Document And Entity Information
Document And Entity Information - shares | 3 Months Ended | |
Mar. 31, 2018 | Apr. 24, 2018 | |
Document and Entity Information [Abstract] | ||
Entity Registrant Name | Armour Residential REIT, Inc. | |
Entity Central Index Key | 1,428,205 | |
Entity Current Reporting Status | Yes | |
Entity Voluntary Filers | No | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Well-known Seasoned Issuer | Yes | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 41,902,723 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Assets | ||
Cash | $ 216,497 | $ 265,232 |
Cash collateral posted to counterparties | 13,150 | 17,162 |
Agency Securities (including pledged securities of $5,725,997 at March 31, 2018 and $7,094,766 at December 31, 2017) | 6,245,432 | 7,478,966 |
Receivable for unsettled sales - pledged securities | 68,796 | 0 |
Derivatives, at fair value | 135,703 | 37,211 |
Accrued interest receivable | 20,492 | 22,165 |
Prepaid and other | 1,608 | 1,600 |
Subordinated loans due from BUCKLER Securities LLC | 105,000 | 105,000 |
Total Assets | 8,471,257 | 8,928,917 |
Liabilities: | ||
Repurchase agreements | 6,853,715 | 7,555,917 |
Cash collateral posted by counterparties | 127,721 | 29,593 |
Payable for unsettled purchases | 227,409 | 0 |
Derivatives, at fair value | 6,882 | 7,948 |
Accrued interest payable- repurchase agreements | 5,274 | 6,452 |
Accounts payable and other accrued expenses | 5,290 | 2,956 |
Total Liabilities | 7,226,291 | 7,602,866 |
Commitments and contingencies | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ||
Common stock, $0.001 par value, 125,000 shares authorized, 41,902 and 41,877 shares issued and outstanding at March 31, 2018 and December 31, 2017 | 42 | 42 |
Additional paid-in capital | 2,712,611 | 2,709,335 |
Accumulated deficit | (1,346,867) | (1,363,223) |
Accumulated other comprehensive loss | (120,828) | (20,111) |
Total Stockholders’ Equity | 1,244,966 | 1,326,051 |
Total Liabilities and Stockholders’ Equity | 8,471,257 | 8,928,917 |
Series A Preferred Stock | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ||
Preferred stock: 8.250% Series A Cumulative Preferred Stock; 2,181 issued and outstanding ($54,514 aggregate liquidation preference); 7.875% Series B Cumulative Preferred Stock; 6,369 and 6,262 shares issued and outstanding at March 31, 2018 and December 31, 2017 ($159,232 and $156,560 aggregate liquidation preference, respectively) | 2 | 2 |
Series B Preferred Stock | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ||
Preferred stock: 8.250% Series A Cumulative Preferred Stock; 2,181 issued and outstanding ($54,514 aggregate liquidation preference); 7.875% Series B Cumulative Preferred Stock; 6,369 and 6,262 shares issued and outstanding at March 31, 2018 and December 31, 2017 ($159,232 and $156,560 aggregate liquidation preference, respectively) | 6 | 6 |
Credit Risk and Non-Agency Securities | ||
Assets | ||
Securities, trading, at fair value | 968,950 | 975,829 |
Interest-Only Securities | ||
Assets | ||
Securities, trading, at fair value | 24,933 | 25,752 |
US Treasury Securities | ||
Assets | ||
Securities, trading, at fair value | $ 670,696 | $ 0 |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets (Parentheticals) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
Agency securities pledged | $ 5,725,997 | $ 7,094,766 |
Receivables for unsettled sales, pledged securities | $ 63,535 | |
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 |
Preferred stock, shares authorized (in shares) | 50,000,000 | 50,000,000 |
Common stock, par value (in dollars per share) | $ 0.001 | $ 0.001 |
Common stock, shares authorized (in shares) | 125,000,000 | 125,000,000 |
Common stock, shares issued (in shares) | 41,902,000 | 41,877,000 |
Common stock, shares outstanding (in shares) | 41,902,000 | 41,877,000 |
Series A Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 |
Preferred stock, shares authorized (in shares) | 9,610,000 | |
Preferred stock, dividend rate | 8.25% | 8.25% |
Preferred stock, shares issued (in shares) | 2,181,000 | 2,181,000 |
Preferred stock, shares outstanding (in shares) | 2,181,000 | 2,181,000 |
Preferred stock, aggregate liquidation preference | $ 54,514 | $ 54,514 |
Series B Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 |
Preferred stock, shares authorized (in shares) | 7,650,000 | |
Preferred stock, dividend rate | 7.875% | 7.875% |
Preferred stock, shares issued (in shares) | 6,369,000 | 6,262,000 |
Preferred stock, shares outstanding (in shares) | 6,369,000 | 6,262,000 |
Preferred stock, aggregate liquidation preference | $ 159,232 | $ 156,560 |
Credit Risk and Non-Agency Securities | ||
Trading securities pledged | $ 884,531 | $ 974,372 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Operations - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | ||
Interest Income: | |||
Agency Securities, net of amortization of premium and fees | $ 52,253 | $ 44,081 | |
Total Interest Income | 68,169 | 58,582 | |
Interest expense- repurchase agreements | (32,018) | (18,064) | |
Net Interest Income | 36,151 | 40,518 | |
Other Income (Loss): | |||
Realized loss on sale of Agency Securities (reclassified from Other comprehensive income (loss)) | (32,603) | (11,154) | |
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income) | (12,090) | 0 | |
Subtotal | (40,536) | 9,387 | |
Realized loss on derivatives | [1] | (38,604) | (12,249) |
Unrealized gain on derivatives | 97,201 | 23,768 | |
Subtotal | 58,597 | 11,519 | |
Total Other Income | 18,061 | 20,906 | |
Expenses: | |||
Management fees | 6,801 | 6,521 | |
Professional fees | 1,172 | 880 | |
Insurance | 165 | 277 | |
Compensation | 977 | 477 | |
Other | 350 | 551 | |
Total Expenses | 9,465 | 8,706 | |
Net Income | 44,747 | 52,718 | |
Dividends on preferred stock | (4,253) | (3,905) | |
Net Income available to common stockholders | $ 40,494 | $ 48,813 | |
Net income (loss) related to common stockholders | |||
Basic (in dollars per share) | $ 0.97 | $ 1.33 | |
Diluted (in dollars per share) | 0.96 | 1.33 | |
Dividends declared per common share (in dollars per share) | $ 0.57 | $ 0.57 | |
Weighted average common shares outstanding: | |||
Basic (in shares) | 41,887 | 36,724 | |
Diluted (in shares) | 42,331 | 36,748 | |
Credit Risk and Non-Agency Securities | |||
Interest Income: | |||
Trading securities, interest income | $ 14,006 | $ 13,898 | |
Other Income (Loss): | |||
Gain (loss) on securities | 1,283 | 24,284 | |
Interest-Only Securities | |||
Interest Income: | |||
Trading securities, interest income | 442 | 603 | |
Other Income (Loss): | |||
Gain (loss) on securities | 298 | (3,743) | |
US Treasury Securities | |||
Interest Income: | |||
Trading securities, interest income | 844 | 0 | |
Other Income (Loss): | |||
Gain (loss) on securities | 2,576 | 0 | |
Subordinated Loans | |||
Interest Income: | |||
Trading securities, interest income | $ 624 | $ 0 | |
[1] | Interest expense related to our interest rate swap contracts is recorded as realized loss on derivatives on the consolidated statements of operations. For additional information, see financial statement Note 10. |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Statement of Comprehensive Income [Abstract] | ||
Net Income | $ 44,747 | $ 52,718 |
Other comprehensive income (loss): | ||
Reclassification adjustment for realized loss on sale of available for sale Agency Securities | 32,603 | 11,154 |
Reclassification adjustment for other than temporary impairment of available for sale Agency Securities | 12,090 | 0 |
Net unrealized gain (loss) on available for sale Agency Securities | (145,410) | 6,114 |
Other comprehensive income (loss) | (100,717) | 17,268 |
Comprehensive Income (Loss) | $ (55,970) | $ 69,986 |
Condensed Consolidated Stateme6
Condensed Consolidated Statement of Stockholders' Equity - 3 months ended Mar. 31, 2018 - USD ($) shares in Thousands, $ in Thousands | Total | Series A Preferred Stock | Series B Preferred Stock | Preferred StockSeries A Preferred Stock | Preferred StockSeries B Preferred Stock | Additional Paid-in Capital | Additional Paid-in CapitalSeries A Preferred Stock | Additional Paid-in CapitalSeries B Preferred Stock | Additional Paid-in CapitalCommon Stock | Common Stock | Accumulated Deficit | Accumulated DeficitSeries A Preferred Stock | Accumulated DeficitSeries B Preferred Stock | Accumulated Other Comprehensive Income (Loss) |
Beginning balance (in shares) at Dec. 31, 2017 | 2,181 | 6,262 | 41,877 | |||||||||||
Beginning balance at Dec. 31, 2017 | $ 1,326,051 | $ 2 | $ 6 | $ 2,709,335 | $ 53,172 | $ 151,515 | $ 2,504,648 | $ 42 | $ (1,363,223) | $ (20,111) | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Preferred dividends | $ (1,124) | $ (3,129) | $ (1,124) | $ (3,129) | ||||||||||
Common stock dividends | (24,138) | (24,138) | ||||||||||||
Preferred stock issued (in shares) | 107 | |||||||||||||
Preferred stock issued | 2,632 | 2,632 | 2,632 | |||||||||||
Stock based compensation, net of withholding requirements (in shares) | 25 | |||||||||||||
Stock based compensation, net of withholding requirements | 644 | 644 | 644 | |||||||||||
Net Income | 44,747 | 44,747 | ||||||||||||
Other comprehensive loss | (100,717) | (100,717) | ||||||||||||
Ending balance (in shares) at Mar. 31, 2018 | 2,181 | 6,369 | 41,902 | |||||||||||
Ending balance at Mar. 31, 2018 | $ 1,244,966 | $ 2 | $ 6 | $ 2,712,611 | $ 53,172 | $ 154,147 | $ 2,505,292 | $ 42 | $ (1,346,867) | $ (120,828) |
Condensed Consolidated Stateme7
Condensed Consolidated Statement of Stockholders' Equity (Parenthetical) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
Series A Preferred Stock | ||
Preferred stock, dividend rate | 8.25% | 8.25% |
Series B Preferred Stock | ||
Preferred stock, dividend rate | 7.875% | 7.875% |
Condensed Consolidated Stateme8
Condensed Consolidated Statements of Cash Flows - USD ($) | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Cash Flows From Operating Activities: | ||
Net Income | $ 44,747,000 | $ 52,718,000 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Net amortization of premiums on investments | 9,794,000 | 12,633,000 |
Accretion of net discount on Credit Risk and Non-Agency Securities | (1,006,000) | (848,000) |
Realized loss on sale of Agency Securities | 32,603,000 | 11,154,000 |
Other than temporary impairment of Agency Securities | 12,090,000 | 0 |
Stock based compensation | 644,000 | 200,000 |
Changes in operating assets and liabilities: | ||
(Increase) decrease in accrued interest receivable | 1,971,000 | (29,000) |
(Increase) decrease in prepaid and other assets | 56,000 | (371,000) |
Change in derivatives, at fair value | (99,558,000) | (57,159,000) |
Decrease in accrued interest payable- repurchase agreements | (1,178,000) | (2,868,000) |
Increase (decrease) in accounts payable and other accrued expenses | 2,270,000 | (1,239,000) |
Net cash used in operating activities | (607,000) | (5,039,000) |
Cash Flows From Investing Activities: | ||
Purchases of Agency Securities | 0 | (1,408,177,000) |
Principal repayments of Agency Securities | 167,649,000 | 208,031,000 |
Principal repayments of Credit Risk and Non-Agency Securities | 9,168,000 | 16,088,000 |
Proceeds from sales of Agency Securities | 1,068,996,000 | 1,387,366,000 |
Increase in cash collateral | 102,140,000 | 61,556,000 |
Net cash provided by investing activities | 679,833,000 | 256,640,000 |
Cash Flows From Financing Activities: | ||
Proceeds from repurchase agreements | 35,593,550,000 | 35,245,549,000 |
Principal repayments on repurchase agreements | (36,295,752,000) | (35,549,608,000) |
Common stock dividends paid | (24,138,000) | (20,951,000) |
Net cash used in financing activities | (727,961,000) | (328,915,000) |
Net decrease in cash | (48,735,000) | (77,314,000) |
Cash - beginning of period | 265,232,000 | 271,773,000 |
Cash - end of period | 216,497,000 | 194,459,000 |
Supplemental Disclosure: | ||
Cash paid during the period for interest | 53,651,000 | 36,117,000 |
Non-Cash Investing Activities: | ||
Receivable for unsettled sales | 68,796,000 | 649,323,000 |
Payable for unsettled purchases | 227,409,000 | 467,562,000 |
Net unrealized gain (loss) on available for sale Agency Securities | (145,410,000) | 6,114,000 |
Series B Preferred Stock | ||
Cash Flows From Financing Activities: | ||
Issuance of Preferred stock, net of expenses | 2,632,000 | 0 |
Preferred stock dividends paid | (3,129,000) | (2,781,000) |
Series A Preferred Stock | ||
Cash Flows From Financing Activities: | ||
Preferred stock dividends paid | (1,124,000) | (1,124,000) |
Interest-Only Securities | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Net amortization of premiums on investments | 1,117,000 | 1,311,000 |
Gain (loss) on securities | (298,000) | 3,743,000 |
Credit Risk and Non-Agency Securities | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Gain (loss) on securities | (1,283,000) | (24,284,000) |
Cash Flows From Investing Activities: | ||
Purchases of Securities | 0 | (8,224,000) |
US Treasury Securities | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Gain (loss) on securities | (2,576,000) | 0 |
Cash Flows From Investing Activities: | ||
Purchases of Securities | $ (668,120,000) | $ 0 |
Organization and Nature of Busi
Organization and Nature of Business Operations | 3 Months Ended |
Mar. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Nature of Business Operations | Note 1 -Organization and Nature of Business Operations References to “we,” “us,” “our,” or the “Company” are to ARMOUR Residential REIT, Inc. (“ARMOUR”) and its subsidiaries. References to “ACM” are to ARMOUR Capital Management LP, a Delaware limited partnership. ARMOUR is an externally managed Maryland corporation incorporated in 2008. The Company is managed by ACM, an investment advisor registered with the Securities and Exchange Commission (the “SEC”), (see Note 11 -Commitments and Contingencies and Note 16 -Related Party Transactions for additional discussion). We have elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code, as amended (the "Code”). Our qualification as a REIT depends on our ability to meet, on a continuing basis, various complex requirements under the Code relating to, among other things, the sources of our gross income, the composition and values of our assets, our distribution levels and the concentration of ownership of our capital stock. We believe that we are organized in conformity with the requirements for qualification as a REIT under the Code and our manner of operations enables us to meet the requirements for taxation as a REIT for federal income tax purposes. As a REIT, we will generally not be subject to federal income tax on the REIT taxable income that we currently distribute to our stockholders. If we fail to qualify as a REIT in any taxable year and do not qualify for certain statutory relief provisions, we will be subject to federal income tax at regular corporate rates. Even if we qualify as a REIT for federal income tax purposes, we may still be subject to some federal, state and local taxes on our income. We invest in residential mortgage backed securities issued or guaranteed by a United States (“U.S.”) Government-sponsored entity (“GSE”), such as the Federal National Mortgage Association (Fannie Mae), the Federal Home Loan Mortgage Corporation (Freddie Mac), or a government agency such as Government National Mortgage Administration (Ginnie Mae) (collectively, “Agency Securities”). We also invest in Interest-Only Securities, which are the interest portion of Agency Securities, that is separated and sold individually from the principal portion of the same payment. Other securities backed by residential mortgages in which we invest, for which the payment of principal and interest is not guaranteed by a GSE or government agency (collectively, “Credit Risk and Non-Agency Securities” and together with Agency Securities and Interest-Only Securities, “MBS”), may benefit from credit enhancement derived from structural elements such as subordination, over collateralization or insurance. Our securities portfolio consists primarily of Agency Securities backed by fixed rate home loans. From time to time, a portion of our assets may be invested in Agency Securities backed by hybrid adjustable rate and adjustable rate home loans as well as unsecured notes and bonds issued by GSEs, U.S. Treasury Securities and money market instruments, subject to certain income tests we must satisfy for our qualification as a REIT. |
Basis of Presentation
Basis of Presentation | 3 Months Ended |
Mar. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Note 2 -Basis of Presentation and Consolidation The accompanying unaudited consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X promulgated by the SEC. Accordingly, the condensed financial statements do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the three months ended March 31, 2018 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2018 . These unaudited consolidated financial statements should be read in conjunction with the audited financial statements and notes thereto included in our annual report on Form 10-K for the year ended December 31, 2017 . The unaudited consolidated financial statements include the accounts of ARMOUR Residential REIT, Inc. and its subsidiaries. All intercompany accounts and transactions have been eliminated. The preparation of the consolidated 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 condensed consolidated financial statements include the valuation of MBS (as defined below), including an assessment of whether other-than-temporary impairment (“OTTI”) exists, and derivative instruments. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2018 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 3 -Summary of Significant Accounting Policies Cash Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents cash posted by us to counterparties or posted by counterparties to us as collateral. Cash collateral posted to/by counterparties may include collateral for interest rate swap contracts (including swaptions and basis swap contracts), and repurchase agreements on our MBS and our Agency Securities purchased or sold on a to-be-announced basis (“TBA Agency Securities”). Investments in Securities, at Fair Value We generally intend to hold most of our securities for extended periods of time. We may, from time to time, sell any of our securities as part of the overall management of our securities portfolio. 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. Purchases and sales of our securities are recorded on the trade date. Agency Securities - At March 31, 2018 and December 31, 2017 , all of our Agency Securities were classified as available for sale securities. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the consolidated statements of comprehensive income (loss). Credit Risk and Non-Agency Securities - At March 31, 2018 and December 31, 2017 , all of our Credit Risk and Non-Agency Securities were classified as trading securities. Credit Risk and Non-Agency Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. Interest-Only Securities - At March 31, 2018 and December 31, 2017 , all of our Interest-Only Securities were classified as trading securities. Interest-Only Securities represent the right to receive a specified proportion of the contractual interest flows of specific Agency MBS. Interest-Only Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. U.S. Treasury Securities - At March 31, 2018 , all of our U.S. Treasury Securities were classified as trading securities. U.S. Treasury Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. We did not have any U.S. Treasury Securities at December 31, 2017 . Receivables and Payables for Unsettled Sales and Purchases We account for purchases and sales of securities on the trade date, including purchases and sales for forward settlement. Receivables and payables for unsettled trades represent the agreed trade price multiplied by the outstanding balance of the securities at the balance sheet date. Accrued Interest Receivable and Payable Accrued interest receivable includes interest accrued between payment dates on securities. Accrued interest payable includes interest payable on our repurchase agreements and may, at certain times, contain interest payable on U.S. Treasury Securities sold short. Repurchase Agreements We finance the acquisition of our MBS through the use of repurchase agreements. Our repurchase agreements are secured by our MBS and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell MBS to a lender and agree to repurchase the same MBS in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement under which we pledge our MBS as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then prevailing interest rate. The repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. In addition to the repurchase agreement financing discussed above, at certain times we have entered into reverse repurchase agreements with certain of our repurchase agreement counterparties. Under a typical reverse repurchase agreement, we purchase U.S. Treasury Securities from a borrower in exchange for cash and agree to sell the same securities in the future in exchange for a price that is higher than the original purchase price. The difference between the purchase price originally paid and the sale price represents interest received from the borrower. Reverse repurchase agreement receivables and repurchase agreement liabilities are presented net when they meet certain criteria, including being with the same counterparty, being governed by the same master repurchase agreement (“MRA”), settlement through the same brokerage or clearing account and maturing on the same day. We did not have any reverse repurchase agreements outstanding at March 31, 2018 and December 31, 2017 . Derivatives, at Fair Value We recognize all derivatives as either assets or liabilities at fair value on our consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our consolidated statements of operations. We designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. These transactions include interest rate swap contracts, interest rate swaptions and basis swap contracts. We also may utilize forward contracts for the purchase or sale of TBA Agency Securities. We account for TBA Agency Securities as derivative instruments if it is reasonably possible that we will not take or make physical delivery of the Agency Security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. We may also purchase and sell TBA Agency Securities as a means of investing in and financing Agency Securities (thereby increasing our “at risk” leverage) or as a means of disposing of or reducing our exposure to Agency Securities (thereby reducing our “at risk” leverage). Pursuant to TBA Agency Securities, we agree to purchase or sell, for future delivery, Agency Securities with certain principal and interest terms and certain types of collateral, but the particular Agency Securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA Agency Security for a later settlement date. This transaction is commonly referred to as a “dollar roll.” When it is reasonably possible that we will pair off a TBA Agency Security, we account for that contract as a derivative. Revenue Recognition Agency Securities - Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. Premiums and discounts associated with the purchase of Multi-Family MBS, which are generally not subject to prepayment, are amortized or accreted into interest income over the contractual lives of the securities using a level yield method. Premiums and discounts associated with the purchase of other Agency Securities are amortized or accreted into interest income over the actual lives of the securities, reflecting actual prepayments as they occur. • Fair Value of Agency Securities: We invest in Agency Securities representing interests in or obligations backed by pools of fixed rate, hybrid adjustable rate and adjustable rate mortgage loans. GAAP requires us to classify our investments 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. We currently classify all of our Agency Securities as available for sale. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the statements of comprehensive income (loss). • Agency Security purchase and sale transactions (including purchase of TBA Agency Securities): Purchases and Sales are recorded on the trade date to the extent it is probable that we will take or make timely physical delivery of the related securities. Gains or losses realized from the sale of securities are included in income and are determined using the specific identification method. • Impairment of Assets: We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities. Credit Risk and Non-Agency Securities and Interest-Only Securities - Interest income on Credit Risk and Non-Agency Securities and Interest-Only Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Other than temporary impairments, which establish a new cost basis in the security for purposes of calculating effective yields, are recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. U.S. Treasury Securities - Interest income on U.S. Treasury Securities is recognized based on their unpaid principal amounts and their contractual terms. Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. Comprehensive Income (Loss) Comprehensive income (loss) refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period, except those resulting from investments by owners and distributions to owners. |
Recent Accounting Pronouncement
Recent Accounting Pronouncements | 3 Months Ended |
Mar. 31, 2018 | |
Accounting Changes and Error Corrections [Abstract] | |
Recent Accounting Pronouncements | Note 4 -Recent Accounting Pronouncements We consider the applicability and impact of all Accounting Standards Updates issued by the Financial Accounting Standards Board. Those not listed below were deemed to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. In August 2017, the Financial Accounting Standards Board issued ASU 2017-12, Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities . The standard amends the hedge accounting recognition and presentation requirements in ASC 815. The standard is effective for fiscal years beginning after December 15, 2018 and interim periods therein, however, early adoption is permitted upon its issuance. The Company is currently assessing the impact of the standard and whether it may apply hedge accounting in the future. In July 2016, the Financial Accounting Standards Board issued ASU 2016-13, Financial Instruments–Credit Losses (Topic 326) . The standard introduces a new model for recognizing credit losses on financial instruments based on an estimate of current expected credit losses. The standard will apply to (1) loans, accounts receivable, trade receivables, and other financial assets measured at amortized cost, (2) loan commitments and certain other off–balance sheet credit exposures, (3) debt securities and other financial assets measured at fair value through other comprehensive income, and (4) beneficial interests in securitized financial assets. The standard is effective for fiscal years beginning after December 15, 2019. The Company is assessing the impact of this standard but does not expect it to have significant impact on the consolidated financial statements. However, the impact on the consolidated financial statements will depend on the debt securities held by the Company on the date of the adoption. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 3 Months Ended |
Mar. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Note 5 -Fair Value of Financial Instruments Our valuation techniques for financial instruments use observable and unobservable inputs. Observable inputs reflect readily obtainable data from third party sources, while unobservable inputs reflect management’s market assumptions. The Accounting Standards Codification Topic No. 820, “Fair Value Measurement,” classifies these inputs into the following hierarchy: Level 1 Input s - 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 - Prices determined using significant unobservable inputs. Unobservable inputs may be used in situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period). Unobservable inputs reflect management’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. At the beginning of each quarter, we asses the assets and liabilities that are measured at fair value on a recurring basis to determine if any transfers between levels in the fair value hierarchy are needed. The following describes the valuation methodologies used for our assets and liabilities measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy. Any transfers between levels are assumed to occur at the beginning of the reporting period. Cash - Cash includes cash on deposit with financial institutions. The carrying amount of cash is deemed to be its fair value and is classified as Level 1. Cash balances posted by us to counterparties or posted by counterparties to us as collateral are classified as Level 2 because they are integrally related to the Company's repurchase financing and interest rate swap agreements, which are classified as Level 2. Agency Securities - Fair value for the Agency Securities in our securities portfolio is based on obtaining a valuation for each Agency Security from third party pricing services and/or dealer quotes. The third party pricing services use common market pricing methods that may include pricing models that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement. If the fair value of an Agency Security is not available from the third party pricing services or such data appears unreliable, we obtain pricing indications from up to three dealers who make markets in similar Agency Securities. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third party pricing services, dealer pricing indications and comparisons to a third party pricing model. Fair values obtained from the third party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing models used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the third party pricing service, but dealer pricing indications are, the security will be classified as a Level 2 security. If neither is available, management will determine the fair value based on characteristics of the security that we receive from the issuer and based on available market information and classify it as a Level 3 security. At March 31, 2018 and December 31, 2017 , all of our Agency Security fair values are classified as Level 2 based on the inputs used by our third party pricing services and dealer quotes. Credit Risk and Non-Agency Securities - The fair value for the Credit Risk and Non-Agency Securities in our securities portfolio is based on obtaining a valuation for each Credit Risk and Non-Agency Security from third party pricing services and/or dealer quotes. The third party pricing services incorporate such factors as collateral type, bond structure and priority of payments, coupons, prepayment speeds, defaults, delinquencies and severities. If the fair value of a Credit Risk and Non-Agency Security is not available from the third party pricing services or such data appears unreliable, we obtain pricing indications from up to three dealers who make markets in similar Credit Risk and Non-Agency Securities. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third party pricing services, dealer pricing indications and comparisons to fair value determined using a third party pricing model. Fair values obtained from the third party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing models used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the third party pricing service, but dealer pricing indications are, the security will be classified as a Level 2 security. If neither is available, management will determine the fair value based on characteristics of the security that we receive from the issuer and based on available market information and classify it as a Level 3 security. At March 31, 2018 and December 31, 2017 , all of our Credit Risk and Non-Agency Securities are classified as Level 2 based on the inputs used by our third party pricing services and dealer quotes. Interest-Only Securities - The fair value for the Interest-Only Securities in our securities portfolio is based on obtaining a valuation for each Interest-Only Security from third party pricing services and/or dealer quotes. The third party pricing services use common market pricing methods that may include pricing models consistent with those models used to price Agency Securities underlying the Interest-Only Securities that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement. If the fair value of an Interest-Only Security is not available from the third party pricing services or such data appears unreliable, we obtain pricing indications from up to three dealers who make markets in similar Interest-Only Securities. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third party pricing services, dealer pricing indications and comparisons to a third party pricing model. Fair values obtained from the third party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing models used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the third party pricing service, but dealer pricing indications are, the security will be classified as a Level 2 security. If neither is available, management will determine the fair value based on characteristics of the security that we receive from the issuer and based on available market information and classify it as a Level 3 security. At March 31, 2018 and December 31, 2017 , all of our Interest-Only Security fair values are classified as Level 2 based on the inputs used by our third party pricing services and dealer quotes. U.S. Treasury Securities - Fair value for the U.S. Treasury Securities in our securities portfolio is based on obtaining a valuation for each U.S. Treasury Securities from third party pricing services and/or dealer quotes. At March 31, 2018 , all of our U.S. Treasury Securities fair values are classified as Level 1, as quoted unadjusted prices are available in active markets for identical assets. Receivables and Payables for Unsettled Sales and Purchases - The carrying amount is generally deemed to be fair value because of the relatively short time to settlement. Such receivables and payables are classified as Level 2 because they are effectively secured by the related securities and could potentially be subject to counterparty credit considerations. Repurchase Agreements - The fair value of repurchase agreements reflects the present value of the contractual cash flows discounted at the estimated LIBOR based market interest rates at the valuation date for repurchase agreements with a term equivalent to the remaining term to interest rate repricing, which may be at maturity, of our repurchase agreements. The fair value of the repurchase agreements approximates their carrying amount due to the short-term nature of these financial instruments. Our repurchase agreements are classified as Level 2. Derivative Transactions - The fair values of our interest rate swap contracts, interest rate swaptions and basis swaps are valued using information provided by third party pricing services that incorporate common market pricing methods that may include current interest rate curves, forward interest rate curves and market spreads to interest rate curves. We estimate the fair value of TBA Agency Securities based on similar methods used to value our Agency Securities. Management compares the pricing information received to dealer quotes to ensure that the current market conditions are properly reflected. The fair values of our interest rate swap contracts, interest rate swaptions, basis swap contracts and TBA Agency Securities are classified as Level 2. The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at March 31, 2018 and December 31, 2017 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at March 31, 2018 Assets at Fair Value: Agency Securities $ — $ 6,245,432 $ — $ 6,245,432 Credit Risk and Non-Agency Securities $ — $ 968,950 $ — $ 968,950 Interest-Only Securities $ — $ 24,933 $ — $ 24,933 U.S. Treasury Securities $ 670,696 $ — $ — $ 670,696 Derivatives $ — $ 135,703 $ — $ 135,703 Liabilities at Fair Value: Derivatives $ — $ 6,882 $ — $ 6,882 There were no transfers of assets or liabilities between the levels of the fair value hierarchy during the three months ending March 31, 2018 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at December 31, 2017 Assets at Fair Value: Agency Securities $ — $ 7,478,966 $ — $ 7,478,966 Credit Risk and Non-Agency Securities $ — $ 975,829 $ — $ 975,829 Interest-Only Securities $ — $ 25,752 $ — $ 25,752 Derivatives $ — $ 37,211 $ — $ 37,211 Liabilities at Fair Value: Derivatives $ — $ 7,948 $ — $ 7,948 The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at March 31, 2018 and December 31, 2017 . March 31, 2018 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 216,497 $ 216,497 $ 216,497 $ — $ — Cash collateral posted to counterparties $ 13,150 $ 13,150 $ — $ 13,150 $ — Receivable for unsettled sales $ 68,796 $ 68,796 $ — $ 68,796 $ — Accrued interest receivable $ 20,492 $ 20,492 $ — $ 20,492 $ — Subordinated loans due from BUCKLER Securities LLC $ 105,000 $ 105,000 $ — $ 105,000 $ — Financial Liabilities: Repurchase agreements $ 6,853,715 $ 6,853,715 $ — $ 6,853,715 $ — Cash collateral posted by counterparties $ 127,721 $ 127,721 $ — $ 127,721 $ — Payable for unsettled purchases $ 227,409 $ 227,409 $ — $ 227,409 $ — Accrued interest payable- repurchase agreements $ 5,274 $ 5,274 $ — $ 5,274 $ — December 31, 2017 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 265,232 $ 265,232 $ 265,232 $ — $ — Cash collateral posted to counterparties $ 17,162 $ 17,162 $ — $ 17,162 $ — Accrued interest receivable $ 22,165 $ 22,165 $ — $ 22,165 $ — Subordinated loans due from BUCKLER Securities LLC $ 105,000 105,000 $ — $ 105,000 $ — Financial Liabilities: Repurchase agreements $ 7,555,917 $ 7,555,917 $ — $ 7,555,917 $ — Cash collateral posted by counterparties $ 29,593 $ 29,593 $ — $ 29,593 $ — Accrued interest payable- repurchase agreements $ 6,452 $ 6,452 $ — $ 6,452 $ — The following table provides a summary of the changes in Level 3 assets measured at fair value on a recurring basis at March 31, 2018 and March 31, 2017 . For the Three Months Ended March 31, Credit Risk and Non-Agency Securities 2018 2017 Balance, beginning of period $ — $ 1,052,170 Purchases of Credit Risk and Non-Agency Securities, at cost — 8,224 Principal repayments of Credit Risk and Non-Agency Securities — (16,088 ) Gain on Credit Risk and Non-Agency Securities — 24,284 Accretion of net discount on Credit Risk and Non-Agency Securities — 848 Balance, end of period $ — $ 1,069,438 Gain on Credit Risk and Non-Agency Securities $ — $ 24,284 The significant unobservable inputs used in the fair value measurement of our Level 3 Credit Risk and Non-Agency Securities at March 31, 2017 , included assumptions for underlying loan collateral, cumulative default rates and loss severities in the event of default, as well as discount rates. At the beginning of the third quarter 2017, we determined that third party pricing services and or/dealer quotes available for Credit Risk and Non-Agency Securities meet the criteria for Level 2 classification. Fair values obtained from third party pricing services for similar instruments are classified as Level 2 securities, if the inputs to the pricing model used is consistent with the Level 2 definition. We transferred the securities to Level 2 from Level 3 at the commencement of the third quarter in 2017. |
Agency Securities
Agency Securities | 3 Months Ended |
Mar. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Agency Securities | Note 6 -Agency Securities At March 31, 2018 and December 31, 2017 , investments in Agency Securities accounted for 79.0% and 88.2% of our securities portfolio. We evaluated our Agency Securities with unrealized losses at March 31, 2018 , March 31, 2017 and December 31, 2017 , to determine whether there was an other than temporary impairment. All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. Results of this evaluation for the three months ending March 31, 2018 - At March 31, 2018 , we recognized additional losses on Agency Securities, previously identified during 2017, totaling $12,090 for the three months ended March 31, 2018 in our consolidated financial statements of operations. The aggregate fair value of the remaining identified low yielding Agency Securities is $681,827 at March 31, 2018 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of March 31, 2018 . Results of this evaluation for the period ending March 31, 2017 - No other than temporary impairment was recognized for the three months ended March 31, 2017 because we determined that we 1) did not have the intent to sell the Agency Securities in an unrealized loss position, 2) did not believe it more likely than not that we were required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations), and/or 3) determined that a credit loss did not exist. Results of this evaluation for the year ended December 31, 2017 - During the second quarter of 2017, we identified certain low yielding Agency Securities that we replaced with securities having more attractive returns as market conditions permit. Accordingly, we recognized losses totaling $13,707 in our consolidated statements of operations for the year ended December 31, 2017 , thereby establishing a new cost basis for those Agency Securities with an aggregate fair value of $795,724 as of December 31, 2017 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2017 . At March 31, 2018 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at March 31, 2018 are also presented below. Our Agency Securities had a weighted average coupon of 3.71% at March 31, 2018 . March 31, 2018 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 26,277 $ (304 ) $ 74 $ 26,047 0.42 % Multi-Family MBS 1,482,115 (19,283 ) 1,235 1,464,067 23.44 10 Year Fixed 28,927 (403 ) 90 28,614 0.46 15 Year Fixed 939,147 (11,784 ) — 927,363 14.85 20 Year Fixed 28,155 (1,016 ) — 27,139 0.43 25 Year Fixed 25,185 (669 ) — 24,516 0.39 30 Year Fixed 2,429,537 (59,659 ) 281 2,370,159 37.95 Total Fannie Mae $ 4,959,343 $ (93,118 ) $ 1,680 $ 4,867,905 77.94 % Freddie Mac 10 Year Fixed 32,886 (262 ) 168 32,792 0.53 15 Year Fixed 337,047 (1,391 ) 13 335,669 5.37 25 Year Fixed 40,390 (1,770 ) — 38,620 0.62 30 Year Fixed 960,577 (25,613 ) — 934,964 14.97 Total Freddie Mac $ 1,370,900 $ (29,036 ) $ 181 $ 1,342,045 21.49 % Ginnie Mae ARMs & Hybrids 35,762 (538 ) 1 35,225 0.57 10 Year Fixed 255 — 2 257 0.00 Total Ginnie Mae $ 36,017 $ (538 ) $ 3 $ 35,482 0.57 % Total Agency Securities $ 6,366,260 $ (122,692 ) $ 1,864 $ 6,245,432 100.00 % At December 31, 2017 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2017 are also presented below. Our Agency Securities had a weighted average coupon of 3.68% at December 31, 2017 . December 31, 2017 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 28,199 $ (229 ) $ 112 $ 28,082 0.38 % Multi-Family MBS 1,799,737 (5,132 ) 16,950 1,811,555 24.22 10 Year Fixed 60,634 (347 ) 137 60,424 0.81 15 Year Fixed 1,028,797 (4,955 ) 625 1,024,467 13.70 20 Year Fixed 29,832 (621 ) — 29,211 0.39 25 Year Fixed 9,367 (140 ) — 9,227 0.12 30 Year Fixed 2,938,655 (18,910 ) 431 2,920,176 39.05 Total Fannie Mae $ 5,895,221 $ (30,334 ) $ 18,255 $ 5,883,142 78.67 % Freddie Mac 10 Year Fixed 37,254 (158 ) 228 37,324 0.50 15 Year Fixed 354,878 (211 ) 787 355,454 4.75 25 Year Fixed 41,383 (857 ) — 40,526 0.54 30 Year Fixed 1,131,584 (7,300 ) — 1,124,284 15.03 Total Freddie Mac $ 1,565,099 $ (8,526 ) $ 1,015 $ 1,557,588 20.82 % Ginnie Mae ARMs & Hybrids 38,494 (532 ) 4 37,966 0.51 10 Year Fixed 263 — 7 270 0.00 Total Ginnie Mae $ 38,757 $ (532 ) $ 11 $ 38,236 0.51 % Total Agency Securities $ 7,499,077 $ (39,392 ) $ 19,281 $ 7,478,966 100.00 % Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. At March 31, 2018 , we had investment related receivables of $68,796 with respect to unsettled sales and investment related payables of $227,409 with respect to unsettled purchases. At December 31, 2017 we did not have any investment related receivables or payables with respect to unsettled sales and purchases of our Agency Securities. Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following table summarizes the weighted average lives of our Agency Securities at March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years 41,918 41,986 29,126 29,269 Greater than or equal to three years and less than five years 1,133,824 1,144,807 1,353,036 1,353,998 Greater than or equal to five years 5,069,690 5,179,467 6,096,804 6,115,810 Total Agency Securities $ 6,245,432 $ 6,366,260 $ 7,478,966 $ 7,499,077 We use a third party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities at March 31, 2018 and December 31, 2017 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2018 $ 4,208,407 $ (93,373 ) $ 932,085 $ (29,319 ) $ 5,140,492 $ (122,692 ) December 31, 2017 $ 4,355,924 $ (28,906 ) $ 733,637 $ (10,486 ) $ 5,089,561 $ (39,392 ) During the three months ended March 31, 2018 , we sold $1,137,792 (inclusive of $68,796 receivable for unsettled sales) of Agency Securities, which resulted in a realized loss of $(32,603) . During the three months ended March 31, 2017 , we sold $1,387,366 of Agency Securities, which resulted in a realized loss of $(11,154) . Sales of Agency Securities are done to reposition our securities portfolio and to reach our target level of liquidity. Note 7 -Credit Risk and Non-Agency Securities At March 31, 2018 and December 31, 2017 , investments in Credit Risk and Non-Agency Securities accounted for 12.2% and 11.5% of our securities portfolio. The components of the carrying value of our Credit Risk and Non-Agency Securities at March 31, 2018 are presented in the table below. Credit Risk and Non-Agency Securities March 31, 2018 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 866,736 $ 748,078 $ 758,090 6.37% Legacy Prime Fixed 16,267 14,766 18,585 6.03% Legacy ALT-A Fixed 53,401 47,129 64,175 5.58% Legacy Prime Hybrid 9,874 9,006 10,821 3.27% Legacy ALT-A Hybrid 4,476 3,763 4,708 3.55% New Issue Prime Fixed 18,196 17,689 18,716 3.69% Total Credit Risk and Non-Agency Securities $ 968,950 $ 840,431 $ 875,095 6.22% The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2017 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2017 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 870,494 $ 753,422 $ 764,172 6.05% Legacy Prime Fixed 16,778 15,287 19,237 6.03% Legacy ALT-A Fixed 54,727 48,516 65,920 5.85% Legacy Prime Hybrid 10,469 9,517 11,452 3.17% Legacy ALT-A Hybrid 4,660 3,895 4,901 3.47% New Issue Prime Fixed 18,701 17,957 19,025 3.69% Total Credit Risk and Non-Agency Securities $ 975,829 $ 848,594 $ 884,707 5.95% Our Credit Risk Transfer securities are collaterized by residential mortgage loans meeting agency criteria. However, our securities principal and interest are not guaranteed by the agencies. Credit Risk Transfer securities include tranches issued since 2014. Our Legacy and New Issue Prime Fixed securities are collaterized by residential mortgage loans not guaranteed by any agency. Legacy Prime Fixed, Legacy Alt-A Fixed securities include tranches issued between 2005-2007. New Issue Prime Fixed securities include tranches issued in 2013. The following table summarizes the weighted average lives of our Credit Risk and Non-Agency Securities at March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 Weighted Average Life of all Credit Risk and Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years — — — — Greater than or equal to three years and less than five years 152,518 134,877 169,189 149,436 Greater than or equal to five years 816,432 705,554 806,640 699,158 Total Credit Risk and Non-Agency Securities $ 968,950 $ 840,431 $ 975,829 $ 848,594 We use a third party model to calculate the weighted average lives of our Credit Risk and Non-Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Credit Risk and Non-Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Credit Risk and Non-Agency Securities at March 31, 2018 and December 31, 2017 , in the tables above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Credit Risk and Non-Agency Securities could be longer or shorter than estimated. Note 8 -U.S. Treasury Securities At March 31, 2018 , investments in U.S. Treasury Securities accounted for 8.5% of our securities portfolio. We did not have any U.S. Treasury Securities at December 31, 2017 . At March 31, 2018 , we had the following U.S. Treasury Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our U.S. Treasury Securities at March 31, 2018 are also presented below. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value U.S. Treasury Securities 668,120 (281 ) 2,857 670,696 The following table presents the unrealized losses and estimated fair value of our U.S. Treasury Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2018 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2018 $ 99,180 $ (281 ) $ — $ — $ 99,180 $ (281 ) |
Credit Risk and Non-Agency Secu
Credit Risk and Non-Agency Securities | 3 Months Ended |
Mar. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Credit Risk and Non-Agency Securities | Note 6 -Agency Securities At March 31, 2018 and December 31, 2017 , investments in Agency Securities accounted for 79.0% and 88.2% of our securities portfolio. We evaluated our Agency Securities with unrealized losses at March 31, 2018 , March 31, 2017 and December 31, 2017 , to determine whether there was an other than temporary impairment. All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. Results of this evaluation for the three months ending March 31, 2018 - At March 31, 2018 , we recognized additional losses on Agency Securities, previously identified during 2017, totaling $12,090 for the three months ended March 31, 2018 in our consolidated financial statements of operations. The aggregate fair value of the remaining identified low yielding Agency Securities is $681,827 at March 31, 2018 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of March 31, 2018 . Results of this evaluation for the period ending March 31, 2017 - No other than temporary impairment was recognized for the three months ended March 31, 2017 because we determined that we 1) did not have the intent to sell the Agency Securities in an unrealized loss position, 2) did not believe it more likely than not that we were required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations), and/or 3) determined that a credit loss did not exist. Results of this evaluation for the year ended December 31, 2017 - During the second quarter of 2017, we identified certain low yielding Agency Securities that we replaced with securities having more attractive returns as market conditions permit. Accordingly, we recognized losses totaling $13,707 in our consolidated statements of operations for the year ended December 31, 2017 , thereby establishing a new cost basis for those Agency Securities with an aggregate fair value of $795,724 as of December 31, 2017 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2017 . At March 31, 2018 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at March 31, 2018 are also presented below. Our Agency Securities had a weighted average coupon of 3.71% at March 31, 2018 . March 31, 2018 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 26,277 $ (304 ) $ 74 $ 26,047 0.42 % Multi-Family MBS 1,482,115 (19,283 ) 1,235 1,464,067 23.44 10 Year Fixed 28,927 (403 ) 90 28,614 0.46 15 Year Fixed 939,147 (11,784 ) — 927,363 14.85 20 Year Fixed 28,155 (1,016 ) — 27,139 0.43 25 Year Fixed 25,185 (669 ) — 24,516 0.39 30 Year Fixed 2,429,537 (59,659 ) 281 2,370,159 37.95 Total Fannie Mae $ 4,959,343 $ (93,118 ) $ 1,680 $ 4,867,905 77.94 % Freddie Mac 10 Year Fixed 32,886 (262 ) 168 32,792 0.53 15 Year Fixed 337,047 (1,391 ) 13 335,669 5.37 25 Year Fixed 40,390 (1,770 ) — 38,620 0.62 30 Year Fixed 960,577 (25,613 ) — 934,964 14.97 Total Freddie Mac $ 1,370,900 $ (29,036 ) $ 181 $ 1,342,045 21.49 % Ginnie Mae ARMs & Hybrids 35,762 (538 ) 1 35,225 0.57 10 Year Fixed 255 — 2 257 0.00 Total Ginnie Mae $ 36,017 $ (538 ) $ 3 $ 35,482 0.57 % Total Agency Securities $ 6,366,260 $ (122,692 ) $ 1,864 $ 6,245,432 100.00 % At December 31, 2017 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2017 are also presented below. Our Agency Securities had a weighted average coupon of 3.68% at December 31, 2017 . December 31, 2017 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 28,199 $ (229 ) $ 112 $ 28,082 0.38 % Multi-Family MBS 1,799,737 (5,132 ) 16,950 1,811,555 24.22 10 Year Fixed 60,634 (347 ) 137 60,424 0.81 15 Year Fixed 1,028,797 (4,955 ) 625 1,024,467 13.70 20 Year Fixed 29,832 (621 ) — 29,211 0.39 25 Year Fixed 9,367 (140 ) — 9,227 0.12 30 Year Fixed 2,938,655 (18,910 ) 431 2,920,176 39.05 Total Fannie Mae $ 5,895,221 $ (30,334 ) $ 18,255 $ 5,883,142 78.67 % Freddie Mac 10 Year Fixed 37,254 (158 ) 228 37,324 0.50 15 Year Fixed 354,878 (211 ) 787 355,454 4.75 25 Year Fixed 41,383 (857 ) — 40,526 0.54 30 Year Fixed 1,131,584 (7,300 ) — 1,124,284 15.03 Total Freddie Mac $ 1,565,099 $ (8,526 ) $ 1,015 $ 1,557,588 20.82 % Ginnie Mae ARMs & Hybrids 38,494 (532 ) 4 37,966 0.51 10 Year Fixed 263 — 7 270 0.00 Total Ginnie Mae $ 38,757 $ (532 ) $ 11 $ 38,236 0.51 % Total Agency Securities $ 7,499,077 $ (39,392 ) $ 19,281 $ 7,478,966 100.00 % Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. At March 31, 2018 , we had investment related receivables of $68,796 with respect to unsettled sales and investment related payables of $227,409 with respect to unsettled purchases. At December 31, 2017 we did not have any investment related receivables or payables with respect to unsettled sales and purchases of our Agency Securities. Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following table summarizes the weighted average lives of our Agency Securities at March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years 41,918 41,986 29,126 29,269 Greater than or equal to three years and less than five years 1,133,824 1,144,807 1,353,036 1,353,998 Greater than or equal to five years 5,069,690 5,179,467 6,096,804 6,115,810 Total Agency Securities $ 6,245,432 $ 6,366,260 $ 7,478,966 $ 7,499,077 We use a third party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities at March 31, 2018 and December 31, 2017 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2018 $ 4,208,407 $ (93,373 ) $ 932,085 $ (29,319 ) $ 5,140,492 $ (122,692 ) December 31, 2017 $ 4,355,924 $ (28,906 ) $ 733,637 $ (10,486 ) $ 5,089,561 $ (39,392 ) During the three months ended March 31, 2018 , we sold $1,137,792 (inclusive of $68,796 receivable for unsettled sales) of Agency Securities, which resulted in a realized loss of $(32,603) . During the three months ended March 31, 2017 , we sold $1,387,366 of Agency Securities, which resulted in a realized loss of $(11,154) . Sales of Agency Securities are done to reposition our securities portfolio and to reach our target level of liquidity. Note 7 -Credit Risk and Non-Agency Securities At March 31, 2018 and December 31, 2017 , investments in Credit Risk and Non-Agency Securities accounted for 12.2% and 11.5% of our securities portfolio. The components of the carrying value of our Credit Risk and Non-Agency Securities at March 31, 2018 are presented in the table below. Credit Risk and Non-Agency Securities March 31, 2018 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 866,736 $ 748,078 $ 758,090 6.37% Legacy Prime Fixed 16,267 14,766 18,585 6.03% Legacy ALT-A Fixed 53,401 47,129 64,175 5.58% Legacy Prime Hybrid 9,874 9,006 10,821 3.27% Legacy ALT-A Hybrid 4,476 3,763 4,708 3.55% New Issue Prime Fixed 18,196 17,689 18,716 3.69% Total Credit Risk and Non-Agency Securities $ 968,950 $ 840,431 $ 875,095 6.22% The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2017 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2017 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 870,494 $ 753,422 $ 764,172 6.05% Legacy Prime Fixed 16,778 15,287 19,237 6.03% Legacy ALT-A Fixed 54,727 48,516 65,920 5.85% Legacy Prime Hybrid 10,469 9,517 11,452 3.17% Legacy ALT-A Hybrid 4,660 3,895 4,901 3.47% New Issue Prime Fixed 18,701 17,957 19,025 3.69% Total Credit Risk and Non-Agency Securities $ 975,829 $ 848,594 $ 884,707 5.95% Our Credit Risk Transfer securities are collaterized by residential mortgage loans meeting agency criteria. However, our securities principal and interest are not guaranteed by the agencies. Credit Risk Transfer securities include tranches issued since 2014. Our Legacy and New Issue Prime Fixed securities are collaterized by residential mortgage loans not guaranteed by any agency. Legacy Prime Fixed, Legacy Alt-A Fixed securities include tranches issued between 2005-2007. New Issue Prime Fixed securities include tranches issued in 2013. The following table summarizes the weighted average lives of our Credit Risk and Non-Agency Securities at March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 Weighted Average Life of all Credit Risk and Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years — — — — Greater than or equal to three years and less than five years 152,518 134,877 169,189 149,436 Greater than or equal to five years 816,432 705,554 806,640 699,158 Total Credit Risk and Non-Agency Securities $ 968,950 $ 840,431 $ 975,829 $ 848,594 We use a third party model to calculate the weighted average lives of our Credit Risk and Non-Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Credit Risk and Non-Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Credit Risk and Non-Agency Securities at March 31, 2018 and December 31, 2017 , in the tables above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Credit Risk and Non-Agency Securities could be longer or shorter than estimated. Note 8 -U.S. Treasury Securities At March 31, 2018 , investments in U.S. Treasury Securities accounted for 8.5% of our securities portfolio. We did not have any U.S. Treasury Securities at December 31, 2017 . At March 31, 2018 , we had the following U.S. Treasury Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our U.S. Treasury Securities at March 31, 2018 are also presented below. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value U.S. Treasury Securities 668,120 (281 ) 2,857 670,696 The following table presents the unrealized losses and estimated fair value of our U.S. Treasury Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2018 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2018 $ 99,180 $ (281 ) $ — $ — $ 99,180 $ (281 ) |
U.S. Treasury Securities
U.S. Treasury Securities | 3 Months Ended |
Mar. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
U.S. Treasury Securities | Note 6 -Agency Securities At March 31, 2018 and December 31, 2017 , investments in Agency Securities accounted for 79.0% and 88.2% of our securities portfolio. We evaluated our Agency Securities with unrealized losses at March 31, 2018 , March 31, 2017 and December 31, 2017 , to determine whether there was an other than temporary impairment. All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. Results of this evaluation for the three months ending March 31, 2018 - At March 31, 2018 , we recognized additional losses on Agency Securities, previously identified during 2017, totaling $12,090 for the three months ended March 31, 2018 in our consolidated financial statements of operations. The aggregate fair value of the remaining identified low yielding Agency Securities is $681,827 at March 31, 2018 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of March 31, 2018 . Results of this evaluation for the period ending March 31, 2017 - No other than temporary impairment was recognized for the three months ended March 31, 2017 because we determined that we 1) did not have the intent to sell the Agency Securities in an unrealized loss position, 2) did not believe it more likely than not that we were required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations), and/or 3) determined that a credit loss did not exist. Results of this evaluation for the year ended December 31, 2017 - During the second quarter of 2017, we identified certain low yielding Agency Securities that we replaced with securities having more attractive returns as market conditions permit. Accordingly, we recognized losses totaling $13,707 in our consolidated statements of operations for the year ended December 31, 2017 , thereby establishing a new cost basis for those Agency Securities with an aggregate fair value of $795,724 as of December 31, 2017 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2017 . At March 31, 2018 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at March 31, 2018 are also presented below. Our Agency Securities had a weighted average coupon of 3.71% at March 31, 2018 . March 31, 2018 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 26,277 $ (304 ) $ 74 $ 26,047 0.42 % Multi-Family MBS 1,482,115 (19,283 ) 1,235 1,464,067 23.44 10 Year Fixed 28,927 (403 ) 90 28,614 0.46 15 Year Fixed 939,147 (11,784 ) — 927,363 14.85 20 Year Fixed 28,155 (1,016 ) — 27,139 0.43 25 Year Fixed 25,185 (669 ) — 24,516 0.39 30 Year Fixed 2,429,537 (59,659 ) 281 2,370,159 37.95 Total Fannie Mae $ 4,959,343 $ (93,118 ) $ 1,680 $ 4,867,905 77.94 % Freddie Mac 10 Year Fixed 32,886 (262 ) 168 32,792 0.53 15 Year Fixed 337,047 (1,391 ) 13 335,669 5.37 25 Year Fixed 40,390 (1,770 ) — 38,620 0.62 30 Year Fixed 960,577 (25,613 ) — 934,964 14.97 Total Freddie Mac $ 1,370,900 $ (29,036 ) $ 181 $ 1,342,045 21.49 % Ginnie Mae ARMs & Hybrids 35,762 (538 ) 1 35,225 0.57 10 Year Fixed 255 — 2 257 0.00 Total Ginnie Mae $ 36,017 $ (538 ) $ 3 $ 35,482 0.57 % Total Agency Securities $ 6,366,260 $ (122,692 ) $ 1,864 $ 6,245,432 100.00 % At December 31, 2017 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2017 are also presented below. Our Agency Securities had a weighted average coupon of 3.68% at December 31, 2017 . December 31, 2017 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 28,199 $ (229 ) $ 112 $ 28,082 0.38 % Multi-Family MBS 1,799,737 (5,132 ) 16,950 1,811,555 24.22 10 Year Fixed 60,634 (347 ) 137 60,424 0.81 15 Year Fixed 1,028,797 (4,955 ) 625 1,024,467 13.70 20 Year Fixed 29,832 (621 ) — 29,211 0.39 25 Year Fixed 9,367 (140 ) — 9,227 0.12 30 Year Fixed 2,938,655 (18,910 ) 431 2,920,176 39.05 Total Fannie Mae $ 5,895,221 $ (30,334 ) $ 18,255 $ 5,883,142 78.67 % Freddie Mac 10 Year Fixed 37,254 (158 ) 228 37,324 0.50 15 Year Fixed 354,878 (211 ) 787 355,454 4.75 25 Year Fixed 41,383 (857 ) — 40,526 0.54 30 Year Fixed 1,131,584 (7,300 ) — 1,124,284 15.03 Total Freddie Mac $ 1,565,099 $ (8,526 ) $ 1,015 $ 1,557,588 20.82 % Ginnie Mae ARMs & Hybrids 38,494 (532 ) 4 37,966 0.51 10 Year Fixed 263 — 7 270 0.00 Total Ginnie Mae $ 38,757 $ (532 ) $ 11 $ 38,236 0.51 % Total Agency Securities $ 7,499,077 $ (39,392 ) $ 19,281 $ 7,478,966 100.00 % Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. At March 31, 2018 , we had investment related receivables of $68,796 with respect to unsettled sales and investment related payables of $227,409 with respect to unsettled purchases. At December 31, 2017 we did not have any investment related receivables or payables with respect to unsettled sales and purchases of our Agency Securities. Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following table summarizes the weighted average lives of our Agency Securities at March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years 41,918 41,986 29,126 29,269 Greater than or equal to three years and less than five years 1,133,824 1,144,807 1,353,036 1,353,998 Greater than or equal to five years 5,069,690 5,179,467 6,096,804 6,115,810 Total Agency Securities $ 6,245,432 $ 6,366,260 $ 7,478,966 $ 7,499,077 We use a third party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities at March 31, 2018 and December 31, 2017 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2018 $ 4,208,407 $ (93,373 ) $ 932,085 $ (29,319 ) $ 5,140,492 $ (122,692 ) December 31, 2017 $ 4,355,924 $ (28,906 ) $ 733,637 $ (10,486 ) $ 5,089,561 $ (39,392 ) During the three months ended March 31, 2018 , we sold $1,137,792 (inclusive of $68,796 receivable for unsettled sales) of Agency Securities, which resulted in a realized loss of $(32,603) . During the three months ended March 31, 2017 , we sold $1,387,366 of Agency Securities, which resulted in a realized loss of $(11,154) . Sales of Agency Securities are done to reposition our securities portfolio and to reach our target level of liquidity. Note 7 -Credit Risk and Non-Agency Securities At March 31, 2018 and December 31, 2017 , investments in Credit Risk and Non-Agency Securities accounted for 12.2% and 11.5% of our securities portfolio. The components of the carrying value of our Credit Risk and Non-Agency Securities at March 31, 2018 are presented in the table below. Credit Risk and Non-Agency Securities March 31, 2018 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 866,736 $ 748,078 $ 758,090 6.37% Legacy Prime Fixed 16,267 14,766 18,585 6.03% Legacy ALT-A Fixed 53,401 47,129 64,175 5.58% Legacy Prime Hybrid 9,874 9,006 10,821 3.27% Legacy ALT-A Hybrid 4,476 3,763 4,708 3.55% New Issue Prime Fixed 18,196 17,689 18,716 3.69% Total Credit Risk and Non-Agency Securities $ 968,950 $ 840,431 $ 875,095 6.22% The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2017 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2017 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 870,494 $ 753,422 $ 764,172 6.05% Legacy Prime Fixed 16,778 15,287 19,237 6.03% Legacy ALT-A Fixed 54,727 48,516 65,920 5.85% Legacy Prime Hybrid 10,469 9,517 11,452 3.17% Legacy ALT-A Hybrid 4,660 3,895 4,901 3.47% New Issue Prime Fixed 18,701 17,957 19,025 3.69% Total Credit Risk and Non-Agency Securities $ 975,829 $ 848,594 $ 884,707 5.95% Our Credit Risk Transfer securities are collaterized by residential mortgage loans meeting agency criteria. However, our securities principal and interest are not guaranteed by the agencies. Credit Risk Transfer securities include tranches issued since 2014. Our Legacy and New Issue Prime Fixed securities are collaterized by residential mortgage loans not guaranteed by any agency. Legacy Prime Fixed, Legacy Alt-A Fixed securities include tranches issued between 2005-2007. New Issue Prime Fixed securities include tranches issued in 2013. The following table summarizes the weighted average lives of our Credit Risk and Non-Agency Securities at March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 Weighted Average Life of all Credit Risk and Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years — — — — Greater than or equal to three years and less than five years 152,518 134,877 169,189 149,436 Greater than or equal to five years 816,432 705,554 806,640 699,158 Total Credit Risk and Non-Agency Securities $ 968,950 $ 840,431 $ 975,829 $ 848,594 We use a third party model to calculate the weighted average lives of our Credit Risk and Non-Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Credit Risk and Non-Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Credit Risk and Non-Agency Securities at March 31, 2018 and December 31, 2017 , in the tables above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Credit Risk and Non-Agency Securities could be longer or shorter than estimated. Note 8 -U.S. Treasury Securities At March 31, 2018 , investments in U.S. Treasury Securities accounted for 8.5% of our securities portfolio. We did not have any U.S. Treasury Securities at December 31, 2017 . At March 31, 2018 , we had the following U.S. Treasury Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our U.S. Treasury Securities at March 31, 2018 are also presented below. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value U.S. Treasury Securities 668,120 (281 ) 2,857 670,696 The following table presents the unrealized losses and estimated fair value of our U.S. Treasury Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2018 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2018 $ 99,180 $ (281 ) $ — $ — $ 99,180 $ (281 ) |
Repurchase Agreements
Repurchase Agreements | 3 Months Ended |
Mar. 31, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Note 9 -Repurchase Agreements At March 31, 2018 , we had MRAs with 46 counterparties and had $6,853,715 in outstanding borrowings with 27 of those counterparties. At December 31, 2017 , we had MRAs with 46 counterparties and had $7,555,917 in outstanding borrowings with 32 of those counterparties. The following table represents the contractual repricing regarding our repurchase agreements to finance our MBS purchases at March 31, 2018 and December 31, 2017 . No amounts below are subject to offsetting. March 31, 2018 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 5,481,911 1.92 % 25 4.18 % Credit Risk and Non-Agency Securities 708,650 2.85 % 14 20.39 % U.S. Treasury Securities 663,154 1.79 % 1 0.69 % Total or Weighted Average $ 6,853,715 2.00 % 22 5.84 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. December 31, 2017 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 6,793,481 1.60 % 55 4.29 % Credit Risk and Non-Agency Securities 762,436 2.67 % 15 21.68 % Total or Weighted Average $ 7,555,917 1.71 % 51 6.39 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. Our repurchase agreements require that we maintain adequate pledged collateral. A decline in the value of the MBS pledged as collateral for borrowings under repurchase agreements could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. We manage this risk by maintaining an adequate balance of available cash and unpledged securities. An event of default or termination event under the standard MRA would give our counterparty the option to terminate all repurchase transactions existing with us and require any amount due to be payable immediately. In addition, certain of our MRAs contain a restriction that prohibits our leverage from exceeding twelve times our stockholders’ equity as well as termination events in the case of significant reductions in equity capital. We also may receive cash or securities as collateral from our derivative counterparties which we may use as additional collateral for repurchase agreements. Certain interest rate swap contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty. March 31, 2018 December 31, 2017 Maturing or Repricing Repurchase Agreements Weighted Average Contractual Rate Repurchase Agreements Weighted Average Contractual Rate Within 30 days $ 4,883,094 2.05 % $ 1,738,768 2.08 % 31 days to 60 days 1,213,295 1.90 % 2,394,450 1.59 % 61 days to 90 days 757,326 1.90 % 3,422,699 1.61 % Total or Weighted Average $ 6,853,715 2.00 % $ 7,555,917 1.71 % At March 31, 2018 and December 31, 2017 , Buckler Securities LLC, (See Note 16 -Related Party Transactions ) accounted for 53.9% and 38.4% of our aggregate borrowings and had an amount at risk of 11.0% and 9.0% , respectively, of our total stockholders' equity with a weighted average maturity of 20 days and 70 days, respectively, on repurchase agreements. In addition, at March 31, 2018 and December 31, 2017 , we had 1 repurchase agreement counterparty individually accounted for between 5% and 10% of our aggregate borrowings. In total, this counterparty accounted for approximately 5.4% and 5.1% of our repurchase agreement borrowings outstanding at March 31, 2018 and December 31, 2017 , respectively. |
Derivatives
Derivatives | 3 Months Ended |
Mar. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives | Note 10 -Derivatives We enter into derivative transactions to manage our interest rate risk exposure. These transactions may include entering into interest rate swap contracts, swaptions and basis swaps. These transactions are designed to lock in funding costs for repurchase agreements associated with our assets in such a way to help assure the realization of net interest margins. Such transactions are based on assumptions about prepayments which, if not realized, will cause transaction results to differ from expectations. Basis swap contracts allow us to exchange one floating interest rate basis for another, for example, 3 month LIBOR and Fed Funds Rates, thereby allowing us to diversify our floating rate basis exposures. We also utilize forward contracts for the purchase or sale of TBA Agency Securities. We have agreements with our derivative counterparties that provide for the posting of collateral based on the fair values of our interest rate swap contracts, swaptions, basis swap contracts and TBA Agency Securities. Through this margin process, either we or our swap counterparty may be required to pledge cash or Agency Securities as collateral. Collateral requirements vary by counterparty and change over time based on the fair value, notional amount and remaining term of the contracts. Certain interest rate swap contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty. Interest rate swaptions generally provide us the option to enter into an interest rate swap agreement at a certain point of time in the future with a predetermined notional amount, stated term and stated rate of interest in the fixed leg and interest rate index on the floating leg. TBA Agency Securities are forward contracts for the purchase (“long position”) or sale (“short position”) of Agency Securities at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency Securities delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. We may enter into TBA Agency Securities as a means of hedging against short-term changes in interest rates. We may also enter into TBA Agency Securities as a means of acquiring or disposing of Agency Securities and we may from time to time utilize TBA dollar roll transactions to finance Agency Security purchases. We estimate the fair value of TBA Agency Securities based on similar methods used to value our Agency Securities. The following tables present information about our derivatives at March 31, 2018 and December 31, 2017 . March 31, 2018 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap/Option Term (Months) Weighted Average Rate Notional Amount (3) Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 0-12 Months 2 0.92 % $ 50,000 $ 203 $ — Interest rate swap contracts 13-24 Months 20 1.21 % 550,000 8,658 — Interest rate swap contracts 25-36 Months 32 1.83 % 1,675,000 16,255 — Interest rate swap contracts 73-84 Months 68 1.98 % 2,650,000 64,861 (142 ) Interest rate swap contracts 85-96 Months 96 1.95 % 50,000 1,493 — Interest rate swap contracts 97-108 Months 104 1.95 % 1,200,000 37,399 — Interest rate swap contracts 109-120 Months 118 2.33 % 625,000 3,175 (2,455 ) TBA Agency Securities (2) n/a n/a n/a 4,300,000 3,659 (4,285 ) Total or Weighted Average $ 11,100,000 $ 135,703 $ (6,882 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. (2) Implied cost basis of $4,425,348 and implied market value of $4,424,721 . Includes $1,750,000 notional amount of forward settling TBA Agency Securities. (3) Includes $500,000 notional of forward settling swap contracts that settle within 6 months . December 31, 2017 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 0-12 Months 5 0.92 % $ 50,000 $ 191 $ — Interest rate swap contracts 13-24 Months 23 1.21 % 550,000 6,398 — Interest rate swap contracts 25-36 Months 30 1.48 % 675,000 5,495 — Interest rate swap contracts 61-72 Months 65 1.97 % 1,975,000 11,624 (250 ) Interest rate swap contracts 73-84 Months 79 1.89 % 575,000 3,306 (1,885 ) Interest rate swap contracts 97-108 Months 107 1.93 % 1,050,000 9,263 (10 ) Interest rate swap contracts 109-120 Months 114 2.10 % 375,000 — (3,545 ) TBA Agency Securities (2) 0-60 Months n/a n/a 1,600,000 934 (2,258 ) Total or Weighted Average $ 6,850,000 $ 37,211 $ (7,948 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. (2) Implied cost basis of $1,674,438 and implied market value of $1,673,113 . We have netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association. We are also required to post or hold cash collateral based upon the net underlying market value of our open positions with the counterparty. The following tables present information about the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying consolidated balance sheet at March 31, 2018 . March 31, 2018 Gross Amounts Not Offset in the consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ 132,044 $ (2,597 ) $ (120,317 ) $ 9,130 TBA Agency Securities 3,659 (4,285 ) 5,583 4,957 Totals $ 135,703 $ (6,882 ) $ (114,734 ) $ 14,087 March 31, 2018 Gross Amounts Not Offset in the consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (2,597 ) $ 2,597 $ — $ — Agency Securities TBA (4,285 ) 4,285 — — Totals $ (6,882 ) $ 6,882 $ — $ — The following tables present information about the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying consolidated balance sheet at December 31, 2017 . December 31, 2017 Gross Amounts Not Offset in the consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ 36,277 $ (5,690 ) $ (22,689 ) $ 7,898 Agency Securities TBA 934 (2,258 ) 8,068 6,744 Totals $ 37,211 $ (7,948 ) $ (14,621 ) $ 14,642 December 31, 2017 Gross Amounts Not Offset in the consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (5,690 ) $ 5,690 $ — $ — Agency Securities TBA (2,258 ) 2,258 — — Totals $ (7,948 ) $ 7,948 $ — $ — The following table represents the location and information regarding our derivatives which are included in Other Income in the accompanying consolidated statements of operations for the three months ended March 31, 2018 and March 31, 2017 . Income (Loss) Recognized For the Three Months Ended March 31, Derivatives Location on consolidated statements of operations 2018 2017 Interest rate swap contracts: Realized gain Realized loss on derivatives $ 2,655 $ — Interest income Realized loss on derivatives 22,169 8,374 Interest expense Realized loss on derivatives (27,848 ) (19,008 ) Changes in fair value Unrealized gain on derivatives 92,329 17,814 $ 89,305 $ 7,180 TBA Agency Securities: Realized loss Realized loss on derivatives (35,580 ) (1,615 ) Changes in fair value Unrealized gain on derivatives 4,872 5,954 $ (30,708 ) $ 4,339 Totals $ 58,597 $ 11,519 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 11 -Commitments and Contingencies Management Agreements with ACM The Company is managed by ACM, pursuant to management agreements with ARMOUR and JAVELIN (see also Note 16 , “ Related Party Transactions ”). The management agreements entitle ACM to receive management fees payable monthly in arrears. Currently, the monthly ARMOUR management fee is 1/12th of the sum of (a) 1.5% of gross equity raised up to $1.0 billion plus (b) 0.75% of gross equity raised in excess of $1.0 billion . The cost of repurchased stock and any dividend representing a return of capital for tax purposes will reduce the amount of gross equity raised used to calculate the monthly management fee. At March 31, 2018 , the effective ARMOUR management fee was 1.04% based on gross equity raised of $2,620,693 . At March 31, 2017 , the effective ARMOUR management fee was 1.05% based on gross equity raised of $2,469,368 . The ACM monthly management fees are not calculated based on the performance of our assets. Accordingly, the payment of our monthly management fees may not decline in the event of a decline in our earnings and may cause us to incur losses. We are also responsible for any costs and expenses that ACM incurred solely on behalf of ARMOUR or JAVELIN other than the various overhead expenses specified in the terms of the management agreements. ACM is further entitled to receive termination fees from ARMOUR and JAVELIN under certain circumstances. Indemnifications and Litigation We enter into certain contracts that contain a variety of indemnifications, principally with ACM and underwriters, against third party claims for errors and omissions in connection with their services to us. We have not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As a result, the estimated fair value of these agreements, as well as the maximum amount attributable to past events, is not material. Accordingly, we have no liabilities recorded for these agreements at March 31, 2018 and December 31, 2017 . Nine putative class action lawsuits have been filed in connection with the tender offer (the “Tender Offer”) and merger (the “Merger”) for JAVELIN. The Tender Offer and Merger are collectively defined herein as the “Transactions.” All nine suits name ARMOUR, the previous members of JAVELIN’s board of directors prior to the Merger (of which eight are current members of ARMOUR’s board of directors) (the “Individual Defendants”) and JMI Acquisition Corporation (“Acquisition” ) as defendants. Certain cases also name ACM and JAVELIN as additional defendants. The lawsuits were brought by purported holders of JAVELIN’s common stock, both individually and on behalf of a putative class of JAVELIN’s stockholders, alleging that the Individual Defendants breached their fiduciary duties owed to the plaintiffs and the putative class of JAVELIN stockholders, including claims that the Individual Defendants failed to properly value JAVELIN; failed to take steps to maximize the value of JAVELIN to its stockholders; ignored or failed to protect against conflicts of interest; failed to disclose material information about the Transactions; took steps to avoid competitive bidding and to give ARMOUR an unfair advantage by failing to adequately solicit other potential acquirors or alternative transactions; and erected unreasonable barriers to other third-party bidders. The suits also allege that ARMOUR, JAVELIN, ACM and Acquisition aided and abetted the alleged breaches of fiduciary duties by the Individual Defendants. The lawsuits seek equitable relief, including, among other relief, to enjoin consummation of the Transactions, or rescind or unwind the Transactions if already consummated, and award costs and disbursements, including reasonable attorneys’ fees and expenses. The sole Florida lawsuit was never served on the defendants, and that case was voluntarily dismissed and closed on January 20, 2017 . On April 25, 2016, the Maryland court issued an order consolidating the eight Maryland cases into one action, captioned In re JAVELIN Mortgage Investment Corp. Shareholder Litigation (Case No. 24-C-16-001542), and designated counsel for one of the Maryland cases as interim lead co-counsel. On May 26, 2016, interim lead counsel filed the Consolidated Amended Class Action Complaint for Breach of Fiduciary Duty asserting consolidated claims of breach of fiduciary duty, aiding and abetting the breaches of fiduciary duty, and waste. On June 27, 2016, defendants filed a Motion to Dismiss the Consolidated Amended Class Action Complaint for failing to state a claim upon which relief can be granted. A hearing was held on the Motion to Dismiss on March 3, 2017, and the Court reserved ruling. To date, the Court has not issued an order on the Motion to Dismiss. Each of ARMOUR, JAVELIN, ACM and the Individual Defendants intends to defend the claims made in these lawsuits vigorously; however, there can be no assurance that any of ARMOUR, JAVELIN, ACM or the Individual Defendants will prevail in its defense of any of these lawsuits to which it is a party. An unfavorable resolution of any such litigation surrounding the Transactions may result in monetary damages being awarded to the plaintiffs and the putative class of former stockholders of JAVELIN and the cost of defending the litigation, even if resolved favorably, could be substantial. Due to the preliminary nature all of these suits, ARMOUR is not able at this time to estimate their outcome. |
Stock Based Compensation
Stock Based Compensation | 3 Months Ended |
Mar. 31, 2018 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Stock Based Compensation | Note 12 -Stock Based Compensation We adopted the 2009 Stock Incentive Plan as amended (the “Plan”) to attract, retain and reward directors and other persons who provide services to us in the course of operations. The Plan authorizes the Board to grant awards including common stock, restricted shares of common stock (“RSUs”), stock options, performance shares, performance units, stock appreciation rights and other equity and cash-based awards (collectively, “Awards”), subject to terms as provided in the Plan. At March 31, 2018 , there were 1,875 shares of common stock issuable under the Plan, of which 1,137 remain available for future issuance. Transactions related to awards for the three months ended March 31, 2018 are summarized below: March 31, 2018 Number of Awards Weighted Average Grant Date Fair Value per Award Unvested RSU Awards Outstanding beginning of period 472 $ 24.82 Vested (28 ) $ 22.53 Unvested RSU Awards Outstanding end of period 444 $ 23.55 At March 31, 2018 , there was approximately $10,457 of unvested stock based compensation related to the Awards (based on a stock price of $23.55 per share), that we expect to recognize as an expense over the remaining average service period of 3.4 years . Our policy is to account for forfeitures as they occur. We also pay each of our non-executive Board members quarterly fees of $33 , which is payable in cash, common stock, or a combination of common stock and cash at the option of the director. |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2018 | |
Equity [Abstract] | |
Stockholders' Equity | Note 13 -Stockholders' Equity Preferred Stock At March 31, 2018 and December 31, 2017 , we were authorized to issue up to 50,000 shares of preferred stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by our Board of Directors (“Board”) or a committee thereof. We have designated 9,610 shares as 8.250% Series A Preferred Stock and 7,650 shares as 7.875% Series B Preferred Stock. At March 31, 2018 , a total of 32,740 shares of our authorized preferred stock remain available for designation as future series. Series A Cumulative Preferred Shares (“Series A Preferred Stock”) At March 31, 2018 and December 31, 2017 , we had 2,181 shares of Series A Preferred Stock issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $54,514 in the aggregate. Shares designated as Series A Preferred Stock but unissued totaled 7,429 at March 31, 2018 . At March 31, 2018 and December 31, 2017 , there were no accrued or unpaid dividends on the Series A Preferred Stock. The Series A Preferred Stock is entitled to a dividend at a rate of 8.250% per year based on the $25.00 per share liquidation preference before the common stock is entitled to receive any dividends. Commencing on June 7, 2017, the Series A Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends exclusively at our option (subject to our right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve our qualification as a REIT). The Series A Preferred Stock is senior to our common stock and therefore in the event of liquidation, dissolution or winding up, the Series A Preferred Stock will receive a liquidation preference of $25.00 per share plus accumulated and unpaid dividends before distributions are paid to holders of our common stock, with no right or claim to any of our remaining assets thereafter. The Series A Preferred Stock generally does not have voting rights, except if we fail to pay dividends on the Series A Preferred Stock for eighteen months, whether or not consecutive. Under such circumstances, the Series A Preferred Stock will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and set aside for payment. The Series A Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by us or converted into our common stock in connection with a change of control by the holders of Series A Preferred Stock. Series B Cumulative Preferred Shares (“Series B Preferred Stock”) At March 31, 2018 and December 31, 2017 , we had 6,369 and 6,262 shares of Series B Preferred Stock, respectively, issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $159,232 and $156,560 , respectively, in the aggregate at March 31, 2018 and December 31, 2017 . Shares designated as Series B Preferred Stock but unissued totaled 1,281 at March 31, 2018 . At March 31, 2018 and December 31, 2017 , there were no accrued or unpaid dividends on the Series B Preferred Stock. The Series B Preferred Stock is entitled to a dividend at a rate of 7.875% per year based on the $25.00 per share liquidation preference before the common stock is entitled to receive any dividends. The Series B Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends exclusively at our option commencing on February 12, 2018 (subject to our right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve our qualification as a REIT). The Series B Preferred Stock is senior to our common stock and rank on parity with the Series A Preferred Stock. In the event of liquidation, dissolution or winding up, the Series B Preferred Stock will receive a liquidation preference of $25.00 per share plus accumulated and unpaid dividends before distributions are paid to holders of our common stock, with no right or claim to any of our remaining assets thereafter. The Series B Preferred Stock generally does not have voting rights, except if we fail to pay dividends on the Series B Preferred Stock for eighteen months, whether or not consecutive. Under such circumstances, the Series B Preferred Stock will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and set aside for payment. The Series B Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by us or converted into our common stock in connection with a change of control by the holders of Series B Preferred Stock. On August 30, 2017, the Company entered into an ATM Equity Offering Sales Agreement (the “Preferred B ATM Sales Agreement”) relating to an "at-the-market" offering program for our Series B Preferred Stock. In accordance with the terms of the Preferred B ATM Sales Agreement, we may offer and sell over a period of time and from time to time, up to 2,000 shares of our Series B Preferred Stock. For the three months ended March 31, 2018 , we sold 107 shares under this agreement. Proceeds from the sale of the 107 shares were $2,632 , net of issuance costs of approximately $42 . Common Stock At March 31, 2018 and December 31, 2017 , we were authorized to issue up to 125,000 shares of common stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by our Board. We had 41,902 shares of common stock issued and outstanding at March 31, 2018 and 41,877 shares of common stock issued and outstanding at December 31, 2017 . On May 26, 2017, the Company entered into an ATM Equity Offering Sales Agreement (the “Common stock ATM Sales Agreement”) relating to the shares of our common stock. In accordance with the terms of the Common stock ATM Sales Agreement, we may offer and sell over a period of time and from time to time, up to 5,000 shares of our common stock par value $0.001 per share. The Common stock ATM Sales Agreement relates to a proposed "at-the-market" offering program. On October 2, 2017, the Sales Agreement was amended . As of March 31, 2018 , we have not sold any shares under this agreement. Common Stock Repurchased At March 31, 2018 and December 31, 2017 , there were 1,874 authorized shares remaining under our common stock repurchase program (the “Repurchase Program”). During the three months ended March 31, 2018 , we did not repurchase any common shares under the Repurchase Program. Under the Repurchase Program, shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934, as amended, and related rules. We are not required to repurchase any shares under the Repurchase Program and it may be modified, suspended or terminated at any time for any reason. We do not intend to purchase shares from our Board or other affiliates. Under Maryland law, such repurchased shares are treated as authorized but unissued. Dividends The following table presents our common stock dividend transactions for the three months ended March 31, 2018 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 16, 2018 January 29, 2018 $ 0.19 $ 8,046 February 15, 2018 February 27, 2018 $ 0.19 8,046 March 15, 2018 March 28, 2018 $ 0.19 8,046 Total dividends paid $ 24,138 The following table presents our Series A Preferred Stock dividend transactions for the three months ended March 31, 2018 . Record Date Payment Date Rate per Series A Preferred Share Aggregate amount paid to holders of record January 15, 2018 January 29, 2018 $ 0.17 $ 374.8 February 15, 2018 February 27, 2018 $ 0.17 374.8 March 15, 2018 March 27, 2018 $ 0.17 374.8 Total dividends paid $ 1,124 The following table presents our Series B Preferred Stock dividend transactions for the three months ended March 31, 2018 . Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2018 January 29, 2018 $ 0.16 $ 1,039 February 15, 2018 February 27, 2018 $ 0.16 1,045 March 15, 2018 March 27, 2018 $ 0.16 1,045 Total dividends paid $ 3,129 Equity Capital Raising Activities The following table presents our equity transactions for the three months ended March 31, 2018 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds Series B Preferred equity distribution agreement January 2, 2018-January 26, 2018 107 $ 24.62 $ 2,632 (1) Weighted average price. |
Net Income per Common Share
Net Income per Common Share | 3 Months Ended |
Mar. 31, 2018 | |
Earnings Per Share [Abstract] | |
Net Income per Common Share | Note 14 -Net Income per Common Share The following table presents a reconciliation of net income and the shares used in calculating weighted average basic and diluted earnings per common share for the three months ended March 31, 2018 , and March 31, 2017 . For the Three Months Ended March 31, 2018 2017 Net Income $ 44,747 $ 52,718 Less: Preferred dividends (4,253 ) (3,905 ) Net Income available to common stockholders $ 40,494 $ 48,813 Weighted average common shares outstanding – basic 41,887 36,724 Add: Effect of dilutive non-vested awards, assumed vested 444 24 Weighted average common shares outstanding – diluted 42,331 36,748 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 15 -Income Taxes The following table reconciles our GAAP net income to estimated REIT taxable income for the three months ended March 31, 2018 and March 31, 2017 . For the Three Months Ended March 31, 2018 2017 GAAP net income $ 44,747 $ 52,718 Book to tax differences: TRS income (168 ) — Premium amortization expense (435 ) (90 ) Credit Risk and Non-Agency Securities (1,196 ) (24,942 ) Interest-Only Securities (407 ) 3,141 U.S. Treasury Securities (2,576 ) — Changes in interest rate contracts (64,276 ) (22,153 ) Other than temporary loss on Agency Securities 12,090 — Losses on Security Sales 32,603 11,154 Amortization of deferred hedging costs (14,584 ) (14,904 ) Other 2 4 Estimated REIT taxable income $ 5,800 $ 4,928 Interest rate contracts are treated as hedging transactions for tax purposes. Unrealized gains and losses on open interest rate contracts are not included in the determination of REIT taxable income. Realized gains and losses on interest rate contracts terminated before their maturity are deferred and amortized over the remainder of the original term of the contract for REIT taxable income. Net capital losses realized Amount Available to offset capital gains though 2013 (579,322 ) 2018 2014 (341,850 ) 2019 2015 (5,182 ) 2020 2016 (31,204 ) 2021 2017 (7,375 ) 2022 The Company's subsidiary, ARMOUR TRS, Inc. has made an election as a taxable REIT subsidiary (“TRS”). As such, the TRS is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. The Company's TRS is subject to federal, state and local taxes. During the three months ended March 31, 2018 , we recorded $25 of income tax expense attributable to our TRS. The aggregate tax basis of our assets and liabilities was greater than our total Stockholders’ Equity at March 31, 2018 by approximately $95,148 , or approximately $2.27 per common share (based on the 41,902 common shares then outstanding). We are required and intend to timely distribute substantially all of our REIT taxable income in order to maintain our REIT status under the Code. Total dividend payments to stockholders were $28,391 for the three months ended March 31, 2018 and $24,856 for the three months ended March 31, 2017 , respectively. Our estimated REIT taxable income available for distribution as dividends was $5,800 for the three months ended March 31, 2018 and $4,928 for the three months ended March 31, 2017 , respectively. Our REIT taxable income and dividend requirements to maintain our REIT status are determined on an annual basis. Dividends paid in excess of current tax earnings and profits for the year will generally not be taxable to common stockholders. Our management is responsible for determining whether tax positions taken by us are more likely than not to be sustained on their merits. We have no material unrecognized tax benefits or material uncertain tax positions. |
Related Party Transactions
Related Party Transactions | 3 Months Ended |
Mar. 31, 2018 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Note 16 -Related Party Transactions ACM The Company is managed by ACM, pursuant to management agreements with ARMOUR and JAVELIN. All of our executive officers are also employees of ACM. ACM manages our day-to-day operations, subject to the direction and oversight of the Board. The ARMOUR management agreement runs through June 18, 2024 and is thereafter automatically renewed for an additional five -year terms unless terminated under certain circumstances. The JAVELIN Management Agreement renewed on October 5, 2017, for a one -year period, with the base management fee thereunder reduced to one dollar for the entirety of the renewal term. It will be automatically renewed annually for successive one- year terms unless terminated under certain circumstances. Either party must provide 180 days prior written notice of any such termination. Under the terms of the management agreements, ACM is responsible for costs incident to the performance of its duties, such as compensation of its employees and various overhead expenses. ACM is responsible for the following primary roles: • Advising us with respect to, arranging for and managing the acquisition, financing, management and disposition of, elements of our investment portfolio; • Evaluating the duration risk and prepayment risk within the investment portfolio and arranging borrowing and hedging strategies; • Coordinating capital raising activities; • Advising us on the formulation and implementation of operating strategies and policies, arranging for the acquisition of assets, monitoring the performance of those assets and providing administrative and managerial services in connection with our day-to-day operations; and • Providing executive and administrative personnel, office space and other appropriate services required in rendering management services to us. In accordance with management agreements, we incurred $6,801 in management fees for the three months ended March 31, 2018 . For the three months ended March 31, 2017 , we incurred $6,521 in management fees. In accordance with the JAVELIN management agreement, we paid management fees of $565 for the three months ended March 31, 2017 . We are required to take actions as may be reasonably required to permit and enable ACM to carry out its duties and obligations. We are also responsible for any costs and expenses that ACM incurred solely on our behalf other than the various overhead expenses specified in the terms of the management agreements. For the three months ended March 31, 2018 , we reimbursed ACM $47 for other expenses incurred on our behalf. For the three months ended March 31, 2017 , we reimbursed ACM $355 for other expenses incurred on our behalf. In consideration of our 2012 results, in 2013, we also elected to make a restricted stock award to our executive officers and other ACM employees through ACM. The award fully vested in December 2017 and resulted in our recognizing stock based compensation expense of $83 for the three months ended March 31, 2017 . In November 2017, we elected to make restricted stock unit awards to ACM and to the Board. These awards began vesting in February 2018, causing us to recognize stock based compensation expense of $108 for the three months ended March 31, 2018 . BUCKLER In March 2017, we contributed $352 for a 10% ownership interest in BUCKLER Securities, LLC, (“BUCKLER”) a Delaware limited liability company and a FINRA-regulated broker-dealer, controlled by ACM and certain executive officers of ARMOUR. The investment was included in prepaid and other assets in our consolidated balance sheet and is accounted for using the equity method as BUCKLER maintains specific ownership accounts. The value of the investment was $39 at March 31, 2018 reflecting our initial investment less our share of BUCKLER’s startup costs, in accordance with the terms of the operating agreement of BUCKLER that our independent directors negotiated. The intended purpose of the investment in BUCKLER is to facilitate access to repurchase financing for the Company, on potentially more attractive terms (based upon the combination of rate, term, size, haircut, stability and reliability generally available in the market for comparable securities transactions) than are available through third party brokers and dealers in the repurchase financing market, or from other suitable counterparties. Our operating agreement with BUCKLER contains certain provisions to benefit and protect the Company, including (1) sharing in any (a) defined profits realized by BUCKLER from the anticipated financing spreads resulting from repurchase financing facilitated by BUCKLER, and (b) distributions from BUCKLER to its members of net cash receipts, and (2) the realization of anticipated savings from reduced clearing, brokerage, trading and administrative fees. In addition, the independent directors of the Company, must approve in their sole discretion, any third-party business engaged by BUCKLER and may cause BUCKLER to wind up and dissolve and promptly return certain subordinated loans we provide to BUCKLER as regulatory capital (as described more below) if the independent directors reasonably determine that BUCKLER’s ability to provide attractive securities transactions for the Company is materially adversely affected. BUCKLER began trading operations on October 25, 2017. The Company has entered three subordinated loan agreements with BUCKLER, totaling $105.0 million . The loans have a stated interest rate of zero , plus additional interest payable to us in an amount equal to the amount of interest earned by BUCKLER on the investment of the loan proceeds, generally in government securities funds. In the first quarter of 2018, BUCKLER has paid the Company $280 of interest on these loans, and accrued another $344 , which it received in April 2018. The loans are repayable as follows: • $25.0 million due April 25, 2020. BUCKLER may at its option after obtaining the approval of the Financial Industry Regulatory Authority repay all or a portion of the principal amount of the loan any time after April 21, 2018. • $15.0 million due August 31, 2020. BUCKLER may at its option after obtaining the approval of the Financial Industry Regulatory Authority repay all or a portion of the principal amount of the loan any time after August 29, 2018. • $65.0 million due August 31, 2019. BUCKLER may at its option after obtaining the approval of the Financial Industry Regulatory Authority repay all or a portion of the principal amount of the loan any time after August 29, 2018. The Company had outstanding borrowings under repurchase agreements with BUCKLER totaling $3,697,089 and $2,903,769 at March 31, 2018 and December 31, 2017 , respectively. See also Note 9 , “ Repurchase Agreements ” for transactions with BUCKLER. |
Interest Rate Risk
Interest Rate Risk | 3 Months Ended |
Mar. 31, 2018 | |
Interest Rate Risk [Abstract] | |
Interest Rate Risk | Note 17 -Interest Rate Risk Our primary market risk is interest rate risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond our control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned and the interest expense incurred in connection with the liabilities, by affecting the spread between the interest-earning assets and interest-bearing liabilities. Changes in the level of interest rates also can affect the value of MBS and our ability to realize gains from the sale of these assets. A decline in the value of the MBS pledged as collateral for borrowings under repurchase agreements could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 18 -Subsequent Events A cash dividend of $0.17 per outstanding share of Series A Preferred Stock, or $375 in the aggregate, and $0.16 per outstanding share of Series B Preferred Stock, or $1,045 in the aggregate, is payable on April 27, 2018 to holders of record on April 15, 2018. We have also declared cash dividends of $0.17 and $0.16 per outstanding share of Series A Preferred Stock and Series B Preferred Stock, respectively, payable May 29, 2018 to holders of record on May 15, 2018 and payable June 27, 2018 to holders of record on June 15, 2018. A cash dividend of $0.19 per outstanding common share, or $8,045 in the aggregate, is payable on April 27, 2018 to holders of record on April 13, 2018. We have also declared a cash dividend of $0.19 per outstanding common share payable May 30, 2018 to holders of record on May 15, 2018. |
Summary of Significant Accoun27
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2018 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The accompanying unaudited consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X promulgated by the SEC. Accordingly, the condensed financial statements do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. |
Cash | Cash Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. |
Cash Collateral Posted To/By Counterparties | Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents cash posted by us to counterparties or posted by counterparties to us as collateral. Cash collateral posted to/by counterparties may include collateral for interest rate swap contracts (including swaptions and basis swap contracts), and repurchase agreements on our MBS and our Agency Securities purchased or sold on a to-be-announced basis (“TBA Agency Securities”). |
MBS, at Fair Value | Investments in Securities, at Fair Value We generally intend to hold most of our securities for extended periods of time. We may, from time to time, sell any of our securities as part of the overall management of our securities portfolio. 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. Purchases and sales of our securities are recorded on the trade date. • Fair Value of Agency Securities: We invest in Agency Securities representing interests in or obligations backed by pools of fixed rate, hybrid adjustable rate and adjustable rate mortgage loans. GAAP requires us to classify our investments 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. We currently classify all of our Agency Securities as available for sale. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the statements of comprehensive income (loss). • Agency Security purchase and sale transactions (including purchase of TBA Agency Securities): Purchases and Sales are recorded on the trade date to the extent it is probable that we will take or make timely physical delivery of the related securities. Gains or losses realized from the sale of securities are included in income and are determined using the specific identification method. |
Agency Securities | Agency Securities - At March 31, 2018 and December 31, 2017 , all of our Agency Securities were classified as available for sale securities. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the consolidated statements of comprehensive income (loss). |
Trading Securities | Credit Risk and Non-Agency Securities - At March 31, 2018 and December 31, 2017 , all of our Credit Risk and Non-Agency Securities were classified as trading securities. Credit Risk and Non-Agency Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. Interest-Only Securities - At March 31, 2018 and December 31, 2017 , all of our Interest-Only Securities were classified as trading securities. Interest-Only Securities represent the right to receive a specified proportion of the contractual interest flows of specific Agency MBS. Interest-Only Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. U.S. Treasury Securities - At March 31, 2018 , all of our U.S. Treasury Securities were classified as trading securities. U.S. Treasury Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. We did not have any U.S. Treasury Securities at December 31, 2017 . |
Receivables and Payables for Unsettled Sales and Purchases | Receivables and Payables for Unsettled Sales and Purchases We account for purchases and sales of securities on the trade date, including purchases and sales for forward settlement. Receivables and payables for unsettled trades represent the agreed trade price multiplied by the outstanding balance of the securities at the balance sheet date. |
Accrued Interest Receivable and Payable | Accrued Interest Receivable and Payable Accrued interest receivable includes interest accrued between payment dates on securities. Accrued interest payable includes interest payable on our repurchase agreements and may, at certain times, contain interest payable on U.S. Treasury Securities sold short. |
Repurchase Agreements | Repurchase Agreements We finance the acquisition of our MBS through the use of repurchase agreements. Our repurchase agreements are secured by our MBS and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell MBS to a lender and agree to repurchase the same MBS in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement under which we pledge our MBS as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then prevailing interest rate. The repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. In addition to the repurchase agreement financing discussed above, at certain times we have entered into reverse repurchase agreements with certain of our repurchase agreement counterparties. Under a typical reverse repurchase agreement, we purchase U.S. Treasury Securities from a borrower in exchange for cash and agree to sell the same securities in the future in exchange for a price that is higher than the original purchase price. The difference between the purchase price originally paid and the sale price represents interest received from the borrower. Reverse repurchase agreement receivables and repurchase agreement liabilities are presented net when they meet certain criteria, including being with the same counterparty, being governed by the same master repurchase agreement (“MRA”), settlement through the same brokerage or clearing account and maturing on the same day. |
Obligations to Return Securities Received as Collateral, at Fair Value | |
Derivatives, at Fair Value | Derivatives, at Fair Value We recognize all derivatives as either assets or liabilities at fair value on our consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our consolidated statements of operations. We designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. These transactions include interest rate swap contracts, interest rate swaptions and basis swap contracts. We also may utilize forward contracts for the purchase or sale of TBA Agency Securities. We account for TBA Agency Securities as derivative instruments if it is reasonably possible that we will not take or make physical delivery of the Agency Security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. We may also purchase and sell TBA Agency Securities as a means of investing in and financing Agency Securities (thereby increasing our “at risk” leverage) or as a means of disposing of or reducing our exposure to Agency Securities (thereby reducing our “at risk” leverage). Pursuant to TBA Agency Securities, we agree to purchase or sell, for future delivery, Agency Securities with certain principal and interest terms and certain types of collateral, but the particular Agency Securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA Agency Security for a later settlement date. This transaction is commonly referred to as a “dollar roll.” When it is reasonably possible that we will pair off a TBA Agency Security, we account for that contract as a derivative. |
Revenue Recognition | Credit Risk and Non-Agency Securities and Interest-Only Securities - Interest income on Credit Risk and Non-Agency Securities and Interest-Only Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Other than temporary impairments, which establish a new cost basis in the security for purposes of calculating effective yields, are recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. U.S. Treasury Securities - Interest income on U.S. Treasury Securities is recognized based on their unpaid principal amounts and their contractual terms. Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. Revenue Recognition Agency Securities - Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. Premiums and discounts associated with the purchase of Multi-Family MBS, which are generally not subject to prepayment, are amortized or accreted into interest income over the contractual lives of the securities using a level yield method. Premiums and discounts associated with the purchase of other Agency Securities are amortized or accreted into interest income over the actual lives of the securities, reflecting actual prepayments as they occur. |
Impairment of Assets | Impairment of Assets: We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities. |
Comprehensive Income (Loss) | Comprehensive Income (Loss) Comprehensive income (loss) refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period, except those resulting from investments by owners and distributions to owners. |
Recent Accounting Pronouncements | We consider the applicability and impact of all Accounting Standards Updates issued by the Financial Accounting Standards Board. Those not listed below were deemed to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. In August 2017, the Financial Accounting Standards Board issued ASU 2017-12, Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities . The standard amends the hedge accounting recognition and presentation requirements in ASC 815. The standard is effective for fiscal years beginning after December 15, 2018 and interim periods therein, however, early adoption is permitted upon its issuance. The Company is currently assessing the impact of the standard and whether it may apply hedge accounting in the future. In July 2016, the Financial Accounting Standards Board issued ASU 2016-13, Financial Instruments–Credit Losses (Topic 326) . The standard introduces a new model for recognizing credit losses on financial instruments based on an estimate of current expected credit losses. The standard will apply to (1) loans, accounts receivable, trade receivables, and other financial assets measured at amortized cost, (2) loan commitments and certain other off–balance sheet credit exposures, (3) debt securities and other financial assets measured at fair value through other comprehensive income, and (4) beneficial interests in securitized financial assets. The standard is effective for fiscal years beginning after December 15, 2019. The Company is assessing the impact of this standard but does not expect it to have significant impact on the consolidated financial statements. However, the impact on the consolidated financial statements will depend on the debt securities held by the Company on the date of the adoption. |
Fair Value of Financial Instr28
Fair Value of Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at March 31, 2018 and December 31, 2017 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at March 31, 2018 Assets at Fair Value: Agency Securities $ — $ 6,245,432 $ — $ 6,245,432 Credit Risk and Non-Agency Securities $ — $ 968,950 $ — $ 968,950 Interest-Only Securities $ — $ 24,933 $ — $ 24,933 U.S. Treasury Securities $ 670,696 $ — $ — $ 670,696 Derivatives $ — $ 135,703 $ — $ 135,703 Liabilities at Fair Value: Derivatives $ — $ 6,882 $ — $ 6,882 There were no transfers of assets or liabilities between the levels of the fair value hierarchy during the three months ending March 31, 2018 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at December 31, 2017 Assets at Fair Value: Agency Securities $ — $ 7,478,966 $ — $ 7,478,966 Credit Risk and Non-Agency Securities $ — $ 975,829 $ — $ 975,829 Interest-Only Securities $ — $ 25,752 $ — $ 25,752 Derivatives $ — $ 37,211 $ — $ 37,211 Liabilities at Fair Value: Derivatives $ — $ 7,948 $ — $ 7,948 |
Carrying Values and Fair Values of Financial Assets and Liabilities | The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at March 31, 2018 and December 31, 2017 . March 31, 2018 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 216,497 $ 216,497 $ 216,497 $ — $ — Cash collateral posted to counterparties $ 13,150 $ 13,150 $ — $ 13,150 $ — Receivable for unsettled sales $ 68,796 $ 68,796 $ — $ 68,796 $ — Accrued interest receivable $ 20,492 $ 20,492 $ — $ 20,492 $ — Subordinated loans due from BUCKLER Securities LLC $ 105,000 $ 105,000 $ — $ 105,000 $ — Financial Liabilities: Repurchase agreements $ 6,853,715 $ 6,853,715 $ — $ 6,853,715 $ — Cash collateral posted by counterparties $ 127,721 $ 127,721 $ — $ 127,721 $ — Payable for unsettled purchases $ 227,409 $ 227,409 $ — $ 227,409 $ — Accrued interest payable- repurchase agreements $ 5,274 $ 5,274 $ — $ 5,274 $ — December 31, 2017 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 265,232 $ 265,232 $ 265,232 $ — $ — Cash collateral posted to counterparties $ 17,162 $ 17,162 $ — $ 17,162 $ — Accrued interest receivable $ 22,165 $ 22,165 $ — $ 22,165 $ — Subordinated loans due from BUCKLER Securities LLC $ 105,000 105,000 $ — $ 105,000 $ — Financial Liabilities: Repurchase agreements $ 7,555,917 $ 7,555,917 $ — $ 7,555,917 $ — Cash collateral posted by counterparties $ 29,593 $ 29,593 $ — $ 29,593 $ — Accrued interest payable- repurchase agreements $ 6,452 $ 6,452 $ — $ 6,452 $ — |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following table provides a summary of the changes in Level 3 assets measured at fair value on a recurring basis at March 31, 2018 and March 31, 2017 . For the Three Months Ended March 31, Credit Risk and Non-Agency Securities 2018 2017 Balance, beginning of period $ — $ 1,052,170 Purchases of Credit Risk and Non-Agency Securities, at cost — 8,224 Principal repayments of Credit Risk and Non-Agency Securities — (16,088 ) Gain on Credit Risk and Non-Agency Securities — 24,284 Accretion of net discount on Credit Risk and Non-Agency Securities — 848 Balance, end of period $ — $ 1,069,438 Gain on Credit Risk and Non-Agency Securities $ — $ 24,284 |
Agency Securities, Available fo
Agency Securities, Available for Sale (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Available-for-sale Securities in an Unrealized Gain or Loss Position | At March 31, 2018 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at March 31, 2018 are also presented below. Our Agency Securities had a weighted average coupon of 3.71% at March 31, 2018 . March 31, 2018 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 26,277 $ (304 ) $ 74 $ 26,047 0.42 % Multi-Family MBS 1,482,115 (19,283 ) 1,235 1,464,067 23.44 10 Year Fixed 28,927 (403 ) 90 28,614 0.46 15 Year Fixed 939,147 (11,784 ) — 927,363 14.85 20 Year Fixed 28,155 (1,016 ) — 27,139 0.43 25 Year Fixed 25,185 (669 ) — 24,516 0.39 30 Year Fixed 2,429,537 (59,659 ) 281 2,370,159 37.95 Total Fannie Mae $ 4,959,343 $ (93,118 ) $ 1,680 $ 4,867,905 77.94 % Freddie Mac 10 Year Fixed 32,886 (262 ) 168 32,792 0.53 15 Year Fixed 337,047 (1,391 ) 13 335,669 5.37 25 Year Fixed 40,390 (1,770 ) — 38,620 0.62 30 Year Fixed 960,577 (25,613 ) — 934,964 14.97 Total Freddie Mac $ 1,370,900 $ (29,036 ) $ 181 $ 1,342,045 21.49 % Ginnie Mae ARMs & Hybrids 35,762 (538 ) 1 35,225 0.57 10 Year Fixed 255 — 2 257 0.00 Total Ginnie Mae $ 36,017 $ (538 ) $ 3 $ 35,482 0.57 % Total Agency Securities $ 6,366,260 $ (122,692 ) $ 1,864 $ 6,245,432 100.00 % At December 31, 2017 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2017 are also presented below. Our Agency Securities had a weighted average coupon of 3.68% at December 31, 2017 . December 31, 2017 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 28,199 $ (229 ) $ 112 $ 28,082 0.38 % Multi-Family MBS 1,799,737 (5,132 ) 16,950 1,811,555 24.22 10 Year Fixed 60,634 (347 ) 137 60,424 0.81 15 Year Fixed 1,028,797 (4,955 ) 625 1,024,467 13.70 20 Year Fixed 29,832 (621 ) — 29,211 0.39 25 Year Fixed 9,367 (140 ) — 9,227 0.12 30 Year Fixed 2,938,655 (18,910 ) 431 2,920,176 39.05 Total Fannie Mae $ 5,895,221 $ (30,334 ) $ 18,255 $ 5,883,142 78.67 % Freddie Mac 10 Year Fixed 37,254 (158 ) 228 37,324 0.50 15 Year Fixed 354,878 (211 ) 787 355,454 4.75 25 Year Fixed 41,383 (857 ) — 40,526 0.54 30 Year Fixed 1,131,584 (7,300 ) — 1,124,284 15.03 Total Freddie Mac $ 1,565,099 $ (8,526 ) $ 1,015 $ 1,557,588 20.82 % Ginnie Mae ARMs & Hybrids 38,494 (532 ) 4 37,966 0.51 10 Year Fixed 263 — 7 270 0.00 Total Ginnie Mae $ 38,757 $ (532 ) $ 11 $ 38,236 0.51 % Total Agency Securities $ 7,499,077 $ (39,392 ) $ 19,281 $ 7,478,966 100.00 % |
Summary of Weighted Average Lives of Agency Securities | The following table summarizes the weighted average lives of our Agency Securities at March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years 41,918 41,986 29,126 29,269 Greater than or equal to three years and less than five years 1,133,824 1,144,807 1,353,036 1,353,998 Greater than or equal to five years 5,069,690 5,179,467 6,096,804 6,115,810 Total Agency Securities $ 6,245,432 $ 6,366,260 $ 7,478,966 $ 7,499,077 |
Unrealized Losses and Estimated Fair Value of Agency Securities | The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2018 $ 4,208,407 $ (93,373 ) $ 932,085 $ (29,319 ) $ 5,140,492 $ (122,692 ) December 31, 2017 $ 4,355,924 $ (28,906 ) $ 733,637 $ (10,486 ) $ 5,089,561 $ (39,392 ) The following table presents the unrealized losses and estimated fair value of our U.S. Treasury Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2018 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2018 $ 99,180 $ (281 ) $ — $ — $ 99,180 $ (281 ) |
Credit Risk and Non-Agency Se30
Credit Risk and Non-Agency Securities (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Summary of Weighted Average Lives of Credit Risk and Non-Agency Securities | The following table summarizes the weighted average lives of our Agency Securities at March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years 41,918 41,986 29,126 29,269 Greater than or equal to three years and less than five years 1,133,824 1,144,807 1,353,036 1,353,998 Greater than or equal to five years 5,069,690 5,179,467 6,096,804 6,115,810 Total Agency Securities $ 6,245,432 $ 6,366,260 $ 7,478,966 $ 7,499,077 |
Credit Risk and Non-Agency Securities | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Components of Carrying Value of Credit Risk and Non-Agency Securities | The components of the carrying value of our Credit Risk and Non-Agency Securities at March 31, 2018 are presented in the table below. Credit Risk and Non-Agency Securities March 31, 2018 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 866,736 $ 748,078 $ 758,090 6.37% Legacy Prime Fixed 16,267 14,766 18,585 6.03% Legacy ALT-A Fixed 53,401 47,129 64,175 5.58% Legacy Prime Hybrid 9,874 9,006 10,821 3.27% Legacy ALT-A Hybrid 4,476 3,763 4,708 3.55% New Issue Prime Fixed 18,196 17,689 18,716 3.69% Total Credit Risk and Non-Agency Securities $ 968,950 $ 840,431 $ 875,095 6.22% The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2017 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2017 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 870,494 $ 753,422 $ 764,172 6.05% Legacy Prime Fixed 16,778 15,287 19,237 6.03% Legacy ALT-A Fixed 54,727 48,516 65,920 5.85% Legacy Prime Hybrid 10,469 9,517 11,452 3.17% Legacy ALT-A Hybrid 4,660 3,895 4,901 3.47% New Issue Prime Fixed 18,701 17,957 19,025 3.69% Total Credit Risk and Non-Agency Securities $ 975,829 $ 848,594 $ 884,707 5.95% |
Summary of Weighted Average Lives of Credit Risk and Non-Agency Securities | The following table summarizes the weighted average lives of our Credit Risk and Non-Agency Securities at March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 Weighted Average Life of all Credit Risk and Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years — — — — Greater than or equal to three years and less than five years 152,518 134,877 169,189 149,436 Greater than or equal to five years 816,432 705,554 806,640 699,158 Total Credit Risk and Non-Agency Securities $ 968,950 $ 840,431 $ 975,829 $ 848,594 |
U.S. Treasury Securities (Table
U.S. Treasury Securities (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Unrealized Gain (Loss) on Investments | At March 31, 2018 , we had the following U.S. Treasury Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our U.S. Treasury Securities at March 31, 2018 are also presented below. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value U.S. Treasury Securities 668,120 (281 ) 2,857 670,696 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2018 $ 4,208,407 $ (93,373 ) $ 932,085 $ (29,319 ) $ 5,140,492 $ (122,692 ) December 31, 2017 $ 4,355,924 $ (28,906 ) $ 733,637 $ (10,486 ) $ 5,089,561 $ (39,392 ) The following table presents the unrealized losses and estimated fair value of our U.S. Treasury Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2018 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2018 $ 99,180 $ (281 ) $ — $ — $ 99,180 $ (281 ) |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements | March 31, 2018 December 31, 2017 Maturing or Repricing Repurchase Agreements Weighted Average Contractual Rate Repurchase Agreements Weighted Average Contractual Rate Within 30 days $ 4,883,094 2.05 % $ 1,738,768 2.08 % 31 days to 60 days 1,213,295 1.90 % 2,394,450 1.59 % 61 days to 90 days 757,326 1.90 % 3,422,699 1.61 % Total or Weighted Average $ 6,853,715 2.00 % $ 7,555,917 1.71 % The following table represents the contractual repricing regarding our repurchase agreements to finance our MBS purchases at March 31, 2018 and December 31, 2017 . No amounts below are subject to offsetting. March 31, 2018 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 5,481,911 1.92 % 25 4.18 % Credit Risk and Non-Agency Securities 708,650 2.85 % 14 20.39 % U.S. Treasury Securities 663,154 1.79 % 1 0.69 % Total or Weighted Average $ 6,853,715 2.00 % 22 5.84 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. December 31, 2017 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 6,793,481 1.60 % 55 4.29 % Credit Risk and Non-Agency Securities 762,436 2.67 % 15 21.68 % Total or Weighted Average $ 7,555,917 1.71 % 51 6.39 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. |
Derivatives (Tables)
Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments | The following tables present information about our derivatives at March 31, 2018 and December 31, 2017 . March 31, 2018 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap/Option Term (Months) Weighted Average Rate Notional Amount (3) Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 0-12 Months 2 0.92 % $ 50,000 $ 203 $ — Interest rate swap contracts 13-24 Months 20 1.21 % 550,000 8,658 — Interest rate swap contracts 25-36 Months 32 1.83 % 1,675,000 16,255 — Interest rate swap contracts 73-84 Months 68 1.98 % 2,650,000 64,861 (142 ) Interest rate swap contracts 85-96 Months 96 1.95 % 50,000 1,493 — Interest rate swap contracts 97-108 Months 104 1.95 % 1,200,000 37,399 — Interest rate swap contracts 109-120 Months 118 2.33 % 625,000 3,175 (2,455 ) TBA Agency Securities (2) n/a n/a n/a 4,300,000 3,659 (4,285 ) Total or Weighted Average $ 11,100,000 $ 135,703 $ (6,882 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. (2) Implied cost basis of $4,425,348 and implied market value of $4,424,721 . Includes $1,750,000 notional amount of forward settling TBA Agency Securities. (3) Includes $500,000 notional of forward settling swap contracts that settle within 6 months . December 31, 2017 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 0-12 Months 5 0.92 % $ 50,000 $ 191 $ — Interest rate swap contracts 13-24 Months 23 1.21 % 550,000 6,398 — Interest rate swap contracts 25-36 Months 30 1.48 % 675,000 5,495 — Interest rate swap contracts 61-72 Months 65 1.97 % 1,975,000 11,624 (250 ) Interest rate swap contracts 73-84 Months 79 1.89 % 575,000 3,306 (1,885 ) Interest rate swap contracts 97-108 Months 107 1.93 % 1,050,000 9,263 (10 ) Interest rate swap contracts 109-120 Months 114 2.10 % 375,000 — (3,545 ) TBA Agency Securities (2) 0-60 Months n/a n/a 1,600,000 934 (2,258 ) Total or Weighted Average $ 6,850,000 $ 37,211 $ (7,948 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. (2) Implied cost basis of $1,674,438 and implied market value of $1,673,113 . |
Offsetting Assets | The following tables present information about the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying consolidated balance sheet at March 31, 2018 . March 31, 2018 Gross Amounts Not Offset in the consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ 132,044 $ (2,597 ) $ (120,317 ) $ 9,130 TBA Agency Securities 3,659 (4,285 ) 5,583 4,957 Totals $ 135,703 $ (6,882 ) $ (114,734 ) $ 14,087 The following tables present information about the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying consolidated balance sheet at December 31, 2017 . December 31, 2017 Gross Amounts Not Offset in the consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ 36,277 $ (5,690 ) $ (22,689 ) $ 7,898 Agency Securities TBA 934 (2,258 ) 8,068 6,744 Totals $ 37,211 $ (7,948 ) $ (14,621 ) $ 14,642 |
Offsetting Liabilities | March 31, 2018 Gross Amounts Not Offset in the consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (2,597 ) $ 2,597 $ — $ — Agency Securities TBA (4,285 ) 4,285 — — Totals $ (6,882 ) $ 6,882 $ — $ — December 31, 2017 Gross Amounts Not Offset in the consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (5,690 ) $ 5,690 $ — $ — Agency Securities TBA (2,258 ) 2,258 — — Totals $ (7,948 ) $ 7,948 $ — $ — |
Derivative Instruments, Gain (Loss) | The following table represents the location and information regarding our derivatives which are included in Other Income in the accompanying consolidated statements of operations for the three months ended March 31, 2018 and March 31, 2017 . Income (Loss) Recognized For the Three Months Ended March 31, Derivatives Location on consolidated statements of operations 2018 2017 Interest rate swap contracts: Realized gain Realized loss on derivatives $ 2,655 $ — Interest income Realized loss on derivatives 22,169 8,374 Interest expense Realized loss on derivatives (27,848 ) (19,008 ) Changes in fair value Unrealized gain on derivatives 92,329 17,814 $ 89,305 $ 7,180 TBA Agency Securities: Realized loss Realized loss on derivatives (35,580 ) (1,615 ) Changes in fair value Unrealized gain on derivatives 4,872 5,954 $ (30,708 ) $ 4,339 Totals $ 58,597 $ 11,519 |
Stock Based Compensation (Table
Stock Based Compensation (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Schedule of Nonvested Restricted Stock Units Activity | Transactions related to awards for the three months ended March 31, 2018 are summarized below: March 31, 2018 Number of Awards Weighted Average Grant Date Fair Value per Award Unvested RSU Awards Outstanding beginning of period 472 $ 24.82 Vested (28 ) $ 22.53 Unvested RSU Awards Outstanding end of period 444 $ 23.55 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Equity [Abstract] | |
Dividends Transactions | The following table presents our common stock dividend transactions for the three months ended March 31, 2018 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 16, 2018 January 29, 2018 $ 0.19 $ 8,046 February 15, 2018 February 27, 2018 $ 0.19 8,046 March 15, 2018 March 28, 2018 $ 0.19 8,046 Total dividends paid $ 24,138 The following table presents our Series A Preferred Stock dividend transactions for the three months ended March 31, 2018 . Record Date Payment Date Rate per Series A Preferred Share Aggregate amount paid to holders of record January 15, 2018 January 29, 2018 $ 0.17 $ 374.8 February 15, 2018 February 27, 2018 $ 0.17 374.8 March 15, 2018 March 27, 2018 $ 0.17 374.8 Total dividends paid $ 1,124 The following table presents our Series B Preferred Stock dividend transactions for the three months ended March 31, 2018 . Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2018 January 29, 2018 $ 0.16 $ 1,039 February 15, 2018 February 27, 2018 $ 0.16 1,045 March 15, 2018 March 27, 2018 $ 0.16 1,045 Total dividends paid $ 3,129 |
Schedule of Stock by Class | The following table presents our equity transactions for the three months ended March 31, 2018 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds Series B Preferred equity distribution agreement January 2, 2018-January 26, 2018 107 $ 24.62 $ 2,632 (1) Weighted average price. |
Net Income per Common Share (Ta
Net Income per Common Share (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Earnings Per Share [Abstract] | |
Schedule of Weighted Average Number of Shares | The following table presents a reconciliation of net income and the shares used in calculating weighted average basic and diluted earnings per common share for the three months ended March 31, 2018 , and March 31, 2017 . For the Three Months Ended March 31, 2018 2017 Net Income $ 44,747 $ 52,718 Less: Preferred dividends (4,253 ) (3,905 ) Net Income available to common stockholders $ 40,494 $ 48,813 Weighted average common shares outstanding – basic 41,887 36,724 Add: Effect of dilutive non-vested awards, assumed vested 444 24 Weighted average common shares outstanding – diluted 42,331 36,748 |
Income Taxes (Tables)
Income Taxes (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Schedule of Effective Income Tax Rate Reconciliation | The following table reconciles our GAAP net income to estimated REIT taxable income for the three months ended March 31, 2018 and March 31, 2017 . For the Three Months Ended March 31, 2018 2017 GAAP net income $ 44,747 $ 52,718 Book to tax differences: TRS income (168 ) — Premium amortization expense (435 ) (90 ) Credit Risk and Non-Agency Securities (1,196 ) (24,942 ) Interest-Only Securities (407 ) 3,141 U.S. Treasury Securities (2,576 ) — Changes in interest rate contracts (64,276 ) (22,153 ) Other than temporary loss on Agency Securities 12,090 — Losses on Security Sales 32,603 11,154 Amortization of deferred hedging costs (14,584 ) (14,904 ) Other 2 4 Estimated REIT taxable income $ 5,800 $ 4,928 |
Summary of Tax Credit Carryforwards | Net capital losses realized Amount Available to offset capital gains though 2013 (579,322 ) 2018 2014 (341,850 ) 2019 2015 (5,182 ) 2020 2016 (31,204 ) 2021 2017 (7,375 ) 2022 |
Fair Value of Financial Instr38
Fair Value of Financial Instruments - Additional Information (Details) | 3 Months Ended |
Mar. 31, 2018dealer | |
Fair Value Disclosures [Abstract] | |
Number of dealers received quotes from, available for sale | 3 |
Number of dealers received quotes from, trading | 3 |
Fair Value of Financial Instr39
Fair Value of Financial Instruments - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Assets at Fair Value: | ||
Derivatives, at fair value | $ 135,703 | $ 37,211 |
Liabilities at Fair Value: | ||
Derivatives | 6,882 | 7,948 |
Credit Risk and Non-Agency Securities | ||
Assets at Fair Value: | ||
Securities, trading | 968,950 | 975,829 |
Interest-Only Securities | ||
Assets at Fair Value: | ||
Securities, trading | 24,933 | 25,752 |
US Treasury Securities | ||
Assets at Fair Value: | ||
Securities, trading | 670,696 | 0 |
Fair Value, Measurements, Recurring | ||
Assets at Fair Value: | ||
Agency Securities | 6,245,432 | 7,478,966 |
Derivatives, at fair value | 135,703 | 37,211 |
Liabilities at Fair Value: | ||
Derivatives | 6,882 | 7,948 |
Fair Value, Measurements, Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Assets at Fair Value: | ||
Agency Securities | 0 | 0 |
Derivatives, at fair value | 0 | 0 |
Liabilities at Fair Value: | ||
Derivatives | 0 | 0 |
Fair Value, Measurements, Recurring | Significant Observable Inputs (Level 2) | ||
Assets at Fair Value: | ||
Agency Securities | 6,245,432 | 7,478,966 |
Derivatives, at fair value | 135,703 | 37,211 |
Liabilities at Fair Value: | ||
Derivatives | 6,882 | 7,948 |
Fair Value, Measurements, Recurring | Significant Unobservable Inputs (Level 3) | ||
Assets at Fair Value: | ||
Agency Securities | 0 | 0 |
Derivatives, at fair value | 0 | 0 |
Liabilities at Fair Value: | ||
Derivatives | 0 | 0 |
Fair Value, Measurements, Recurring | Credit Risk and Non-Agency Securities | ||
Assets at Fair Value: | ||
Securities, trading | 968,950 | 975,829 |
Fair Value, Measurements, Recurring | Credit Risk and Non-Agency Securities | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Assets at Fair Value: | ||
Securities, trading | 0 | 0 |
Fair Value, Measurements, Recurring | Credit Risk and Non-Agency Securities | Significant Observable Inputs (Level 2) | ||
Assets at Fair Value: | ||
Securities, trading | 968,950 | 975,829 |
Fair Value, Measurements, Recurring | Credit Risk and Non-Agency Securities | Significant Unobservable Inputs (Level 3) | ||
Assets at Fair Value: | ||
Securities, trading | 0 | 0 |
Fair Value, Measurements, Recurring | Interest-Only Securities | ||
Assets at Fair Value: | ||
Securities, trading | 24,933 | 25,752 |
Fair Value, Measurements, Recurring | Interest-Only Securities | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Assets at Fair Value: | ||
Securities, trading | 0 | 0 |
Fair Value, Measurements, Recurring | Interest-Only Securities | Significant Observable Inputs (Level 2) | ||
Assets at Fair Value: | ||
Securities, trading | 24,933 | 25,752 |
Fair Value, Measurements, Recurring | Interest-Only Securities | Significant Unobservable Inputs (Level 3) | ||
Assets at Fair Value: | ||
Securities, trading | 0 | $ 0 |
Fair Value, Measurements, Recurring | US Treasury Securities | ||
Assets at Fair Value: | ||
Securities, trading | 670,696 | |
Fair Value, Measurements, Recurring | US Treasury Securities | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Assets at Fair Value: | ||
Securities, trading | 670,696 | |
Fair Value, Measurements, Recurring | US Treasury Securities | Significant Observable Inputs (Level 2) | ||
Assets at Fair Value: | ||
Securities, trading | 0 | |
Fair Value, Measurements, Recurring | US Treasury Securities | Significant Unobservable Inputs (Level 3) | ||
Assets at Fair Value: | ||
Securities, trading | $ 0 |
Fair Value of Financial Instr40
Fair Value of Financial Instruments - Carrying Values and Fair Values of Financial Assets and Liabilities (Details) - USD ($) | Mar. 31, 2018 | Dec. 31, 2017 |
Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Financial Assets: | ||
Cash | $ 216,497,000 | $ 265,232,000 |
Cash collateral posted to counterparties | 0 | 0 |
Receivable for unsettled sales | 0 | |
Accrued interest receivable | 0 | 0 |
Subordinated loans due from BUCKLER Securities LLC | 0 | 0 |
Financial Liabilities: | ||
Repurchase agreements | 0 | 0 |
Cash collateral posted by counterparties | 0 | 0 |
Payable for unsettled purchases | 0 | |
Accrued interest payable- repurchase agreements | 0 | 0 |
Significant Observable Inputs (Level 2) | ||
Financial Assets: | ||
Cash | 0 | 0 |
Cash collateral posted to counterparties | 13,150,000 | 17,162,000 |
Receivable for unsettled sales | 68,796,000 | |
Accrued interest receivable | 20,492,000 | 22,165,000 |
Subordinated loans due from BUCKLER Securities LLC | 105,000,000 | 105,000,000 |
Financial Liabilities: | ||
Repurchase agreements | 6,853,715,000 | 7,555,917,000 |
Cash collateral posted by counterparties | 127,721,000 | 29,593,000 |
Payable for unsettled purchases | 227,409,000 | |
Accrued interest payable- repurchase agreements | 5,274,000 | 6,452,000 |
Significant Unobservable Inputs (Level 3) | ||
Financial Assets: | ||
Cash | 0 | 0 |
Cash collateral posted to counterparties | 0 | 0 |
Receivable for unsettled sales | 0 | |
Accrued interest receivable | 0 | 0 |
Subordinated loans due from BUCKLER Securities LLC | 0 | 0 |
Financial Liabilities: | ||
Repurchase agreements | 0 | 0 |
Cash collateral posted by counterparties | 0 | 0 |
Payable for unsettled purchases | 0 | |
Accrued interest payable- repurchase agreements | 0 | 0 |
Carrying Value | ||
Financial Assets: | ||
Cash | 216,497,000 | 265,232,000 |
Cash collateral posted to counterparties | 13,150,000 | 17,162,000 |
Receivable for unsettled sales | 68,796,000 | 0 |
Accrued interest receivable | 20,492,000 | 22,165,000 |
Subordinated loans due from BUCKLER Securities LLC | 105,000,000 | 105,000,000 |
Financial Liabilities: | ||
Repurchase agreements | 6,853,715,000 | 7,555,917,000 |
Cash collateral posted by counterparties | 127,721,000 | 29,593,000 |
Payable for unsettled purchases | 227,409,000 | 0 |
Accrued interest payable- repurchase agreements | 5,274,000 | 6,452,000 |
Fair Value | ||
Financial Assets: | ||
Cash | 216,497,000 | 265,232,000 |
Cash collateral posted to counterparties | 13,150,000 | 17,162,000 |
Receivable for unsettled sales | 68,796,000 | |
Accrued interest receivable | 20,492,000 | 22,165,000 |
Subordinated loans due from BUCKLER Securities LLC | 105,000,000 | 105,000,000 |
Financial Liabilities: | ||
Repurchase agreements | 6,853,715,000 | 7,555,917,000 |
Cash collateral posted by counterparties | 127,721,000 | 29,593,000 |
Payable for unsettled purchases | 227,409,000 | |
Accrued interest payable- repurchase agreements | $ 5,274,000 | $ 6,452,000 |
Fair Value of Financial Instr41
Fair Value of Financial Instruments - Schedule of Level 3 Assets (Details) - Credit Risk and Non-Agency Securities - Significant Unobservable Inputs (Level 3) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning of period | $ 0 | $ 1,052,170 |
Purchases of Credit Risk and Non-Agency Securities, at cost | 0 | 8,224 |
Principal repayments of Credit Risk and Non-Agency Securities | 0 | (16,088) |
Gain on Credit Risk and Non-Agency Securities | 0 | 24,284 |
Accretion of net discount on Credit Risk and Non-Agency Securities | 0 | 848 |
Balance, end of period | 0 | 1,069,438 |
Gain on Credit Risk and Non-Agency Securities | $ 0 | $ 24,284 |
Agency Securities - Additional
Agency Securities - Additional Information (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income) | $ 12,090,000 | $ 0 | |
Fair Value | 6,245,432,000 | $ 7,478,966,000 | |
Gross realized gains (losses) from sale proceeds | 1,137,792,000 | 1,387,366,000 | |
Realized gain (loss) on sale of agency securities | (32,603,000) | (11,154,000) | |
Reported Value Measurement | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Receivable for unsettled sales | 68,796,000 | 0 | |
Payable for unsettled purchases | 227,409,000 | 0 | |
Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income) | 12,090,000 | 13,707,000 | |
Fair Value | $ 681,827,000 | $ 795,724,000 | |
25-Year and 30-Year Fixed Rate Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income) | $ 0 | ||
Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Weighted average coupon rate | 3.71% | 3.68% | |
Credit Risk and Non-Agency Securities | Portfolio Concentration Risk | Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Percentage of portfolio invested | 79.00% | 88.20% |
Agency Securities - Unrealized
Agency Securities - Unrealized Gain or Loss Position and Components of Carrying Value of Available for Sale Agency Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 6,366,260 | $ 7,499,077 |
Gross Unrealized Loss | (122,692) | (39,392) |
Gross Unrealized Gain | 1,864 | 19,281 |
Fair Value | $ 6,245,432 | $ 7,478,966 |
Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 100.00% | 100.00% |
Fannie Mae | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 4,959,343 | $ 5,895,221 |
Gross Unrealized Loss | (93,118) | (30,334) |
Gross Unrealized Gain | 1,680 | 18,255 |
Fair Value | $ 4,867,905 | $ 5,883,142 |
Fannie Mae | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 77.94% | 78.67% |
Fannie Mae | ARMs & Hybrids | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 26,277 | $ 28,199 |
Gross Unrealized Loss | (304) | (229) |
Gross Unrealized Gain | 74 | 112 |
Fair Value | $ 26,047 | $ 28,082 |
Fannie Mae | ARMs & Hybrids | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 0.42% | 0.38% |
Fannie Mae | Multi-Family MBS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 1,482,115 | $ 1,799,737 |
Gross Unrealized Loss | (19,283) | (5,132) |
Gross Unrealized Gain | 1,235 | 16,950 |
Fair Value | $ 1,464,067 | $ 1,811,555 |
Fannie Mae | Multi-Family MBS | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 23.44% | 24.22% |
Fannie Mae | 10 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 28,927 | $ 60,634 |
Gross Unrealized Loss | (403) | (347) |
Gross Unrealized Gain | 90 | 137 |
Fair Value | $ 28,614 | $ 60,424 |
Fannie Mae | 10 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 0.46% | 0.81% |
Fannie Mae | 15 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 939,147 | $ 1,028,797 |
Gross Unrealized Loss | (11,784) | (4,955) |
Gross Unrealized Gain | 0 | 625 |
Fair Value | $ 927,363 | $ 1,024,467 |
Fannie Mae | 15 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 14.85% | 13.70% |
Fannie Mae | 20 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 28,155 | $ 29,832 |
Gross Unrealized Loss | (1,016) | (621) |
Gross Unrealized Gain | 0 | 0 |
Fair Value | $ 27,139 | $ 29,211 |
Fannie Mae | 20 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 0.43% | 0.39% |
Fannie Mae | 25 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 25,185 | $ 9,367 |
Gross Unrealized Loss | (669) | (140) |
Gross Unrealized Gain | 0 | 0 |
Fair Value | $ 24,516 | $ 9,227 |
Fannie Mae | 25 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 0.39% | 0.12% |
Fannie Mae | 30 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 2,429,537 | $ 2,938,655 |
Gross Unrealized Loss | (59,659) | (18,910) |
Gross Unrealized Gain | 281 | 431 |
Fair Value | $ 2,370,159 | $ 2,920,176 |
Fannie Mae | 30 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 37.95% | 39.05% |
Freddie Mac | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 1,370,900 | $ 1,565,099 |
Gross Unrealized Loss | (29,036) | (8,526) |
Gross Unrealized Gain | 181 | 1,015 |
Fair Value | $ 1,342,045 | $ 1,557,588 |
Freddie Mac | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 21.49% | 20.82% |
Freddie Mac | 10 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 32,886 | $ 37,254 |
Gross Unrealized Loss | (262) | (158) |
Gross Unrealized Gain | 168 | 228 |
Fair Value | $ 32,792 | $ 37,324 |
Freddie Mac | 10 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 0.53% | 0.50% |
Freddie Mac | 15 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 337,047 | $ 354,878 |
Gross Unrealized Loss | (1,391) | (211) |
Gross Unrealized Gain | 13 | 787 |
Fair Value | $ 335,669 | $ 355,454 |
Freddie Mac | 15 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 5.37% | 4.75% |
Freddie Mac | 25 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 40,390 | $ 41,383 |
Gross Unrealized Loss | (1,770) | (857) |
Gross Unrealized Gain | 0 | 0 |
Fair Value | $ 38,620 | $ 40,526 |
Freddie Mac | 25 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 0.62% | 0.54% |
Freddie Mac | 30 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 960,577 | $ 1,131,584 |
Gross Unrealized Loss | (25,613) | (7,300) |
Gross Unrealized Gain | 0 | 0 |
Fair Value | $ 934,964 | $ 1,124,284 |
Freddie Mac | 30 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 14.97% | 15.03% |
Ginnie Mae | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 36,017 | $ 38,757 |
Gross Unrealized Loss | (538) | (532) |
Gross Unrealized Gain | 3 | 11 |
Fair Value | $ 35,482 | $ 38,236 |
Ginnie Mae | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 0.57% | 0.51% |
Ginnie Mae | ARMs & Hybrids | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 35,762 | $ 38,494 |
Gross Unrealized Loss | (538) | (532) |
Gross Unrealized Gain | 1 | 4 |
Fair Value | $ 35,225 | $ 37,966 |
Ginnie Mae | ARMs & Hybrids | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 0.57% | 0.51% |
Ginnie Mae | 10 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 255 | $ 263 |
Gross Unrealized Loss | 0 | 0 |
Gross Unrealized Gain | 2 | 7 |
Fair Value | $ 257 | $ 270 |
Ginnie Mae | 10 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percent of Total | 0.00% | 0.00% |
Agency Securities - Summary of
Agency Securities - Summary of Weighted Average Lives of Agency Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Fair Value | ||
Less than one year | $ 0 | $ 0 |
Greater than or equal to one year and less than three years | 41,918 | 29,126 |
Greater than or equal to three years and less than five years | 1,133,824 | 1,353,036 |
Greater than or equal to five years | 5,069,690 | 6,096,804 |
Total Agency Securities | 6,245,432 | 7,478,966 |
Amortized Cost | ||
Less than one year | 0 | 0 |
Greater than or equal to one year and less than three years | 41,986 | 29,269 |
Greater than or equal to three years and less than five years | 1,144,807 | 1,353,998 |
Greater than or equal to five years | 5,179,467 | 6,115,810 |
Amortized Cost | $ 6,366,260 | $ 7,499,077 |
Agency Securities - Gross Unrea
Agency Securities - Gross Unrealized Losses and Estimated Fair Value of Agency Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Fair Value | ||
Less than 12 Months | $ 4,208,407 | $ 4,355,924 |
12 Months or More | 932,085 | 733,637 |
Total | 5,140,492 | 5,089,561 |
Unrealized Losses | ||
Less than 12 Months | (93,373) | (28,906) |
12 Months or More | (29,319) | (10,486) |
Total | $ (122,692) | $ (39,392) |
Credit Risk and Non-Agency Se46
Credit Risk and Non-Agency Securities - Additional Information (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
Credit Risk and Non-Agency Securities | Credit Risk and Non-Agency Securities | Portfolio Concentration Risk | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Percentage of portfolio invested | 12.20% | 11.50% |
Credit Risk and Non-Agency Se47
Credit Risk and Non-Agency Securities - Carrying Value of Non-Agency Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
Credit Risk Transfer | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Securities, trading | $ 866,736 | $ 870,494 |
Credit risk and non-agency securities, amortized cost | 748,078 | 753,422 |
Credit risk and non-agency securities, principal amount | $ 758,090 | $ 764,172 |
Credit risk and non-agency securities, weighted average coupon | 6.37% | 6.05% |
Legacy Prime Fixed | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Securities, trading | $ 16,267 | $ 16,778 |
Credit risk and non-agency securities, amortized cost | 14,766 | 15,287 |
Credit risk and non-agency securities, principal amount | $ 18,585 | $ 19,237 |
Credit risk and non-agency securities, weighted average coupon | 6.03% | 6.03% |
Legacy ALT-A Fixed | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Securities, trading | $ 53,401 | $ 54,727 |
Credit risk and non-agency securities, amortized cost | 47,129 | 48,516 |
Credit risk and non-agency securities, principal amount | $ 64,175 | $ 65,920 |
Credit risk and non-agency securities, weighted average coupon | 5.58% | 5.85% |
Legacy Prime Hybrid | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Securities, trading | $ 9,874 | $ 10,469 |
Credit risk and non-agency securities, amortized cost | 9,006 | 9,517 |
Credit risk and non-agency securities, principal amount | $ 10,821 | $ 11,452 |
Credit risk and non-agency securities, weighted average coupon | 3.27% | 3.17% |
Legacy ALT-A Hybrid | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Securities, trading | $ 4,476 | $ 4,660 |
Credit risk and non-agency securities, amortized cost | 3,763 | 3,895 |
Credit risk and non-agency securities, principal amount | $ 4,708 | $ 4,901 |
Credit risk and non-agency securities, weighted average coupon | 3.55% | 3.47% |
New Issue Prime Fixed | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Securities, trading | $ 18,196 | $ 18,701 |
Credit risk and non-agency securities, amortized cost | 17,689 | 17,957 |
Credit risk and non-agency securities, principal amount | $ 18,716 | $ 19,025 |
Credit risk and non-agency securities, weighted average coupon | 3.69% | 3.69% |
Credit Risk and Non-Agency Securities | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Securities, trading | $ 968,950 | $ 975,829 |
Credit risk and non-agency securities, amortized cost | 840,431 | 848,594 |
Credit risk and non-agency securities, principal amount | $ 875,095 | $ 884,707 |
Credit risk and non-agency securities, weighted average coupon | 6.22% | 5.95% |
Credit Risk and Non-Agency Se48
Credit Risk and Non-Agency Securities - Weighted Average Life of all Non-Agency Securities (Details) - Credit Risk and Non-Agency Securities - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Fair Value | ||
Less than one year | $ 0 | $ 0 |
Greater than or equal to one year and less than three years | 0 | 0 |
Greater than or equal to three years and less than five years | 152,518 | 169,189 |
Greater than or equal to five years | 816,432 | 806,640 |
Securities, trading | 968,950 | 975,829 |
Amortized Cost | ||
Less than one year | 0 | 0 |
Greater than or equal to one year and less than three years | 0 | 0 |
Greater than or equal to three years and less than five years | 134,877 | 149,436 |
Greater than or equal to five years | 705,554 | 699,158 |
Trading securities, amortized cost | $ 840,431 | $ 848,594 |
U.S. Treasury Securities - Unre
U.S. Treasury Securities - Unrealized Gain or (Loss) Position (Details) - US Treasury Securities - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Amortized Cost | $ 668,120 | |
Gross Unrealized Loss | (281) | |
Gross Unrealized Gain | 2,857 | |
Fair Value | $ 670,696 | $ 0 |
Portfolio Concentration Risk | US Treasury Securities | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Percentage of portfolio invested | 8.50% |
U.S. Treasury Securities - Un50
U.S. Treasury Securities - Unrealized Losses and Estimated Fair Value (Details) - US Treasury Securities $ in Thousands | Mar. 31, 2018USD ($) |
Fair Value | |
Less than 12 Months | $ 99,180 |
12 Months or More | 0 |
Total | 99,180 |
Unrealized Losses | |
Less than 12 Months | (281) |
12 Months or More | 0 |
Total | $ (281) |
Repurchase Agreements - Additio
Repurchase Agreements - Additional Information (Details) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018USD ($)counterparty | Dec. 31, 2017USD ($)counterparty | |
Concentration Risk [Line Items] | ||
Number of counterparties with MRAs | 46 | 46 |
Number of counterparties with repurchase agreements outstanding | 27 | 32 |
Counterparty Concentration Risk | BUCKLER Securities, LLC | Aggregate Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 53.90% | 38.40% |
Counterparty Concentration Risk | BUCKLER Securities, LLC | Stockholders' Equity | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 11.00% | 9.00% |
Weighted average maturity | 20 days | 70 days |
Counterparty Concentration Risk | One Repurchase Agreement Counterparty | Aggregate Borrowings | ||
Concentration Risk [Line Items] | ||
Number of counterparties | 1 | 1 |
Percentage of portfolio invested | 5.00% | 10.00% |
Counterparty Concentration Risk | One Repurchase Agreement Counterparty | Repurchase Agreement Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 5.40% | 5.10% |
Maximum | ||
Concentration Risk [Line Items] | ||
Ratio of indebtedness to net capital | 12 | |
Carrying Value | ||
Concentration Risk [Line Items] | ||
Repurchase agreements | $ | $ 6,853,715 | $ 7,555,917 |
Repurchase Agreements - Contrac
Repurchase Agreements - Contractual Repricing on Repurchase Agreements (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 6,853,715 | $ 7,555,917 |
Weighted Average Contractual Rate | 2.00% | 1.71% |
Weighted Average Maturity in days | 22 days | 51 days |
Haircut for Repurchase Agreements | 5.84% | 6.39% |
Agency Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 5,481,911 | $ 6,793,481 |
Weighted Average Contractual Rate | 1.92% | 1.60% |
Weighted Average Maturity in days | 25 days | 55 days |
Haircut for Repurchase Agreements | 4.18% | 4.29% |
Credit Risk and Non-Agency Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 708,650 | $ 762,436 |
Weighted Average Contractual Rate | 2.85% | 2.67% |
Weighted Average Maturity in days | 14 days | 15 days |
Haircut for Repurchase Agreements | 20.39% | 21.68% |
US Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 663,154 | |
Weighted Average Contractual Rate | 1.79% | |
Weighted Average Maturity in days | 1 day | |
Haircut for Repurchase Agreements | 0.69% |
Repurchase Agreements - Repurch
Repurchase Agreements - Repurchase Agreements by Maturity Period (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 6,853,715 | $ 7,555,917 |
Weighted Average Contractual Rate | 2.00% | 1.71% |
Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 4,883,094 | $ 1,738,768 |
Weighted Average Contractual Rate | 2.05% | 2.08% |
31 days to 60 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 1,213,295 | $ 2,394,450 |
Weighted Average Contractual Rate | 1.90% | 1.59% |
61 days to 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 757,326 | $ 3,422,699 |
Weighted Average Contractual Rate | 1.90% | 1.61% |
Derivatives - Interest Rate Swa
Derivatives - Interest Rate Swap Contracts, Swaptions and Futures Contracts (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2018 | Dec. 31, 2017 | |
Derivative [Line Items] | ||
Notional Amount | $ 11,100,000 | $ 6,850,000 |
Derivatives Fair Value | 135,703 | 37,211 |
Liability Fair Value | (6,882) | $ (7,948) |
Forward settling swap contracts | $ 500,000 | |
Interest Rate Swap 0-12 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap/Option Term (Months) | 2 months | 5 months |
Weighted Average Rate | 0.92% | 0.92% |
Notional Amount | $ 50,000 | $ 50,000 |
Derivatives Fair Value | 203 | 191 |
Liability Fair Value | $ 0 | $ 0 |
Interest Rate Swap 13-24 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap/Option Term (Months) | 20 months | 23 months |
Weighted Average Rate | 1.21% | 1.21% |
Notional Amount | $ 550,000 | $ 550,000 |
Derivatives Fair Value | 8,658 | 6,398 |
Liability Fair Value | $ 0 | $ 0 |
Interest Rate Swap 25-36 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap/Option Term (Months) | 32 months | 30 months |
Weighted Average Rate | 1.83% | 1.48% |
Notional Amount | $ 1,675,000 | $ 675,000 |
Derivatives Fair Value | 16,255 | 5,495 |
Liability Fair Value | $ 0 | $ 0 |
Interest Rate Swap 61-72 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap/Option Term (Months) | 65 months | |
Weighted Average Rate | 1.97% | |
Notional Amount | $ 1,975,000 | |
Derivatives Fair Value | 11,624 | |
Liability Fair Value | $ (250) | |
Interest Rate Swap 73-84 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap/Option Term (Months) | 68 months | 79 months |
Weighted Average Rate | 1.98% | 1.89% |
Notional Amount | $ 2,650,000 | $ 575,000 |
Derivatives Fair Value | 64,861 | 3,306 |
Liability Fair Value | $ (142) | $ (1,885) |
Interest Rate Swap 85-96 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap/Option Term (Months) | 96 months | |
Weighted Average Rate | 1.95% | |
Notional Amount | $ 50,000 | |
Derivatives Fair Value | 1,493 | |
Liability Fair Value | $ 0 | |
Interest Rate Swap 97-108 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap/Option Term (Months) | 104 months | 107 months |
Weighted Average Rate | 1.95% | 1.93% |
Notional Amount | $ 1,200,000 | $ 1,050,000 |
Derivatives Fair Value | 37,399 | 9,263 |
Liability Fair Value | $ 0 | $ (10) |
Interest Rate Swap 109-120 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap/Option Term (Months) | 118 months | 114 months |
Weighted Average Rate | 2.33% | 2.10% |
Notional Amount | $ 625,000 | $ 375,000 |
Derivatives Fair Value | 3,175 | 0 |
Liability Fair Value | (2,455) | (3,545) |
TBA Agency Securities | ||
Derivative [Line Items] | ||
Notional Amount | 4,300,000 | 1,600,000 |
Derivatives Fair Value | 3,659 | 934 |
Liability Fair Value | (4,285) | (2,258) |
Implied cost basis | 4,425,348 | 1,674,438 |
Implied market value | 4,424,721 | $ 1,673,113 |
Forward settling swap contracts | $ 1,750,000 | |
Minimum | Interest Rate Swap 0-12 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 0 months | 0 months |
Minimum | Interest Rate Swap 13-24 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 13 months | 13 months |
Minimum | Interest Rate Swap 25-36 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 25 months | 25 months |
Minimum | Interest Rate Swap 61-72 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 61 months | |
Minimum | Interest Rate Swap 73-84 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 73 months | 73 months |
Minimum | Interest Rate Swap 85-96 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 85 months | |
Minimum | Interest Rate Swap 97-108 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 97 months | 97 months |
Minimum | Interest Rate Swap 109-120 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 109 months | 109 months |
Minimum | TBA Agency Securities | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 0 months | |
Maximum | Interest Rate Swap 0-12 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 12 months | 12 months |
Maximum | Interest Rate Swap 13-24 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 24 months | 24 months |
Maximum | Interest Rate Swap 25-36 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 36 months | 36 months |
Maximum | Interest Rate Swap 61-72 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 72 months | |
Maximum | Interest Rate Swap 73-84 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 84 months | 84 months |
Maximum | Interest Rate Swap 85-96 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 96 months | |
Maximum | Interest Rate Swap 97-108 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 108 months | 108 months |
Maximum | Interest Rate Swap 109-120 Months | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 120 months | 120 months |
Maximum | TBA Agency Securities | ||
Derivative [Line Items] | ||
Derivative, remaining maturity (in months) | 60 months |
Derivatives - Offsetting Assets
Derivatives - Offsetting Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Offsetting Assets [Line Items] | ||
Gross Amounts of Assets Presented in the Consolidated Balance Sheet | $ 135,703 | $ 37,211 |
Derivatives Fair Value | 135,703 | 37,211 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | (6,882) | (7,948) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Cash Collateral Held | (114,734) | (14,621) |
Net Amount | 14,087 | 14,642 |
Interest rate swap contracts | ||
Offsetting Assets [Line Items] | ||
Gross Amounts of Assets Presented in the Consolidated Balance Sheet | 132,044 | 36,277 |
Derivatives Fair Value | 132,044 | 36,277 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | (2,597) | (5,690) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Cash Collateral Held | (120,317) | (22,689) |
Net Amount | 9,130 | 7,898 |
TBA Agency Securities | ||
Offsetting Assets [Line Items] | ||
Gross Amounts of Assets Presented in the Consolidated Balance Sheet | 3,659 | 934 |
Derivatives Fair Value | 3,659 | 934 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | (4,285) | (2,258) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Cash Collateral Held | 5,583 | 8,068 |
Net Amount | $ 4,957 | $ 6,744 |
Derivatives - Offsetting Liabil
Derivatives - Offsetting Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Offsetting Liabilities [Line Items] | ||
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | $ (6,882) | $ (7,948) |
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | (6,882) | (7,948) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | 6,882 | 7,948 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Posted | 0 | 0 |
Net Amount | 0 | 0 |
Interest rate swap contracts | ||
Offsetting Liabilities [Line Items] | ||
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | (2,597) | (5,690) |
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | (2,597) | (5,690) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | 2,597 | 5,690 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Posted | 0 | 0 |
Net Amount | 0 | 0 |
TBA Agency Securities | ||
Offsetting Liabilities [Line Items] | ||
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | (4,285) | (2,258) |
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | (4,285) | (2,258) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | 4,285 | 2,258 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Posted | 0 | 0 |
Net Amount | $ 0 | $ 0 |
Derivatives - Location and Info
Derivatives - Location and Information of Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Realized gain | [1] | $ (38,604) | $ (12,249) |
Changes in fair value | 97,201 | 23,768 | |
Subtotal | 58,597 | 11,519 | |
Interest rate swap contracts | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Subtotal | 89,305 | 7,180 | |
Interest rate swap contracts | Realized loss on derivatives | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Realized gain | 2,655 | 0 | |
Interest income | 22,169 | 8,374 | |
Interest expense | (27,848) | (19,008) | |
Interest rate swap contracts | Unrealized gain on derivatives | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Changes in fair value | 92,329 | 17,814 | |
TBA Agency Securities | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Subtotal | (30,708) | 4,339 | |
TBA Agency Securities | Realized loss on derivatives | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Realized gain | (35,580) | (1,615) | |
TBA Agency Securities | Unrealized gain on derivatives | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Changes in fair value | $ 4,872 | $ 5,954 | |
[1] | Interest expense related to our interest rate swap contracts is recorded as realized loss on derivatives on the consolidated statements of operations. For additional information, see financial statement Note 10. |
Commitments and Contingencies (
Commitments and Contingencies (Details) $ in Thousands | Apr. 25, 2016lawsuit | Apr. 24, 2016lawsuit | Mar. 01, 2016lawsuitdefendant | Mar. 31, 2018USD ($) | Mar. 31, 2017USD ($) |
Other Commitments [Line Items] | |||||
Monthly percentage of effective management fee percentage | 8.33% | ||||
Gross equity raised | $ | $ 2,620,693 | $ 2,469,368 | |||
Transactions | |||||
Other Commitments [Line Items] | |||||
Number of new claims filed | lawsuit | 1 | 8 | 9 | ||
Number of defendants that are current directors | defendant | 8 | ||||
ACM | |||||
Other Commitments [Line Items] | |||||
Percentage of gross equity raised used in calculation of management fee up to 1 Billion | 1.50% | ||||
Percentage of gross equity raised used in calculation of management fee in excess of 1 Billion | 0.75% | ||||
Effective management fee percentage | 1.04% | 1.05% |
Stock Based Compensation - Addi
Stock Based Compensation - Additional Information (Details) $ / shares in Units, $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($)$ / sharesshares | |
Board of Directors | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Nonemployee services transaction, quarterly fee | $ | $ 33 |
The 2009 Stock Incentive Plan | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Common stock, shares authorized (in shares) | shares | 1,875,000 |
Common stock, shares outstanding (in shares) | shares | 1,137,000 |
Compensation cost not yet recognized | $ | $ 10,457 |
Share price (in dollars per share) | $ / shares | $ 23.55 |
Period for recognition for compensation cost not yet recognized | 3 years 4 months 24 days |
Stock Based Compensation - Rest
Stock Based Compensation - Restricted Shares (Details) - The 2009 Stock Incentive Plan - Restricted Stock shares in Thousands | 3 Months Ended |
Mar. 31, 2018$ / sharesshares | |
Number of Awards | |
Unvested RSU Awards Outstanding beginning of period (in shares) | shares | 472 |
Vested (in shares) | shares | (28) |
Unvested RSU Awards Outstanding end of period (in shares) | shares | 444 |
Weighted Average Grant Date Fair Value per Award | |
Unvested RSU Awards Outstanding beginning of period (in dollars per share) | $ / shares | $ 24.82 |
Vested (in dollars per share) | $ / shares | 22.53 |
Unvested RSU Awards Outstanding end of period (in dollars per share) | $ / shares | $ 23.55 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Details) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2018USD ($)director$ / sharesshares | Dec. 31, 2017USD ($)$ / sharesshares | Oct. 02, 2017$ / sharesshares | Aug. 30, 2017shares | |
Class of Stock [Line Items] | ||||
Preferred stock, shares authorized (in shares) | 50,000,000 | 50,000,000 | ||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.001 | $ 0.001 | ||
Preferred stock, undesignated shares authorized (in shares) | 32,740,000 | |||
Shares issued | $ | $ 2,632 | |||
Common stock, shares outstanding (in shares) | 41,902,000 | 41,877,000 | ||
Common stock, shares authorized (in shares) | 125,000,000 | 125,000,000 | ||
Common stock, par value (in dollars per share) | $ / shares | $ 0.001 | $ 0.001 | ||
Common stock, shares issued (in shares) | 41,902,000 | 41,877,000 | ||
Remaining shares authorized to be repurchased (in shares) | 1,874,000 | 1,874,000 | ||
At-The-Market Offering Program | ||||
Class of Stock [Line Items] | ||||
Common stock, shares authorized (in shares) | 5,000,000 | |||
Common stock, par value (in dollars per share) | $ / shares | $ 0.001 | |||
Series A Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred stock, shares authorized (in shares) | 9,610,000 | |||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.001 | $ 0.001 | ||
Preferred stock, dividend rate | 8.25% | 8.25% | ||
Preferred stock, shares issued (in shares) | 2,181,000 | 2,181,000 | ||
Preferred stock, shares outstanding (in shares) | 2,181,000 | 2,181,000 | ||
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares | $ 25 | $ 25 | ||
Preferred stock, aggregate liquidation preference | $ | $ 54,514 | $ 54,514 | ||
Preferred stock, designated but unissued shares authorized (in shares) | 7,429,000 | |||
Preferred stock, period stock receives voting rights if dividends are not paid (in months) | 18 months | |||
Number of additional directors elected | director | 2 | |||
Series B Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred stock, shares authorized (in shares) | 7,650,000 | 2,000,000 | ||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.001 | $ 0.001 | ||
Preferred stock, dividend rate | 7.875% | 7.875% | ||
Preferred stock, shares issued (in shares) | 6,369,000 | 6,262,000 | ||
Preferred stock, shares outstanding (in shares) | 6,369,000 | 6,262,000 | ||
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares | $ 25 | $ 25 | ||
Preferred stock, aggregate liquidation preference | $ | $ 159,232 | $ 156,560 | ||
Preferred stock, designated but unissued shares authorized (in shares) | 1,281,000 | |||
Preferred stock, period stock receives voting rights if dividends are not paid (in months) | 18 months | |||
Number of additional directors elected | director | 2 | |||
Payments of stock issuance costs | $ | $ 42 | |||
Preferred Stock | Series B Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Shares issued (in shares) | 107,000 | |||
Additional Paid-in Capital | ||||
Class of Stock [Line Items] | ||||
Shares issued | $ | $ 2,632 | |||
Additional Paid-in Capital | Series B Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Shares issued | $ | $ 2,632 |
Stockholders' Equity - Dividend
Stockholders' Equity - Dividend Transactions (Details) - USD ($) | Mar. 28, 2018 | Mar. 27, 2018 | Feb. 27, 2018 | Jan. 29, 2018 | Mar. 31, 2018 | Mar. 31, 2017 |
Class of Stock [Line Items] | ||||||
Common stock dividends cash paid (in dollars per share) | $ 0.19 | $ 0.19 | $ 0.19 | |||
Aggregate amount paid to holders of record | $ 8,046,000 | $ 8,046,000 | $ 8,046,000 | $ 24,138,000 | $ 20,951,000 | |
Series A Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock dividends cash paid (in dollars per share) | $ 0.17 | $ 0.17 | $ 0.17 | |||
Aggregate amount paid to holders of record | $ 374,800 | $ 374,800 | $ 374,800 | 1,124,000 | 1,124,000 | |
Series B Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock dividends cash paid (in dollars per share) | $ 0.16 | $ 0.16 | $ 0.16 | |||
Aggregate amount paid to holders of record | $ 1,045,000 | $ 1,045,000 | $ 1,039,000 | $ 3,129,000 | $ 2,781,000 |
Stockholders' Equity - Equity C
Stockholders' Equity - Equity Capital Raising Activities (Details) - Series B Preferred Equity Distribution Agreement - Series B Preferred Stock $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended |
Mar. 31, 2018USD ($)$ / sharesshares | |
Class of Stock [Line Items] | |
Number of shares (in shares) | shares | 107 |
Price per share (in dollars per share) | $ / shares | $ 24.62 |
Net proceeds | $ | $ 2,632 |
Net Income per Common Share (De
Net Income per Common Share (Details) - Reconciliation of Net Income (Loss) and Shares Used in Calculating Basic and Diluted Earnings Per Share - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Earnings Per Share [Abstract] | ||
Net Income | $ 44,747 | $ 52,718 |
Less: Preferred dividends | (4,253) | (3,905) |
Net Income available to common stockholders | $ 40,494 | $ 48,813 |
Weighted average common shares outstanding – basic (in shares) | 41,887 | 36,724 |
Add: Effect of dilutive non-vested awards, assumed vested (in shares) | 444 | 24 |
Weighted average common shares outstanding – diluted (in shares) | 42,331 | 36,748 |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of GAAP Net Income to Estimated REIT Taxable Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Income Tax Disclosure [Abstract] | ||
GAAP net income | $ 44,747 | $ 52,718 |
Book to tax differences: | ||
TRS income | (168) | 0 |
Premium amortization expense | (435) | (90) |
Credit Risk and Non-Agency Securities | (1,196) | (24,942) |
Interest-Only Securities | (407) | 3,141 |
U.S. Treasury Securities | (2,576) | 0 |
Changes in interest rate contracts | (64,276) | (22,153) |
Other than temporary loss on Agency Securities | 12,090 | 0 |
Losses on Security Sales | 32,603 | 11,154 |
Amortization of deferred hedging costs | (14,584) | (14,904) |
Other | 2 | 4 |
Estimated REIT taxable income | $ 5,800 | $ 4,928 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |||
Income tax expense (benefit) | $ 25 | ||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities | $ 95,148 | ||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities (in dollars per share) | $ 2.27 | ||
Common stock, shares issued (in shares) | 41,902 | 41,877 | |
Payment of dividends | $ 28,391 | $ 24,856 | |
Estimated REIT taxable income | $ 5,800 | $ 4,928 |
Income Taxes - Net Capital Loss
Income Taxes - Net Capital Losses Realized (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Capital Loss Carryforward | |||||
Tax Credit Carryforward [Line Items] | |||||
Tax credit carryforward | $ (7,375) | $ (31,204) | $ (5,182) | $ (341,850) | $ (579,322) |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) | 1 Months Ended | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | ||||
Management fees | $ 6,801,000 | $ 6,521,000 | ||
ACM | ||||
Related Party Transaction [Line Items] | ||||
Period of written notice of termination (in days) | 180 days | |||
Management agreement, annual management fee | $ 1 | |||
Management fees | $ 6,801,000 | 6,521,000 | ||
ACM | Armour Management Agreement | ||||
Related Party Transaction [Line Items] | ||||
Automatic renewal period of management agreement (in years) | 5 years | |||
ACM | Javelin Management Agreement | ||||
Related Party Transaction [Line Items] | ||||
Automatic renewal period of management agreement (in years) | 1 year | |||
ACM | Other Expense | ||||
Related Party Transaction [Line Items] | ||||
Management fees | $ 47,000 | 355,000 | ||
ACM | Stock Based Compensation Expense | ||||
Related Party Transaction [Line Items] | ||||
Management fees | 108,000 | 83,000 | ||
Javelin Mortgage Investment Corp. | Management Fee | ||||
Related Party Transaction [Line Items] | ||||
Management fees | $ 565,000 | |||
Corporate Joint Venture | BUCKLER Securities, LLC | ||||
Related Party Transaction [Line Items] | ||||
Payments to acquire equity method investments | $ 352,000 | |||
Percentage of voting interests acquired | 10.00% | 10.00% | ||
Equity method investments | 39,000 | |||
Due to related parties | 3,697,089,000 | $ 2,903,769,000 | ||
Corporate Joint Venture | Required Regulatory Capital Requirement of Related Party | BUCKLER Securities, LLC | ||||
Related Party Transaction [Line Items] | ||||
Loans receivable, related parties | $ 105,000,000 | |||
Related party transaction, rate | 0.00% | |||
Loans and leases receivable, related parties, proceeds | $ 280,000 | |||
Due from related parties, current | 344,000 | |||
Corporate Joint Venture | BUCKLER Subordinated Loan Due April 25, 2020 | BUCKLER Securities, LLC | ||||
Related Party Transaction [Line Items] | ||||
Loans receivable, related parties | 25,000,000 | |||
Corporate Joint Venture | BUCKLER Subordinated Loan Due August 31, 2020 | BUCKLER Securities, LLC | ||||
Related Party Transaction [Line Items] | ||||
Loans receivable, related parties | 15,000,000 | |||
Corporate Joint Venture | BUCKLER Subordinated Loan Due August 31, 2019 | BUCKLER Securities, LLC | ||||
Related Party Transaction [Line Items] | ||||
Loans receivable, related parties | $ 65,000,000 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Details) - USD ($) | Apr. 27, 2018 | Mar. 28, 2018 | Mar. 27, 2018 | Feb. 27, 2018 | Jan. 29, 2018 | Mar. 31, 2018 | Mar. 31, 2017 |
Subsequent Event [Line Items] | |||||||
Common stock dividends cash paid (in dollars per share) | $ 0.19 | $ 0.19 | $ 0.19 | ||||
Aggregate amount paid to holders of record | $ 8,046,000 | $ 8,046,000 | $ 8,046,000 | $ 24,138,000 | $ 20,951,000 | ||
Common stock dividends declared per common share (in dollars per share) | $ 0.57 | $ 0.57 | |||||
Series A Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Aggregate amount paid to holders of record | $ 374,800 | 374,800 | 374,800 | $ 1,124,000 | $ 1,124,000 | ||
Series B Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Aggregate amount paid to holders of record | $ 1,045,000 | $ 1,045,000 | $ 1,039,000 | $ 3,129,000 | $ 2,781,000 | ||
Subsequent Event | |||||||
Subsequent Event [Line Items] | |||||||
Common stock dividends cash paid (in dollars per share) | $ 0.19 | ||||||
Aggregate amount paid to holders of record | $ 8,045,000 | ||||||
Common stock dividends declared per common share (in dollars per share) | $ 0.19 | ||||||
Subsequent Event | Series A Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Preferred stock, dividends declared (in dollars per share) | $ 0.17 | ||||||
Aggregate amount paid to holders of record | $ 375,000 | ||||||
Subsequent Event | Series B Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Preferred stock, dividends declared (in dollars per share) | $ 0.16 | ||||||
Aggregate amount paid to holders of record | $ 1,045,000 |