance $8 to $1,990 $ 764 $447 to $1,332 $ 790 Interest rate 2.50% to 4.13% 3.41% 2.75% to 3.75% 3.43% Maturity 5/2044 to 10/2045 2/2045 6/2044 to 12/2044 9/2044 FICO score at loan origination 700 to 815 768 705 to 813 762 Loan-to-value ratio at loan origination 24% to 80% 69% 28% to 80% 65% No loans were 90 days or more past due and none were on nonaccrual status at September 30, 2015 or December 31, 2014. The following table presents the rollforward of mortgage loans held for investment for the periods presented. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Fair value, beginning of period $ 183,320 $ - $ 31,460 $ - Principal purchased 92,982 - 259,752 - Principal repaid (12,153 ) - (26,618 ) - Change in fair value 1,132 - 687 - Fair value, end of period $ 265,281 $ - $ 265,281 $ - The portion of the change in the fair value that was attributable to changes in credit risk was immaterial for the three and nine months ended September 30, 2015. The Company classifies its mortgage loans held for investment as Level 3 in the fair value hierarchy. Prices for these instruments are obtained from third-party pricing providers which use significant unobservable inputs in their valuations. These valuations are prepared on an instrument-by-instrument basis and primarily use discounted cash flow models that include unobservable market data inputs including prepayment rates, delinquency levels, and credit losses. Model valuations are then compared to external indicators such as market price quotations from market makers for similar instruments and recent transactions in the same or similar instruments. These valuations may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the third-party pricing provider in the absence of market information. The valuation of mortgage loans held for investment requires significant judgment by the third-party pricing provider and management. Assumptions used by the third-party pricing provider due to lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. Management reviews the valuations received from the third-party pricing provider. As part of this review, prices are compared against other pricing along with internal valuation expertise to ensure assumptions and pricing is reasonable. The following table provides information about the significant unobservable inputs used in the Level 3 valuation of the Company’s mortgage loans held for investment at September 30, 2015 and December 31, 2014. September 30, 2015 December 31, 2014 Weighted- Weighted- Unobservable Input Range Average Range Average Discount rate 2.0% - 3.3% 3.1 % 3.6% - 3.9% 3.8 % Conditional refinance rate 12.8% - 21.1% 16.4 % 12.4% - 19.3% 15.3 % Default rate 0% - 2.6% 0.6 % 0% - 1.5% 0.4 % Loss severity 0% - 25.6% 15.2 % 10.2% - 19.9% 13.8 % Mortgage Loans Held for Sale The Company purchases individual whole mortgage loans with the intention of selling them to Ginnie Mae for inclusion in securitizations. As of September 30, 2015, the unpaid principal balance and the fair value of the Company’s mortgage loans held for sale were $9,493 and $9,572, respectively. The Company did not invest in mortgage loans held for sale prior to the acquisition of Pingora on August 31, 2015. The Company classifies its mortgage loans held for sale as Level 2 in the fair value hierarchy. Prices for these instruments are obtained from third-party pricing providers and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon cash flow models that are primarily based on observable market-based inputs but also include unobservable market data inputs, including prepayment speeds, delinquency levels, and credit losses. |
Mortgage Servicing Rights
Mortgage Servicing Rights | 9 Months Ended |
Sep. 30, 2015 | |
Mortgage Servicing Rights | |
Mortgage-Backed Securities | 6. Mortgage Servicing Rights Through its acquisition of Pingora, as discussed in Note 1, the Company began investing in MSR during the third quarter of 2015. As discussed in Note 2, MSR are carried at fair value. The following table presents the rollforward of MSR for the periods presented. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Fair value, beginning of period $ - $ - $ - $ - Purchases 170,986 - 170,986 - Settlements - - - - Change in fair value (539 ) - (539 ) - Fair value, end of period $ 170,447 $ - $ 170,447 $ - The Company classifies its MSR as Level 3 in the fair value hierarchy. Prices for these instruments are obtained from internal models and third-party pricing providers, both of which use significant unobservable inputs in their valuations. These valuations are prepared on an instrument-by-instrument basis and primarily use discounted cash flow models that include unobservable market data inputs including prepayment rates, delinquency levels, and discount rates. Model valuations are then compared to external indicators such as market price quotations from market makers for similar instruments and recent transactions in the same or similar instruments. These valuations may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the third-party pricing provider in the absence of market information. The valuation of MSR requires significant judgment by management and the third-party pricing provider. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. Management reviews the valuations received from the third-party pricing provider and uses them as a point of comparison to its internally modeled values. As part of this review, prices are compared against other pricing indicators to ensure assumptions and pricing are reasonable. The following table provides information about the significant unobservable inputs used in the Level 3 valuation of the Company’s MSR at September 30, 2015 and December 31, 2014. September 30, 2015 December 31, 2014 Weighted- Weighted- Unobservable Input Range Average Range Average Discount rate 10.0% - 11.0% 10.3 % - - Prepayment rate 8.5% - 36.1% 11.1 % - - Delinquency rate 0% - 1.3% 0.7 % - - The Company’s mortgage servicing income and mortgage servicing expenses were as follows for the three and nine months ended September 30, 2015 and 2014. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Servicing fee income $ 4,445 $ - $ 4,445 $ - Ancillary fee income 117 - 117 - Mortgage servicing fee income 4,562 - 4,562 - Mortgage servicing expense (464 ) - (464 ) - Change in representation and warranty obligations (290 ) - (290 ) - Mortgage servicing rights income, net $ 3,808 $ - $ 3,808 $ - A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s MSR, which would result in a decline in the value of the MSR. The Company’s investment in MBS mitigates the impact of such a decline on the Company’s total portfolio as a decline in interest rates generally leads to an increase in the value of the Company’s MBS. |
Other Investments
Other Investments | 9 Months Ended |
Sep. 30, 2015 | |
Schedule Of Investments [Abstract] | |
Other Investments | 7. Other Investments Other investments consisted of the following items as of September 30, 2015 and December 31, 2014: September 30, 2015 December 31, 2014 Short-term investments $ 30,444 $ 20,252 Debt security, held-to-maturity 15,000 15,000 Equity investments 6,603 6,000 Total other investments $ 52,047 $ 41,252 The Company owns both a $15,000 debt security and a $6,000 equity investment in a non-public repurchase lending counterparty. The debt security matures on March 24, 2019. The Company has designated this debt security as a held-to-maturity investment, and as such it is carried at its cost basis. The debt security pays interest quarterly at the rate of 4.0% above the three-month London Interbank Offered Rate (“LIBOR”). The Company estimates the fair value of this debt security to be approximately $14,620 and $14,853 at September 30, 2015 and December 31, 2014, respectively, which was determined by calculating the present value of the projected future cash flows using a discount rate from a similar issuer and security (which represent Level 2 inputs). The Company accounts for the equity investment in the non-public repurchase lending counterparty under the cost method and concluded there have been no identified events or circumstances that would have a significant adverse effect on the fair value of the investment since the purchase date. As a member of the FHLB, the Company also has an equity investment of $603 in FHLB. The amount of investment required is partially dependent on the level of advances taken. This investment is accounted for under the cost method, because the stock can only be sold at its par value, and only to the FHLB. |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2015 | |
Banking And Thrift [Abstract] | |
Borrowings | 8. Borrowings The Company uses repurchase agreements and FHLB advances to finance MBS purchases. Repurchase agreements and FHLB advances are collateralized by the Company’s MBS and typically bear interest at rates that are closely related to LIBOR. At September 30, 2015 and December 31, 2014, the Company had repurchase indebtedness outstanding with 26 and 25 counterparties with a weighted average remaining contractual maturity of 0.9 and 1.0 months, respectively. The following table presents contractual maturity information regarding the Company’s repurchase agreements: September 30, 2015 December 31, 2014 Weighted Average Weighted Average Balance Contractual Rate Balance Contractual Rate Within 30 days $ 12,990,809 0.44 % $ 13,770,099 0.35 % 30 days to 3 months 250,000 0.52 % 1,489,732 0.36 % 3 months to 36 months 1,000,000 0.59 % 500,000 0.53 % $ 14,240,809 0.46 % $ 15,759,831 0.36 % The fair value of securities and accrued interest the Company had pledged under repurchase agreements at September 30, 2015 and December 31, 2014 was $14,936,324 and $16,575,106, respectively. As of September 30, 2015, the Company had $14,132 in advances outstanding with the FHLB at a borrowing rate of 0.2% with a maturity date of October 2015. The advances are secured by the pledge of agency MBS with a fair value of $15,714. The Company’s aggregate borrowing capacity with the FHLB is $1 billion. The Company has access to warehouse lines of credit with three financial institutions to finance purchases of whole mortgage loans. Borrowings under these facilities are charged interest at a specified margin over the one-month LIBOR interest rate. At September 30, 2015, the Company has outstanding borrowings with two counterparties totaling $33,172 with maturity dates between November 2015 and March 2016. The Company has pledged mortgage loans with a fair value of $37,407 as collateral pursuant to these lines of credit. The borrowing limit under these lines of credit is $300 million. See Notes 2 and 9 for discussion of TBA dollar roll transactions, which represent off-balance sheet financing. |
Derivatives and Other Hedging I
Derivatives and Other Hedging Instruments | 9 Months Ended |
Sep. 30, 2015 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivatives and Other Hedging Instruments | 9 . Derivatives and Other Hedging Instruments In connection with the Company’s risk management strategy, the Company hedges a portion of its interest rate risk by entering into derivative contracts. The Company may enter into agreements for interest rate swaps, interest rate swaptions, interest rate cap or floor contracts and futures or forward contracts. The Company’s risk management strategy attempts to manage the overall risk of the portfolio, reduce fluctuations in book value and generate additional income distributable to shareholders. For additional information regarding the Company’s derivative instruments and its overall risk management strategy, please refer to the discussion of derivative instruments in Note 2. The fair values of interest rate swaps are determined using the market standard methodology of netting the discounted future fixed cash receipts (or payments) and the discounted expected variable cash payments (or receipts). The variable cash payments (or receipts) are based on an expectation of future interest rates (forward curves) derived from observable market interest rate curves. The fair values of interest rate swaptions are estimated based on the fair value of the underlying interest rate swaps that the Company has the option to enter, and are based on estimates from the counterparty and pricing models. The fair value of Futures Contracts is based on quoted prices from the exchange on which they trade. The fair value of MBS forward purchase commitments was determined using the same methodology as MBS as described in Note 4. The fair value of forward purchase commitments for whole loans was determined using the same methodology as mortgage loans held for investment as described in Note 5. The Company applies fallout assumptions to the third-party pricing of forward purchase commitments in order to adjust for loans that the counterparties may not successfully issue. The table below presents the fair value of the Company’s derivative instruments as well as their classification on the consolidated balance sheets as of September 30, 2015 and December 31, 2014, respectively. Derivative Instruments Balance Sheet Location September 30, 2015 December 31, 2014 Interest rate swaps and swaptions Derivative assets $ 1,831 $ 11,050 Forward purchase commitments - MBS Derivative assets 2,109 16,101 Forward purchase commitments - mortgage loans Derivative assets 425 - $ 4,365 $ 27,151 Interest rate swaps Derivative liabilities $ 22,964 $ 42,052 Futures contracts Derivative liabilities 394,221 202,501 Forward purchase commitments - MBS Derivative liabilities 1,736 36 Forward purchase commitments - mortgage loans Derivative liabilities - 2 $ 418,921 $ 244,591 Interest Rate Swaps and Swaptions The Company finances its activities primarily through repurchase agreements, which are generally settled on a short-term basis, usually from one to three months. At each settlement date, the Company refinances each repurchase agreement at the market interest rate at that time. Since the Company is exposed to interest rates on its borrowings that change on a short-term basis, it enters into hedging agreements to mitigate the effect of these changes. Interest rate swaps involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the agreements without exchange of the underlying notional amount. The effect of these hedges is to synthetically lockup interest rates on a portion of the Company’s repurchase agreements for the terms of the interest rate swaps. Although the Company’s objective is to hedge the risk associated with changing repurchase agreement rates, the Company’s interest rate swaps are benchmark interest rate swaps which perform with reference to LIBOR. Therefore, the Company remains at risk to the variability of the spread between repurchase agreement rates and LIBOR interest rates. Until September 30, 2013, the Company elected cash flow hedge accounting for its interest rate swaps. Under cash flow hedge accounting, effective hedge gains or losses are initially recorded in AOCI and subsequently reclassified into net income in the period that the hedged forecasted transaction affects earnings. Ineffective hedge gains and losses are recorded on a current basis in earnings. The hedge ineffectiveness is attributable primarily to differences in the reset dates on the Company’s interest rate swaps versus the refinancing dates of its repurchase agreements. See “Financial Statement Presentation” below for quantification of gains and losses on interest rate swaps for the three and nine months On September 30, 2013, the Company de-designated its interest rate swaps as cash flow hedges, thus terminating cash flow hedge accounting. As long as the forecasted rollovers of the related repurchase agreements are still expected to occur, amounts in AOCI related to the cash flow hedges through September 30, 2013 will remain in AOCI and will continue to be reclassified to interest expense as interest is accrued and paid on the related repurchase agreements. During the next 12 months, the Company estimates that an additional $4,842 will be reclassified out of AOCI as an increase to interest expense. The Company continues to hedge its exposure to variability in future funding costs via interest rate swaps and other derivative instruments. As a result of discontinuing hedge accounting, beginning October 1, 2013, changes in the fair value of the Company’s interest rate swaps are recorded in “Net gain (loss) on derivative instruments” in the consolidated statements of income, consistent with the Company’s historical accounting for Futures Contracts, as described below. Monthly net cash settlements under the interest rate swaps are also recorded in “Net gain (loss) on derivative instruments” beginning October 1, 2013. The volume of activity for the Company’s interest rate swap instruments is shown in the table below. Notional Value Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Beginning of period $ 5,100,000 $ 9,900,000 $ 8,300,000 $ 10,500,000 Additions - - - - Expirations and terminations (300,000 ) (700,000 ) (3,500,000 ) (1,300,000 ) End of period $ 4,800,000 $ 9,200,000 $ 4,800,000 $ 9,200,000 During the second quarter of 2015, the Company terminated swaps with $1,400,000 of notional value for a payment of $5,210. The terminated swaps had original maturities extending through December 31, 2015. Information regarding the Company’s interest rate swaps as of September 30, 2015 and December 31, 2014 follows. September 30, 2015 December 31, 2014 Wtd. Avg. Wtd. Avg. Remaining Wtd. Avg. Remaining Wtd. Avg. Notional Term Fixed Interest Notional Term Fixed Interest Maturity Amount in Months Rate in Contract Amount in Months Rate in Contract 12 months or less $ 2,000,000 7 1.01% $ 3,700,000 6 1.73% Over 12 months to 24 months 2,200,000 18 0.88% 2,400,000 18 0.92% Over 24 months to 36 months 600,000 28 0.95% 1,800,000 29 0.89% Total $ 4,800,000 15 0.94% $ 8,300,000 16 1.28% A swaption is a derivative instrument that gives the holder the option to enter into a pay-fixed interest rate swap in the future, if it so desires. As of September 30, 2015, the Company had six interest rate swaptions outstanding, which were entered into during 2015: Options Underlying Swaps Swaptions Original Cost Fair Value Wtd. Avg. Months to Expiration Notional Wtd. Avg. Fixed Pay Rate Receive Rate Wtd. Avg. Term (Years) Fixed payer $ 10,813 $ 1,831 9 $ 3,065,000 3.23% 3 month LIBOR 6 As of December 31, 2014, the Company had four interest rate swaptions outstanding: Options Underlying Swaps Swaptions Original Cost Fair Value Wtd. Avg. Months to Expiration Notional Wtd. Avg. Fixed Pay Rate Receive Rate Wtd. Avg. Term (Years) Fixed payer $ 20,080 $ 4,561 6 $ 992,300 2.74% 3 month LIBOR 7 During the first quarter of 2015, the Company terminated the swaptions held as of December 31, 2014 and received proceeds of $2,049. Eurodollar Futures Contracts The Company uses Futures Contracts to 1) synthetically replicate an interest rate swap, or 2) offset the changes in value of its forward purchases of certain MBS and mortgage loans. The following table presents the composition of the Company’s Futures Contracts as of September 30, 2015 and December 31, 2014, respectively. Fair Value September 30, 2015 December 31, 2014 Futures Contracts designed to replicate swaps $ (386,267 ) $ (202,202 ) Futures Contracts designed to hedge value changes in forward purchases (7,954 ) (299 ) Total fair value of Futures Contracts $ (394,221 ) $ (202,501 ) The volume of activity for the Company’s Futures Contracts is shown in the table below. Number of Contracts Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Beginning of period 131,276 123,275 130,074 95,327 New positions opened 6,546 22,352 52,563 125,547 Early settlements (5,220 ) (12,016 ) (32,369 ) (83,444 ) Settlements at maturity (8,806 ) (2,479 ) (26,472 ) (6,298 ) End of period 123,796 131,132 123,796 131,132 Each Futures Contract embodies $1 million of notional value and corresponds to a Eurodollar contract for a specific three month timeframe. The effective dates of the Eurodollar contracts underlying the Company’s Futures Contracts range from 2015 through 2022. The Company has not designated its Futures Contracts as hedges for accounting purposes. As a result, realized and unrealized changes in fair value thereon are recognized in net income in the period in which the changes occur. See “Financial Statement Presentation” below for quantification of gains and losses on Futures Contracts for the three and nine months To Be Announced Securities Purchases and Mortgage Loan Commitments The Company purchases certain of its investment securities in the forward market. The Company purchases ARM TBA contracts and 15-year TBA contracts from dealers. ARM TBA contracts are not a frequently-traded security and are generally used to acquire MBS for the portfolio. 15-year TBA contracts are a highly liquid security, and may be physically settled, net settled or traded as an investment. 15-year TBA contracts may also be financed in the dollar roll market. The Company also has commitments with various mortgage origination companies to purchase their production as it becomes securitized. Forward purchases do not qualify for trade date accounting and are considered derivatives for financial statement purposes, as described in Note 2. The net fair value of the forward commitment is reported on the balance sheet as an asset or liability. Whether the unrealized gain (or loss) is recognized in net income or other comprehensive income depends on whether or not the commitment has been designated as an accounting hedge, as discussed in Note 2. The following table summarizes the Company’s forward purchase commitments as of September 30, 2015. Face / UPB Cost Fair Market Value Net Asset (Liability) ARMs - originators $ 205,275 $ 209,881 $ 211,990 $ 2,109 15-year TBA dollar roll securities 2,655,000 2,736,748 2,735,012 (1,736 ) Whole mortgage loans 79,794 81,216 81,641 425 Total purchase commitments $ 2,940,069 $ 3,027,845 $ 3,028,643 $ 798 The following table summarizes the Company’s forward purchase commitments as of December 31, 2014. Face / UPB Cost Fair Market Value Net Asset (Liability) ARMs - originators $ 376,936 $ 384,673 $ 388,829 $ 4,156 ARMs - dealers 20,095 20,553 20,517 (36 ) 15-year TBA dollar roll securities 3,400,000 3,509,871 3,521,816 11,945 Whole mortgage loans 11,656 11,937 11,935 (2 ) Total purchase commitments $ 3,808,687 $ 3,927,034 $ 3,943,097 $ 16,063 Financial Statement Presentation The Company does not use either offsetting or netting to present any of its derivative assets or liabilities. The following table shows the gross amounts associated with the Company’s derivative financial instruments and the impact if netting were used as of September 30, 2015. Assets/(Liabilities) Cash Collateral Posted (Held) Net Asset/(Liability) Interest rate swaptions $ 1,831 $ (886 ) $ 945 Forward purchase commitments 2,534 - 2,534 Interest rate swaps $ (22,964 ) $ 31,626 $ 8,662 Futures contracts (394,221 ) 458,178 63,957 Forward purchase commitments (1,736 ) 3,217 1,481 The following table shows the gross amounts associated with the Company’s derivative financial instruments and the impact if netting were used as of December 31, 2014. Assets/(Liabilities) Cash Collateral Posted (Held) Net Asset/(Liability) Interest rate swaps $ 6,489 $ - $ 6,489 Interest rate swaptions 4,561 (1,558 ) 3,003 Futures contracts - - - Forward purchase commitments 16,101 - 16,101 Interest rate swaps $ (42,052 ) $ 66,653 $ 24,601 Forward purchase commitments (38 ) 5,585 5,547 Futures contracts (202,501 ) 251,553 49,052 The following table shows the components of “Net gain (loss) on derivative instruments” for the three and nine months ended September 30, 2015 and 2014. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Interest rate swaps – net realized and unrealized gains $ (4,227 ) $ 38,136 $ 7,386 $ 62,524 Interest rate swaptions – net realized and unrealized losses (8,202 ) (1,304 ) (11,492 ) (3,983 ) Interest rate swaps – monthly net settlements (9,510 ) (29,079 ) (46,150 ) (88,245 ) Futures Contracts – fair value adjustments (130,060 ) 37,405 (191,720 ) (69,982 ) Futures Contracts – losses from maturities (13,989 ) (1,810 ) (32,556 ) (24,063 ) Futures Contracts – other realized losses (2,721 ) - (25,394 ) - Mortgage loan purchase commitments - fair value adjustments 368 - 415 - TBA dollar roll income 20,512 22,370 68,568 68,813 TBA dollar rolls – net realized and unrealized gains (losses) 17,528 (30,288 ) (21,558 ) (6,509 ) Net gain (loss) on derivative instruments $ (130,301 ) $ 35,430 $ (252,501 ) $ (61,445 ) See Note 2 for discussion of TBA dollar roll transactions and TBA dollar roll income. The table below presents the effect of the interest rate swaps that were previously designated as cash flow hedges on the Company’s AOCI for the three and nine months ended September 30, 2015 and 2014. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Beginning balance $ (7,325 ) $ (63,567 ) $ (30,042 ) $ (111,174 ) Reclassification of net losses to the income statement 5,433 19,806 28,150 67,413 Ending balance $ (1,892 ) $ (43,761 ) $ (1,892 ) $ (43,761 ) Credit-risk-related Contingent Features The Company has agreements with its interest rate swap and swaption counterparties that contain a provision where if the Company defaults on any of its indebtedness, including default where repayment of the indebtedness has not been accelerated by the lender, then the Company could also be declared in default on its derivative obligations. The Company has agreements with certain of its derivative counterparties that contain a provision where if the Company’s GAAP shareholders’ equity declines by a specified percentage over a specified time period, or if the Company fails to maintain a minimum shareholders’ equity threshold, then the Company could be declared in default on its derivative obligations. The Company also has agreements with several of those counterparties that contain provisions regarding maximum leverage ratios. At September 30, 2015, the Company was in compliance with these requirements. As of September 30, 2015, the fair value of derivatives in a net liability position related to these agreements was $22,964. The Company has collateral posting requirements with each of its counterparties and all interest rate swap agreements were fully collateralized as of September 30, 2015. |
Capital Stock
Capital Stock | 9 Months Ended |
Sep. 30, 2015 | |
Equity [Abstract] | |
Capital Stock | 10. Capital Stock On June 18, 2013, the Company’s board of directors authorized a stock repurchase program (the “Repurchase Program”) to acquire up to 10,000,000 shares of the Company’s common stock. For the three and nine months ended September 30, 2015, the Company repurchased 373,883 shares of common stock under the Repurchase Program in at-the-market transactions at a total cost of $6,280. For the three and nine months ended September 30, 2014, the Company repurchased 100,000 shares of common stock at a total cost of $1,912. As of September 30, 2015, there are 7,040,670 shares of repurchase capacity available under the Repurchase Program. |
Earnings per Share
Earnings per Share | 9 Months Ended |
Sep. 30, 2015 | |
Earnings Per Share [Abstract] | |
Earnings per Share | 11. Earnings per Share The following table details the Company’s calculation of earnings per share for the three and nine months ended September 30, 2015 and 2014. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Basic earnings (loss) per share: Net income (loss) $ (83,892 ) $ 77,891 $ (93,871 ) $ 82,212 Less preferred stock dividends (5,480 ) (5,480 ) (16,441 ) (16,441 ) Net income (loss) available to common shareholders $ (89,372 ) $ 72,411 $ (110,312 ) $ 65,771 Weighted average shares 96,545,913 96,563,132 96,705,682 96,561,446 Basic earnings (loss) per share $ (0.93 ) $ 0.75 $ (1.14 ) $ 0.68 Diluted earnings (loss) per share: Net income (loss) $ (83,892 ) $ 77,891 $ (93,871 ) $ 82,212 Less preferred stock dividends for antidilutive shares (5,480 ) (5,480 ) (16,441 ) (16,441 ) Net income (loss) available to common shareholders $ (89,372 ) $ 72,411 $ (110,312 ) $ 65,771 Weighted average shares 96,545,913 96,563,132 96,705,682 96,561,446 Potential dilutive shares from exercise of stock options - - - - Diluted weighted average shares 96,545,913 96,563,132 96,705,682 96,561,446 Diluted earnings (loss) per share $ (0.93 ) $ 0.75 $ (1.14 ) $ 0.68 There were no potentially dilutive shares for any of the periods presented. |
Transactions with Related Parti
Transactions with Related Parties | 9 Months Ended |
Sep. 30, 2015 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | 12. Transactions with Related Parties Management Fees The Company is externally managed by ACA pursuant to a management agreement (the “Management Agreement”). All of the Company’s executive officers are also employees of ACA. ACA manages the Company’s day-to-day operations, subject to the direction and oversight of the Company’s board of directors which includes six independent directors. The Management Agreement expires on February 23, 2016 and is thereafter automatically renewed for an additional one-year term unless terminated under certain circumstances. ACA must be provided 180 days prior notice of any such termination and will be paid a termination fee equal to four times the average annual management fee earned by ACA during the two year period immediately preceding termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. Under the terms of the Management Agreement, the Company reimburses ACA for certain operating expenses of the Company that are borne by ACA. ACA is entitled to receive a management fee payable monthly in arrears in an amount equal to 1/12th of an amount determined as follows: · for the Company’s equity up to $250 million, 1.50% (per annum) of equity; plus · for the Company’s equity in excess of $250 million and up to $500 million, 1.10% (per annum) of equity; plus · for the Company’s equity in excess of $500 million and up to $750 million, 0.80% (per annum) of equity; plus · for the Company’s equity in excess of $750 million, 0.50% (per annum) of equity. For purposes of calculating the management fee, equity is defined as the value, computed in accordance with GAAP, of shareholders’ equity, adjusted to exclude the effects of unrealized gains or losses. The following table presents amounts incurred for management fee, reimbursable expenses and share-based compensation expense related to the restricted common shares granted to management. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Management fee $ 4,037 $ 4,122 $ 12,215 $ 12,420 Reimbursable expenses 1,124 715 3,681 2,403 Total $ 5,161 $ 4,837 $ 15,896 $ 14,823 Share-based compensation $ 966 $ 890 $ 3,045 $ 2,592 None of the reimbursement payments were specifically attributable to the compensation of the Company’s executive officers. Reimbursable expenses above includes rent paid by ACA for the Company’s office space. As of October 2014, the Company’s office space is rented from a real estate partnership in which some of the Company’s executive officers have a financial interest, at an annual rate of approximately $300. At September 30, 2015 and December 31, 2014, the Company owed ACA $1,947 and $3,198, respectively, for the management fee and reimbursable expenses, which is included in accounts payable and other liabilities. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 9 Months Ended |
Sep. 30, 2015 | |
Equity [Abstract] | |
Accumulated Other Comprehensive Income | 13. Accumulated Other Comprehensive Income The Company records unrealized gains and losses on its MBS and its forward purchase commitments securities as described in Note 4 and Note 9. As discussed in Note 9, the Company ceased hedge accounting for its interest rate swaps effective September 30, 2013. Beginning October 1, 2013, changes in the fair value of interest rate swaps are recorded directly to net income. The cumulative unrealized loss on interest rate swaps in AOCI as of September 30, 2013 is being amortized to net income as the hedged forecasted transactions occur. The following table rolls forward the components of AOCI, including reclassification adjustments, for the three months ended September 30, 2015. Unrealized gain/(loss) on available for sale MBS Unrealized gain/(loss) on unsettled MBS Unrealized gain/(loss) on other investments Unrealized gain/(loss) on derivative instruments Total Accumulated other comprehensive income (loss) at July 1, 2015 $ 233,289 $ (3 ) $ (305 ) $ (6,172 ) $ 226,809 Other comprehensive income (loss) before reclassification (753 ) 85 (21 ) 2,109 1,420 Balance Sheet Reclassification: Amount reclassified to MBS available for sale - 3 - (1,153 ) (1,150 ) Income Statement Reclassification: Amounts reclassified to net loss on the sale of MBS (1,216 ) - - - (1,216 ) Amounts reclassified to interest expense - - - 5,433 5,433 Net current period other comprehensive income (loss) (1,969 ) 88 (21 ) 6,389 4,487 Accumulated other comprehensive income (loss) at September 30, 2015 $ 231,320 $ 85 $ (326 ) $ 217 $ 231,296 The following table rolls forward the components of AOCI, including reclassification adjustments, for the three months ended September 30, 2014. Unrealized gain/(loss) on available for sale MBS Unrealized gain/(loss) on unsettled MBS Unrealized gain/(loss) on other investments Unrealized gain/(loss) on derivative instruments Total Accumulated other comprehensive income (loss) at July 1, 2014 $ 223,948 $ 582 $ (495 ) $ (59,812 ) $ 164,223 Other comprehensive income (loss) before reclassification (30,572 ) 120 (111 ) 1,872 (28,691 ) Balance Sheet Reclassification: Amount reclassified to MBS available for sale - (582 ) - (3,755 ) (4,337 ) Income Statement Reclassification: Amounts reclassified to net gain on the sale of MBS (237 ) - - - (237 ) Amounts reclassified to interest expense - - - 19,806 19,806 Net current period other comprehensive income (loss) (30,809 ) (462 ) (111 ) 17,923 (13,459 ) Accumulated other comprehensive income (loss) at September 30, 2014 $ 193,139 $ 120 $ (606 ) $ (41,889 ) $ 150,764 The following table rolls forward the components of AOCI, including reclassification adjustments, for the nine months ended September 30, 2015. Unrealized gain/(loss) on available for sale MBS Unrealized gain/(loss) on unsettled MBS Unrealized gain/(loss) on other investments Unrealized gain/(loss) on derivative instruments Total Accumulated other comprehensive income (loss) at January 1, 2015 $ 232,240 $ 42 $ (595 ) $ (25,922 ) $ 205,765 Other comprehensive income (loss) before reclassification 16,440 876 269 8,110 25,695 Balance Sheet Reclassification: Amount reclassified to MBS available for sale - (833 ) - (10,121 ) (10,954 ) Income Statement Reclassification: Amounts reclassified to net gain on the sale of MBS (17,360 ) - - - (17,360 ) Amounts reclassified to interest expense - - - 28,150 28,150 Net current period other comprehensive income (loss) (920 ) 43 269 26,139 25,531 Accumulated other comprehensive income (loss) at September 30, 2015 $ 231,320 $ 85 $ (326 ) $ 217 $ 231,296 The following table rolls forward the components of AOCI, including reclassification adjustments, for the nine months ended September 30, 2014. Unrealized gain/(loss) on available for sale MBS Unrealized gain/(loss) on unsettled MBS Unrealized gain/(loss) on other investments Unrealized gain/(loss) on derivative instruments Total Accumulated other comprehensive income (loss) at January 1, 2014 $ 109,490 $ - $ (627 ) $ (116,915 ) $ (8,052 ) Other comprehensive income (loss) before reclassification 86,738 516 21 7,669 94,944 Balance Sheet Reclassification: Amount reclassified to MBS available for sale - (396 ) - (5,139 ) (5,535 ) Income Statement Reclassification: Amounts reclassified to net gain on the sale of MBS (3,089 ) - - - (3,089 ) Amounts reclassified for termination of all- in-one cash flow hedge accounting on dollar roll TBAs - - - 5,083 5,083 Amounts reclassified to interest expense - - - 67,413 67,413 Net current period other comprehensive income (loss) 83,649 120 21 75,026 158,816 Accumulated other comprehensive income (loss) at September 30, 2014 $ 193,139 $ 120 $ (606 ) $ (41,889 ) $ 150,764 |
Summary of Significant Accoun21
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Use of Estimates | Basis of Presentation and Use of Estimates The accompanying unaudited consolidated financial statements have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, they 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. Operating results for the three and nine months ended September 30, 2015 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2015. These unaudited consolidated financial statements should be read in conjunction with the audited financial statements and notes thereto included in the Company’s annual report on Form 10-K for the year ended December 31, 2014. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying consolidated financial statements include the valuation of MBS and derivative instruments. Certain prior period amounts have been reclassified to conform to the current period classification. |
Principles of Consolidation | Principles of Consolidation The consolidated financial statements include the accounts of the Company and all of its subsidiaries. The Company also considers the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 810 on Consolidation in determining whether consolidation is appropriate for any interests held in variable interest entities. All significant intercompany balances and transactions have been eliminated. PLS has been determined to be a variable interest entity (“VIE”) pursuant to ASC 810, Consolidation The following table presents the assets and liabilities of PLS that have been included in the Company’s consolidated balance sheets: September 30, 2015 Mortgage loans held for sale $ 9,572 Mortgage servicing rights 170,447 Cash and cash equivalents 20,547 Accrued interest receivable 19 Other assets 18,983 Total assets $ 219,568 Accounts payable and other liabilities $ 16,776 Warehouse lines of credit 8,709 Derivative liabilities 41 Total liabilities $ 25,526 |
Cash and Cash Equivalents | Cash and Cash Equivalents The Company considers all highly liquid investments with original maturities of three months or less to be cash equivalents. The carrying amounts of cash equivalents approximate their fair value. Cash and cash equivalents includes pledged cash held in margin accounts at various counterparties as collateral on interest rate swaps, Eurodollar futures contracts and forward commitments to purchase TBA securities (as defined below). |
Financial Instruments | Financial Instruments The Company considers its cash and cash equivalents, MBS (settled and unsettled), mortgage loans, forward purchase commitments, debt security held-to-maturity, receivable for securities sold, accrued interest receivable, principal payments receivable, payable for unsettled securities, derivative instruments, borrowings and accrued interest payable to meet the definition of financial instruments. The carrying amount of cash and cash equivalents, receivable for securities sold, accrued interest receivable and payable for unsettled securities approximate their fair value due to the short maturities of these instruments and would be valued using Level 1 inputs. The carrying amount of borrowings are deemed to approximate fair value given their short-term duration and would be valued using Level 2 inputs. See Note 4 for discussion of the fair value of MBS. See Note 5 for discussion of the fair value of mortgage loans. See Note 7 for discussion of the fair value of the held-to-maturity debt security. See Note 9 for discussion of the fair value of derivative instruments, including forward purchase commitments. See Note 3 for a summary of all the Company’s financial instruments. The Company limits its exposure to credit losses on its portfolio of securities by purchasing predominantly agency securities. The Company’s investments are diversified to avoid undue exposure to loan originator, geographic and other types of concentration. The Company manages the risk of prepayments of the underlying mortgages by creating a diversified portfolio with a variety of expected prepayment characteristics. See Note 4 for additional information on MBS. The Company is engaged in various trading and brokerage activities including repurchase agreements, dollar roll transactions, interest rate swap agreements, interest rate swaptions and futures contracts in which counterparties primarily include broker-dealers, banks, and other financial institutions. In the event counterparties do not fulfill their obligations, the Company may be exposed to risk of loss. The risk of default depends on the creditworthiness of the counterparty and/or issuer of the instrument. It is the Company’s policy to review, as necessary, the credit standing for each counterparty and retain collateral when appropriate. See Note 8 for additional information on repurchase agreements and Note 9 for additional information on dollar roll transactions, interest rate swap agreements, interest rate swaptions and futures contracts. |
Mortgage-Backed Securities | Mortgage-Backed Securities The Company invests in MBS representing interests in or obligations backed by pools of single-family residential mortgage loans. Other than securities for which the fair value option is elected, GAAP requires the Company to classify its investment securities as either trading, available-for-sale or held-to-maturity securities. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. Other than its investments in credit risk transfer bonds issued by Fannie Mae and Freddie Mac (“GSE CRT bonds”), the Company currently classifies all of its MBS as available-for-sale. All MBS that are classified as available-for-sale are carried at fair value and unrealized gains and losses are included in other comprehensive income (loss). The Company accounts for its GSE CRT bonds under the fair value option. Under the fair value option, these bonds are carried at fair value and unrealized gains and losses are included in “Net unrealized loss on mortgage backed securities” in the consolidated statements of income. All the Company’s security purchase and sale transactions are recorded on the trade date. Gains or losses realized from the sale of securities are included in “Net realized gain on sale of mortgage-backed securities” in the consolidated statements of income and are determined using the specific identification method. Forward purchase commitments to acquire “when issued” or to-be-announced (“TBA”) securities are recorded at fair value in accordance with ASC Topic 815, Derivatives and Hedging (“ASC 815”). The fair value of these forward purchase commitments is included in derivative assets or derivative liabilities in the accompanying consolidated balance sheets. If the Company intends to take physical delivery of the securities, as is the case for forward purchase commitments to acquire TBA securities from mortgage originators, the commitment is designated as an all-in-one cash flow hedge and its unrealized gains and losses are recorded in other comprehensive income. If the Company does not intend to take physical delivery of the securities, as is the case with most TBA dollar roll transactions, the commitment is not designated as an accounting hedge and unrealized gains and losses are recorded in “Loss on derivative instruments, net.” See Note 9 for additional information on forward purchase commitments. The Company assesses its available-for-sale investment securities for other-than-temporary impairment on at least a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date the impairment is designated as either “temporary” or “other-than-temporary.” In deciding on whether or not a security is other-than-temporarily impaired, the Company uses a two-step evaluation process. First, the Company determines whether it has made any decision to sell a security that is in an unrealized loss position, or, if not, the Company determines whether it is more likely than not that the Company will be required to sell the security prior to recovering its amortized cost basis. If the answer to either of these questions is “yes” then the security is considered other-than-temporarily impaired. No other-than temporary impairments were recognized during the periods presented herein. |
Mortgage Loans Held for Investment | Mortgage Loans Held for Investment The Company purchases individual prime jumbo adjustable-rate whole mortgage loans with the intention of holding them as investments. In order to finance its investment in the loans, the Company may securitize the loans into MBS not issued or guaranteed by a U.S. Government agency or U.S. Government-sponsored entity. The Company would then purchase the majority of the MBS that the securitization trusts would issue, and would expect to consolidate the trusts pursuant to GAAP. The Company has elected to account for these loans under the fair value option, pursuant to ASC Topic 825. As a result of electing the fair value option, the mortgage loans are carried at fair value with changes therein reflected in consolidated net income (loss), consistent with the accounting for the related hedging instruments, thereby enhancing the usefulness of the Company’s financial statements. See “Interest Income” below for discussion of the recognition of interest income on mortgage loans. Other changes in fair value are reported in “Net gain on mortgage loans” in the consolidated statements of income. Given the Company’s intent to hold the mortgage loans as investments, purchases and sales or paydowns of mortgage loans held for investment are classified as investing cash flows in the consolidated statements of cash flows. |
Mortgage Loans Held for Sale | Mortgage Loans Held for Sale The Company purchases certain individual whole mortgage loans with the intention of selling them to Ginnie Mae for inclusion in securitizations. The Company has elected to account for these loans under the fair value option, pursuant to ASC Topic 825, because it better reflects the short-term nature of the Company’s holdings in these loans. As a result of electing the fair value option, the mortgage loans are carried at fair value with changes therein reflected in consolidated net income (loss). See “Interest Income” below for discussion of the recognition of interest income on mortgage loans. Other changes in fair value are reported in “Net gain on mortgage loans” in the consolidated statements of income. |
Mortgage Servicing Rights | Mortgage Servicing Rights The Company purchases MSR with the intention of holding them as investments. The Company and its subsidiaries do not originate or directly service mortgage loans. Rather, it utilizes duly licensed subservicers to perform substantially all servicing functions for the loans underlying the MSR. The Company has elected to account for its investments in MSR at fair value pursuant to ASC 860, Transfers and Servicing. As a result, MSR are carried at fair value with changes therein reported in “Net loss on mortgage servicing rights” in the consolidated statements of income. Servicing fee income and expense are reported on a net basis in “Net mortgage servicing rights income” in the consolidated statements of income. |
Derivative Instruments | Derivative Instruments The Company manages economic risks, including interest rate, liquidity and credit risks, primarily by managing the amount, sources, cost and duration of its debt funding. The objectives of the Company’s risk management strategy are 1) to attempt to mitigate the risk of the cost of its variable rate liabilities increasing during a period of rising interest rates, and 2) to reduce fluctuations in net book value over a range of interest rate scenarios. The principal instruments that the Company uses to achieve these objectives are interest rate swaps and Eurodollar Futures Contracts (“Futures Contracts”). The Company uses Futures Contracts to approximate the economic hedging results achieved with interest rate swaps. The Company does not enter into any of these transactions for speculative purposes. The Company accounts for derivative instruments in accordance with ASC 815, which requires an entity to recognize all derivatives as either assets or liabilities, measured at fair value. The accounting for changes in the fair value of derivative instruments depends on whether the instruments are designated and qualify as part of a hedging relationship pursuant to ASC 815. Changes in fair value related to derivatives not in hedge designated relationships are recorded in “Net gain (loss) on derivative instruments” in the Company’s consolidated statements of income, whereas changes in fair value related to derivatives in hedge designated relationships are initially recorded in other comprehensive income (loss) and later reclassified to income at the time that the hedged transactions affect earnings. Any portion of the changes in fair value due to hedge ineffectiveness is immediately recognized in the income statement. Derivative instruments in a gain position are reported as derivative assets and derivative instruments in a loss position are reported as derivative liabilities in the Company’s consolidated balance sheets. In the Company’s consolidated statements of cash flows, cash receipts and payments related to derivative instruments are classified according to the underlying nature or purpose of the derivative transaction, generally in the operating section if the derivatives are designated as accounting hedges and in the investing section otherwise. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments in an asset position fail to perform their obligations under the contracts. The Company attempts to minimize this risk by limiting its counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. The Company’s interest rate swaps have historically been accounted for as cash flow hedges under ASC 815. However, on September 30, 2013, the Company discontinued hedge accounting for its interest rate swap agreements by de-designating the interest rate swaps as cash flow hedges. No interest rate swaps were terminated in conjunction with this action, and the Company’s risk management and hedging practices were not impacted. As a result of discontinuing hedge accounting, beginning October 1, 2013 changes in the fair value of the Company’s interest rate swap agreements are recorded in “Net gain (loss) on derivative instruments” in the Company’s consolidated statements of income, rather than in other comprehensive income (loss). Also, net interest paid or received under the interest rate swaps, which up through September 30, 2013 was recognized in “interest expense,” is instead recognized in “Net gain (loss) on derivative instruments.” These interest rate swaps continue to be reported as assets or liabilities on the Company’s consolidated balance sheets at their fair value. As long as the forecasted transactions that were being hedged (i.e. rollovers of the Company’s repurchase agreement borrowings) are still expected to occur, the balance in accumulated other comprehensive income (AOCI) from interest rate swap activity up through September 30, 2013 remains in AOCI and is recognized in the Company’s consolidated statements of income as “interest expense” over the remaining term of the interest rate swaps. See Note 9 for further information. The Company may also enter into forward purchase commitments as a means of investing in and financing agency securities via TBA dollar roll transactions. TBA dollar roll transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The agency securities purchased at the later settlement date are typically priced at a discount to securities for settlement in the current month. This difference is referred to as the “price drop.” The price drop represents compensation to the Company for foregoing net interest margin (interest income less repurchase agreement financing cost) and is referred to as “dollar roll income,” which the Company classifies in “Net gain (loss) on derivative instruments.” Realized and unrealized gains and losses related to TBA dollar roll transactions are also recognized in “Net gain (loss) on derivative instruments.” TBA dollar roll transactions represent off-balance sheet financing. |
Repurchase Agreements | Repurchase Agreements The Company finances the acquisition of its MBS primarily through the use of repurchase agreements. Under these repurchase agreements, the Company sells securities to a lender and agrees to repurchase the same securities in the future for a price that is higher than the original sales price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although structured as a sale and repurchase obligation, a repurchase agreement operates as a financing under which the Company pledges its securities as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. The Company records repurchase agreements on the consolidated balance sheets at the amount of cash received (or contract value), with accrued interest recorded separately. The Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, the Company is required to repay the loan and concurrently receives back its pledged collateral from the lender or, with the consent of the lender, the Company may renew such agreement at the then-prevailing financing rate. These repurchase agreements may require the Company to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. |
Warehouse Line Of Credit | Warehouse Lines of Credit Warehouse lines of credit include borrowings under mortgage loan warehouse facilities with various counterparties that expire within one year. These borrowings are collateralized by mortgage loans. If the value of the underlying collateral (as determined by the counterparty) securing these borrowings decreases, the Company may be subject to margin calls during the period the borrowing is outstanding. To satisfy these margin calls, the Company may have to pledge additional collateral or repay portions of the borrowings. |
Federal Home Loan Bank Advances | Federal Home Loan Bank Advances During the third quarter of 2015, a wholly-owned subsidiary of the Company became a member of the Federal Home Loan Bank of Atlanta (the “FHLB”). The FHLB offers a variety of products and services, including short-term and long-term secured advances. FHLB advances are carried at their contractual amounts. |
Offsetting of Assets and Liabilities | Offsetting of Assets and Liabilities The Company’s derivative agreements and repurchase agreements generally contain provisions that allow for netting or the offsetting of receivables and payables with each counterparty. The Company reports amounts in its consolidated balance sheets on a gross basis without regard for such rights of offset or master netting arrangements. |
Interest Income | Interest Income Interest income on MBS is earned and recognized based on the outstanding principal amount of the investment securities and their contractual terms. Premiums and discounts associated with the purchase of the investment securities are amortized or accreted into interest income over the actual lives of the securities using the effective interest method. The Company recognizes interest income on mortgage loans held based on their stated coupon rates. If a loan becomes 90 days past due, it is considered non-performing and is placed in non-accrual status; accrual of interest income ceases and any existing interest receivables are reversed. Any cash received while a loan is in non-accrual status is first applied to unpaid principal and then to unpaid interest. In general, non-performing loans are only restored to accrual status when no principal or interest remains due and unpaid. |
Income Taxes | Income Taxes The Company has elected to be taxed as a REIT under the Code. The Company will generally not be subject to federal income tax to the extent that it distributes 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Code and as long as it satisfies the ongoing REIT requirements including meeting certain asset, income and stock ownership tests. The Company has made an election to treat certain of its subsidiaries as TRSs. These TRSs are taxable as domestic C corporations and are subject to federal, state and local income taxes based upon their taxable income. |
Share-Based Compensation | Share-Based Compensation Share-based compensation is accounted for under the guidance included in the ASC Topic on Stock Compensation. For share and share-based awards issued to employees, a compensation charge is recorded in earnings based on the fair value of the award. For transactions with non-employees in which services are performed in exchange for the Company’s common stock or other equity instruments, the transactions are recorded on the basis of the fair value of the service received or the fair value of the equity instruments issued, whichever is more readily measurable at the date of issuance. The Company’s share-based compensation transactions resulted in compensation expense of $966 and $890 for the three months ended September 30, 2015 and 2014, respectively. Share-based compensation expense was $3,045 and $2,592 for the nine months ended September 30, 2015 and 2014, respectively. |
Earnings Per Common Share (EPS) | Earnings Per Common Share (EPS) Basic EPS is computed by dividing net income less preferred stock dividends to arrive at net income available to holders of common stock by the weighted average number of shares of common stock outstanding during the period. Diluted EPS is computed using the two class method, as described in the ASC Topic on Earnings Per Share, which takes into account certain adjustments related to participating securities. Participating securities are unvested share-based awards that contain rights to receive nonforfeitable dividends, such as those awarded under the Company’s equity incentive plan. Net income available to holders of common stock after deducting dividends on unvested participating securities if antidilutive, is divided by the weighted average shares of common stock and common equivalent shares outstanding during the period. For the diluted EPS calculation, common equivalent shares outstanding includes the weighted average number of shares of common stock outstanding adjusted for the effect of dilutive unexercised stock options, if any. |
Other Comprehensive Income (Loss) | Other Comprehensive Income (Loss) Other comprehensive income refers to revenue, expenses, gains, and losses that are recorded directly as an adjustment to shareholders’ equity. Other comprehensive income for the Company generally arises from unrealized gains or losses generated from changes in market values of available-for-sale securities and derivative instruments that have been designated as accounting hedges. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis |
Organization and Business Des22
Organization and Business Description (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Schedule of Assets and Liabilities as on Acquisition Date | The opening balance sheet of Pingora as of the acquisition date consisted of the following assets and liabilities: Assets / (Liabilities) Mortgage loans held for sale, at fair value $ 4,292 Cash and cash equivalents 1,937 Ascent software platform 2,000 Customer relationships intangible 16,000 Licenses 2,000 Goodwill 3,498 Warehouse lines of credit (3,989 ) Deferred tax liabilities (2,060 ) Other net liabilities (215 ) $ 23,463 |
Summary of Significant Accoun23
Summary of Significant Accounting Policies (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Policies [Abstract] | |
Schedule of Assets and Liabilities | The following table presents the assets and liabilities of PLS that have been included in the Company’s consolidated balance sheets: September 30, 2015 Mortgage loans held for sale $ 9,572 Mortgage servicing rights 170,447 Cash and cash equivalents 20,547 Accrued interest receivable 19 Other assets 18,983 Total assets $ 219,568 Accounts payable and other liabilities $ 16,776 Warehouse lines of credit 8,709 Derivative liabilities 41 Total liabilities $ 25,526 |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Carrying Values and Fair Values of Assets and Liabilities | The carrying values and fair values of assets and liabilities that are required to be reported or disclosed at fair value as of September 30, 2015 and December 31, 2014 were as follows. September 30, 2015 December 31, 2014 Carrying Value Fair Value Carrying Value Fair Value Assets MBS $ 15,472,580 $ 15,472,580 $ 17,587,010 $ 17,587,010 Mortgage loans held for investment 265,281 265,281 31,460 31,460 Mortgage loans held for sale 9,572 9,572 - - MSR 170,447 170,447 - - Cash and cash equivalents 711,148 711,148 627,595 627,595 Unsettled purchased MBS 65,834 65,834 24,792 24,792 Receivable for securities sold 51,729 51,729 5,197 5,197 Accrued interest receivable 47,563 47,563 54,274 54,274 Principal payments receivable 144,261 144,261 111,439 111,439 Debt security, held-to-maturity (1) 15,000 14,620 15,000 14,853 Short-term investments (1) 30,444 30,444 20,252 20,252 Interest rate swaps and swaptions (2) 1,831 1,831 11,050 11,050 Forward purchase commitments (2) 2,534 2,534 16,101 16,101 Liabilities Repurchase agreements $ 14,240,809 14,240,809 $ 15,759,831 $ 15,759,831 Warehouse lines of credit 33,172 33,172 - - FHLB advances 14,132 14,132 - - Payable for unsettled securities 66,266 66,266 24,750 24,750 Accrued interest payable 2,533 2,533 6,968 6,968 Interest rate swap liability (3) 22,964 22,964 42,052 42,052 Futures Contracts liability (3) 394,221 394,221 202,501 202,501 Forward purchase commitments (3) 1,736 1,736 38 38 (1) ncluded in other investments on the consolidated balance sheets. ( 2 ) ncluded in derivative assets on the consolidated balance sheets. (3) ncluded in derivative liabilities on the consolidated balance sheets. |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Investments Debt And Equity Securities [Abstract] | |
Schedule of Agency Securities and MBS Portfolio Includes MBS not Issued or Guaranteed by U.S. Government Agency or U.S. Government Sponsored Entity | The following table presents the composition of the Company’s MBS at September 30, 2015. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Estimated Fair Value Agency Securities Fannie Mae Certificates ARMs $ 7,946,906 $ (2,542 ) $ 157,850 $ 8,102,214 Fixed-Rate 1,034,126 - 7,023 1,041,149 Total Fannie Mae 8,981,032 (2,542 ) 164,873 9,143,363 Freddie Mac Certificates ARMs 6,076,068 (6,337 ) 73,684 6,143,415 Fixed-Rate 131,775 - 1,642 133,417 Total Freddie Mac 6,207,843 (6,337 ) 75,326 6,276,832 Total Agency Securities 15,188,875 (8,879 ) 240,199 15,420,195 Total Available-for-Sale MBS 15,188,875 (8,879 ) 240,199 15,420,195 GSE CRT Bonds 52,780 (395 ) - 52,385 Total MBS $ 15,241,655 $ (9,274 ) $ 240,199 $ 15,472,580 The following table presents the composition of the Company’s MBS at December 31, 2014. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Estimated Fair Value Agency Securities Fannie Mae Certificates ARMs $ 9,203,741 $ (13,737 ) $ 183,889 $ 9,373,893 Fixed-Rate 1,111,288 - 5,177 1,116,465 Total Fannie Mae 10,315,029 (13,737 ) 189,066 10,490,358 Freddie Mac Certificates ARMs 6,805,885 (21,794 ) 76,790 6,860,881 Fixed-Rate 158,402 - 1,767 160,169 Total Freddie Mac 6,964,287 (21,794 ) 78,557 7,021,050 Total Agency Securities 17,279,316 (35,531 ) 267,623 17,511,408 Total Non-Agency ARMs 75,454 - 148 75,602 Total MBS $ 17,354,770 $ (35,531 ) $ 267,771 $ 17,587,010 |
Components of Carrying Value of MBS | The components of the carrying value of MBS at September 30, 2015 and December 31, 2014 are presented below: September 30, December 31, 2015 2014 Principal balance $ 14,824,999 $ 16,864,583 Unamortized premium 418,148 490,187 Unamortized discount (1,492 ) - Gross unrealized gains 240,199 267,771 Gross unrealized losses (9,274 ) (35,531 ) Carrying value/estimated fair value $ 15,472,580 $ 17,587,010 |
Schedule of Interest Income | The following table presents components of interest income on the Company’s MBS portfolio for the three and nine months ended September 30, 2015 and 2014. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Coupon interest $ 104,357 $ 110,382 $ 326,266 $ 343,108 Net premium amortization (33,483 ) (29,413 ) (92,760 ) (76,374 ) Interest income $ 70,874 $ 80,969 $ 233,506 $ 266,734 |
Gross Gains and Losses from MBS Sales | Gross gains and losses from sales of MBS for the three and nine months ended September 30, 2015 and 2014 were as follows: Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Gross gains $ 4,831 $ 237 $ 21,329 $ 13,713 Gross losses (3,615 ) - (3,969 ) (10,624 ) Net gain (loss) $ 1,216 $ 237 $ 17,360 $ 3,089 |
Schedule of MBS in Unrealized Loss Position | The Company monitors the performance and market value of its MBS portfolio on an ongoing basis, and on a quarterly basis reviews its MBS for impairment. At September 30, 2015 and December 31, 2014, the Company had the following securities in a loss position as presented in the following two tables: As of September 30, 2015 Less than 12 Months Greater than 12 Months Total Fair Market Unrealized Fair Market Unrealized Fair Market Unrealized Value Loss Value Loss Value Loss Fannie Mae Certificates ARMs $ 177,892 $ (329 ) $ 539,176 $ (2,212 ) $ 717,068 $ (2,541 ) Fixed-Rate - - - - - - Freddie Mac Certificates ARMs 206,857 (283 ) 911,208 (6,055 ) 1,118,065 (6,338 ) Fixed-Rate - - - - - - Total temporarily impaired securities $ 384,749 $ (612 ) $ 1,450,384 $ (8,267 ) $ 1,835,133 $ (8,879 ) Number of securities in an unrealized loss position 23 52 75 As of December 31, 2014 Less than 12 Months Greater than 12 Months Total Fair Market Unrealized Fair Market Unrealized Fair Market Unrealized Value Loss Value Loss Value Loss Fannie Mae Certificates ARMs $ 806,600 $ (1,240 ) $ 1,306,153 $ (12,497 ) $ 2,112,753 $ (13,737 ) Fixed-Rate - - - - - - Freddie Mac Certificates ARMs 498,994 (792 ) 1,737,760 (21,002 ) 2,236,754 (21,794 ) Fixed-Rate - - - - - - Total temporarily impaired securities $ 1,305,594 $ (2,032 ) $ 3,043,913 $ (33,499 ) $ 4,349,507 $ (35,531 ) Number of securities in an unrealized loss position 56 108 164 |
Mortgage Loans (Tables)
Mortgage Loans (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Investments Debt And Equity Securities [Abstract] | |
Geographic Distribution of Mortgage Loans Held for Investment | The following table provides the geographic distribution of mortgage loans held for investment at September 30, 2015 and December 31, 2014, based on unpaid principal balance. September 30, 2015 December 31, 2014 California 54 % 82 % Texas 9 % 3 % Illinois 6 % 2 % Washington 5 % 2 % All other 26 % 11 % Total 100 % 100 % |
Components for Mortgage Loan Held for Investment Portfolio | The following table provides additional data on the Company’s mortgage loans held for investment portfolio at September 30, 2015 and December 31, 2014. September 30, 2015 December 31, 2014 Portfolio Portfolio Portfolio Range Weighted Average Portfolio Range Weighted Average Unpaid principal balance $8 to $1,990 $ 764 $447 to $1,332 $ 790 Interest rate 2.50% to 4.13% 3.41% 2.75% to 3.75% 3.43% Maturity 5/2044 to 10/2045 2/2045 6/2044 to 12/2044 9/2044 FICO score at loan origination 700 to 815 768 705 to 813 762 Loan-to-value ratio at loan origination 24% to 80% 69% 28% to 80% 65% |
Rollforward of Mortgage Loans Held for Investment | The following table presents the rollforward of mortgage loans held for investment for the periods presented. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Fair value, beginning of period $ 183,320 $ - $ 31,460 $ - Principal purchased 92,982 - 259,752 - Principal repaid (12,153 ) - (26,618 ) - Change in fair value 1,132 - 687 - Fair value, end of period $ 265,281 $ - $ 265,281 $ - |
Schedule of Unobservable Inputs Used in Level 3 Valuation of Mortgage Loans Held for Investment | The following table provides information about the significant unobservable inputs used in the Level 3 valuation of the Company’s mortgage loans held for investment at September 30, 2015 and December 31, 2014. September 30, 2015 December 31, 2014 Weighted- Weighted- Unobservable Input Range Average Range Average Discount rate 2.0% - 3.3% 3.1 % 3.6% - 3.9% 3.8 % Conditional refinance rate 12.8% - 21.1% 16.4 % 12.4% - 19.3% 15.3 % Default rate 0% - 2.6% 0.6 % 0% - 1.5% 0.4 % Loss severity 0% - 25.6% 15.2 % 10.2% - 19.9% 13.8 % |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Rollforward of Mortgage Loans Held for Investment | The following table presents the rollforward of mortgage loans held for investment for the periods presented. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Fair value, beginning of period $ 183,320 $ - $ 31,460 $ - Principal purchased 92,982 - 259,752 - Principal repaid (12,153 ) - (26,618 ) - Change in fair value 1,132 - 687 - Fair value, end of period $ 265,281 $ - $ 265,281 $ - |
Schedule of Unobservable Inputs Used in Level 3 Valuation of Mortgage Loans Held for Investment | The following table provides information about the significant unobservable inputs used in the Level 3 valuation of the Company’s mortgage loans held for investment at September 30, 2015 and December 31, 2014. September 30, 2015 December 31, 2014 Weighted- Weighted- Unobservable Input Range Average Range Average Discount rate 2.0% - 3.3% 3.1 % 3.6% - 3.9% 3.8 % Conditional refinance rate 12.8% - 21.1% 16.4 % 12.4% - 19.3% 15.3 % Default rate 0% - 2.6% 0.6 % 0% - 1.5% 0.4 % Loss severity 0% - 25.6% 15.2 % 10.2% - 19.9% 13.8 % |
Schedule of Mortgage Servicing Income and Mortgage Servicing Expenses | The Company’s mortgage servicing income and mortgage servicing expenses were as follows for the three and nine months ended September 30, 2015 and 2014. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Servicing fee income $ 4,445 $ - $ 4,445 $ - Ancillary fee income 117 - 117 - Mortgage servicing fee income 4,562 - 4,562 - Mortgage servicing expense (464 ) - (464 ) - Change in representation and warranty obligations (290 ) - (290 ) - Mortgage servicing rights income, net $ 3,808 $ - $ 3,808 $ - |
Mortgage Servicing Rights | |
Rollforward of Mortgage Loans Held for Investment | The following table presents the rollforward of MSR for the periods presented. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Fair value, beginning of period $ - $ - $ - $ - Purchases 170,986 - 170,986 - Settlements - - - - Change in fair value (539 ) - (539 ) - Fair value, end of period $ 170,447 $ - $ 170,447 $ - |
Schedule of Unobservable Inputs Used in Level 3 Valuation of Mortgage Loans Held for Investment | The following table provides information about the significant unobservable inputs used in the Level 3 valuation of the Company’s MSR at September 30, 2015 and December 31, 2014. September 30, 2015 December 31, 2014 Weighted- Weighted- Unobservable Input Range Average Range Average Discount rate 10.0% - 11.0% 10.3 % - - Prepayment rate 8.5% - 36.1% 11.1 % - - Delinquency rate 0% - 1.3% 0.7 % - - |
Other Investments (Tables)
Other Investments (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Schedule Of Investments [Abstract] | |
Summary of Other Investments | Other investments consisted of the following items as of September 30, 2015 and December 31, 2014: September 30, 2015 December 31, 2014 Short-term investments $ 30,444 $ 20,252 Debt security, held-to-maturity 15,000 15,000 Equity investments 6,603 6,000 Total other investments $ 52,047 $ 41,252 |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Banking And Thrift [Abstract] | |
Contractual Maturity Information Regarding Repurchase Agreements | The Company uses repurchase agreements and FHLB advances to finance MBS purchases. Repurchase agreements and FHLB advances are collateralized by the Company’s MBS and typically bear interest at rates that are closely related to LIBOR. At September 30, 2015 and December 31, 2014, the Company had repurchase indebtedness outstanding with 26 and 25 counterparties with a weighted average remaining contractual maturity of 0.9 and 1.0 months, respectively. The following table presents contractual maturity information regarding the Company’s repurchase agreements: September 30, 2015 December 31, 2014 Weighted Average Weighted Average Balance Contractual Rate Balance Contractual Rate Within 30 days $ 12,990,809 0.44 % $ 13,770,099 0.35 % 30 days to 3 months 250,000 0.52 % 1,489,732 0.36 % 3 months to 36 months 1,000,000 0.59 % 500,000 0.53 % $ 14,240,809 0.46 % $ 15,759,831 0.36 % |
Derivatives and Other Hedging30
Derivatives and Other Hedging Instruments (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Schedule of Location of Derivatives Instruments on Consolidated Balance Sheet | The fair values of interest rate swaps are determined using the market standard methodology of netting the discounted future fixed cash receipts (or payments) and the discounted expected variable cash payments (or receipts). The variable cash payments (or receipts) are based on an expectation of future interest rates (forward curves) derived from observable market interest rate curves. The fair values of interest rate swaptions are estimated based on the fair value of the underlying interest rate swaps that the Company has the option to enter, and are based on estimates from the counterparty and pricing models. The fair value of Futures Contracts is based on quoted prices from the exchange on which they trade. The fair value of MBS forward purchase commitments was determined using the same methodology as MBS as described in Note 4. The fair value of forward purchase commitments for whole loans was determined using the same methodology as mortgage loans held for investment as described in Note 5. The Company applies fallout assumptions to the third-party pricing of forward purchase commitments in order to adjust for loans that the counterparties may not successfully issue. The table below presents the fair value of the Company’s derivative instruments as well as their classification on the consolidated balance sheets as of September 30, 2015 and December 31, 2014, respectively. Derivative Instruments Balance Sheet Location September 30, 2015 December 31, 2014 Interest rate swaps and swaptions Derivative assets $ 1,831 $ 11,050 Forward purchase commitments - MBS Derivative assets 2,109 16,101 Forward purchase commitments - mortgage loans Derivative assets 425 - $ 4,365 $ 27,151 Interest rate swaps Derivative liabilities $ 22,964 $ 42,052 Futures contracts Derivative liabilities 394,221 202,501 Forward purchase commitments - MBS Derivative liabilities 1,736 36 Forward purchase commitments - mortgage loans Derivative liabilities - 2 $ 418,921 $ 244,591 |
Volume of Activity for the Company's Interest Rate Derivative Instruments | The volume of activity for the Company’s interest rate swap instruments is shown in the table below. Notional Value Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Beginning of period $ 5,100,000 $ 9,900,000 $ 8,300,000 $ 10,500,000 Additions - - - - Expirations and terminations (300,000 ) (700,000 ) (3,500,000 ) (1,300,000 ) End of period $ 4,800,000 $ 9,200,000 $ 4,800,000 $ 9,200,000 |
Schedule of Outstanding Interest Rate Swaptions | A swaption is a derivative instrument that gives the holder the option to enter into a pay-fixed interest rate swap in the future, if it so desires. As of September 30, 2015, the Company had six interest rate swaptions outstanding, which were entered into during 2015: Options Underlying Swaps Swaptions Original Cost Fair Value Wtd. Avg. Months to Expiration Notional Wtd. Avg. Fixed Pay Rate Receive Rate Wtd. Avg. Term (Years) Fixed payer $ 10,813 $ 1,831 9 $ 3,065,000 3.23% 3 month LIBOR 6 As of December 31, 2014, the Company had four interest rate swaptions outstanding: Options Underlying Swaps Swaptions Original Cost Fair Value Wtd. Avg. Months to Expiration Notional Wtd. Avg. Fixed Pay Rate Receive Rate Wtd. Avg. Term (Years) Fixed payer $ 20,080 $ 4,561 6 $ 992,300 2.74% 3 month LIBOR 7 |
Schedule of Composition of Futures Contracts | The Company uses Futures Contracts to 1) synthetically replicate an interest rate swap, or 2) offset the changes in value of its forward purchases of certain MBS and mortgage loans. The following table presents the composition of the Company’s Futures Contracts as of September 30, 2015 and December 31, 2014, respectively. Fair Value September 30, 2015 December 31, 2014 Futures Contracts designed to replicate swaps $ (386,267 ) $ (202,202 ) Futures Contracts designed to hedge value changes in forward purchases (7,954 ) (299 ) Total fair value of Futures Contracts $ (394,221 ) $ (202,501 ) |
Schedule of ARM Securities Forward Purchase Commitments with Brokers | The following table summarizes the Company’s forward purchase commitments as of September 30, 2015. Face / UPB Cost Fair Market Value Net Asset (Liability) ARMs - originators $ 205,275 $ 209,881 $ 211,990 $ 2,109 15-year TBA dollar roll securities 2,655,000 2,736,748 2,735,012 (1,736 ) Whole mortgage loans 79,794 81,216 81,641 425 Total purchase commitments $ 2,940,069 $ 3,027,845 $ 3,028,643 $ 798 The following table summarizes the Company’s forward purchase commitments as of December 31, 2014. Face / UPB Cost Fair Market Value Net Asset (Liability) ARMs - originators $ 376,936 $ 384,673 $ 388,829 $ 4,156 ARMs - dealers 20,095 20,553 20,517 (36 ) 15-year TBA dollar roll securities 3,400,000 3,509,871 3,521,816 11,945 Whole mortgage loans 11,656 11,937 11,935 (2 ) Total purchase commitments $ 3,808,687 $ 3,927,034 $ 3,943,097 $ 16,063 |
Gross Amounts Associated with Derivative Financial Instruments | The Company does not use either offsetting or netting to present any of its derivative assets or liabilities. The following table shows the gross amounts associated with the Company’s derivative financial instruments and the impact if netting were used as of September 30, 2015. Assets/(Liabilities) Cash Collateral Posted (Held) Net Asset/(Liability) Interest rate swaptions $ 1,831 $ (886 ) $ 945 Forward purchase commitments 2,534 - 2,534 Interest rate swaps $ (22,964 ) $ 31,626 $ 8,662 Futures contracts (394,221 ) 458,178 63,957 Forward purchase commitments (1,736 ) 3,217 1,481 The following table shows the gross amounts associated with the Company’s derivative financial instruments and the impact if netting were used as of December 31, 2014. Assets/(Liabilities) Cash Collateral Posted (Held) Net Asset/(Liability) Interest rate swaps $ 6,489 $ - $ 6,489 Interest rate swaptions 4,561 (1,558 ) 3,003 Futures contracts - - - Forward purchase commitments 16,101 - 16,101 Interest rate swaps $ (42,052 ) $ 66,653 $ 24,601 Forward purchase commitments (38 ) 5,585 5,547 Futures contracts (202,501 ) 251,553 49,052 |
Schedule of Derivative Instruments Loss, Net | The following table shows the components of “Net gain (loss) on derivative instruments” for the three and nine months ended September 30, 2015 and 2014. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Interest rate swaps – net realized and unrealized gains $ (4,227 ) $ 38,136 $ 7,386 $ 62,524 Interest rate swaptions – net realized and unrealized losses (8,202 ) (1,304 ) (11,492 ) (3,983 ) Interest rate swaps – monthly net settlements (9,510 ) (29,079 ) (46,150 ) (88,245 ) Futures Contracts – fair value adjustments (130,060 ) 37,405 (191,720 ) (69,982 ) Futures Contracts – losses from maturities (13,989 ) (1,810 ) (32,556 ) (24,063 ) Futures Contracts – other realized losses (2,721 ) - (25,394 ) - Mortgage loan purchase commitments - fair value adjustments 368 - 415 - TBA dollar roll income 20,512 22,370 68,568 68,813 TBA dollar rolls – net realized and unrealized gains (losses) 17,528 (30,288 ) (21,558 ) (6,509 ) Net gain (loss) on derivative instruments $ (130,301 ) $ 35,430 $ (252,501 ) $ (61,445 ) |
Interest Rate Swap | |
Schedule of Derivative Instruments Forecasted Transactions | Information regarding the Company’s interest rate swaps as of September 30, 2015 and December 31, 2014 follows. September 30, 2015 December 31, 2014 Wtd. Avg. Wtd. Avg. Remaining Wtd. Avg. Remaining Wtd. Avg. Notional Term Fixed Interest Notional Term Fixed Interest Maturity Amount in Months Rate in Contract Amount in Months Rate in Contract 12 months or less $ 2,000,000 7 1.01% $ 3,700,000 6 1.73% Over 12 months to 24 months 2,200,000 18 0.88% 2,400,000 18 0.92% Over 24 months to 36 months 600,000 28 0.95% 1,800,000 29 0.89% Total $ 4,800,000 15 0.94% $ 8,300,000 16 1.28% |
Schedule of Derivative Instruments Loss, Net | The table below presents the effect of the interest rate swaps that were previously designated as cash flow hedges on the Company’s AOCI for the three and nine months ended September 30, 2015 and 2014. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Beginning balance $ (7,325 ) $ (63,567 ) $ (30,042 ) $ (111,174 ) Reclassification of net losses to the income statement 5,433 19,806 28,150 67,413 Ending balance $ (1,892 ) $ (43,761 ) $ (1,892 ) $ (43,761 ) |
Eurodollar Futures Contracts | |
Schedule of Derivative Instruments Forecasted Transactions | The volume of activity for the Company’s Futures Contracts is shown in the table below. Number of Contracts Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Beginning of period 131,276 123,275 130,074 95,327 New positions opened 6,546 22,352 52,563 125,547 Early settlements (5,220 ) (12,016 ) (32,369 ) (83,444 ) Settlements at maturity (8,806 ) (2,479 ) (26,472 ) (6,298 ) End of period 123,796 131,132 123,796 131,132 |
Earnings per Share (Tables)
Earnings per Share (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | The following table details the Company’s calculation of earnings per share for the three and nine months ended September 30, 2015 and 2014. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Basic earnings (loss) per share: Net income (loss) $ (83,892 ) $ 77,891 $ (93,871 ) $ 82,212 Less preferred stock dividends (5,480 ) (5,480 ) (16,441 ) (16,441 ) Net income (loss) available to common shareholders $ (89,372 ) $ 72,411 $ (110,312 ) $ 65,771 Weighted average shares 96,545,913 96,563,132 96,705,682 96,561,446 Basic earnings (loss) per share $ (0.93 ) $ 0.75 $ (1.14 ) $ 0.68 Diluted earnings (loss) per share: Net income (loss) $ (83,892 ) $ 77,891 $ (93,871 ) $ 82,212 Less preferred stock dividends for antidilutive shares (5,480 ) (5,480 ) (16,441 ) (16,441 ) Net income (loss) available to common shareholders $ (89,372 ) $ 72,411 $ (110,312 ) $ 65,771 Weighted average shares 96,545,913 96,563,132 96,705,682 96,561,446 Potential dilutive shares from exercise of stock options - - - - Diluted weighted average shares 96,545,913 96,563,132 96,705,682 96,561,446 Diluted earnings (loss) per share $ (0.93 ) $ 0.75 $ (1.14 ) $ 0.68 |
Transactions with Related Par32
Transactions with Related Parties (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Related Party Transactions [Abstract] | |
Amounts Incurred for Management Fee and Reimbursable Expenses | For purposes of calculating the management fee, equity is defined as the value, computed in accordance with GAAP, of shareholders’ equity, adjusted to exclude the effects of unrealized gains or losses. The following table presents amounts incurred for management fee, reimbursable expenses and share-based compensation expense related to the restricted common shares granted to management. Three Months Ended September 30 Nine Months Ended September 30 2015 2014 2015 2014 Management fee $ 4,037 $ 4,122 $ 12,215 $ 12,420 Reimbursable expenses 1,124 715 3,681 2,403 Total $ 5,161 $ 4,837 $ 15,896 $ 14,823 Share-based compensation $ 966 $ 890 $ 3,045 $ 2,592 |
Accumulated Other Comprehensi33
Accumulated Other Comprehensive Income (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Equity [Abstract] | |
Components of Accumulated Other Comprehensive Income | The Company records unrealized gains and losses on its MBS and its forward purchase commitments securities as described in Note 4 and Note 9. As discussed in Note 9, the Company ceased hedge accounting for its interest rate swaps effective September 30, 2013. Beginning October 1, 2013, changes in the fair value of interest rate swaps are recorded directly to net income. The cumulative unrealized loss on interest rate swaps in AOCI as of September 30, 2013 is being amortized to net income as the hedged forecasted transactions occur. The following table rolls forward the components of AOCI, including reclassification adjustments, for the three months ended September 30, 2015. Unrealized gain/(loss) on available for sale MBS Unrealized gain/(loss) on unsettled MBS Unrealized gain/(loss) on other investments Unrealized gain/(loss) on derivative instruments Total Accumulated other comprehensive income (loss) at July 1, 2015 $ 233,289 $ (3 ) $ (305 ) $ (6,172 ) $ 226,809 Other comprehensive income (loss) before reclassification (753 ) 85 (21 ) 2,109 1,420 Balance Sheet Reclassification: Amount reclassified to MBS available for sale - 3 - (1,153 ) (1,150 ) Income Statement Reclassification: Amounts reclassified to net loss on the sale of MBS (1,216 ) - - - (1,216 ) Amounts reclassified to interest expense - - - 5,433 5,433 Net current period other comprehensive income (loss) (1,969 ) 88 (21 ) 6,389 4,487 Accumulated other comprehensive income (loss) at September 30, 2015 $ 231,320 $ 85 $ (326 ) $ 217 $ 231,296 The following table rolls forward the components of AOCI, including reclassification adjustments, for the three months ended September 30, 2014. Unrealized gain/(loss) on available for sale MBS Unrealized gain/(loss) on unsettled MBS Unrealized gain/(loss) on other investments Unrealized gain/(loss) on derivative instruments Total Accumulated other comprehensive income (loss) at July 1, 2014 $ 223,948 $ 582 $ (495 ) $ (59,812 ) $ 164,223 Other comprehensive income (loss) before reclassification (30,572 ) 120 (111 ) 1,872 (28,691 ) Balance Sheet Reclassification: Amount reclassified to MBS available for sale - (582 ) - (3,755 ) (4,337 ) Income Statement Reclassification: Amounts reclassified to net gain on the sale of MBS (237 ) - - - (237 ) Amounts reclassified to interest expense - - - 19,806 19,806 Net current period other comprehensive income (loss) (30,809 ) (462 ) (111 ) 17,923 (13,459 ) Accumulated other comprehensive income (loss) at September 30, 2014 $ 193,139 $ 120 $ (606 ) $ (41,889 ) $ 150,764 The following table rolls forward the components of AOCI, including reclassification adjustments, for the nine months ended September 30, 2015. Unrealized gain/(loss) on available for sale MBS Unrealized gain/(loss) on unsettled MBS Unrealized gain/(loss) on other investments Unrealized gain/(loss) on derivative instruments Total Accumulated other comprehensive income (loss) at January 1, 2015 $ 232,240 $ 42 $ (595 ) $ (25,922 ) $ 205,765 Other comprehensive income (loss) before reclassification 16,440 876 269 8,110 25,695 Balance Sheet Reclassification: Amount reclassified to MBS available for sale - (833 ) - (10,121 ) (10,954 ) Income Statement Reclassification: Amounts reclassified to net gain on the sale of MBS (17,360 ) - - - (17,360 ) Amounts reclassified to interest expense - - - 28,150 28,150 Net current period other comprehensive income (loss) (920 ) 43 269 26,139 25,531 Accumulated other comprehensive income (loss) at September 30, 2015 $ 231,320 $ 85 $ (326 ) $ 217 $ 231,296 The following table rolls forward the components of AOCI, including reclassification adjustments, for the nine months ended September 30, 2014. Unrealized gain/(loss) on available for sale MBS Unrealized gain/(loss) on unsettled MBS Unrealized gain/(loss) on other investments Unrealized gain/(loss) on derivative instruments Total Accumulated other comprehensive income (loss) at January 1, 2014 $ 109,490 $ - $ (627 ) $ (116,915 ) $ (8,052 ) Other comprehensive income (loss) before reclassification 86,738 516 21 7,669 94,944 Balance Sheet Reclassification: Amount reclassified to MBS available for sale - (396 ) - (5,139 ) (5,535 ) Income Statement Reclassification: Amounts reclassified to net gain on the sale of MBS (3,089 ) - - - (3,089 ) Amounts reclassified for termination of all- in-one cash flow hedge accounting on dollar roll TBAs - - - 5,083 5,083 Amounts reclassified to interest expense - - - 67,413 67,413 Net current period other comprehensive income (loss) 83,649 120 21 75,026 158,816 Accumulated other comprehensive income (loss) at September 30, 2014 $ 193,139 $ 120 $ (606 ) $ (41,889 ) $ 150,764 |
Organization and Business Des34
Organization and Business Description - Additional Information (Details) - USD ($) $ in Thousands | Aug. 31, 2015 | Sep. 30, 2015 |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | ||
Distributions from taxable income | 100.00% | |
Effective date of acquisition | Aug. 31, 2015 | |
Percentage of voting interest | 100.00% | |
Purchase consideration, cash | $ 23,500 | $ 21,473 |
Purchase consideration, equity interest | $ 4,400 |
Schedule of Assets and Liabilit
Schedule of Assets and Liabilities as on Acquisition Date (Details) - Pingora $ in Thousands | Aug. 31, 2015USD ($) |
Business Acquisition [Line Items] | |
Mortgage loans held for sale, at fair value | $ 4,292 |
Cash and cash equivalents | 1,937 |
Goodwill | 3,498 |
Warehouse lines of credit | (3,989) |
Deferred tax liabilities | (2,060) |
Other net liabilities | (215) |
Business combination assets acquired and liabilities assumed net | 23,463 |
Ascent software platform | |
Business Acquisition [Line Items] | |
Intangible assets | 2,000 |
Customer relationships intangible | |
Business Acquisition [Line Items] | |
Intangible assets | 16,000 |
Licenses | |
Business Acquisition [Line Items] | |
Intangible assets | $ 2,000 |
Summary of Significant Accoun36
Summary of Significant Accounting Policies - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Accounting Policies [Abstract] | ||||
Ownership percentage on variable interest | 100.00% | |||
Distributions from taxable income | 100.00% | |||
Share-based compensation expense | $ 966 | $ 890 | $ 3,045 | $ 2,592 |
Schedule of Assets and Liabil37
Schedule of Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Dec. 31, 2013 |
Variable Interest Entity [Line Items] | ||||
Mortgage loans held for sale | $ 9,572 | |||
Mortgage servicing rights | 170,447 | |||
Cash and cash equivalents | 711,148 | $ 627,595 | $ 441,837 | $ 988,705 |
Accrued interest receivable | 47,563 | 54,274 | ||
Other assets | 51,284 | 6,630 | ||
Total assets | 17,046,111 | 18,516,800 | ||
Accounts payable and other liabilities | 29,661 | 6,850 | ||
Warehouse lines of credit | 33,172 | |||
Derivative liabilities, at fair value | 418,921 | 244,591 | ||
Total liabilities | 14,853,669 | $ 16,096,004 | ||
PLS | ||||
Variable Interest Entity [Line Items] | ||||
Mortgage loans held for sale | 9,572 | |||
Mortgage servicing rights | 170,447 | |||
Cash and cash equivalents | 20,547 | |||
Accrued interest receivable | 19 | |||
Other assets | 18,983 | |||
Total assets | 219,568 | |||
Accounts payable and other liabilities | 16,776 | |||
Warehouse lines of credit | 8,709 | |||
Derivative liabilities, at fair value | 41 | |||
Total liabilities | $ 25,526 |
Carrying Values and Fair Values
Carrying Values and Fair Values of Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | |
Fair Value Disclosures [Abstract] | |||||
MBS, Carrying Value | $ 15,472,580 | $ 17,587,010 | |||
Mortgage loans held for investment, Carrying Value | 265,281 | 31,460 | |||
Mortgage loans held for sale, Carrying Value | 9,572 | ||||
MSR, Carrying Value | 170,447 | ||||
Cash and cash equivalents, Carrying Value | 711,148 | 627,595 | $ 441,837 | $ 988,705 | |
Unsettled purchased MBS, Carrying Value | 65,834 | 24,792 | |||
Receivable for securities sold, Carrying Value | 51,729 | 5,197 | |||
Accrued interest receivable, Carrying Value | 47,563 | 54,274 | |||
Principal payments receivable, Carrying Value | 144,261 | 111,439 | |||
Debt security, held-to-maturity, Carrying Value | [1] | 15,000 | 15,000 | ||
Short-term investments, Carrying Value | [1] | 30,444 | 20,252 | ||
Interest rate swaps and swaptions, Carrying Value | [2] | 1,831 | 11,050 | ||
Forward purchase commitments, Carrying Value | [2] | 2,534 | 16,101 | ||
Repurchase agreements, Carrying Value | 14,240,809 | 15,759,831 | |||
Warehouse lines of credit, Carrying Value | 33,172 | ||||
FHLB advances, Carrying Value | 14,132 | ||||
Payable for unsettled securities, Carrying Value | 66,266 | 24,750 | |||
Accrued interest payable, Carrying Value | 2,533 | 6,968 | |||
Interest rate swap liability, Carrying Value | [3] | 22,964 | 42,052 | ||
Futures Contracts liability, Carrying Value | [3] | 394,221 | 202,501 | ||
Forward purchase commitments, Carrying Value | [3] | 1,736 | 38 | ||
MBS, Fair Value | 15,472,580 | 17,587,010 | |||
Mortgage loans held for investment, Fair Value | 265,281 | 31,460 | |||
Mortgage loans held for sale, Fair Value | 9,572 | ||||
MSR, Fair Value | 170,447 | ||||
Cash and cash equivalents, Fair Value | 711,148 | 627,595 | |||
Unsettled purchased MBS, Fair Value | 65,834 | 24,792 | |||
Receivable for securities sold, Fair Value | 51,729 | 5,197 | |||
Accrued interest receivable, Fair Value | 47,563 | 54,274 | |||
Principal payments receivable, Fair Value | 144,261 | 111,439 | |||
Debt security, held-to-maturity, Fair Value | [1] | 14,620 | 14,853 | ||
Short-term investments, Fair Value | [1] | 30,444 | 20,252 | ||
Interest rate swaps and swaptions, Fair Value | [2] | 1,831 | 11,050 | ||
Forward purchase commitments, Fair Value | [2] | 2,534 | 16,101 | ||
Repurchase agreements, Fair Value | 14,240,809 | 15,759,831 | |||
Warehouse lines of credit | 33,172 | ||||
Federal Home Loan Bank advances | 14,132 | ||||
Payable for unsettled securities, Fair Value | 66,266 | 24,750 | |||
Accrued interest payable, Fair Value | 2,533 | 6,968 | |||
Interest rate swap liability, Fair Value | [3] | 22,964 | 42,052 | ||
Futures Contracts liability, Fair Value | [3] | 394,221 | 202,501 | ||
Forward purchase commitments, Fair Value | [3] | $ 1,736 | $ 38 | ||
[1] | Included in other investments on the consolidated balance sheets. | ||||
[2] | Included in derivative assets on the consolidated balance sheets. | ||||
[3] | Included in derivative liabilities on the consolidated balance sheets. |
Schedule of Agency Securities a
Schedule of Agency Securities and MBS Portfolio Includes MBS not Issued or Guaranteed by U.S. Government Agency or U.S. Government Sponsored Entity (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | $ 15,241,655 | $ 17,354,770 |
Gross Unrealized Loss | (9,274) | (35,531) |
Gross Unrealized Gain | 240,199 | 267,771 |
Carrying value/estimated fair value | 15,472,580 | 17,587,010 |
Agency Securities | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 17,279,316 | |
Gross Unrealized Loss | (35,531) | |
Gross Unrealized Gain | 267,623 | |
Carrying value/estimated fair value | 17,511,408 | |
Agency Securities | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 15,188,875 | |
Gross Unrealized Loss | (8,879) | |
Gross Unrealized Gain | 240,199 | |
Carrying value/estimated fair value | 15,420,195 | |
Adjustable Rate Residential Mortgage | Non-Agency Securities | Non-Agency ARMs | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 75,454 | |
Gross Unrealized Gain | 148 | |
Carrying value/estimated fair value | 75,602 | |
Fannie Mae Certificates | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 10,315,029 | |
Gross Unrealized Loss | (13,737) | |
Gross Unrealized Gain | 189,066 | |
Carrying value/estimated fair value | 10,490,358 | |
Fannie Mae Certificates | Agency Securities | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 8,981,032 | |
Gross Unrealized Loss | (2,542) | |
Gross Unrealized Gain | 164,873 | |
Carrying value/estimated fair value | 9,143,363 | |
Fannie Mae Certificates | Adjustable Rate Residential Mortgage | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 9,203,741 | |
Gross Unrealized Loss | (13,737) | |
Gross Unrealized Gain | 183,889 | |
Carrying value/estimated fair value | 9,373,893 | |
Fannie Mae Certificates | Adjustable Rate Residential Mortgage | Agency Securities | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 7,946,906 | |
Gross Unrealized Loss | (2,542) | |
Gross Unrealized Gain | 157,850 | |
Carrying value/estimated fair value | 8,102,214 | |
Fannie Mae Certificates | Fixed-Rate | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 1,111,288 | |
Gross Unrealized Gain | 5,177 | |
Carrying value/estimated fair value | 1,116,465 | |
Fannie Mae Certificates | Fixed-Rate | Agency Securities | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 1,034,126 | |
Gross Unrealized Gain | 7,023 | |
Carrying value/estimated fair value | 1,041,149 | |
Freddie Mac Certificates | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 6,964,287 | |
Gross Unrealized Loss | (21,794) | |
Gross Unrealized Gain | 78,557 | |
Carrying value/estimated fair value | 7,021,050 | |
Freddie Mac Certificates | Agency Securities | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 6,207,843 | |
Gross Unrealized Loss | (6,337) | |
Gross Unrealized Gain | 75,326 | |
Carrying value/estimated fair value | 6,276,832 | |
Freddie Mac Certificates | Adjustable Rate Residential Mortgage | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 6,805,885 | |
Gross Unrealized Loss | (21,794) | |
Gross Unrealized Gain | 76,790 | |
Carrying value/estimated fair value | 6,860,881 | |
Freddie Mac Certificates | Adjustable Rate Residential Mortgage | Agency Securities | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 6,076,068 | |
Gross Unrealized Loss | (6,337) | |
Gross Unrealized Gain | 73,684 | |
Carrying value/estimated fair value | 6,143,415 | |
Freddie Mac Certificates | Fixed-Rate | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 158,402 | |
Gross Unrealized Gain | 1,767 | |
Carrying value/estimated fair value | $ 160,169 | |
Freddie Mac Certificates | Fixed-Rate | Agency Securities | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 131,775 | |
Gross Unrealized Gain | 1,642 | |
Carrying value/estimated fair value | 133,417 | |
Available-for-Sale MBS | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 15,188,875 | |
Gross Unrealized Loss | (8,879) | |
Gross Unrealized Gain | 240,199 | |
Carrying value/estimated fair value | 15,420,195 | |
GSE CRT Bonds | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Agency Securities Amortized Cost | 52,780 | |
Gross Unrealized Loss | (395) | |
Carrying value/estimated fair value | $ 52,385 |
Components of Carrying Value of
Components of Carrying Value of MBS (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Investments Debt And Equity Securities [Abstract] | ||
Principal balance | $ 14,824,999 | $ 16,864,583 |
Unamortized premium | 418,148 | 490,187 |
Unamortized discount | (1,492) | |
Gross unrealized gains | 240,199 | 267,771 |
Gross unrealized losses | (9,274) | (35,531) |
Carrying value/estimated fair value | $ 15,472,580 | $ 17,587,010 |
Schedule Of Interest Income (De
Schedule Of Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Investments Debt And Equity Securities [Abstract] | ||||
Coupon interest | $ 104,357 | $ 110,382 | $ 326,266 | $ 343,108 |
Net premium amortization | (33,483) | (29,413) | (92,760) | (76,374) |
Interest income | $ 70,874 | $ 80,969 | $ 233,506 | $ 266,734 |
Gross Gains and Losses from Inv
Gross Gains and Losses from Investment Sales (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Investments Debt And Equity Securities [Abstract] | ||||
Gross gains | $ 4,831 | $ 237 | $ 21,329 | $ 13,713 |
Gross losses | (3,615) | (3,969) | (10,624) | |
Net gain (loss) | $ 1,216 | $ 237 | $ 17,360 | $ 3,089 |
Schedule of MBS in Unrealized L
Schedule of MBS in Unrealized Loss Position (Details) $ in Thousands | Sep. 30, 2015USD ($)Security | Dec. 31, 2014USD ($)Security |
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Market Value - Less than 12 months | $ 384,749 | $ 1,305,594 |
Unrealized Loss - Less than 12 months | (612) | (2,032) |
Fair Market Value - Greater than 12 Months | 1,450,384 | 3,043,913 |
Unrealized Loss - Greater than 12 Months | (8,267) | (33,499) |
Total - Fair Market Value | 1,835,133 | 4,349,507 |
Total - Unrealized Loss | $ (8,879) | $ (35,531) |
Number of securities in an unrealized loss position, Less than 12 Months | Security | 23 | 56 |
Number of securities in an unrealized loss position, Greater than 12 Months | Security | 52 | 108 |
Number of securities in an unrealized loss position, Total | Security | 75 | 164 |
Fannie Mae Certificates | Adjustable Rate Residential Mortgage | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Market Value - Less than 12 months | $ 177,892 | $ 806,600 |
Unrealized Loss - Less than 12 months | (329) | (1,240) |
Fair Market Value - Greater than 12 Months | 539,176 | 1,306,153 |
Unrealized Loss - Greater than 12 Months | (2,212) | (12,497) |
Total - Fair Market Value | 717,068 | 2,112,753 |
Total - Unrealized Loss | (2,541) | (13,737) |
Freddie Mac Certificates | Adjustable Rate Residential Mortgage | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Market Value - Less than 12 months | 206,857 | 498,994 |
Unrealized Loss - Less than 12 months | (283) | (792) |
Fair Market Value - Greater than 12 Months | 911,208 | 1,737,760 |
Unrealized Loss - Greater than 12 Months | (6,055) | (21,002) |
Total - Fair Market Value | 1,118,065 | 2,236,754 |
Total - Unrealized Loss | $ (6,338) | $ (21,794) |
Mortgage-Backed Securities - Ad
Mortgage-Backed Securities - Additional Information (Details) | 9 Months Ended |
Sep. 30, 2015USD ($) | |
Minimum | |
Schedule Of Available For Sale Securities [Line Items] | |
Contractual maturity of Company's agency securities, in years | 15 years |
Maximum | |
Schedule Of Available For Sale Securities [Line Items] | |
Contractual maturity of Company's agency securities, in years | 30 years |
Agency Securities | |
Schedule Of Available For Sale Securities [Line Items] | |
Impairment loss on mortgage-backed securities | $ 0 |
Mortgage Loans - Additional Inf
Mortgage Loans - Additional Information (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Schedule Of Available For Sale Securities [Line Items] | ||
Fair value | $ 265,281 | $ 31,460 |
Past due on mortgage loan | 0 | 0 |
Nonaccrual status on mortgage loan | 0 | 0 |
Unpaid principal | 9,493 | |
Mortgage loans held for sale, at fair value (including pledged assets of $9,572 and $0, respectively) | 9,572 | |
Mortgage Held for Investment | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Unpaid principal balance | $ 259,165 | $ 30,792 |
Geographic Distribution of Mort
Geographic Distribution of Mortgage Loans Held for Investment (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Schedule Of Available For Sale Securities [Line Items] | ||
Mortgage loans held | 100.00% | 100.00% |
California | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Mortgage loans held | 54.00% | 82.00% |
Texas | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Mortgage loans held | 9.00% | 3.00% |
Illinois | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Mortgage loans held | 6.00% | 2.00% |
Washington | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Mortgage loans held | 5.00% | 2.00% |
All Other | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Mortgage loans held | 26.00% | 11.00% |
Components for Mortgage Loan He
Components for Mortgage Loan Held for Investment Portfolio (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015USD ($)Point | Dec. 31, 2014USD ($)Point | |
Minimum | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Interest rate | 2.50% | 2.75% |
Maturity | 2044-05 | 2044-06 |
FICO score at loan origination | Point | 700 | 705 |
Loan-to-value ratio at loan origination | 24.00% | 28.00% |
Maximum | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Interest rate | 4.13% | 3.75% |
Maturity | 2045-10 | 2044-12 |
FICO score at loan origination | Point | 815 | 813 |
Loan-to-value ratio at loan origination | 80.00% | 80.00% |
Weighted Average | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Interest rate | 3.41% | 3.43% |
Maturity | 2045-02 | 2044-09 |
FICO score at loan origination | Point | 768 | 762 |
Loan-to-value ratio at loan origination | 69.00% | 65.00% |
Mortgage Held for Investment | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Unpaid principal balance | $ 259,165,000 | $ 30,792,000 |
Mortgage Held for Investment | Minimum | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Unpaid principal balance | 8,000 | 447,000 |
Mortgage Held for Investment | Maximum | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Unpaid principal balance | 1,990,000 | 1,332,000 |
Mortgage Held for Investment | Weighted Average | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Unpaid principal balance | $ 764,000 | $ 790,000 |
Rollforward of Mortgage Loans H
Rollforward of Mortgage Loans Held for Investment (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2015 | Sep. 30, 2015 | |
Investments Debt And Equity Securities [Abstract] | ||
Fair value, beginning of period | $ 183,320 | $ 31,460 |
Principal purchased | 92,982 | 259,752 |
Principal repaid | (12,153) | (26,618) |
Change in fair value | 1,132 | 687 |
Fair value, end of period | $ 265,281 | $ 265,281 |
Schedule of Unobservable Inputs
Schedule of Unobservable Inputs Used in Level 3 Valuation of Mortgage Loans Held for Investment (Details) - Mortgage Held for Investment - Level 3 | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Minimum | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount rate | 2.00% | 3.60% |
Conditional refinance rate | 12.80% | 12.40% |
Default rate | 0.00% | 0.00% |
Loss severity | 0.00% | 10.20% |
Maximum | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount rate | 3.30% | 3.90% |
Conditional refinance rate | 21.10% | 19.30% |
Default rate | 2.60% | 1.50% |
Loss severity | 25.60% | 19.90% |
Weighted Average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount rate | 3.10% | 3.80% |
Conditional refinance rate | 16.40% | 15.30% |
Default rate | 0.60% | 0.40% |
Loss severity | 15.20% | 13.80% |
Rollforward of Mortgage Servici
Rollforward of Mortgage Servicing Rights (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2015 | Sep. 30, 2015 | |
Schedule Of Available For Sale Securities [Line Items] | ||
Fair value, beginning of period | $ 183,320 | $ 31,460 |
Purchases | 92,982 | 259,752 |
Principal repaid | (12,153) | (26,618) |
Fair value, end of period | 265,281 | 265,281 |
Mortgage Servicing Rights | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Purchases | 170,986 | 170,986 |
Change in fair value | (539) | (539) |
Fair value, end of period | $ 170,447 | $ 170,447 |
Schedule of Unobservable Inpu51
Schedule of Unobservable Inputs Used in Level 3 Valuation of Mortgage Servicing Rights (Details) - Mortgage Servicing Rights - Level 3 | 9 Months Ended |
Sep. 30, 2015 | |
Minimum | |
Fair Value Inputs Assets Quantitative Information [Line Items] | |
Discount rate | 10.00% |
Prepayment rate | 8.50% |
Delinquency rate | 0.00% |
Maximum | |
Fair Value Inputs Assets Quantitative Information [Line Items] | |
Discount rate | 11.00% |
Prepayment rate | 36.10% |
Delinquency rate | 1.30% |
Weighted Average | |
Fair Value Inputs Assets Quantitative Information [Line Items] | |
Discount rate | 10.30% |
Prepayment rate | 11.10% |
Delinquency rate | 0.70% |
Schedule of Mortgage Servicing
Schedule of Mortgage Servicing Income and Mortgage Servicing Expenses (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2015 | Sep. 30, 2015 | |
Investments Debt And Equity Securities [Abstract] | ||
Servicing fee income | $ 4,445 | $ 4,445 |
Ancillary fee income | 117 | 117 |
Mortgage servicing fee income | 4,562 | 4,562 |
Mortgage servicing expense | (464) | (464) |
Change in representation and warranty obligations | (290) | (290) |
Mortgage servicing rights income, net | $ 3,808 | $ 3,808 |
Summary Of Other Investments (D
Summary Of Other Investments (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Schedule Of Investments [Abstract] | |||
Short-term investments | [1] | $ 30,444 | $ 20,252 |
Debt security, held-to-maturity | [1] | 15,000 | 15,000 |
Equity investments | 6,603 | 6,000 | |
Total other investments | $ 52,047 | $ 41,252 | |
[1] | Included in other investments on the consolidated balance sheets. |
Other Investments - Additional
Other Investments - Additional Information (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2015 | Dec. 31, 2014 | ||
Schedule Of Held To Maturity Securities [Line Items] | |||
Debt security, held-to-maturity | [1] | $ 15,000 | $ 15,000 |
Available for sale securities equity securities | $ 6,603 | 6,000 | |
Maturity date | Mar. 24, 2019 | ||
Debt security bears interest at the rate | The debt security pays interest quarterly at the rate of 4.0% above the three-month London Interbank Offered Rate (“LIBOR”). | ||
Debt security, held-to-maturity, fair value | [1] | $ 14,620 | $ 14,853 |
London Interbank Offered Rate (LIBOR) | |||
Schedule Of Held To Maturity Securities [Line Items] | |||
Debt security, variable rate basis added to LIBOR to determine interest rate | 4.00% | ||
Federal Home Loan Bank of Atlanta (FHLB) | |||
Schedule Of Held To Maturity Securities [Line Items] | |||
Available for sale securities equity securities | $ 603 | ||
Available for Sale Equity Security Investment in Counterparty | |||
Schedule Of Held To Maturity Securities [Line Items] | |||
Available for sale securities equity securities | $ 6,000 | ||
[1] | Included in other investments on the consolidated balance sheets. |
Borrowings - Additional Informa
Borrowings - Additional Information (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015USD ($)PersonInstitution | Dec. 31, 2014USD ($)Person | |
Banking And Thrift [Abstract] | ||
Number of counterparties in repurchase agreements | Person | 26 | 25 |
Weighted average contractual maturity of the repurchase agreements outstanding | 27 days | 1 month |
Fair value of assets pledged as collateral under repurchase agreements | $ 14,936,324 | $ 16,575,106 |
FHLB advances outstanding | $ 14,132 | |
FHLB advances interest rate | 0.20% | |
FHLB advances, maturity date | 2015-10 | |
Fair value of assets pledged as collateral under FHLB | $ 15,714 | |
FHLB advances maximum borrowing capacity | $ 1,000,000 | |
Number of financial institutions | Institution | 3 | |
Warehouse lines of credit | $ 33,172 | |
Warehouse lines of credit earliest maturity date | 2015-11 | |
Warehouse lines of credit last maturity date | 2016-03 | |
Fair value of securities pledged as collateral under lines of credit facilities | $ 37,407,000 | |
Warehouse lines of credit, Maximum borrowing capacity | $ 300,000 |
Contractual Maturity Informatio
Contractual Maturity Information Regarding Repurchase Agreements (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 14,240,809 | $ 15,759,831 |
Weighted Average Contractual Rate | 0.46% | 0.36% |
Within 30 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 12,990,809 | $ 13,770,099 |
Weighted Average Contractual Rate | 0.44% | 0.35% |
30 days to 3 months | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 250,000 | $ 1,489,732 |
Weighted Average Contractual Rate | 0.52% | 0.36% |
3 months to 36 months | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 1,000,000 | $ 500,000 |
Weighted Average Contractual Rate | 0.59% | 0.53% |
Schedule of Location of Derivat
Schedule of Location of Derivatives on Balance Sheet (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Derivatives Fair Value [Line Items] | ||
Derivative assets | $ 4,365 | $ 27,151 |
Derivative liabilities | 418,921 | 244,591 |
Interest Rate Swaps and Swaptions | Derivative Assets | ||
Derivatives Fair Value [Line Items] | ||
Derivative assets | 1,831 | 11,050 |
Forward Purchase Commitments - MBS | Derivative Assets | ||
Derivatives Fair Value [Line Items] | ||
Derivative assets | 2,109 | 16,101 |
Forward Purchase Commitments - MBS | Derivative Liabilities | ||
Derivatives Fair Value [Line Items] | ||
Derivative liabilities | 1,736 | 36 |
Forward Purchase Commitments - Mortgage Loans | Derivative Assets | ||
Derivatives Fair Value [Line Items] | ||
Derivative assets | 425 | |
Forward Purchase Commitments - Mortgage Loans | Derivative Liabilities | ||
Derivatives Fair Value [Line Items] | ||
Derivative liabilities | 2 | |
Interest Rate Swap | ||
Derivatives Fair Value [Line Items] | ||
Derivative assets | 6,489 | |
Interest Rate Swap | Derivative Liabilities | ||
Derivatives Fair Value [Line Items] | ||
Derivative liabilities | 22,964 | 42,052 |
Futures Contracts | Derivative Liabilities | ||
Derivatives Fair Value [Line Items] | ||
Derivative liabilities | $ 394,221 | $ 202,501 |
Derivatives and other Hedging58
Derivatives and other Hedging Instruments - Additional Information (Details) | 3 Months Ended | 6 Months Ended | 9 Months Ended | ||||
Mar. 31, 2015USD ($) | Jun. 30, 2015USD ($)Contract | Sep. 30, 2015USD ($)Contract | Dec. 31, 2014Contract | Sep. 30, 2014Contract | Jun. 30, 2014Contract | Dec. 31, 2013Contract | |
Derivative [Line Items] | |||||||
Estimated amount related to derivatives reclassified to interest expense during the next 12 months | $ 4,842,000 | ||||||
Early Terminated Interest Rate Swaps | |||||||
Derivative [Line Items] | |||||||
Notional Amount | $ 1,400,000,000 | ||||||
Payment on termination of interest rate swaps | $ 5,210,000 | ||||||
Derivative, Maturity Date | Dec. 31, 2015 | ||||||
Interest Rate Swaptions | |||||||
Derivative [Line Items] | |||||||
Number of derivative instruments outstanding | Contract | 6 | 4 | |||||
Proceeds from swaptions termination | $ 2,049,000 | ||||||
Eurodollar Future | |||||||
Derivative [Line Items] | |||||||
Notional Amount | $ 1,000,000 | ||||||
Number of derivative instruments outstanding | Contract | 131,276 | 123,796 | 130,074 | 131,132 | 123,275 | 95,327 | |
Derivative term of contract | 3 months | ||||||
Futures contracts range | 2015 through 2022 | ||||||
Fair value of derivatives in net liability position, which includes accrued interest but excludes any adjustment for nonperformance risk, related to agreements | $ 22,964,000 | ||||||
15-year TBA Dollar Roll Securities | |||||||
Derivative [Line Items] | |||||||
Derivative term of contract | 15 years |
Volume of Activity for Interest
Volume of Activity for Interest Rate Derivative Instruments (Details) - Interest Rate Swap - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Derivative [Line Items] | ||||
Notional Value, Beginning of period | $ 5,100,000,000 | $ 9,900,000,000 | $ 8,300,000,000 | $ 10,500,000,000 |
Expirations and terminations | (300,000,000) | (700,000,000) | (3,500,000,000) | (1,300,000,000) |
Notional Value, End of period | $ 4,800,000,000 | $ 9,200,000,000 | $ 4,800,000,000 | $ 9,200,000,000 |
Hedging Exposure Future Cash Fl
Hedging Exposure Future Cash Flows with Interest Rate Swaps For Forecasted Transactions (Details) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2015 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | |
Derivative Instruments Gain Loss [Line Items] | ||||||
Weighted Average Remaining Term in Months | 15 months | 16 months | ||||
Weighted Average Fixed Interest Rate in Contract | 0.94% | 1.28% | ||||
Interest Rate Swap | ||||||
Derivative Instruments Gain Loss [Line Items] | ||||||
Notional Amount | $ 4,800,000,000 | $ 8,300,000,000 | $ 5,100,000,000 | $ 9,200,000,000 | $ 9,900,000,000 | $ 10,500,000,000 |
12 Months or Less | ||||||
Derivative Instruments Gain Loss [Line Items] | ||||||
Maturity - lower remaining maturity range | 0 months | 0 months | ||||
Maturity - higher remaining maturity range | 12 months | 12 months | ||||
Weighted Average Remaining Term in Months | 7 months | 6 months | ||||
Weighted Average Fixed Interest Rate in Contract | 1.01% | 1.73% | ||||
12 Months or Less | Interest Rate Swap | ||||||
Derivative Instruments Gain Loss [Line Items] | ||||||
Notional Amount | $ 2,000,000,000 | $ 3,700,000,000 | ||||
Over 12 Months to 24 Months | ||||||
Derivative Instruments Gain Loss [Line Items] | ||||||
Maturity - lower remaining maturity range | 12 months | 12 months | ||||
Maturity - higher remaining maturity range | 24 months | 24 months | ||||
Weighted Average Remaining Term in Months | 18 months | 18 months | ||||
Weighted Average Fixed Interest Rate in Contract | 0.88% | 0.92% | ||||
Over 12 Months to 24 Months | Interest Rate Swap | ||||||
Derivative Instruments Gain Loss [Line Items] | ||||||
Notional Amount | $ 2,200,000,000 | $ 2,400,000,000 | ||||
Over 24 Months to 36 Months | ||||||
Derivative Instruments Gain Loss [Line Items] | ||||||
Maturity - lower remaining maturity range | 24 months | 24 months | ||||
Maturity - higher remaining maturity range | 36 months | 36 months | ||||
Weighted Average Remaining Term in Months | 28 months | 29 months | ||||
Weighted Average Fixed Interest Rate in Contract | 0.95% | 0.89% | ||||
Over 24 Months to 36 Months | Interest Rate Swap | ||||||
Derivative Instruments Gain Loss [Line Items] | ||||||
Notional Amount | $ 600,000,000 | $ 1,800,000,000 |
Schedule of Outstanding Interes
Schedule of Outstanding Interest Rate Swaptions (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | ||
Weighted Average Months to Expiration | 15 months | 16 months |
Options | ||
Derivative [Line Items] | ||
Original Cost | $ 10,813,000 | $ 20,080,000 |
Fair Value | $ 1,831,000 | $ 4,561,000 |
Weighted Average Months to Expiration | 9 months | 6 months |
Underlying Swaps | ||
Derivative [Line Items] | ||
Notional Amount | $ 3,065,000,000 | $ 992,300,000 |
Weighted Average Fixed Pay Rate | 3.23% | 2.74% |
Weighted Average Term (Years) | 6 years | 7 years |
Schedule of Composition of Futu
Schedule of Composition of Futures Contracts (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Total fair value of Futures Contracts | $ (394,221) | $ (202,501) |
Futures Contracts Designed to Replicate Swaps | ||
Derivative [Line Items] | ||
Total fair value of Futures Contracts | (386,267) | (202,202) |
Futures Contracts Designed to Hedge Value Changes in Forward Purchases | ||
Derivative [Line Items] | ||
Total fair value of Futures Contracts | $ (7,954) | $ (299) |
Schedule of Volume of Activity
Schedule of Volume of Activity Futures Contracts (Details) - Eurodollar Future - Contract | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Derivatives Fair Value [Line Items] | ||||
Number of contracts, Beginning of period | 131,276 | 123,275 | 130,074 | 95,327 |
New positions opened | 6,546 | 22,352 | 52,563 | 125,547 |
Early settlements | (5,220) | (12,016) | (32,369) | (83,444) |
Settlements at maturity | (8,806) | (2,479) | (26,472) | (6,298) |
Number of contracts, End of period | 123,796 | 131,132 | 123,796 | 131,132 |
Schedule of ARM Securities Forw
Schedule of ARM Securities Forward Purchase Commitments (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | ||
Forward purchase agreements - Face/UPB | $ 2,940,069 | $ 3,808,687 |
Forward purchase agreements - Cost | 3,027,845 | 3,927,034 |
Forward purchase agreements - Fair Value | 3,028,643 | 3,943,097 |
Forward purchase agreements - Net Asset (Liability) | 798 | 16,063 |
ARMs - Originators | ||
Derivative [Line Items] | ||
Forward purchase agreements - Face/UPB | 205,275 | 376,936 |
Forward purchase agreements - Cost | 209,881 | 384,673 |
Forward purchase agreements - Fair Value | 211,990 | 388,829 |
Forward purchase agreements - Net Asset (Liability) | 2,109 | 4,156 |
15-year TBA Dollar Roll Securities | ||
Derivative [Line Items] | ||
Forward purchase agreements - Face/UPB | 2,655,000 | 3,400,000 |
Forward purchase agreements - Cost | 2,736,748 | 3,509,871 |
Forward purchase agreements - Fair Value | 2,735,012 | 3,521,816 |
Forward purchase agreements - Net Asset (Liability) | (1,736) | 11,945 |
Whole Mortgage Loans | ||
Derivative [Line Items] | ||
Forward purchase agreements - Face/UPB | 79,794 | 11,656 |
Forward purchase agreements - Cost | 81,216 | 11,937 |
Forward purchase agreements - Fair Value | 81,641 | 11,935 |
Forward purchase agreements - Net Asset (Liability) | $ 425 | (2) |
ARMs - Dealers | ||
Derivative [Line Items] | ||
Forward purchase agreements - Face/UPB | 20,095 | |
Forward purchase agreements - Cost | 20,553 | |
Forward purchase agreements - Fair Value | 20,517 | |
Forward purchase agreements - Net Asset (Liability) | $ (36) |
Gross Amounts Associated with D
Gross Amounts Associated with Derivative Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Derivative assets, at fair value | $ 4,365 | $ 27,151 |
Derivative liabilities, at fair value | 418,921 | 244,591 |
Interest Rate Swaptions | ||
Derivative [Line Items] | ||
Derivative assets, at fair value | 1,831 | 4,561 |
Cash Collateral Posted (Held) | (886) | (1,558) |
Net Asset | 945 | 3,003 |
Forward Purchase Commitments | ||
Derivative [Line Items] | ||
Derivative assets, at fair value | 2,534 | 16,101 |
Net Asset | 2,534 | 16,101 |
Second Interest Rate Swap | ||
Derivative [Line Items] | ||
Derivative liabilities, at fair value | (22,964) | (42,052) |
Cash Collateral Posted (Held) | 31,626 | 66,653 |
Net Liability | 8,662 | 24,601 |
Second Futures Contracts | ||
Derivative [Line Items] | ||
Derivative liabilities, at fair value | (394,221) | (202,501) |
Cash Collateral Posted (Held) | 458,178 | 251,553 |
Net Liability | 63,957 | 49,052 |
Second Forward Purchase Commitments | ||
Derivative [Line Items] | ||
Derivative liabilities, at fair value | (1,736) | (38) |
Cash Collateral Posted (Held) | 3,217 | 5,585 |
Net Liability | $ 1,481 | 5,547 |
Interest Rate Swap | ||
Derivative [Line Items] | ||
Derivative assets, at fair value | 6,489 | |
Net Asset | $ 6,489 |
The Components of Loss on Deriv
The Components of Loss on Derivative Instruments Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Derivative Instruments Gain Loss [Line Items] | ||||
Net gain (loss) on derivative instruments | $ (130,301) | $ 35,430 | $ (252,501) | $ (61,445) |
Interest Rate Swaps – Net Realized and Unrealized Gains | ||||
Derivative Instruments Gain Loss [Line Items] | ||||
Net gain (loss) on derivative instruments | (4,227) | 38,136 | 7,386 | 62,524 |
Interest Rate Swaptions | ||||
Derivative Instruments Gain Loss [Line Items] | ||||
Net gain (loss) on derivative instruments | (8,202) | (1,304) | (11,492) | (3,983) |
Interest Rate Swap | ||||
Derivative Instruments Gain Loss [Line Items] | ||||
Net gain (loss) on derivative instruments | (9,510) | (29,079) | (46,150) | (88,245) |
Futures Contracts | ||||
Derivative Instruments Gain Loss [Line Items] | ||||
Net gain (loss) on derivative instruments | (130,060) | 37,405 | (191,720) | (69,982) |
Futures Contracts - Other Realized Losses | ||||
Derivative Instruments Gain Loss [Line Items] | ||||
Net gain (loss) on derivative instruments | (2,721) | (25,394) | ||
Mortgage Loan Purchase Commitments - Fair Value Adjustments | ||||
Derivative Instruments Gain Loss [Line Items] | ||||
Net gain (loss) on derivative instruments | 368 | 415 | ||
TBA Dollar Roll | ||||
Derivative Instruments Gain Loss [Line Items] | ||||
Net gain (loss) on derivative instruments | 20,512 | 22,370 | 68,568 | 68,813 |
TBA Dollar Rolls – Net Realized And Unrealized Gains (Losses) | ||||
Derivative Instruments Gain Loss [Line Items] | ||||
Net gain (loss) on derivative instruments | 17,528 | (30,288) | (21,558) | (6,509) |
Futures Contracts - Losses From Maturities | ||||
Derivative Instruments Gain Loss [Line Items] | ||||
Net gain (loss) on derivative instruments | $ (13,989) | $ (1,810) | $ (32,556) | $ (24,063) |
Schedule of Interest Rate Swap
Schedule of Interest Rate Swap Agreements on Accumulated Other Comprehensive Income (Details) - Interest Rate Swap - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Derivative Instruments And Hedging Activities Disclosures [Line Items] | ||||
Beginning balance | $ (7,325) | $ (63,567) | $ (30,042) | $ (111,174) |
Reclassification of net losses to the income statement | 5,433 | 19,806 | 28,150 | 67,413 |
Ending balance | $ (1,892) | $ (43,761) | $ (1,892) | $ (43,761) |
Capital Stock - Additional Info
Capital Stock - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Jun. 18, 2013 | |
Equity [Abstract] | |||||
Common stock share authorized to repurchase | 7,040,670 | 7,040,670 | |||
Common stock shares authorized to repurchase | 10,000,000 | ||||
Stock repurchased during period, shares | 373,883 | 100,000 | 373,883 | 100,000 | |
Stock repurchased during period, value | $ 6,280 | $ 1,912 | $ 6,280 | $ 1,912 |
Earnings per Share (Details)
Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Basic earnings (loss) per share: | ||||
Net income (loss) | $ (83,892) | $ 77,891 | $ (93,871) | $ 82,212 |
Dividends declared on preferred stock | (5,480) | (5,480) | (16,441) | (16,441) |
Net income (loss) available to common shareholders | $ (89,372) | $ 72,411 | $ (110,312) | $ 65,771 |
Weighted average shares | 96,545,913 | 96,563,132 | 96,705,682 | 96,561,446 |
Basic earnings (loss) per share | $ (0.93) | $ 0.75 | $ (1.14) | $ 0.68 |
Diluted earnings (loss) per share: | ||||
Net income (loss) | $ (83,892) | $ 77,891 | $ (93,871) | $ 82,212 |
Dividends declared on preferred stock | (5,480) | (5,480) | (16,441) | (16,441) |
Net income (loss) available to common shareholders | $ (89,372) | $ 72,411 | $ (110,312) | $ 65,771 |
Weighted average shares | 96,545,913 | 96,563,132 | 96,705,682 | 96,561,446 |
Diluted weighted average shares | 96,545,913 | 96,563,132 | 96,705,682 | 96,561,446 |
Diluted earnings (loss) per share | $ (0.93) | $ 0.75 | $ (1.14) | $ 0.68 |
Transactions with Related Par70
Transactions with Related Parties - Additional Information (Details) | 1 Months Ended | 9 Months Ended | |
Oct. 31, 2014USD ($) | Sep. 30, 2015USD ($)Director | Dec. 31, 2014USD ($) | |
ACA | |||
Related Party Transaction [Line Items] | |||
Percentage of management fees payable | 8.33% | ||
Management Fees | |||
Related Party Transaction [Line Items] | |||
Number of independent directors | Director | 6 | ||
Management agreement initial expiration date | Feb. 23, 2016 | ||
Management agreement additional term of expiration | 1 year | ||
Prior notice for uncertain termination (in days) | 180 days | ||
Proportion of average annual management fee description | ACA must be provided 180 days prior notice of any such termination and will be paid a termination fee equal to four times the average annual management fee earned by ACA during the two year period immediately preceding termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. | ||
Period of annual management fees earned (in years) | 2 years | ||
Management fee payable | $ 1,947,000 | $ 3,198,000 | |
Financial interest at an annual rate | $ 300,000 | ||
Management Fees | Company's Equity Up To $250 Million | |||
Related Party Transaction [Line Items] | |||
Management fee payable | $ 250,000,000 | ||
Management fee bases per annum | 1.50% | ||
Management Fees | Company's Equity In Excess Of $250 Million And Up To $500 Million | |||
Related Party Transaction [Line Items] | |||
Management fee payable | $ 500,000,000 | ||
Management fee bases per annum | 1.10% | ||
Management fee payable, minimum | $ 250,000,000 | ||
Management Fees | Company's Equity In Excess Of $500 Million And Up To $750 Million | |||
Related Party Transaction [Line Items] | |||
Management fee payable | $ 750,000,000 | ||
Management fee bases per annum | 0.80% | ||
Management fee payable, minimum | $ 500,000,000 | ||
Management Fees | Company's Equity In Excess Of $750 Million | |||
Related Party Transaction [Line Items] | |||
Management fee bases per annum | 0.50% | ||
Management fee payable, minimum | $ 750,000,000 |
Amounts Incurred for Management
Amounts Incurred for Management Fee and Reimbursable Expenses (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Related Party Transaction [Line Items] | ||||
Management fee | $ 4,037 | $ 4,122 | $ 12,215 | $ 12,420 |
Share-based compensation | 966 | 890 | 3,045 | 2,592 |
Management Fees | ||||
Related Party Transaction [Line Items] | ||||
Management fee | 4,037 | 4,122 | 12,215 | 12,420 |
Reimbursable expenses | 1,124 | 715 | 3,681 | 2,403 |
Total | 5,161 | 4,837 | 15,896 | 14,823 |
Share-based compensation | $ 966 | $ 890 | $ 3,045 | $ 2,592 |
Accumulated Other Comprehensi72
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Accumulated Other Comprehensive Income Loss [Line Items] | ||||
Beginning balance accumulated other comprehensive income (loss) | $ 226,809 | $ 164,223 | $ 205,765 | $ (8,052) |
Other comprehensive income (loss) before reclassification | 1,420 | (28,691) | 25,695 | 94,944 |
Amount reclassified to MBS available for sale | (1,150) | (4,337) | (10,954) | (5,535) |
Amounts reclassified to net gain/loss on the sale of MBS | (1,216) | (237) | (17,360) | (3,089) |
Amounts reclassified to interest expense | 5,433 | 19,806 | 28,150 | 67,413 |
Net current period other comprehensive income (loss), unrealized gain/(loss) on investments | (912) | (912) | ||
Amounts reclassified for termination of all- in-one cash flow hedge accounting on dollar roll TBAs | 5,083 | |||
Net current period other comprehensive income (loss), unrealized gain/(loss) on derivative instruments | 6,389 | 17,923 | 26,139 | 75,026 |
Other comprehensive income (loss) | 4,487 | (13,459) | 25,531 | 158,816 |
Ending balance, total accumulated other comprehensive income (loss) | 231,296 | 150,764 | 231,296 | 150,764 |
Derivative Instruments | ||||
Accumulated Other Comprehensive Income Loss [Line Items] | ||||
Beginning balance | (6,172) | (59,812) | (25,922) | (116,915) |
Other comprehensive income (loss) before reclassification | 2,109 | 1,872 | 8,110 | 7,669 |
Amounts reclassified to interest expense | 5,433 | 19,806 | 28,150 | 67,413 |
Amount reclassified to MBS available for sale | (1,153) | (3,755) | (10,121) | (5,139) |
Amounts reclassified for termination of all- in-one cash flow hedge accounting on dollar roll TBAs | 5,083 | |||
Net current period other comprehensive income (loss), unrealized gain/(loss) on derivative instruments | 6,389 | 17,923 | 26,139 | 75,026 |
Ending balance | 217 | (41,889) | 217 | (41,889) |
Whole Mortgage Loans | Unrealized Gain (Loss) on Investments | ||||
Accumulated Other Comprehensive Income Loss [Line Items] | ||||
Beginning balance, accumulated other comprehensive income (loss), unrealized gain/(loss) on investments | 233,289 | 223,948 | 232,240 | 109,490 |
Other comprehensive income (loss) before reclassification, unrealized gain/(loss) on derivative instruments | (753) | (30,572) | 16,440 | 86,738 |
Amounts reclassified to net gain/loss on the sale of MBS | (1,216) | (237) | (17,360) | (3,089) |
Net current period other comprehensive income (loss), unrealized gain/(loss) on investments | (1,969) | (30,809) | (920) | 83,649 |
Ending balance, accumulated other comprehensive income (loss), unrealized gain/(loss) on investments | 231,320 | 193,139 | 231,320 | 193,139 |
Unsettled MBS | Unrealized Gain (Loss) on Investments | ||||
Accumulated Other Comprehensive Income Loss [Line Items] | ||||
Beginning balance, accumulated other comprehensive income (loss), unrealized gain/(loss) on investments | (3) | 582 | 42 | |
Other comprehensive income (loss) before reclassification, unrealized gain/(loss) on derivative instruments | 85 | 120 | 876 | 516 |
Net current period other comprehensive income (loss), unrealized gain/(loss) on investments | 88 | (462) | 43 | 120 |
Ending balance, accumulated other comprehensive income (loss), unrealized gain/(loss) on investments | 85 | 120 | 85 | 120 |
Amount reclassified to MBS available for sale | 3 | (582) | (833) | (396) |
Other Investments | Unrealized Gain (Loss) on Investments | ||||
Accumulated Other Comprehensive Income Loss [Line Items] | ||||
Beginning balance, accumulated other comprehensive income (loss), unrealized gain/(loss) on investments | (305) | (495) | (595) | (627) |
Other comprehensive income (loss) before reclassification, unrealized gain/(loss) on derivative instruments | (21) | (111) | 269 | 21 |
Net current period other comprehensive income (loss), unrealized gain/(loss) on investments | (21) | (111) | 269 | 21 |
Ending balance, accumulated other comprehensive income (loss), unrealized gain/(loss) on investments | $ (326) | $ (606) | $ (326) | $ (606) |