Cover Page
Cover Page - shares | 3 Months Ended | |
Mar. 31, 2020 | Apr. 30, 2020 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2020 | |
Document Transition Report | false | |
Entity Registrant Name | ARMOUR RESIDENTIAL REIT, INC. | |
Entity Incorporation, State or Country Code | MD | |
Entity File Number | 001-34766 | |
Entity Tax Identification Number | 26-1908763 | |
Entity Address, Address Line One | 3001 Ocean Drive, Suite 201 | |
Entity Address, City or Town | Vero Beach | |
Entity Address, State or Province | FL | |
Entity Address, Postal Zip Code | 32963 | |
City Area Code | 772 | |
Local Phone Number | 617-4340 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 64,586,296 | |
Entity Central Index Key | 0001428205 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Preferred Class C | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Preferred Stock, 7.00% Series C Cumulative Redeemable | |
Trading Symbol | ARR-PRC | |
Security Exchange Name | NYSE | |
Common Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, $0.001 par value | |
Trading Symbol | ARR | |
Security Exchange Name | NYSE |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Assets | ||
Cash | $ 333,884 | $ 181,395 |
Cash collateral posted to counterparties | 350,348 | 91,771 |
Agency Securities (including pledged securities of $2,764,806 at March 31, 2020 and $11,188,502 at December 31, 2019, net of allowance for credit losses of $1,012 at March 31, 2020) | 2,786,962 | 11,941,766 |
Credit Risk and Non-Agency Securities (including pledged securities of $761,537 at March 31, 2020 and $810,549 at December 31, 2019) | 765,553 | 883,601 |
Receivable for unsettled sales (including pledged securities of $220,543 at March 31, 2020) | 688,183 | 0 |
Derivatives, at fair value | 24,099 | 24,751 |
Accrued interest receivable | 9,545 | 35,085 |
Prepaid and other | 1,605 | 9,051 |
Subordinated loan to BUCKLER | 105,000 | 105,000 |
Total Assets | 5,065,179 | 13,272,420 |
Liabilities: | ||
Repurchase agreements | 3,465,472 | 11,354,547 |
Cash collateral posted by counterparties | 130,297 | 14,958 |
Payable for unsettled purchases | 470,441 | 358,712 |
Derivatives, at fair value | 200,275 | 71,974 |
Accrued interest payable- repurchase agreements | 3,490 | 31,932 |
Accounts payable and other accrued expenses | 8,954 | 3,590 |
Total Liabilities | 4,278,929 | 11,835,713 |
Commitments and contingencies (Note 9) | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ||
Common stock, $0.001 par value, 125,000 shares authorized, 58,881 and 58,877 shares issued and outstanding at March 31, 2020 and December 31, 2019, respectively | 59 | 59 |
Additional paid-in capital | 2,974,469 | 3,054,604 |
Accumulated deficit | (2,413,300) | (1,973,437) |
Accumulated other comprehensive income | 225,017 | 355,473 |
Total Stockholders’ Equity | 786,250 | 1,436,707 |
Total Liabilities and Stockholders’ Equity | 5,065,179 | 13,272,420 |
Series B Preferred Stock | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ||
7.875% Series B Cumulative Preferred Stock; 8,383 shares issued and outstanding ($209,583 aggregate liquidation preference) at December 31, 2019, 7.00% Series C Cumulative Preferred Stock; 5,303 shares issued and outstanding ($132,588 aggregate liquidation preference) at March 31, 2020 | 0 | 8 |
Series C Preferred Stock | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ||
7.875% Series B Cumulative Preferred Stock; 8,383 shares issued and outstanding ($209,583 aggregate liquidation preference) at December 31, 2019, 7.00% Series C Cumulative Preferred Stock; 5,303 shares issued and outstanding ($132,588 aggregate liquidation preference) at March 31, 2020 | 5 | 0 |
Credit Risk and Non-Agency Securities | ||
Assets | ||
Credit Risk and Non-Agency Securities (including pledged securities of $761,537 at March 31, 2020 and $810,549 at December 31, 2019) | $ 765,553 | $ 883,601 |
Consolidated Balance Sheets (_2
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Agency securities, pledged securities | $ 2,764,806 | $ 11,188,502 |
Agency securities, allowance for credit loss | 1,012 | |
Receivables for unsettled sales, pledged securities | $ 220,543 | |
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) | 58,881,000 | 58,877,000 |
Common stock, shares outstanding (in shares) | 58,881,000 | 58,877,000 |
Series B Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.001 | |
Preferred stock, shares authorized (in shares) | 17,970,000 | |
Preferred stock, dividend rate | 7.875% | 7.875% |
Preferred stock, shares issued (in shares) | 8,383,000 | |
Preferred stock, shares outstanding (in shares) | 8,383,000 | |
Preferred stock, aggregate liquidation preference | $ 209,583 | |
Series C Preferred Stock | ||
Preferred stock, dividend rate | 7.00% | |
Preferred stock, shares issued (in shares) | 5,303,000 | |
Preferred stock, shares outstanding (in shares) | 5,303,000 | |
Preferred stock, aggregate liquidation preference | $ 132,588 | |
Credit Risk and Non-Agency Securities | ||
Trading securities pledged | $ 761,537 | $ 810,549 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | ||
Interest Income: | |||
Agency Securities, net of amortization of premium and fees | $ 79,776 | $ 79,832 | |
Total Interest Income | 92,858 | 94,790 | |
Interest expense- repurchase agreements | (51,520) | (60,978) | |
Net Interest Income | 41,338 | 33,812 | |
Other Income (Loss): | |||
Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss)) | 93,325 | (2,910) | |
Credit loss expense | (1,012) | 0 | |
Subtotal | (69,027) | (3,475) | |
Realized gain (loss) on derivatives | [1] | (235,148) | (22,131) |
Unrealized loss on derivatives | (133,887) | (113,067) | |
Subtotal | (369,035) | (135,198) | |
Total Other Loss | (438,062) | (138,673) | |
Expenses: | |||
Management fees | 7,458 | 7,258 | |
Professional fees | 846 | 1,035 | |
Insurance | 183 | 165 | |
Compensation | 1,465 | 787 | |
Other | (17) | 275 | |
Total Expenses | 9,935 | 9,520 | |
Net Loss | (406,659) | (114,381) | |
Dividends on preferred stock | (2,827) | (4,259) | |
Net Loss related to common stockholders | $ (409,486) | $ (118,640) | |
Net Loss per share related to common stockholders (Note 12): | |||
Basic (in dollars per share) | $ (6.95) | $ (2.21) | |
Diluted (in dollars per share) | (6.95) | (2.21) | |
Dividends declared per common share (in dollars per share) | $ 0.51 | $ 0.57 | |
Weighted average common shares outstanding: | |||
Basic (in shares) | 58,884 | 53,630 | |
Diluted (in shares) | 58,884 | 53,630 | |
Credit Risk and Non-Agency Securities | |||
Interest Income: | |||
Interest income, trading | $ 12,355 | $ 13,592 | |
Other Income (Loss): | |||
Gain (loss) on securities | (183,111) | 496 | |
Interest-Only Securities | |||
Interest Income: | |||
Interest income, trading | 0 | 345 | |
Other Income (Loss): | |||
Gain (loss) on securities | 0 | (368) | |
US Treasury Securities | |||
Interest Income: | |||
Interest income, trading | 469 | 482 | |
Other Income (Loss): | |||
Gain (loss) on securities | 21,771 | (693) | |
Subordinated Loans | |||
Interest Income: | |||
Interest income, trading | $ 258 | $ 539 | |
[1] | Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the consolidated statements of operations. For additional information, see financial statement Note 8 . |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Statement of Comprehensive Income [Abstract] | ||
Net Loss | $ (406,659) | $ (114,381) |
Other comprehensive income (loss): | ||
Reclassification adjustment for realized (gain) loss on sale of available for sale Agency Securities | (93,325) | 2,910 |
Reclassification adjustment for credit loss expense on available for sale Agency Securities | 1,012 | 0 |
Net unrealized gain (loss) on available for sale Agency Securities | (38,143) | 184,248 |
Other comprehensive income (loss) | (130,456) | 187,158 |
Comprehensive Income (Loss) | $ (537,115) | $ 72,777 |
Consolidated Statement of Stock
Consolidated Statement of Stockholders' Equity (Unaudited) - USD ($) shares in Thousands, $ in Thousands | Total | Series B Preferred Stock | Series C Preferred Stock | Preferred StockSeries B Preferred Stock | Preferred StockSeries C Preferred Stock | Common Stock | Additional Paid-in Capital | Additional Paid-in CapitalSeries B Preferred Stock | Additional Paid-in CapitalSeries C Preferred Stock | Accumulated Deficit | Accumulated DeficitSeries B Preferred Stock | Accumulated DeficitSeries C Preferred Stock | Accumulated Other Comprehensive Income (Loss) |
Beginning balance at Dec. 31, 2018 | $ 1,125,313 | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Preferred dividends | $ (1,124) | $ (3,135) | |||||||||||
Common stock dividends | (29,814) | ||||||||||||
Preferred stock, called for redemption | 0 | ||||||||||||
Issuance of Preferred stock, net of expenses | 0 | ||||||||||||
Stock based compensation, net of withholding requirements | 644 | ||||||||||||
Common stock repurchased, net | 0 | ||||||||||||
Net Loss | (114,381) | ||||||||||||
Other comprehensive loss | 187,158 | ||||||||||||
Ending balance at Mar. 31, 2019 | 1,486,653 | ||||||||||||
Beginning balance (in shares) at Dec. 31, 2019 | 8,383 | 0 | 58,877 | ||||||||||
Beginning balance at Dec. 31, 2019 | 1,436,707 | $ 8 | $ 0 | $ 59 | $ 3,054,604 | $ (1,973,437) | $ 355,473 | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Preferred dividends | (1,375) | (1,452) | $ (1,375) | $ (1,452) | |||||||||
Common stock dividends | (30,377) | (30,377) | |||||||||||
Preferred stock, called for redemption (in shares) | (8,383) | ||||||||||||
Preferred stock, called for redemption | (209,583) | $ (209,583) | $ (8) | $ (209,575) | |||||||||
Issuance Preferred stock, net of expenses (in shares) | 5,303 | ||||||||||||
Issuance of Preferred stock, net of expenses | $ 129,221 | $ 5 | $ 129,216 | ||||||||||
Stock based compensation, net of withholding requirements (in shares) | 44 | ||||||||||||
Stock based compensation, net of withholding requirements | 1,001 | 1,001 | |||||||||||
Common stock repurchased (in shares) | (40) | ||||||||||||
Common stock repurchased, net | (777) | (777) | |||||||||||
Net Loss | (406,659) | (406,659) | |||||||||||
Other comprehensive loss | (130,456) | (130,456) | |||||||||||
Ending balance (in shares) at Mar. 31, 2020 | 0 | 5,303 | 58,881 | ||||||||||
Ending balance at Mar. 31, 2020 | $ 786,250 | $ 0 | $ 5 | $ 59 | $ 2,974,469 | $ (2,413,300) | $ 225,017 |
Consolidated Statement of Sto_2
Consolidated Statement of Stockholders' Equity (Unaudited) (Parenthetical) | Jan. 28, 2020 | Mar. 31, 2020 | Dec. 31, 2019 |
Series B Preferred Stock | |||
Preferred stock, dividend rate | 7.875% | 7.875% | |
Series C Preferred Stock | |||
Preferred stock, dividend rate | 7.00% | 7.00% |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Cash Flows From Operating Activities: | |||
Net Loss | $ (406,659) | $ (114,381) | |
Adjustments to reconcile net income (loss) to net cash and cash collateral posted to counterparties provided by (used in) operating activities: | |||
Net amortization of premium on Agency Securities | 14,130 | 6,347 | |
Realized (gain) loss on sale of Agency Securities | (93,325) | 2,910 | |
Credit loss expense | 1,012 | 0 | |
Stock based compensation | 1,001 | 644 | |
Changes in operating assets and liabilities: | |||
Increase (decrease) in accrued interest receivable | 25,728 | (17,178) | |
Increase in prepaid and other assets | 7,446 | 459 | |
Change in derivatives, at fair value | 128,953 | 95,796 | |
Increase (Decrease) in accrued interest payable- repurchase agreements | (28,442) | 11,522 | |
Increase in accounts payable and other accrued expenses | 5,364 | 2,431 | |
Net cash and cash collateral posted to counterparties used in operating activities | (184,446) | (11,334) | |
Cash Flows From Investing Activities: | |||
Purchases of Agency Securities | (1,657,148) | (6,608,566) | |
Principal repayments of Agency Securities | 475,766 | 145,777 | |
Principal repayments of Credit Risk and Non-Agency Securities | 31,404 | 6,335 | |
Proceeds from sales of Agency Securities | 9,777,373 | 1,017,396 | |
(Decrease) increase in cash collateral posted by counterparties | 115,339 | (47,387) | |
Net cash and cash collateral posted to counterparties provided by (used in) investing activities | 8,598,930 | (5,388,039) | |
Cash Flows From Financing Activities: | |||
Issuance of common stock, net of expenses | 0 | 321,992 | |
Proceeds from repurchase agreements | 42,459,521 | 50,656,945 | |
Principal repayments on repurchase agreements | (50,348,596) | (45,551,322) | |
Common stock dividends paid | (30,377) | (29,814) | |
Common stock repurchased, net | (777) | 0 | |
Net cash and cash collateral posted to counterparties provided by (used in) financing activities | (8,003,418) | 5,393,542 | |
Net Increase (decrease) in cash and cash collateral posted to counterparties | 411,066 | (5,831) | |
Cash and cash collateral posted to counterparties - beginning of period | 273,166 | 232,199 | $ 232,199 |
Cash and cash collateral posted to counterparties - end of period | 684,232 | 226,368 | 273,166 |
Supplemental Disclosure: | |||
Cash paid during the period for interest | 139,313 | 98,627 | |
Non-Cash Investing and Financing Activities: | |||
Receivable for unsettled sales | 688,183 | 0 | |
Payable for unsettled purchases | 470,441 | 198,172 | |
Net unrealized gain (loss) on available for sale Agency Securities | (38,143) | 184,248 | |
Series A Preferred Stock | |||
Cash Flows From Financing Activities: | |||
Preferred stock dividends paid | 0 | (1,124) | |
Series B Preferred Stock | |||
Cash Flows From Financing Activities: | |||
Redemption of Preferred stock, net of expenses | (209,583) | 0 | |
Preferred stock dividends paid | (1,375) | (3,135) | |
Series C Preferred Stock | |||
Cash Flows From Financing Activities: | |||
Issuance of Preferred stock, net of expenses | 129,221 | 0 | |
Preferred stock dividends paid | (1,452) | 0 | |
Interest-Only Securities | |||
Adjustments to reconcile net income (loss) to net cash and cash collateral posted to counterparties provided by (used in) operating activities: | |||
Accretion of net discount on Credit Risk and Non-Agency Securities | 0 | 936 | 1,924 |
(Gain) loss on U.S. Treasury Securities | 0 | 368 | (123) |
Cash Flows From Investing Activities: | |||
Purchases of Credit Risk, Non-Agency Securities, and U.S. Treasury Securities | 0 | 0 | |
Principal repayments of Credit Risk and Non-Agency Securities | 0 | 0 | |
Proceeds from sales of held-for-investment securities | 0 | 18,822 | |
US Treasury Securities | |||
Adjustments to reconcile net income (loss) to net cash and cash collateral posted to counterparties provided by (used in) operating activities: | |||
Accretion of net discount on Credit Risk and Non-Agency Securities | 84 | (453) | (362) |
(Gain) loss on U.S. Treasury Securities | (21,771) | 693 | (2,024) |
Cash Flows From Investing Activities: | |||
Purchases of Credit Risk, Non-Agency Securities, and U.S. Treasury Securities | (3,763,561) | (101,039) | (1,685,058) |
Principal repayments of Credit Risk and Non-Agency Securities | 0 | 0 | |
Proceeds from sales of held-for-investment securities | 3,785,248 | 199,445 | 1,786,090 |
Credit Risk and Non-Agency Securities | |||
Adjustments to reconcile net income (loss) to net cash and cash collateral posted to counterparties provided by (used in) operating activities: | |||
Accretion of net discount on Credit Risk and Non-Agency Securities | (1,078) | (932) | (2,956) |
(Gain) loss on U.S. Treasury Securities | 183,111 | (496) | 24,396 |
Cash Flows From Investing Activities: | |||
Purchases of Credit Risk, Non-Agency Securities, and U.S. Treasury Securities | (237,928) | 0 | (138,767) |
Principal repayments of Credit Risk and Non-Agency Securities | 31,404 | 53,641 | |
Proceeds from sales of held-for-investment securities | $ 72,437 | $ 0 | $ 0 |
Organization and Nature of Busi
Organization and Nature of Business Operations | 3 Months Ended |
Mar. 31, 2020 | |
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 owns a 10% equity interest in BUCKLER Securities, LLC ("BUCKLER"). BUCKLER is a Delaware limited liability company and a FINRA-regulated broker-dealer, controlled by ACM and certain executive officers of ARMOUR. Refer to the Glossary of Terms for definitions of capitalized terms and abbreviations used in this report. 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 9 - Commitments and Contingencies and Note 15 - Related Party Transactions for additional discussion). We have elected to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, 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 U.S. federal income tax purposes, we may still be subject to some federal, state and local taxes on our income. |
Basis of Presentation and Calcu
Basis of Presentation and Calculation | 3 Months Ended |
Mar. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation and Consolidation | 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, 2020 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2020 . 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, 2019 . 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, including an assessment of the allowance for credit losses, and derivative instruments. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2020 | |
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 Our investments in securities are generally classified as either available for sale or trading 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. Available for Sale Securities represent investments that we intend to hold for extended periods of time and 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 are reported at their estimated fair values with gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. 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 and interest on unsettled sales of securities. Accrued interest payable includes interest on unsettled purchases of securities, interest on repurchase agreements and may, at certain times, contain interest payable on U.S. Treasury Securities sold short. Repurchase Agreements We finance the acquisition of the majority 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 short-term 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, which accrues over the life of the repurchase agreement. 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, 2020 and December 31, 2019 . Derivatives, at Fair Value We recognize all derivatives individually 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). 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. Impairment of Assets We assess impairment of available for sale securities at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment if we (1) intend to sell the available for sale securities, or (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) and a credit impairment exists where fair value is greater than amortized cost. Impairment losses recognized establish a new cost basis for the related available for sale securities. Revenue Recognition Available for Sale 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. Purchase and sale transactions (including TBA Agency Securities) 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 reclassified into income from other comprehensive income and are determined using the specific identification method. Trading 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. Impairment losses establish a new cost basis in the security for purposes of calculating effective yields, 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. 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, 2020 | |
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 ("ASU") 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. Accounting Standard Description ASU 2018–07, Improvements to Non-employee Share –Based Payment Accounting (Topic 718) The standard is effective for fiscal years beginning after December 15, 2018, including interim periods within that fiscal year. The standard largely aligns the accounting for share-based payment awards issued to employees and non-employees. Equity-classified share-based payment awards issued to non-employees are measured on the grant date, instead of being remeasured through the performance completion date (generally the vesting date). The standard was applied on a modified retrospective basis through a cumulative effect adjustment to retained earnings as of the beginning of the fiscal year when adopted. The cumulative effective adjustment was recorded in our consolidated statement of stockholders' equity as of January 1, 2019, and did not have a material impact on the Company's financial condition or results of operations. 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 applies 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 was effective for fiscal years beginning after December 15, 2019. The adoption of the standard on January 1, 2020 did not have a significant impact on the Company, since at that time we did not intend to sell our investments in available for sale Agency Securities. The Company determined that it was not more likely than not that we would be required to sell the investments before recovery of their amortized cost bases as the contractual cash flows of these federal agency mortgage backed securities are guaranteed by an agency of the U.S. government and we expected that all securities would not be settled at a price less than their amortized cost. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 3 Months Ended |
Mar. 31, 2020 | |
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 assess 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. Agency Securities, Credit Risk and Non-Agency Securities, Interest-Only Securities and U.S. Treasury Securities: Fair value for these securities are based on obtaining a valuation for each 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 a 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 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. U.S. Treasury Securities are classified as Level 1, as quoted unadjusted prices are available in active markets for identical assets. Derivatives: 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 derivatives 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, 2020 and December 31, 2019 . March 31, 2020 (Level 1) (Level 2) (Level 3) Balance Assets at Fair Value: Agency Securities $ — $ 2,786,962 $ — $ 2,786,962 Credit Risk and Non-Agency Securities $ — $ 765,553 $ — $ 765,553 Derivatives $ — $ 24,099 $ — $ 24,099 Liabilities at Fair Value: Derivatives $ — $ 200,275 $ — $ 200,275 December 31, 2019 (Level 1) (Level 2) (Level 3) Balance Assets at Fair Value: Agency Securities $ — $ 11,941,766 $ — $ 11,941,766 Credit Risk and Non-Agency Securities $ — $ 883,601 $ — $ 883,601 Derivatives $ — $ 24,751 $ — $ 24,751 Liabilities at Fair Value: Derivatives $ — $ 71,974 $ — $ 71,974 There were no transfers of assets or liabilities between the levels of the fair value hierarchy during the three months ended March 31, 2020 or for the year ended December 31, 2019 . Excluded from the tables above are financial instruments, including cash, cash collateral posted to/by counterparties, receivables, the Subordinated loan to BUCKLER, payables and borrowings under repurchase agreements, which are presented in our consolidated financial statements at cost which approximates fair value. The estimated fair value of these instruments is measured using "Level 1" or "Level 2" inputs at March 31, 2020 and December 31, 2019 . |
Investments In Securities
Investments In Securities | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment In Securities | Note 6 - Investments in Securities As of March 31, 2020 and December 31, 2019 , our securities portfolio consisted of $3,552,515 and $12,825,367 of investment securities, at fair value, respectively, and $1,292,462 and $1,006,280 of TBA Agency Securities, at fair value, respectively. Our TBA Agency Securities are reported at net carrying value of $22,044 and $(592) , at March 31, 2020 and December 31, 2019 , respectively, and are reported in Derivatives, at fair value on our consolidated balance sheets (see Note 8 - Derivatives for additional information). The net carrying value of our TBA Agency Securities represents the difference between the fair value of the underlying Agency Security in the TBA contract and the cost basis or the forward price to be paid or received for the underlying Agency Security. The following table summarizes our investments in securities as of March 31, 2020 and December 31, 2019 , excluding TBA Agency Securities (see Note 8 - Derivatives for additional information). Available for Sale Securities Trading Securities Agency Credit Risk and Non-Agency Interest-Only U.S. Treasuries Totals March 31, 2020 Beginning balance $ 11,941,766 $ 883,601 $ — $ — $ 12,825,367 Purchases (1) 1,768,689 237,928 — 3,763,561 5,770,178 Proceeds from sales (9,777,373 ) (72,437 ) — (3,785,248 ) (13,635,058 ) Receivable for unsettled sales (618,081 ) (70,102 ) — — (688,183 ) Principal repayments (475,766 ) (31,404 ) — — (507,170 ) Gains (losses) (37,131 ) (183,111 ) — 21,771 (198,471 ) Credit loss expense (1,012 ) — — — (1,012 ) Amortization/accretion (14,130 ) 1,078 — (84 ) (13,136 ) Ending balance $ 2,786,962 $ 765,553 $ — $ — $ 3,552,515 Percentage of Portfolio 78.45 % 21.55 % — % — % 100.00 % December 31, 2019 Beginning balance $ 7,051,954 $ 819,915 $ 20,623 $ 98,646 $ 7,991,138 Purchases (1) 9,130,512 138,767 — 1,685,058 $ 10,954,337 Sales (2,894,339 ) — (18,822 ) (1,786,090 ) $ (4,699,251 ) Principal Repayments (1,701,406 ) (53,641 ) — — $ (1,755,047 ) Gains (losses) 408,954 (24,396 ) 123 2,024 $ 386,705 Amortization/accretion (53,909 ) 2,956 (1,924 ) 362 $ (52,515 ) Ending balance $ 11,941,766 $ 883,601 $ — $ — $ 12,825,367 Percentage of Portfolio 93.11 % 6.89 % — % — % 100.00 % (1) Purchases include cash paid during the period, plus payable for investment securities purchased during the period as of period end. At March 31, 2020 and December 31, 2019 , we had investment related payables with respect to unsettled purchases of Agency Securities of $470,441 and $358,712 , respectively. Available for Sale Securities: At March 31, 2020 , we evaluated our available sale securities to determine if an allowance for credit losses was required for securities which were in an unrealized loss position and determined that, as we may be be required to sell these securities in the near future we recognized an impairment of $1,012 in our consolidated statements of operations. At March 31, 2019 and December 31, 2019 , we evaluated our available for sale securities with unrealized losses to determine whether there was an OTTI. At those dates, we also considered whether we intended to sell available for sale securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling available for sale securities. No OTTI was recognized for the three months ended March 31, 2019 or for the year ended December 31, 2019 . The table below presents the components of the carrying value and the unrealized gain or loss position of our Agency Securities at March 31, 2020 and December 31, 2019 . Our Agency Securities had a weighted average coupon of 3.98% and 3.76% at March 31, 2020 and December 31, 2019 . Principal Amount Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value March 31, 2020 Total Fannie Mae $ 1,930,475 $ 1,981,977 $ — $ 202,987 $ 2,184,964 Total Freddie Mac 536,387 558,004 — 22,023 580,027 Total Ginnie Mae 21,418 21,964 — 7 21,971 Total $ 2,488,280 $ 2,561,945 $ — $ 225,017 $ 2,786,962 December 31, 2019 Total Fannie Mae $ 8,779,331 $ 8,975,140 $ (291 ) $ 294,937 $ 9,269,786 Total Freddie Mac 2,522,870 2,587,512 (40 ) 61,323 2,648,795 Total Ginnie Mae 22,504 23,641 (461 ) 5 23,185 Total $ 11,324,705 $ 11,586,293 $ (792 ) $ 356,265 $ 11,941,766 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, 2020 and December 31, 2019 . All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+. Unrealized Loss Position For: < 12 Months ≥ 12 Months Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2020 $ — $ — $ — $ — $ — $ — December 31, 2019 $ 2,136 $ (10 ) $ 43,939 $ (782 ) $ 46,075 $ (792 ) 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, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 Weighted Average Life of all Agency Securities Fair Value Amortized Fair Value Amortized < 1 year $ 55 $ 55 $ — $ — ≥ 1 year and < 3 years 44,473 43,320 22,237 22,254 ≥ 3 years and < 5 years 1,194,131 1,148,197 6,542,389 6,365,623 ≥ 5 years 1,548,303 1,370,373 5,377,140 5,198,416 Total Agency Securities $ 2,786,962 $ 2,561,945 $ 11,941,766 $ 11,586,293 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, 2020 and December 31, 2019 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. Trading Securities: Our Credit Risk Transfer securities are collateralized 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 Non-Agency Securities are collateralized by residential mortgage loans not guaranteed by any agency and include legacy securities issued between 2005 and 2007. The components of the carrying value of our Trading Securities at March 31, 2020 and December 31, 2019 are presented in the table below. We did not have any U.S. Treasury Securities or Interest-Only Securities at March 31, 2020 and December 31, 2019 . Principal Amount Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value March 31, 2020 Credit Risk Transfer $ 821,060 $ 808,091 $ (112,182 ) $ 132 $ 696,041 Non-Agency Securities 90,721 70,154 (1,675 ) 1,033 69,512 Total Credit Risk and Non-Agency Securities $ 911,781 $ 878,245 $ (113,857 ) $ 1,165 $ 765,553 December 31, 2019 Credit Risk Transfer $ 754,729 $ 751,940 $ — $ 52,024 $ 803,964 Non-Agency Securities 93,723 72,904 (3 ) 6,736 79,637 Total Credit Risk and Non-Agency Securities $ 848,452 $ 824,844 $ (3 ) $ 58,760 $ 883,601 The following table presents the unrealized losses and estimated fair value of our Trading Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2020 and December 31, 2019 . Our Credit Risk and Non-Agency Securities are subject to risk of loss with regard to principal and interest payments. We evaluate each investment based on the characteristics of the underlying collateral and securitization structure, rather than relying on the ratings assigned by rating agencies. Unrealized Loss Position For: < 12 Months ≥ 12 Months Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2020 Credit Risk and Non-Agency Securities $ 725,547 $ (113,857 ) $ — $ — $ 725,547 $ (113,857 ) December 31, 2019 Credit Risk and Non-Agency Securities $ 362 $ (3 ) $ — $ — $ 362 $ (3 ) The following table summarizes the weighted average lives of our Trading Securities at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 Estimated Weighted Average Life of Trading Securities Fair Value Amortized Cost Fair Value Amortized Cost < 1 year $ — $ — $ — $ — ≥ 1 year and < 3 years 556,011 609,386 389,883 369,600 ≥ 3 years and < 5 years 25,410 26,162 407,656 375,030 ≥ 5 years 184,132 242,697 86,062 80,214 Total $ 765,553 $ 878,245 $ 883,601 $ 824,844 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, 2020 and December 31, 2019 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. |
Repurchase Agreements
Repurchase Agreements | 3 Months Ended |
Mar. 31, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Note 7 - Repurchase Agreements At March 31, 2020 , we had MRAs with 49 counterparties and had $3,465,472 in outstanding borrowings with 18 of those counterparties. At December 31, 2019 , we had MRAs with 49 counterparties and had $11,354,547 in outstanding borrowings with 25 of those counterparties. The following table represents the contractual repricing regarding our repurchase agreements to finance MBS purchases at March 31, 2020 and December 31, 2019 . No amounts below are subject to offsetting. Balance Weighted Average Contractual Rate Weighted Average Maturity in days Haircut (1) March 31, 2020 Agency Securities ≤ 30 days $ 1,926,564 1.35 % 14 3.10 % > 30 days to ≤ 60 days 776,742 1.76 % 49 3.12 % Total or Weighted Average $ 2,703,306 1.47 % 24 3.10 % Credit Risk and Non-Agency Securities ≤ 30 days 762,166 2.02 % 12 22.17 % Total or Weighted Average $ 3,465,472 1.59 % 21 7.34 % December 31, 2019 Agency Securities ≤ 30 days $ 10,241,137 2.56 % 8 4.35 % > 30 days to ≤ 60 days 426,147 1.99 % 34 4.61 % Total or Weighted Average $ 10,667,284 2.54 % 9 4.36 % Credit Risk and Non-Agency Securities ≤ 30 days 687,263 2.45 % 15 16.25 % Total or Weighted Average $ 11,354,547 2.54 % 9 5.16 % (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. At March 31, 2020 and December 31, 2019 , BUCKLER accounted for 56.2% and 45.0% , respectively, of our aggregate borrowings and had an amount at risk of 7.7% and 14.8% , respectively, of our total stockholders' equity with a weighted average maturity of 27 days and 7 days , respectively, on repurchase agreements (see Note 15 - Related Party Transactions for additional information). In addition, at March 31, 2020 , we had 1 repurchase agreement counterparty that individually accounted for over 5% of our aggregate borrowings. In total, this counterparty accounted for approximately 11.8% of our repurchase agreement borrowings outstanding at March 31, 2020 . At March 31, 2020 , we also had 1 repurchase counterparty with an amount at risk of 5.62% of our total stockholders' equity with a weighted average maturity of 10 days on repurchase agreements. At December 31, 2019 , we had 2 repurchase agreement counterparties that individually accounted for between 5% and 10% of our aggregate borrowings. In total, these counterparties accounted for 12.7% of our repurchase agreement borrowings at December 31, 2019 . |
Derivatives
Derivatives | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives | Note 8 - Derivatives We enter into derivative transactions to manage our interest rate risk and agency mortgage rate exposures. We have agreements with our derivative counterparties that provide for the posting of collateral based on the fair values of our derivatives. Through this margin process, either we or our counterparties may be required to pledge cash or 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 contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty. Interest rate swap contracts 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. 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. Basis swap contracts allow us to exchange one floating interest rate basis for another, thereby allowing us to diversify our floating rate basis exposures. 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. 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. A decline in the value of the open positions with the counterparty 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 ISDA 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 ISDAs 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. At March 31, 2020, we received waivers from certain ISDA counterparties related to significant reductions in equity capital that would have otherwise caused a default or termination event. The following tables present information about the potential effects of netting our derivatives if we were to offset the assets and liabilities on the accompanying consolidated balance sheets. We currently present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying consolidated balance sheets at March 31, 2020 and December 31, 2019 . Gross Amounts Not Offset Assets Gross Amounts (1) Financial Instruments Cash Collateral Total Net March 31, 2020 Interest rate swap contracts $ 395 $ (395 ) $ — $ — TBA Agency Securities 23,704 (1,660 ) (20,195 ) 1,849 Totals $ 24,099 $ (2,055 ) $ (20,195 ) $ 1,849 December 31, 2019 Interest rate swap contracts $ 23,659 $ (70,290 ) $ 83,066 $ 36,435 TBA Agency Securities 1,092 (1,092 ) — — Totals $ 24,751 $ (71,382 ) $ 83,066 $ 36,435 (1) See Note 5 - Fair Value of Financial Instruments for additional discussion. Gross Amounts Not Offset Liabilities Gross Amounts (1) Financial Instruments Cash Collateral Total Net March 31, 2020 Interest rate swap contracts $ (198,615 ) $ 395 $ 195,315 $ (2,905 ) TBA Agency Securities (1,660 ) 1,660 — — Totals $ (200,275 ) $ 2,055 $ 195,315 $ (2,905 ) December 31, 2019 Interest rate swap contracts $ (70,290 ) $ 70,290 $ — $ — TBA Agency Securities (1,684 ) 1,092 377 $ (215 ) Totals $ (71,974 ) $ 71,382 $ 377 $ (215 ) (1) See Note 5 - Fair Value of Financial Instruments for additional discussion. The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying consolidated statements of operations for the three months ended March 31, 2020 and March 31, 2019 . Income (Loss) Recognized For the Three Months Ended March 31, Derivatives Location on consolidated statements of operations 2020 2019 Interest rate swap contracts: Realized loss Realized loss on derivatives $ (261,384 ) $ (39,544 ) Interest income Realized loss on derivatives 26,462 53,745 Interest expense Realized loss on derivatives (32,233 ) (45,109 ) Changes in fair value Unrealized loss on derivatives (151,386 ) (109,343 ) $ (418,541 ) (140,251 ) TBA Agency Securities: Realized gain Realized loss on derivatives 32,007 8,777 Changes in fair value Unrealized loss on derivatives 17,499 (3,724 ) $ 49,506 5,053 Totals $ (369,035 ) (135,198 ) The following tables present information about our derivatives at March 31, 2020 and December 31, 2019 . Interest Rate Swaps (1) Notional Amount Weighted Average Remaining Term (Months) Weighted Average Rate March 31, 2020 < 3 years $ 2,200,000 14 1.89 % ≥ 3 years and < 5 years 375,000 53 1.64 % ≥ 5 years and < 7 years 850,000 80 1.74 % < 7 years 575,000 116 1.31 % Total or Weighted Average (2) $ 4,000,000 46 1.75 % December 31, 2019 < 3 years $ 2,750,000 19 1.66 % ≥ 3 years and < 5 years 2,850,000 47 1.84 % ≥ 5 years and < 7 years 1,200,000 83 1.86 % < 7 years 1,175,000 118 1.54 % Total or Weighted Average (3) $ 7,975,000 53 1.74 % (1) Pay Fixed/Receive Variable. (2) Of this amount, $525,000 notional are LIBOR based swaps, the last of which matures in 2023 and $3,475,000 notional are Fed Funds based swaps, the last of which matures in 2030 . (3) Of this amount, 1,025,000 notional are LIBOR based swaps, the last of which matures in 2023 ; 375,000 notional are SOFR based swaps, the last of which matures in 2024 ; and 6,575,000 notional are Fed Funds based swaps, the last of which matures in 2029 . TBA Agency Securities Notional Amount Cost Basis Fair Value March 31, 2020 15 Year Long 2.0% 500,000 508,062 513,310 30 Year Long 2.5% 500,000 509,008 517,072 3.0% 250,000 257,481 262,080 Total (1) $ 1,250,000 $ 1,274,551 $ 1,292,462 December 31, 2019 15 Year Long 3.0% 500,000 511,055 511,885 30 Year Long 2.5% 500,000 494,813 494,395 Total (1) $ 1,000,000 $ 1,005,868 $ 1,006,280 (1) $750,000 notional are forward settling at March 31, 2020 and $1,000,000 notional were forward settling at December 31, 2019 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 9 - Commitments and Contingencies Management The Company is managed by ACM, pursuant to management agreements with ARMOUR and JAVELIN (see also Note 15 , “ 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, 2020 and March 31, 2019 , the effective ARMOUR management fee was 1.00% and 1.00% based on gross equity raised of $2,887,586 and $2,986,934 , respectively. 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, 2020 and December 31, 2019 . 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. On September 27, 2019 the court further deferred the matter for six months. No further action has been taken. 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, 2020 | |
Share-based Payment Arrangement [Abstract] | |
Stock Based Compensation | Note 10 - 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, 2020 , there were 677 shares available for future issuance under the Plan. Transactions related to awards for the three months ended March 31, 2020 are summarized below: March 31, 2020 Number of Awards Weighted Average Grant Date Fair Value per Award Unvested RSU Awards Outstanding beginning of period 247 $ 24.82 Granted (1) 454 $ 18.90 Vested (51 ) $ 21.13 Unvested RSU Awards Outstanding end of period 650 $ 20.97 (1) In January 2020, we granted 310 RSUs to ACM and 144 RSUs to the Board. At March 31, 2020 , there was approximately $13,643 of unvested stock based compensation related to the Awards (based on a weighted average grant date price of $20.97 per share), that we expect to recognize as an expense over the remaining average service period of 3.1 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 |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2020 | |
Equity [Abstract] | |
Stockholders' Equity | Note 11 - Stockholders' Equity Changes in Stockholders' Equity The following table presents the changes in Stockholders' Equity for the following interim periods. Stockholders' Equity March 31, 2020 March 31, 2019 Balance, beginning of quarter $ 1,436,707 $ 1,125,313 Series B Preferred dividends ($0.1640625 per share) (1,375 ) (1,124 ) Series C Preferred dividends ($ 0.14583 per share) (1,452 ) (3,135 ) Common stock dividends (1) (30,377 ) (29,814 ) Series B Preferred Stock, called for redemption (209,583 ) — Issuance of Series C Preferred Stock 129,221 — Issuance of Common stock, net — 321,992 Stock based compensation, net of withholding requirements 1,001 644 Common Stock repurchased, net (777 ) — Net loss (406,659 ) (114,381 ) Other comprehensive income (loss) (130,456 ) 187,158 Balance, end of quarter $ 786,250 $ 1,486,653 (1) See the below table for common stock dividends per share for the three months ended March 31, 2020 . Common stock dividends were $0.19 per share for each month for the three months ended March 31, 2019 . Preferred Stock At March 31, 2020 and December 31, 2019 , 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. On June 24, 2019, we filed Articles Supplementary with the State Department of Assessments and Taxation of the State of Maryland to designate 10,320 shares of the Company’s authorized preferred stock, par value $0.001 per share, as additional shares of 7.875% Series B Preferred Stock, thereby increasing the aggregate number of shares of preferred stock designated as Series B Preferred Stock to 17,970 shares. On January 28, 2020, we filed Articles Supplementary with the Department to designate 10,000 shares of the Company’s authorized preferred stock, par value $0.001 per share, as shares of 7.00% Series C Preferred Stock with the powers, designations, preferences and other rights as set forth therein. At March 31, 2020 , a total of 22,030 shares of our authorized preferred stock remain available for designation as future series. Series B Cumulative Preferred Stock - Called for redemption, (February 27, 2020) “Series B Preferred Stock” On January 24, 2020, the Company mailed a notice of full redemption (the “Notice”) of all 8,383 issued and outstanding shares of its 7.875% Series B Preferred Stock ( $25.00 per share, $209,583 in the aggregate liquidation preference) to the holders of record of its Series B Preferred Stock as of January 13, 2020. Pursuant to this redemption, each share of Series B Preferred Stock was canceled and represented solely the right to receive cash in the amount of $25.00 per share of Series B Preferred Stock on February 27, 2020. Pursuant to the terms of the Series B Preferred Stock, holders of record of the Series B Preferred Stock on February 15, 2020 received the full monthly dividend for February. The final dividend amount of $1,375 was paid on February 27, 2020 and was recorded as other expense in our consolidated statements of operations. At December 31, 2019 , we had 8,383 shares of Series B Preferred Stock issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $209,583 , in the aggregate. Shares designated as Series B Preferred Stock but unissued totaled 9,587 at December 31, 2019 . At December 31, 2019 , there were no accrued or unpaid dividends on the Series B Preferred Stock. The Series B Preferred Stock was 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 was entitled to receive any dividends. On March 2, 2020, we terminated the Equity Sales Agreement (the “Preferred B ATM Sales Agreement”) with BUCKLER and B. Riley FBR, Inc., as sales agents, relating to an "at-the-market" offering program for our Series B Preferred Stock, dated as of June 24, 2019. The Preferred B ATM Sales Agreement, allowed us to offer and sell, over a period of time and from time to time, up to 9,000 shares of our Series B Preferred Stock. At the date of termination, we sold 1,914 shares under this agreement for proceeds of $47,306 , net of issuance costs and commissions of approximately $689 . We did not incur any termination penalties as a result of this termination. On March 4, 2020, we terminated the 2019 Series B Preferred Stock Dividend Reinvestment and Stock Purchase Plan (the “2019 Plan”) relating to the offer and sale of up to 2,500 shares of our Series B Preferred Stock pursuant to the terms of the 2019 Plan (the “DRIP Offering”) dated June 24, 2019. The 2019 Plan permitted (i) current holders of our Series B Preferred Stock to reinvest all or a portion of the cash dividends on their shares of Series B Preferred Stock into shares of Series B Preferred Stock and to separately purchase additional shares of Series B Preferred Stock and (ii) other interested investors to purchase shares of Series B Preferred Stock. At the date of termination, we issued sixteen shares under the DRIP Offering. Series C Cumulative Redeemable Preferred Stock "Series C Preferred Stock" On January 23, 2020, the Company and ACM, entered into an Underwriting Agreement (the “Underwriting Agreement”) with B. Riley FBR, Inc., as representative of the several underwriters named therein (collectively, the “Underwriters”), including, but not limited to, BUCKLER, with respect to (i) the sale by the Company of 3,000 shares (the “Firm Shares”) of the Company’s new 7.00% Series C Preferred Stock ( $25.00 liquidation preference per share), $0.001 par value, to the Underwriters with an offering price to the public of $25.00 per share, and (ii) the grant by the Company to the Underwriters of an option to purchase all or part of 450 additional shares of the Series C Preferred Stock during the 30-day period following the execution of the Underwriting Agreement with the same offering price per share to the public to cover over-allotments. On January 24, 2020, the Underwriters exercised the option to purchase all 450 additional shares of the Series C Preferred Stock. On January 28, 2020, the Company completed the sale of 3,450 total shares for proceeds of $83,322 , net of issuance costs and commissions of $2,928 . On January 29, 2020, the Company entered into an Equity Sales Agreement with B. Riley FBR, Inc. and BUCKLER, as sales agents (individually and collectively, the “Agents’), and ACM, pursuant to which the Company may offer and sell, over a period of time and from time to time, through one of more of the Agents, as the Company’s agents, up to 6,550 of Series C Preferred Stock. The Equity Sales Agreement relates to a proposed “at-the-market” offering. The Company used the net proceeds from the offering as a portion of the funds to redeem 100% of the outstanding Series B Preferred Stock as described above. During the three months ended March 31, 2020 , we sold 1,853 shares under this agreement for proceeds of $45,899 , net of issuance costs and commissions of approximately $630 . Common Stock At March 31, 2020 and December 31, 2019 , 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 58,881 shares of common stock issued and outstanding at March 31, 2020 and 58,877 shares of common stock issued and outstanding at December 31, 2019 . On February 15, 2019, we entered into an Equity Sales Agreement (the “Common stock ATM Sales Agreement”) with BUCKLER, JMP Securities LLC and Ladenburg Thalmann & Co. Inc., as sales agents, relating to the shares of our common stock. On April 3, 2020, the Common stock ATM Sales Agreement was amended to add B. Riley, FBR, Inc. as a sales agent. 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 7,000 shares of our common stock par value $0.001 per share. The Common stock ATM Sales Agreement relates to an "at-the-market" offering program. Under the agreement, we will pay the agent designated to sell our shares, an aggregate commission of up to 2.0% of the gross sales price per share of our common stock sold through the designated agent, under the agreement. We did not sell any shares or pay any fees under this agreement during the three months ended March 31, 2020 . See Note 15 - Related Party Transactions for discussion of additional transactions with BUCKLER. Common Stock Repurchased At March 31, 2020 and December 31, 2019 , there were 8,210 and 8,250 authorized shares remaining under the current repurchase authorization. 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. Equity Capital Raising Activities The following tables present our equity transactions for the three months ended March 31, 2020 and for the year ended December 31, 2019 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds March 31, 2020 Preferred C Underwritten Offering January 28, 2020 3,450 $ 24.15 $ 83,322 Preferred C ATM Sales Agreement January 30, 2020-March 31, 2020 1,853 $ 24.76 $ 45,899 Common stock repurchases, net February 26, 2020-March 3, 2020 (40 ) $ 19.42 $ (777 ) December 31, 2019 Preferred B ATM Sales Agreement June 6, 2019-June 19, 2019 100 $ 24.81 $ 2,489 Preferred B ATM Sales Agreement June 25, 2019-December 31, 2019 1,914 $ 24.74 $ 47,306 Common Stock ATM Sales Agreement January 4, 2019-January 11, 2019 884 $ 20.98 $ 18,540 January Public Offering January 17, 2019 6,900 $ 20.00 $ 137,946 February Public Offering February 22, 2019-February 27, 2019 8,280 $ 19.98 $ 165,374 Common stock repurchases May 31, 2019-December 31, 2019 (1,000 ) $ 17.77 $ (17,768 ) (1) Weighted average price Dividends The following table presents our Series B Preferred Stock dividend transactions prior to full redemption. The table below does not include the final dividend amount of $1,375 that was paid on February 27, 2020 to holders of record on February 15, 2020. This amount is recorded in other expense in our consolidated statements of operations. Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2020 January 27, 2020 $ 0.16 $ 1,375 The following table presents our Series C Preferred Stock dividend transactions for the three months ended March 31, 2020 . Record Date Payment Date Rate per Series C Preferred Share Aggregate amount paid to holders of record February 15, 2020 February 27, 2020 $ 0.15 $ 678 March 15, 2020 March 27, 2020 $ 0.15 774 Total dividends paid $ 1,452 The following table presents our common stock dividend transactions for the three months ended March 31, 2020 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2020 January 30, 2020 $ 0.17 $ 10,126 February 14, 2020 February 27, 2020 $ 0.17 10,131 March 16, 2020 March 27, 2020 $ 0.17 10,120 Total dividends paid $ 30,377 |
Net Loss per Common Share
Net Loss per Common Share | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
Net Loss per Common Share | Note 12 - Net Loss per Common Share The following table presents a reconciliation of net loss and the shares used in calculating weighted average basic and diluted earnings per common share for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 2019 Net Loss $ (406,659 ) $ (114,381 ) Less: Preferred dividends (2,827 ) (4,259 ) Net Loss related to common stockholders $ (409,486 ) $ (118,640 ) Weighted average common shares outstanding – basic 58,884 53,630 Add: Effect of dilutive non-vested awards, assumed vested — — Weighted average common shares outstanding – diluted 58,884 53,630 Note 13 - Comprehensive Income (Loss) per Common Share The following table presents a reconciliation of comprehensive net income (loss) and the shares used in calculating weighted average basic and diluted comprehensive income (loss) per common share for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 2019 Comprehensive Income (Loss) $ (537,115 ) $ 72,777 Less: Preferred dividends (2,827 ) (4,259 ) Comprehensive Income (Loss) available (related) to common stockholders $ (539,942 ) $ 68,518 Net Comprehensive Income (Loss) per share available (related) to common stockholders: Basic $ (9.17 ) $ 1.28 Diluted $ (9.17 ) $ 1.27 Weighted average common shares outstanding: Basic 58,884 53,630 Add: Effect of dilutive non-vested awards, assumed vested — 333 Diluted 58,884 53,963 |
Comprehensive Income (Loss) per
Comprehensive Income (Loss) per Common Share | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
Comprehensive Income (Loss) per Common Share | Note 12 - Net Loss per Common Share The following table presents a reconciliation of net loss and the shares used in calculating weighted average basic and diluted earnings per common share for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 2019 Net Loss $ (406,659 ) $ (114,381 ) Less: Preferred dividends (2,827 ) (4,259 ) Net Loss related to common stockholders $ (409,486 ) $ (118,640 ) Weighted average common shares outstanding – basic 58,884 53,630 Add: Effect of dilutive non-vested awards, assumed vested — — Weighted average common shares outstanding – diluted 58,884 53,630 Note 13 - Comprehensive Income (Loss) per Common Share The following table presents a reconciliation of comprehensive net income (loss) and the shares used in calculating weighted average basic and diluted comprehensive income (loss) per common share for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 2019 Comprehensive Income (Loss) $ (537,115 ) $ 72,777 Less: Preferred dividends (2,827 ) (4,259 ) Comprehensive Income (Loss) available (related) to common stockholders $ (539,942 ) $ 68,518 Net Comprehensive Income (Loss) per share available (related) to common stockholders: Basic $ (9.17 ) $ 1.28 Diluted $ (9.17 ) $ 1.27 Weighted average common shares outstanding: Basic 58,884 53,630 Add: Effect of dilutive non-vested awards, assumed vested — 333 Diluted 58,884 53,963 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 14 - Income Taxes The following table reconciles our GAAP net loss to estimated REIT taxable income for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 2019 GAAP net loss $ (406,659 ) $ (114,381 ) Book to tax differences: TRS (income) loss 63 (231 ) Credit Risk and Non-Agency Securities 182,247 (1,272 ) Interest-Only Securities — 548 U.S. Treasury Securities (21,771 ) 693 Changes in interest rate contracts 363,265 143,835 Credit loss expense 1,012 — (Gain) loss on Security Sales (93,325 ) 2,910 Amortization of deferred hedging costs (19,874 ) (13,647 ) Series B Cumulative Preferred Stock dividend - Called for redemption 1,375 — Other 4 4 Estimated REIT taxable income $ 6,337 $ 18,459 Interest rate contracts are treated as hedging transactions for U. S. federal income 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 through 2015 $ (5,182 ) 2020 2016 $ (31,204 ) 2021 2017 $ (7,375 ) 2022 2018 $ (216,634 ) 2023 The aggregate tax basis of our assets and liabilities was greater than our total Stockholders’ Equity at March 31, 2020 by approximately $661,300 , or approximately $11.23 per common share (based on the 58,881 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 $34,579 (including the final dividend on the Series B Preferred Stock, called for redemption of $1,375 paid on February 27, 2020 to holders of record on February 15, 2020) and $34,073 for the three months ended March 31, 2020 and March 31, 2019 , respectively. Our estimated REIT taxable income available for distribution as dividends was $6,337 and $18,459 for the three months ended March 31, 2020 and March 31, 2019 , 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, 2020 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Note 15 - Related Party Transactions ACM Management: 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 term 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 automatically renew 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 the ARMOUR management agreement, we incurred $7,444 and $7,244 in management fees for the three months ended March 31, 2020 and March 31, 2019 , respectively. Commencing with the second quarter of 2020 and continuing until further notice, ACM is waiving 40% of its management fee. 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, 2020 and March 31, 2019 , we reimbursed ACM $117 and $27 for other expenses incurred on our behalf. In 2013, 2017 and January 2020, we elected to grant restricted stock unit awards to our executive officers and other ACM employees through ACM that vest over 5 years . In November 2017 and January 2020, we elected to grant restricted stock unit awards to the Board. We recognized stock based compensation expense of $186 and $97 for the three months ended March 31, 2020 and March 31, 2019 , respectively. BUCKLER In March 2017, we contributed $352 for a 10% ownership interest in BUCKLER. The investment is 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 $465 at March 31, 2020 and $381 at December 31, 2019 , reflecting our total investment plus our share of BUCKLER’s operating results, in accordance with the terms of the operating agreement of BUCKLER that our independent directors negotiated. The primary purpose of our investment in BUCKLER is to facilitate our access to repurchase financing on potentially attractive terms (considering rate, term, size, haircut, relationship and funding commitment) compared to other suitable repurchase financing 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 fully below) if the independent directors reasonably determine that BUCKLER’s ability to provide attractive securities transactions for the Company is materially adversely affected. For the three months ended March 31, 2020 , we have earned $363 from BUCKLER as an allocated share of Financing Gross Profit for a reduction of interest on repurchase agreements charged to the Company. Financing Gross Profit is defined in the operating agreement, subject to a contractually required reduction in our share of the Financing Gross Profit of $306 per annum until the end of the first quarter of 2020. See Note 11 - Stockholders' Equity for discussion of equity transactions with BUCKLER. We previously entered into three subordinated loan agreements with BUCKLER, totaling $105.0 million . On March 18, 2019, these three subordinated loan agreements were consolidated into one loan of $105.0 million , maturing on April 1, 2022. Subsequent to March 31, 2020 , we agreed to extend the maturity of the loan to May 1, 2025. BUCKLER may at its option after obtaining regulatory approval repay all or a portion of the principal amount of the loan. The loan has a stated interest rate of zero , plus additional interest payable to the Company in an amount equal to the amount of interest earned by BUCKLER on the investment of the loan proceeds, generally in government securities funds. For the three months ended March 31, 2020 and March 31, 2019 , the Company earned $258 and $539 respectively, of interest. The table below summarizes other transactions with BUCKLER at March 31, 2020 and December 31, 2019 . Transactions with BUCKLER March 31, 2020 December 31, 2019 Repurchase agreements (1) $ 1,947,604 $ 5,107,101 Interest on repurchase agreements $ 31,216 $ 120,090 Collateral posted on repurchase agreements $ 2,097,560 $ 5,341,487 (1) See also Note 7 , Repurchase Agreements |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 16 - Subsequent Events Coronavirus ("COVID-19") pandemic The novel COVID-19 pandemic has been unprecedented and continues to have a real-time impact on all business sectors. The extent of the ultimate impact of the COVID-19 pandemic on the Company's operational and financial performance will depend on various developments, including the duration of the outbreak and the spread of the virus and the federal government's and states' responses to the virus, which cannot be reasonably predicted at this time. While the Company is not able to estimate the future impact of the COVID-19 pandemic at this time, it could continue to materially affect the Company’s future financial and operational results. Portfolio Purchases and Sales Subsequent to March 31, 2020, we purchased Agency Securities and reduced our Credit Risk Transfer securities. Accordingly, as of April 30, 2020, our securities portfolio was valued at approximately $5,600,000 consisting primarily of approximately $5,300,000 of Agency Securities (including approximately $1,300,000 of TBA Agency Securities). Common Stock On April 2, 2020, we announced that we will move to a quarterly dividend on our common stock for the second quarter of 2020. We expect to announce our decision regarding the amount of second quarter dividends on common stock in the latter part of June 2020 as well as whether we will return to our prior monthly dividend policy. Between April 7, 2020 and April 24, 2020, we issued 5,704 shares under our Common stock ATM Sales Agreement for proceeds of $48,393 , net of issuance costs and commissions of approximately $738 . Series C Preferred Stock A cash dividend of $0.15 per outstanding share of Series C Preferred Stock, or $773 in the aggregate, was paid on April 27, 2020 to holders of record on April 15, 2020. We have also declared cash dividends of $0.15 per outstanding share of Series C Preferred Stock payable May 27, 2020 to holders of record on May 15, 2020. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2020 | |
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"). |
Investments in Securities, at Fair Value | Investments in Securities, at Fair Value Our investments in securities are generally classified as either available for sale or trading 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. Available for Sale Securities represent investments that we intend to hold for extended periods of time and 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 are reported at their estimated fair values with gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. |
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 and interest on unsettled sales of securities. Accrued interest payable includes interest on unsettled purchases of securities, interest on 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 the majority 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 short-term 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, which accrues over the life of the repurchase agreement. 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, 2020 and December 31, 2019 . |
Derivatives, at Fair Value | Derivatives, at Fair Value We recognize all derivatives individually 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). 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. |
Impairment of Assets | Impairment of Assets We assess impairment of available for sale securities at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment if we (1) intend to sell the available for sale securities, or (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) and a credit impairment exists where fair value is greater than amortized cost. Impairment losses recognized establish a new cost basis for the related available for sale securities. |
Revenue Recognition | Revenue Recognition Available for Sale 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. Purchase and sale transactions (including TBA Agency Securities) 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 reclassified into income from other comprehensive income and are determined using the specific identification method. Trading 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. Impairment losses establish a new cost basis in the security for purposes of calculating effective yields, 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. 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) 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 ("ASU") 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. Accounting Standard Description ASU 2018–07, Improvements to Non-employee Share –Based Payment Accounting (Topic 718) The standard is effective for fiscal years beginning after December 15, 2018, including interim periods within that fiscal year. The standard largely aligns the accounting for share-based payment awards issued to employees and non-employees. Equity-classified share-based payment awards issued to non-employees are measured on the grant date, instead of being remeasured through the performance completion date (generally the vesting date). The standard was applied on a modified retrospective basis through a cumulative effect adjustment to retained earnings as of the beginning of the fiscal year when adopted. The cumulative effective adjustment was recorded in our consolidated statement of stockholders' equity as of January 1, 2019, and did not have a material impact on the Company's financial condition or results of operations. 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 applies 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 was effective for fiscal years beginning after December 15, 2019. The adoption of the standard on January 1, 2020 did not have a significant impact on the Company, since at that time we did not intend to sell our investments in available for sale Agency Securities. The Company determined that it was not more likely than not that we would be required to sell the investments before recovery of their amortized cost bases as the contractual cash flows of these federal agency mortgage backed securities are guaranteed by an agency of the U.S. government and we expected that all securities would not be settled at a price less than their amortized cost. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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, 2020 and December 31, 2019 . March 31, 2020 (Level 1) (Level 2) (Level 3) Balance Assets at Fair Value: Agency Securities $ — $ 2,786,962 $ — $ 2,786,962 Credit Risk and Non-Agency Securities $ — $ 765,553 $ — $ 765,553 Derivatives $ — $ 24,099 $ — $ 24,099 Liabilities at Fair Value: Derivatives $ — $ 200,275 $ — $ 200,275 December 31, 2019 (Level 1) (Level 2) (Level 3) Balance Assets at Fair Value: Agency Securities $ — $ 11,941,766 $ — $ 11,941,766 Credit Risk and Non-Agency Securities $ — $ 883,601 $ — $ 883,601 Derivatives $ — $ 24,751 $ — $ 24,751 Liabilities at Fair Value: Derivatives $ — $ 71,974 $ — $ 71,974 |
Investments In Securities (Tabl
Investments In Securities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment in Securities | The following table summarizes our investments in securities as of March 31, 2020 and December 31, 2019 , excluding TBA Agency Securities (see Note 8 - Derivatives for additional information). Available for Sale Securities Trading Securities Agency Credit Risk and Non-Agency Interest-Only U.S. Treasuries Totals March 31, 2020 Beginning balance $ 11,941,766 $ 883,601 $ — $ — $ 12,825,367 Purchases (1) 1,768,689 237,928 — 3,763,561 5,770,178 Proceeds from sales (9,777,373 ) (72,437 ) — (3,785,248 ) (13,635,058 ) Receivable for unsettled sales (618,081 ) (70,102 ) — — (688,183 ) Principal repayments (475,766 ) (31,404 ) — — (507,170 ) Gains (losses) (37,131 ) (183,111 ) — 21,771 (198,471 ) Credit loss expense (1,012 ) — — — (1,012 ) Amortization/accretion (14,130 ) 1,078 — (84 ) (13,136 ) Ending balance $ 2,786,962 $ 765,553 $ — $ — $ 3,552,515 Percentage of Portfolio 78.45 % 21.55 % — % — % 100.00 % December 31, 2019 Beginning balance $ 7,051,954 $ 819,915 $ 20,623 $ 98,646 $ 7,991,138 Purchases (1) 9,130,512 138,767 — 1,685,058 $ 10,954,337 Sales (2,894,339 ) — (18,822 ) (1,786,090 ) $ (4,699,251 ) Principal Repayments (1,701,406 ) (53,641 ) — — $ (1,755,047 ) Gains (losses) 408,954 (24,396 ) 123 2,024 $ 386,705 Amortization/accretion (53,909 ) 2,956 (1,924 ) 362 $ (52,515 ) Ending balance $ 11,941,766 $ 883,601 $ — $ — $ 12,825,367 Percentage of Portfolio 93.11 % 6.89 % — % — % 100.00 % (1) Purchases include cash paid during the period, plus payable for investment securities purchased during the period as of period end. At March 31, 2020 and December 31, 2019 , we had investment related payables with respect to unsettled purchases of Agency Securities of $470,441 and $358,712 , respectively. |
Available-for-sale Securities in an Unrealized Gain or Loss Position | The table below presents the components of the carrying value and the unrealized gain or loss position of our Agency Securities at March 31, 2020 and December 31, 2019 . Our Agency Securities had a weighted average coupon of 3.98% and 3.76% at March 31, 2020 and December 31, 2019 . Principal Amount Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value March 31, 2020 Total Fannie Mae $ 1,930,475 $ 1,981,977 $ — $ 202,987 $ 2,184,964 Total Freddie Mac 536,387 558,004 — 22,023 580,027 Total Ginnie Mae 21,418 21,964 — 7 21,971 Total $ 2,488,280 $ 2,561,945 $ — $ 225,017 $ 2,786,962 December 31, 2019 Total Fannie Mae $ 8,779,331 $ 8,975,140 $ (291 ) $ 294,937 $ 9,269,786 Total Freddie Mac 2,522,870 2,587,512 (40 ) 61,323 2,648,795 Total Ginnie Mae 22,504 23,641 (461 ) 5 23,185 Total $ 11,324,705 $ 11,586,293 $ (792 ) $ 356,265 $ 11,941,766 |
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, 2020 and December 31, 2019 . All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+. Unrealized Loss Position For: < 12 Months ≥ 12 Months Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2020 $ — $ — $ — $ — $ — $ — December 31, 2019 $ 2,136 $ (10 ) $ 43,939 $ (782 ) $ 46,075 $ (792 ) |
Investments Classified by Contractual Maturity Date | The following table summarizes the weighted average lives of our Agency Securities at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 Weighted Average Life of all Agency Securities Fair Value Amortized Fair Value Amortized < 1 year $ 55 $ 55 $ — $ — ≥ 1 year and < 3 years 44,473 43,320 22,237 22,254 ≥ 3 years and < 5 years 1,194,131 1,148,197 6,542,389 6,365,623 ≥ 5 years 1,548,303 1,370,373 5,377,140 5,198,416 Total Agency Securities $ 2,786,962 $ 2,561,945 $ 11,941,766 $ 11,586,293 The following table summarizes the weighted average lives of our Trading Securities at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 Estimated Weighted Average Life of Trading Securities Fair Value Amortized Cost Fair Value Amortized Cost < 1 year $ — $ — $ — $ — ≥ 1 year and < 3 years 556,011 609,386 389,883 369,600 ≥ 3 years and < 5 years 25,410 26,162 407,656 375,030 ≥ 5 years 184,132 242,697 86,062 80,214 Total $ 765,553 $ 878,245 $ 883,601 $ 824,844 |
Debt Securities, Trading, and Equity Securities, FV-NI | The components of the carrying value of our Trading Securities at March 31, 2020 and December 31, 2019 are presented in the table below. We did not have any U.S. Treasury Securities or Interest-Only Securities at March 31, 2020 and December 31, 2019 . Principal Amount Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value March 31, 2020 Credit Risk Transfer $ 821,060 $ 808,091 $ (112,182 ) $ 132 $ 696,041 Non-Agency Securities 90,721 70,154 (1,675 ) 1,033 69,512 Total Credit Risk and Non-Agency Securities $ 911,781 $ 878,245 $ (113,857 ) $ 1,165 $ 765,553 December 31, 2019 Credit Risk Transfer $ 754,729 $ 751,940 $ — $ 52,024 $ 803,964 Non-Agency Securities 93,723 72,904 (3 ) 6,736 79,637 Total Credit Risk and Non-Agency Securities $ 848,452 $ 824,844 $ (3 ) $ 58,760 $ 883,601 |
Trading Securities, Continuous Unrealized Loss Position, Fair Value | The following table presents the unrealized losses and estimated fair value of our Trading Securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2020 and December 31, 2019 . Our Credit Risk and Non-Agency Securities are subject to risk of loss with regard to principal and interest payments. We evaluate each investment based on the characteristics of the underlying collateral and securitization structure, rather than relying on the ratings assigned by rating agencies. Unrealized Loss Position For: < 12 Months ≥ 12 Months Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses March 31, 2020 Credit Risk and Non-Agency Securities $ 725,547 $ (113,857 ) $ — $ — $ 725,547 $ (113,857 ) December 31, 2019 Credit Risk and Non-Agency Securities $ 362 $ (3 ) $ — $ — $ 362 $ (3 ) |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements | The following table represents the contractual repricing regarding our repurchase agreements to finance MBS purchases at March 31, 2020 and December 31, 2019 . No amounts below are subject to offsetting. Balance Weighted Average Contractual Rate Weighted Average Maturity in days Haircut (1) March 31, 2020 Agency Securities ≤ 30 days $ 1,926,564 1.35 % 14 3.10 % > 30 days to ≤ 60 days 776,742 1.76 % 49 3.12 % Total or Weighted Average $ 2,703,306 1.47 % 24 3.10 % Credit Risk and Non-Agency Securities ≤ 30 days 762,166 2.02 % 12 22.17 % Total or Weighted Average $ 3,465,472 1.59 % 21 7.34 % December 31, 2019 Agency Securities ≤ 30 days $ 10,241,137 2.56 % 8 4.35 % > 30 days to ≤ 60 days 426,147 1.99 % 34 4.61 % Total or Weighted Average $ 10,667,284 2.54 % 9 4.36 % Credit Risk and Non-Agency Securities ≤ 30 days 687,263 2.45 % 15 16.25 % Total or Weighted Average $ 11,354,547 2.54 % 9 5.16 % (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, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Offsetting Assets | The following tables present information about the potential effects of netting our derivatives if we were to offset the assets and liabilities on the accompanying consolidated balance sheets. We currently present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying consolidated balance sheets at March 31, 2020 and December 31, 2019 . Gross Amounts Not Offset Assets Gross Amounts (1) Financial Instruments Cash Collateral Total Net March 31, 2020 Interest rate swap contracts $ 395 $ (395 ) $ — $ — TBA Agency Securities 23,704 (1,660 ) (20,195 ) 1,849 Totals $ 24,099 $ (2,055 ) $ (20,195 ) $ 1,849 December 31, 2019 Interest rate swap contracts $ 23,659 $ (70,290 ) $ 83,066 $ 36,435 TBA Agency Securities 1,092 (1,092 ) — — Totals $ 24,751 $ (71,382 ) $ 83,066 $ 36,435 (1) See Note 5 - Fair Value of Financial Instruments for additional discussion. |
Offsetting Liabilities | Gross Amounts Not Offset Liabilities Gross Amounts (1) Financial Instruments Cash Collateral Total Net March 31, 2020 Interest rate swap contracts $ (198,615 ) $ 395 $ 195,315 $ (2,905 ) TBA Agency Securities (1,660 ) 1,660 — — Totals $ (200,275 ) $ 2,055 $ 195,315 $ (2,905 ) December 31, 2019 Interest rate swap contracts $ (70,290 ) $ 70,290 $ — $ — TBA Agency Securities (1,684 ) 1,092 377 $ (215 ) Totals $ (71,974 ) $ 71,382 $ 377 $ (215 ) (1) See Note 5 - Fair Value of Financial Instruments for additional discussion. |
Derivative Instruments, Gain (Loss) | The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying consolidated statements of operations for the three months ended March 31, 2020 and March 31, 2019 . Income (Loss) Recognized For the Three Months Ended March 31, Derivatives Location on consolidated statements of operations 2020 2019 Interest rate swap contracts: Realized loss Realized loss on derivatives $ (261,384 ) $ (39,544 ) Interest income Realized loss on derivatives 26,462 53,745 Interest expense Realized loss on derivatives (32,233 ) (45,109 ) Changes in fair value Unrealized loss on derivatives (151,386 ) (109,343 ) $ (418,541 ) (140,251 ) TBA Agency Securities: Realized gain Realized loss on derivatives 32,007 8,777 Changes in fair value Unrealized loss on derivatives 17,499 (3,724 ) $ 49,506 5,053 Totals $ (369,035 ) (135,198 ) |
Schedule of Derivative Instruments | The following tables present information about our derivatives at March 31, 2020 and December 31, 2019 . Interest Rate Swaps (1) Notional Amount Weighted Average Remaining Term (Months) Weighted Average Rate March 31, 2020 < 3 years $ 2,200,000 14 1.89 % ≥ 3 years and < 5 years 375,000 53 1.64 % ≥ 5 years and < 7 years 850,000 80 1.74 % < 7 years 575,000 116 1.31 % Total or Weighted Average (2) $ 4,000,000 46 1.75 % December 31, 2019 < 3 years $ 2,750,000 19 1.66 % ≥ 3 years and < 5 years 2,850,000 47 1.84 % ≥ 5 years and < 7 years 1,200,000 83 1.86 % < 7 years 1,175,000 118 1.54 % Total or Weighted Average (3) $ 7,975,000 53 1.74 % (1) Pay Fixed/Receive Variable. (2) Of this amount, $525,000 notional are LIBOR based swaps, the last of which matures in 2023 and $3,475,000 notional are Fed Funds based swaps, the last of which matures in 2030 . (3) Of this amount, 1,025,000 notional are LIBOR based swaps, the last of which matures in 2023 ; 375,000 notional are SOFR based swaps, the last of which matures in 2024 ; and 6,575,000 notional are Fed Funds based swaps, the last of which matures in 2029 . TBA Agency Securities Notional Amount Cost Basis Fair Value March 31, 2020 15 Year Long 2.0% 500,000 508,062 513,310 30 Year Long 2.5% 500,000 509,008 517,072 3.0% 250,000 257,481 262,080 Total (1) $ 1,250,000 $ 1,274,551 $ 1,292,462 December 31, 2019 15 Year Long 3.0% 500,000 511,055 511,885 30 Year Long 2.5% 500,000 494,813 494,395 Total (1) $ 1,000,000 $ 1,005,868 $ 1,006,280 (1) $750,000 notional are forward settling at March 31, 2020 and $1,000,000 notional were forward settling at December 31, 2019 . |
Stock Based Compensation (Table
Stock Based Compensation (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Share-based Payment Arrangement [Abstract] | |
Schedule of Nonvested Restricted Stock Units Activity | Transactions related to awards for the three months ended March 31, 2020 are summarized below: March 31, 2020 Number of Awards Weighted Average Grant Date Fair Value per Award Unvested RSU Awards Outstanding beginning of period 247 $ 24.82 Granted (1) 454 $ 18.90 Vested (51 ) $ 21.13 Unvested RSU Awards Outstanding end of period 650 $ 20.97 (1) In January 2020, we granted 310 RSUs to ACM and 144 RSUs to the Board. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Equity [Abstract] | |
Schedule of Stockholders Equity | The following table presents the changes in Stockholders' Equity for the following interim periods. Stockholders' Equity March 31, 2020 March 31, 2019 Balance, beginning of quarter $ 1,436,707 $ 1,125,313 Series B Preferred dividends ($0.1640625 per share) (1,375 ) (1,124 ) Series C Preferred dividends ($ 0.14583 per share) (1,452 ) (3,135 ) Common stock dividends (1) (30,377 ) (29,814 ) Series B Preferred Stock, called for redemption (209,583 ) — Issuance of Series C Preferred Stock 129,221 — Issuance of Common stock, net — 321,992 Stock based compensation, net of withholding requirements 1,001 644 Common Stock repurchased, net (777 ) — Net loss (406,659 ) (114,381 ) Other comprehensive income (loss) (130,456 ) 187,158 Balance, end of quarter $ 786,250 $ 1,486,653 (1) See the below table for common stock dividends per share for the three months ended March 31, 2020 . Common stock dividends were $0.19 per share for each month for the three months ended March 31, 2019 . |
Dividends Transactions | The following table presents our Series B Preferred Stock dividend transactions prior to full redemption. The table below does not include the final dividend amount of $1,375 that was paid on February 27, 2020 to holders of record on February 15, 2020. This amount is recorded in other expense in our consolidated statements of operations. Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2020 January 27, 2020 $ 0.16 $ 1,375 The following table presents our Series C Preferred Stock dividend transactions for the three months ended March 31, 2020 . Record Date Payment Date Rate per Series C Preferred Share Aggregate amount paid to holders of record February 15, 2020 February 27, 2020 $ 0.15 $ 678 March 15, 2020 March 27, 2020 $ 0.15 774 Total dividends paid $ 1,452 The following table presents our common stock dividend transactions for the three months ended March 31, 2020 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2020 January 30, 2020 $ 0.17 $ 10,126 February 14, 2020 February 27, 2020 $ 0.17 10,131 March 16, 2020 March 27, 2020 $ 0.17 10,120 Total dividends paid $ 30,377 |
Schedule of Stock by Class | The following tables present our equity transactions for the three months ended March 31, 2020 and for the year ended December 31, 2019 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds March 31, 2020 Preferred C Underwritten Offering January 28, 2020 3,450 $ 24.15 $ 83,322 Preferred C ATM Sales Agreement January 30, 2020-March 31, 2020 1,853 $ 24.76 $ 45,899 Common stock repurchases, net February 26, 2020-March 3, 2020 (40 ) $ 19.42 $ (777 ) December 31, 2019 Preferred B ATM Sales Agreement June 6, 2019-June 19, 2019 100 $ 24.81 $ 2,489 Preferred B ATM Sales Agreement June 25, 2019-December 31, 2019 1,914 $ 24.74 $ 47,306 Common Stock ATM Sales Agreement January 4, 2019-January 11, 2019 884 $ 20.98 $ 18,540 January Public Offering January 17, 2019 6,900 $ 20.00 $ 137,946 February Public Offering February 22, 2019-February 27, 2019 8,280 $ 19.98 $ 165,374 Common stock repurchases May 31, 2019-December 31, 2019 (1,000 ) $ 17.77 $ (17,768 ) (1) Weighted average price |
Net Loss per Common Share (Tabl
Net Loss per Common Share (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
Schedule of Weighted Average Number of Shares | The following table presents a reconciliation of net loss and the shares used in calculating weighted average basic and diluted earnings per common share for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 2019 Net Loss $ (406,659 ) $ (114,381 ) Less: Preferred dividends (2,827 ) (4,259 ) Net Loss related to common stockholders $ (409,486 ) $ (118,640 ) Weighted average common shares outstanding – basic 58,884 53,630 Add: Effect of dilutive non-vested awards, assumed vested — — Weighted average common shares outstanding – diluted 58,884 53,630 |
Comprehensive Income (Loss) p_2
Comprehensive Income (Loss) per Common Share (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted | The following table presents a reconciliation of comprehensive net income (loss) and the shares used in calculating weighted average basic and diluted comprehensive income (loss) per common share for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 2019 Comprehensive Income (Loss) $ (537,115 ) $ 72,777 Less: Preferred dividends (2,827 ) (4,259 ) Comprehensive Income (Loss) available (related) to common stockholders $ (539,942 ) $ 68,518 Net Comprehensive Income (Loss) per share available (related) to common stockholders: Basic $ (9.17 ) $ 1.28 Diluted $ (9.17 ) $ 1.27 Weighted average common shares outstanding: Basic 58,884 53,630 Add: Effect of dilutive non-vested awards, assumed vested — 333 Diluted 58,884 53,963 |
Income Taxes (Tables)
Income Taxes (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Schedule of Effective Income Tax Rate Reconciliation | The following table reconciles our GAAP net loss to estimated REIT taxable income for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 2019 GAAP net loss $ (406,659 ) $ (114,381 ) Book to tax differences: TRS (income) loss 63 (231 ) Credit Risk and Non-Agency Securities 182,247 (1,272 ) Interest-Only Securities — 548 U.S. Treasury Securities (21,771 ) 693 Changes in interest rate contracts 363,265 143,835 Credit loss expense 1,012 — (Gain) loss on Security Sales (93,325 ) 2,910 Amortization of deferred hedging costs (19,874 ) (13,647 ) Series B Cumulative Preferred Stock dividend - Called for redemption 1,375 — Other 4 4 Estimated REIT taxable income $ 6,337 $ 18,459 |
Summary of Tax Credit Carryforwards | Net capital losses realized Amount Available to offset capital gains through 2015 $ (5,182 ) 2020 2016 $ (31,204 ) 2021 2017 $ (7,375 ) 2022 2018 $ (216,634 ) 2023 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The table below summarizes other transactions with BUCKLER at March 31, 2020 and December 31, 2019 . Transactions with BUCKLER March 31, 2020 December 31, 2019 Repurchase agreements (1) $ 1,947,604 $ 5,107,101 Interest on repurchase agreements $ 31,216 $ 120,090 Collateral posted on repurchase agreements $ 2,097,560 $ 5,341,487 (1) See also Note 7 , Repurchase Agreements for transactions with BUCKLER. |
Organization and Nature of Bu_2
Organization and Nature of Business Operations (Details) | Mar. 31, 2017 |
BUCKLER Securities, LLC | Corporate Joint Venture | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Percentage of voting interests acquired | 10.00% |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Additional Information (Details) | 3 Months Ended |
Mar. 31, 2020dealer | |
Fair Value Disclosures [Abstract] | |
Number of dealers received quotes from, trading | 3 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Assets at Fair Value: | |||
Agency Securities | $ 2,786,962 | $ 11,941,766 | |
Securities, trading | 765,553 | 883,601 | |
Derivatives | 24,099 | 24,751 | |
Liabilities at Fair Value: | |||
Derivatives | 200,275 | 71,974 | |
Credit Risk and Non-Agency Securities | |||
Assets at Fair Value: | |||
Securities, trading | 765,553 | 883,601 | $ 819,915 |
Fair Value, Measurements, Recurring | |||
Assets at Fair Value: | |||
Agency Securities | 2,786,962 | 11,941,766 | |
Derivatives | 24,099 | 24,751 | |
Liabilities at Fair Value: | |||
Derivatives | 200,275 | 71,974 | |
Fair Value, Measurements, Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | |||
Assets at Fair Value: | |||
Agency Securities | 0 | 0 | |
Derivatives | 0 | 0 | |
Liabilities at Fair Value: | |||
Derivatives | 0 | 0 | |
Fair Value, Measurements, Recurring | Significant Observable Inputs (Level 2) | |||
Assets at Fair Value: | |||
Agency Securities | 2,786,962 | 11,941,766 | |
Derivatives | 24,099 | 24,751 | |
Liabilities at Fair Value: | |||
Derivatives | 200,275 | 71,974 | |
Fair Value, Measurements, Recurring | Significant Unobservable Inputs (Level 3) | |||
Assets at Fair Value: | |||
Agency Securities | 0 | 0 | |
Derivatives | 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 | 765,553 | 883,601 | |
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 | 765,553 | 883,601 | |
Fair Value, Measurements, Recurring | Credit Risk and Non-Agency Securities | Significant Unobservable Inputs (Level 3) | |||
Assets at Fair Value: | |||
Securities, trading | $ 0 | $ 0 |
Investments In Securities - Add
Investments In Securities - Additional Information (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Debt securities | $ 3,552,515,000 | $ 12,825,367,000 | $ 7,991,138,000 | |
Securities, trading | 765,553,000 | 883,601,000 | ||
Credit loss expense | 1,012,000 | $ 0 | ||
TBA Agency Securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Derivative assets (liabilities), net | 22,044,000 | (592,000) | ||
TBA Agency Securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Securities, trading | 1,292,462,000 | 1,006,280,000 | ||
Agency Securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
OTTI, Available-for-sale | $ 0 | $ 0 | ||
Weighted average coupon rate | 3.98% | 3.76% |
Investments In Securities - Sum
Investments In Securities - Summary of Investment in Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Available for Sale Securities | |||
Available-for-sale, beginning balance | $ 11,941,766 | ||
Purchases, Available-for-sale | 1,657,148 | $ 6,608,566 | |
Proceeds from sales, Available-for-sale | (9,777,373) | (1,017,396) | |
Principal repayments, Available-for-sale | (475,766) | (145,777) | |
Credit loss expense | (1,012) | ||
Amortization (accretion), Available-for-sale | (14,130) | (6,347) | |
Available-for-sale, ending balance | 2,786,962 | $ 11,941,766 | |
Trading Securities | |||
Trading, beginning balance | 883,601 | ||
Principal repayments, Trading | (31,404) | (6,335) | |
Trading, ending balance | 765,553 | 883,601 | |
Totals | |||
Total, beginning balance | 12,825,367 | 7,991,138 | 7,991,138 |
Purchases, Total | 5,770,178 | 10,954,337 | |
Proceeds from sales, Total | (13,635,058) | (4,699,251) | |
Receivable for unsettled sales, Total | (688,183) | ||
Principal repayments, Total | (507,170) | (1,755,047) | |
Gains (losses), Total | (198,471) | 386,705 | |
Amortization (accretion), Total | (13,136) | (52,515) | |
Total, ending balance | $ 3,552,515 | $ 12,825,367 | |
Percentage of Portfolio | 100.00% | 100.00% | |
Agency Securities | |||
Available for Sale Securities | |||
Available-for-sale, beginning balance | $ 11,941,766 | 7,051,954 | $ 7,051,954 |
Purchases, Available-for-sale | 1,768,689 | 9,130,512 | |
Proceeds from sales, Available-for-sale | (9,777,373) | (2,894,339) | |
Receivable for unsettled sales, Available-for-sale | (618,081) | ||
Principal repayments, Available-for-sale | (475,766) | (1,701,406) | |
Gains (losses), Available-for-sale | (37,131) | 408,954 | |
Credit loss expense | (1,012) | ||
Amortization (accretion), Available-for-sale | (14,130) | (53,909) | |
Available-for-sale, ending balance | $ 2,786,962 | $ 11,941,766 | |
Totals | |||
Percentage of Portfolio | 78.45% | 93.11% | |
Investment-related payables | $ 470,441 | $ 358,712 | |
Credit Risk and Non-Agency Securities | |||
Trading Securities | |||
Trading, beginning balance | 883,601 | 819,915 | 819,915 |
Purchases, Trading | 237,928 | 0 | 138,767 |
Proceeds from sales, Trading | (72,437) | 0 | 0 |
Receivable for unsettled sales, Trading | (70,102) | ||
Principal repayments, Trading | (31,404) | (53,641) | |
Gains (losses), Trading | (183,111) | 496 | (24,396) |
Amortization (accretion), Trading | 1,078 | 932 | 2,956 |
Trading, ending balance | $ 765,553 | $ 883,601 | |
Totals | |||
Percentage of Portfolio | 21.55% | 6.89% | |
Interest-Only Securities | |||
Trading Securities | |||
Trading, beginning balance | $ 0 | 20,623 | $ 20,623 |
Purchases, Trading | 0 | 0 | |
Proceeds from sales, Trading | 0 | (18,822) | |
Receivable for unsettled sales, Trading | 0 | ||
Principal repayments, Trading | 0 | 0 | |
Gains (losses), Trading | 0 | (368) | 123 |
Amortization (accretion), Trading | 0 | (936) | (1,924) |
Trading, ending balance | $ 0 | $ 0 | |
Totals | |||
Percentage of Portfolio | 0.00% | 0.00% | |
US Treasury Securities | |||
Trading Securities | |||
Trading, beginning balance | $ 0 | 98,646 | $ 98,646 |
Purchases, Trading | 3,763,561 | 101,039 | 1,685,058 |
Proceeds from sales, Trading | (3,785,248) | (199,445) | (1,786,090) |
Receivable for unsettled sales, Trading | 0 | ||
Principal repayments, Trading | 0 | 0 | |
Gains (losses), Trading | 21,771 | (693) | 2,024 |
Amortization (accretion), Trading | (84) | $ 453 | 362 |
Trading, ending balance | $ 0 | $ 0 | |
Totals | |||
Percentage of Portfolio | 0.00% | 0.00% |
Investments In Securities - Unr
Investments In Securities - Unrealized Gain or Loss Position and Components of Carrying Value of Available for Sale Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal Amount | $ 2,488,280 | $ 11,324,705 |
Amortized Cost | 2,561,945 | 11,586,293 |
Gross Unrealized Loss | 0 | (792) |
Gross Unrealized Gain | 225,017 | 356,265 |
Fair Value | 2,786,962 | 11,941,766 |
Fannie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Amount | 1,930,475 | 8,779,331 |
Amortized Cost | 1,981,977 | 8,975,140 |
Gross Unrealized Loss | 0 | (291) |
Gross Unrealized Gain | 202,987 | 294,937 |
Fair Value | 2,184,964 | 9,269,786 |
Freddie Mac | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Amount | 536,387 | 2,522,870 |
Amortized Cost | 558,004 | 2,587,512 |
Gross Unrealized Loss | 0 | (40) |
Gross Unrealized Gain | 22,023 | 61,323 |
Fair Value | 580,027 | 2,648,795 |
Ginnie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Amount | 21,418 | 22,504 |
Amortized Cost | 21,964 | 23,641 |
Gross Unrealized Loss | 0 | (461) |
Gross Unrealized Gain | 7 | 5 |
Fair Value | $ 21,971 | $ 23,185 |
Investments In Securities - Gro
Investments In Securities - Gross Unrealized Losses and Estimated Fair Value of Available for Sale Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Fair Value | ||
Less than 12 months | $ 0 | $ 2,136 |
Greater than or equal to 12 months | 0 | 43,939 |
Total | 0 | 46,075 |
Unrealized Losses | ||
Less than 12 months | 0 | (10) |
Greater than or equal to 12 months | 0 | (782) |
Unrealized Losses | $ 0 | $ (792) |
Investments In Securities - S_2
Investments In Securities - Summary of Weighted Average Lives of Available for Sale Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Fair Value | ||
Less than 1 year | $ 55 | $ 0 |
Greater than or equal to 1 year and less than 3 years | 44,473 | 22,237 |
Greater than or equal to 3 years and less than 5 years | 1,194,131 | 6,542,389 |
Greater than or equal to 5 years | 1,548,303 | 5,377,140 |
Total Agency Securities | 2,786,962 | 11,941,766 |
Amortized Cost | ||
Less than 1 year | 55 | 0 |
Greater than or equal to 1 year and less than 3 years | 43,320 | 22,254 |
Greater than or equal to 3 years and less than 5 years | 1,148,197 | 6,365,623 |
Greater than or equal to 5 years | 1,370,373 | 5,198,416 |
Amortized Cost | $ 2,561,945 | $ 11,586,293 |
Investments In Securities - Car
Investments In Securities - Carrying Value of Trading Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Debt and Equity Securities, FV-NI [Line Items] | |||
Amortized Cost | $ 878,245 | $ 824,844 | |
Securities, trading | 765,553 | 883,601 | |
Credit Risk Transfer | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Principal Amount | 821,060 | 754,729 | |
Amortized Cost | 808,091 | 751,940 | |
Gross Unrealized Loss | (112,182) | 0 | |
Gross Unrealized Gain | 132 | 52,024 | |
Securities, trading | 696,041 | 803,964 | |
Non-Agency Securities | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Principal Amount | 90,721 | 93,723 | |
Amortized Cost | 70,154 | 72,904 | |
Gross Unrealized Loss | (1,675) | (3) | |
Gross Unrealized Gain | 1,033 | 6,736 | |
Securities, trading | 69,512 | 79,637 | |
Credit Risk and Non-Agency Securities | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Principal Amount | 911,781 | 848,452 | |
Amortized Cost | 878,245 | 824,844 | |
Gross Unrealized Loss | (113,857) | (3) | |
Gross Unrealized Gain | 1,165 | 58,760 | |
Securities, trading | $ 765,553 | $ 883,601 | $ 819,915 |
Investments In Securities - Tra
Investments In Securities - Trading Securities, Continuous Unrealized Loss Position (Details) - Credit Risk and Non-Agency Securities - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Fair Value | ||
Less than 12 months, fair value | $ 725,547 | $ 362 |
12 months or more, fair value | 0 | 0 |
Total, fair value | 725,547 | 362 |
Unrealized Losses | ||
Less than 12 months, unrealized loss | (113,857) | (3) |
12 months or more, unrealized loss | 0 | 0 |
Total, unrealized loss | $ (113,857) | $ (3) |
Investments In Securities - Wei
Investments In Securities - Weighted Average Lives of Trading Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Fair Value | ||
1 year | $ 0 | $ 0 |
≥ 1 year and 3 years | 556,011 | 389,883 |
≥ 3 years and 5 years | 25,410 | 407,656 |
≥ 5 years | 184,132 | 86,062 |
Securities, trading | 765,553 | 883,601 |
Amortized Cost | ||
1 year | 0 | 0 |
≥ 1 year and 3 years | 609,386 | 369,600 |
≥ 3 years and 5 years | 26,162 | 375,030 |
Greater than or equal to five years | 242,697 | 80,214 |
Amortized Cost | $ 878,245 | $ 824,844 |
Repurchase Agreements - Additio
Repurchase Agreements - Additional Information (Details) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020USD ($)counterparty | Dec. 31, 2019USD ($)counterparty | |
Concentration Risk [Line Items] | ||
Number of counterparties with MRAs | 49 | 49 |
Carrying amount | $ | $ 3,465,472 | $ 11,354,547 |
Number of counterparties with repurchase agreements outstanding | 18 | 25 |
Counterparty Concentration Risk | Aggregate Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 11.80% | |
Number of counterparties | 1 | 2 |
Counterparty Concentration Risk | Stockholders' Equity | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 5.62% | |
Counterparty Concentration Risk | Repurchase Agreement Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 12.70% | |
Counterparty Concentration Risk | BUCKLER Securities, LLC | Aggregate Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 56.20% | 45.00% |
Counterparty Concentration Risk | BUCKLER Securities, LLC | Stockholders' Equity | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 7.70% | 14.80% |
Weighted average maturity | 27 days | 7 days |
Minimum | Counterparty Concentration Risk | Aggregate Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 5.00% | 5.00% |
Maximum | ||
Concentration Risk [Line Items] | ||
Ratio of indebtedness to net capital | 12 | |
Maximum | Counterparty Concentration Risk | Aggregate Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 10.00% |
Repurchase Agreements - Repurch
Repurchase Agreements - Repurchase Agreements by Maturity Period (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 3,465,472 | $ 11,354,547 |
Agency Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 2,703,306 | $ 10,667,284 |
Weighted Average Contractual Rate | 1.47% | 2.54% |
Weighted Average Maturity in days | 24 days | 9 days |
Haircut | 3.10% | 4.36% |
Agency Securities | Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 1,926,564 | $ 10,241,137 |
Weighted Average Contractual Rate | 1.35% | 2.56% |
Weighted Average Maturity in days | 14 days | 8 days |
Haircut | 3.10% | 4.35% |
Agency Securities | 31 days to 60 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 776,742 | $ 426,147 |
Weighted Average Contractual Rate | 1.76% | 1.99% |
Weighted Average Maturity in days | 49 days | 34 days |
Haircut | 3.12% | 4.61% |
Credit Risk and Non-Agency Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 3,465,472 | $ 11,354,547 |
Weighted Average Contractual Rate | 1.59% | 2.54% |
Weighted Average Maturity in days | 21 days | 9 days |
Haircut | 7.34% | 5.16% |
Credit Risk and Non-Agency Securities | Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 762,166 | $ 687,263 |
Weighted Average Contractual Rate | 2.02% | 2.45% |
Weighted Average Maturity in days | 12 days | 15 days |
Haircut | 22.17% | 16.25% |
Derivatives - Offsetting Assets
Derivatives - Offsetting Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Offsetting Assets [Line Items] | ||
Gross Amounts | $ 24,099 | $ 24,751 |
Gross Amounts Not Offset, Financial Instruments | (2,055) | (71,382) |
Gross Amounts Not Offset, Cash Collateral | (20,195) | 83,066 |
Net Amount | 1,849 | 36,435 |
Interest rate swap contracts | ||
Offsetting Assets [Line Items] | ||
Gross Amounts | 395 | 23,659 |
Gross Amounts Not Offset, Financial Instruments | (395) | (70,290) |
Gross Amounts Not Offset, Cash Collateral | 0 | 83,066 |
Net Amount | 0 | 36,435 |
TBA Agency Securities | ||
Offsetting Assets [Line Items] | ||
Gross Amounts | 23,704 | 1,092 |
Gross Amounts Not Offset, Financial Instruments | (1,660) | (1,092) |
Gross Amounts Not Offset, Cash Collateral | (20,195) | 0 |
Net Amount | $ 1,849 | $ 0 |
Derivatives - Offsetting Liabil
Derivatives - Offsetting Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Offsetting Liabilities [Line Items] | ||
Gross Amounts | $ (200,275) | $ (71,974) |
Gross Amounts Not Offset, Financial Instruments | 2,055 | 71,382 |
Gross Amounts Not Offset, Cash Collateral | 195,315 | 377 |
Net Amount | (2,905) | (215) |
Interest rate swap contracts | ||
Offsetting Liabilities [Line Items] | ||
Gross Amounts | (198,615) | (70,290) |
Gross Amounts Not Offset, Financial Instruments | 395 | 70,290 |
Gross Amounts Not Offset, Cash Collateral | 195,315 | 0 |
Net Amount | (2,905) | 0 |
TBA Agency Securities | ||
Offsetting Liabilities [Line Items] | ||
Gross Amounts | (1,660) | (1,684) |
Gross Amounts Not Offset, Financial Instruments | 1,660 | 1,092 |
Gross Amounts Not Offset, Cash Collateral | 0 | 377 |
Net Amount | $ 0 | $ (215) |
Derivatives - Location and Info
Derivatives - Location and Information of Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Realized gain (loss) on derivatives | [1] | $ (235,148) | $ (22,131) |
Changes in fair value | (133,887) | (113,067) | |
Subtotal | (369,035) | (135,198) | |
Interest rate swap contracts | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Realized gain (loss) on derivatives | (261,384) | (39,544) | |
Interest income | 26,462 | 53,745 | |
Interest expense | (32,233) | (45,109) | |
Changes in fair value | (151,386) | (109,343) | |
Subtotal | (418,541) | (140,251) | |
TBA Agency Securities | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Realized gain (loss) on derivatives | 32,007 | 8,777 | |
Changes in fair value | 17,499 | (3,724) | |
Subtotal | $ 49,506 | $ 5,053 | |
[1] | Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the consolidated statements of operations. For additional information, see financial statement Note 8 . |
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, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | ||
Notional Amount | $ 4,000,000 | $ 7,975,000 |
Weighted Average Remaining Swap/Option Term (Months) | 46 months | 53 months |
Weighted Average Rate | 1.75% | 1.74% |
London Interbank Offered Rate (LIBOR) Swap Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 525,000 | $ 1,025,000 |
Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||
Derivative [Line Items] | ||
Notional Amount | 375,000 | |
Fed Funds Effective Rate Overnight Index Swap Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 3,475,000 | $ 6,575,000 |
Less than or equal to 3 years | ||
Derivative [Line Items] | ||
Derivative, remaining maturity | 3 years | 3 years |
Notional Amount | $ 2,200,000 | $ 2,750,000 |
Weighted Average Remaining Swap/Option Term (Months) | 14 months | 19 months |
Weighted Average Rate | 1.89% | 1.66% |
Greater than or equal to 3 years and less than 5 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 375,000 | $ 2,850,000 |
Weighted Average Remaining Swap/Option Term (Months) | 53 months | 47 months |
Weighted Average Rate | 1.64% | 1.84% |
Greater than or equal to 5 years and less than 7 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 850,000 | $ 1,200,000 |
Weighted Average Remaining Swap/Option Term (Months) | 80 months | 83 months |
Weighted Average Rate | 1.74% | 1.86% |
Less than 7 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 575,000 | $ 1,175,000 |
Weighted Average Remaining Swap/Option Term (Months) | 116 months | 118 months |
Weighted Average Rate | 1.31% | 1.54% |
Minimum | Greater than or equal to 3 years and less than 5 years | ||
Derivative [Line Items] | ||
Derivative, remaining maturity | 3 years | 3 years |
Minimum | Greater than or equal to 5 years and less than 7 years | ||
Derivative [Line Items] | ||
Derivative, remaining maturity | 5 years | 5 years |
Maximum | Greater than or equal to 3 years and less than 5 years | ||
Derivative [Line Items] | ||
Derivative, remaining maturity | 5 years | 5 years |
Maximum | Greater than or equal to 5 years and less than 7 years | ||
Derivative [Line Items] | ||
Derivative, remaining maturity | 7 years | 7 years |
Maximum | Less than 7 years | ||
Derivative [Line Items] | ||
Derivative, remaining maturity | 7 years | 7 years |
Derivatives - TBA Agency Securi
Derivatives - TBA Agency Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Notional Amount | $ 4,000,000 | $ 7,975,000 |
TBA Agency Securities, 15-year, 2.0% | ||
Derivative [Line Items] | ||
Fixed interest rate | 2.00% | |
Notional Amount | $ 500,000 | |
Cost Basis | 508,062 | |
Fair Value | $ 513,310 | |
TBA Agency Securities, 15-year, 3.0% | ||
Derivative [Line Items] | ||
Fixed interest rate | 3.00% | |
Notional Amount | $ 500,000 | |
Cost Basis | 511,055 | |
Fair Value | $ 511,885 | |
TBA Agency Securities, 30-year, 2.5% | ||
Derivative [Line Items] | ||
Fixed interest rate | 2.50% | 2.50% |
Notional Amount | $ 500,000 | $ 500,000 |
Cost Basis | 509,008 | 494,813 |
Fair Value | $ 517,072 | 494,395 |
TBA Agency Securities, 30-year, 3.0% | ||
Derivative [Line Items] | ||
Fixed interest rate | 3.00% | |
Notional Amount | $ 250,000 | |
Cost Basis | 257,481 | |
Fair Value | 262,080 | |
TBA Agency Securities | ||
Derivative [Line Items] | ||
Notional Amount | 1,250,000 | 1,000,000 |
Cost Basis | 1,274,551 | 1,005,868 |
Fair Value | 1,292,462 | 1,006,280 |
Notional amount, forward settling | $ 750,000 | $ 1,000,000 |
Commitments and Contingencies (
Commitments and Contingencies (Details) $ in Thousands | Apr. 25, 2016lawsuit | Apr. 24, 2016lawsuit | Mar. 01, 2016lawsuitdefendant | Mar. 31, 2020USD ($) | Mar. 31, 2019USD ($) |
Other Commitments [Line Items] | |||||
Monthly percentage of effective management fee percentage | 8.33% | ||||
Gross equity raised | $ | $ 2,887,586 | $ 2,986,934 | |||
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 | 1.00% | 1.00% |
Stock Based Compensation - Addi
Stock Based Compensation - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
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 outstanding (in shares) | 677,000 | |
Compensation cost not yet recognized | $ 13,643 | |
Period for recognition for compensation cost not yet recognized | 3 years 1 month 6 days | |
The 2009 Stock Incentive Plan | Restricted Stock | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Weighted average grant date fair value (in dollars per share) | $ 20.97 | $ 24.82 |
Stock Based Compensation - Rest
Stock Based Compensation - Restricted Shares (Details) - The 2009 Stock Incentive Plan - $ / shares shares in Thousands | 1 Months Ended | 3 Months Ended |
Jan. 31, 2020 | Mar. 31, 2020 | |
Restricted Stock | ||
Number of Awards | ||
Unvested RSU Awards Outstanding beginning of period (in shares) | 247 | 247 |
Granted (in shares) | 454 | |
Vested (in shares) | (51) | |
Unvested RSU Awards Outstanding end of period (in shares) | 650 | |
Weighted Average Grant Date Fair Value per Award | ||
Unvested RSU Awards Outstanding beginning of period (in dollars per share) | $ 24.82 | $ 24.82 |
Granted (in dollars per share) | 18.90 | |
Vested (in dollars per share) | 21.13 | |
Unvested RSU Awards Outstanding end of period (in dollars per share) | $ 20.97 | |
Armour Capital Management | Restricted Stock Units (RSUs) | ||
Number of Awards | ||
Granted (in shares) | 310 | |
Board of Directors | Restricted Stock Units (RSUs) | ||
Number of Awards | ||
Granted (in shares) | 144 |
Stockholders' Equity - Schedule
Stockholders' Equity - Schedule of Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands | Mar. 27, 2020 | Feb. 27, 2020 | Jan. 30, 2020 | Jan. 28, 2020 | Feb. 27, 2019 | Jan. 17, 2019 | Jan. 11, 2019 | Mar. 31, 2020 | Mar. 31, 2020 | Mar. 31, 2019 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Beginning balance | $ 1,436,707 | $ 1,125,313 | ||||||||
Common stock dividends | (30,377) | (29,814) | ||||||||
Preferred stock, called for redemption | (209,583) | 0 | ||||||||
Stock based compensation, net of withholding requirements | 1,001 | 644 | ||||||||
Common stock repurchased, net | (777) | 0 | ||||||||
Net Loss | (406,659) | (114,381) | ||||||||
Other comprehensive income (loss) | (130,456) | 187,158 | ||||||||
Ending balance | $ 786,250 | 786,250 | $ 1,486,653 | |||||||
Common stock dividends cash paid (in dollars per share) | $ 0.19 | |||||||||
Series B Preferred Stock | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Preferred dividends | (1,375) | $ (1,124) | ||||||||
Preferred stock, called for redemption | (209,583) | |||||||||
Series C Preferred Stock | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Preferred dividends | (1,452) | (3,135) | ||||||||
Preferred stock issued, net of expenses | $ 83,322 | $ 45,899 | 129,221 | 0 | ||||||
Common Stock | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Preferred stock issued, net of expenses | $ 165,374 | $ 137,946 | $ 18,540 | $ 0 | $ 321,992 | |||||
Common stock dividends cash paid (in dollars per share) | $ 0.17 | $ 0.17 | $ 0.17 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands | Mar. 27, 2020 | Mar. 02, 2020 | Feb. 27, 2020 | Jan. 29, 2020 | Jan. 28, 2020 | Jan. 27, 2020 | Jan. 24, 2020 | Jan. 23, 2020 | Jun. 24, 2019 | Jun. 19, 2019 | Feb. 27, 2019 | Jan. 17, 2019 | Jan. 11, 2019 | Mar. 31, 2020 | Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2019 | Mar. 03, 2020 | Feb. 15, 2019 |
Class of Stock [Line Items] | ||||||||||||||||||||
Preferred stock, shares authorized (in shares) | 50,000,000 | 50,000,000 | 50,000,000 | 50,000,000 | ||||||||||||||||
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 | $ 0.001 | $ 0.001 | $ 0.001 | |||||||||||||||
Shares authorized, increase (decrease) (in shares) | 10,320,000 | |||||||||||||||||||
Preferred stock, undesignated shares authorized (in shares) | 22,030,000 | 22,030,000 | ||||||||||||||||||
Preferred stock called for redemption, tax | $ (1,375) | $ 0 | ||||||||||||||||||
Common stock, shares authorized (in shares) | 125,000,000 | 125,000,000 | 125,000,000 | 125,000,000 | ||||||||||||||||
Common stock, par value (in dollars per share) | $ 0.001 | $ 0.001 | $ 0.001 | $ 0.001 | ||||||||||||||||
Common stock, shares issued (in shares) | 58,881,000 | 58,881,000 | 58,877,000 | 58,877,000 | ||||||||||||||||
Common stock, shares outstanding (in shares) | 58,881,000 | 58,881,000 | 58,877,000 | 58,877,000 | ||||||||||||||||
Remaining shares authorized to be repurchased (in shares) | 8,210,000 | 8,210,000 | 8,250 | 8,250 | ||||||||||||||||
At-The-Market Offering Program | ||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||
Common stock, shares authorized (in shares) | 7,000 | |||||||||||||||||||
Common stock, par value (in dollars per share) | $ 0.001 | |||||||||||||||||||
Commission rate | 2.00% | |||||||||||||||||||
Series B Preferred Stock | ||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||
Preferred stock, shares authorized (in shares) | 17,970,000 | 17,970,000 | ||||||||||||||||||
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 | ||||||||||||||||||
Preferred stock, dividend rate | 7.875% | 7.875% | ||||||||||||||||||
Preferred stock, called for redemption (in shares) | 8,383,000 | |||||||||||||||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 | $ 25 | $ 25 | |||||||||||||||||
Preferred stock, aggregate liquidation preference | $ 209,583 | $ 209,583 | $ 209,583 | |||||||||||||||||
Preferred stock, shares issued (in shares) | 8,383,000 | 8,383,000 | ||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 8,383,000 | 8,383,000 | ||||||||||||||||||
Preferred stock, designated but unissued shares authorized (in shares) | 9,587,000 | 9,587,000 | ||||||||||||||||||
Number of shares issued in transaction (in shares) | 100,000 | 1,914,000 | ||||||||||||||||||
Proceeds from issuance of preferred stock | $ 2,489 | $ 47,306 | ||||||||||||||||||
Price per share (in dollars per share) | $ 24.81 | $ 24.74 | $ 24.74 | |||||||||||||||||
Percent of outstanding shares intended to be redeemed | 100.00% | |||||||||||||||||||
Preferred stock dividends paid | $ 1,375 | $ 1,375 | 3,135 | |||||||||||||||||
Series B Preferred Stock | June 24, 2019, Preferred B ATM Sales Agreement | ||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||
Preferred stock, shares authorized (in shares) | 9,000,000 | |||||||||||||||||||
Number of shares issued in transaction (in shares) | 1,914,000 | |||||||||||||||||||
Proceeds from issuance of preferred stock | $ 47,306 | |||||||||||||||||||
Payments of stock issuance costs | $ 689 | |||||||||||||||||||
Series B Preferred Stock | Dividend Reinvestment Program | ||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||
Preferred stock, shares authorized (in shares) | 2,500,000 | |||||||||||||||||||
Number of shares issued in transaction (in shares) | 16 | |||||||||||||||||||
Series C Preferred Stock | ||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||
Preferred stock, shares authorized (in shares) | 10,000,000 | |||||||||||||||||||
Preferred stock, par value (in dollars per share) | $ 0.001 | |||||||||||||||||||
Preferred stock, dividend rate | 7.00% | 7.00% | ||||||||||||||||||
Preferred stock, aggregate liquidation preference | $ 132,588 | $ 132,588 | ||||||||||||||||||
Preferred stock, shares issued (in shares) | 5,303,000 | 5,303,000 | ||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 5,303,000 | 5,303,000 | ||||||||||||||||||
Proceeds from issuance of preferred stock | $ 129,221 | 0 | ||||||||||||||||||
Price per share (in dollars per share) | $ 24.15 | $ 24.76 | $ 24.76 | |||||||||||||||||
Issuance of Preferred stock, net of expenses | $ 83,322 | $ 45,899 | $ 129,221 | 0 | ||||||||||||||||
Preferred stock dividends paid | $ 774 | $ 678 | $ 1,452 | 0 | ||||||||||||||||
Series C Preferred Stock | January 23, 2020 Underwriting Agreement | ||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||
Preferred stock, shares authorized (in shares) | 3,000,000 | |||||||||||||||||||
Preferred stock, par value (in dollars per share) | $ 0.001 | |||||||||||||||||||
Preferred stock, dividend rate | 7.00% | |||||||||||||||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 | |||||||||||||||||||
Number of shares issued in transaction (in shares) | 3,450,000 | |||||||||||||||||||
Payments of stock issuance costs | $ 2,928 | |||||||||||||||||||
Price per share (in dollars per share) | $ 25 | |||||||||||||||||||
Consideration received on transaction | $ 83,322 | |||||||||||||||||||
Series C Preferred Stock | Over-Allotment Option | ||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||
Preferred stock, shares authorized (in shares) | 450,000 | |||||||||||||||||||
Series C Preferred Stock | January 29, 2020, Equity Sales Agreement | ||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||
Preferred stock, shares authorized (in shares) | 6,550,000 | |||||||||||||||||||
Number of shares issued in transaction (in shares) | 1,853,000 | |||||||||||||||||||
Proceeds from issuance of preferred stock | $ 45,899 | |||||||||||||||||||
Payments of stock issuance costs | 630 | |||||||||||||||||||
Common Stock | ||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||
Price per share (in dollars per share) | $ 19.98 | $ 20 | $ 20.98 | $ 17.77 | $ 17.77 | $ 19.42 | ||||||||||||||
Issuance of Preferred stock, net of expenses | $ 165,374 | $ 137,946 | $ 18,540 | $ 0 | $ 321,992 |
Stockholders' Equity - Equity C
Stockholders' Equity - Equity Capital Raising Activities (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | Mar. 03, 2020 | Jan. 28, 2020 | Jun. 19, 2019 | Feb. 27, 2019 | Jan. 17, 2019 | Jan. 11, 2019 | Mar. 31, 2020 | Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2019 |
Class of Stock [Line Items] | |||||||||||
Payments for common stock repurchased | $ (777) | $ 0 | |||||||||
Series C Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Shares issued (in shares) | 3,450 | 1,853 | |||||||||
Price per share (in dollars per share) | $ 24.15 | $ 24.76 | $ 24.76 | ||||||||
Issuance of Preferred stock, net of expenses | $ 83,322 | $ 45,899 | $ 129,221 | 0 | |||||||
Proceeds from issuance of preferred stock | 129,221 | 0 | |||||||||
Series B Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Number of shares issued in transaction (in shares) | 100 | 1,914 | |||||||||
Price per share (in dollars per share) | $ 24.81 | $ 24.74 | $ 24.74 | ||||||||
Proceeds from issuance of preferred stock | $ 2,489 | $ 47,306 | |||||||||
Common Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Shares issued (in shares) | 8,280 | 6,900 | 884 | ||||||||
Common stock repurchased (in shares) | (40) | (1,000) | |||||||||
Price per share (in dollars per share) | $ 19.42 | $ 19.98 | $ 20 | $ 20.98 | $ 17.77 | $ 17.77 | |||||
Issuance of Preferred stock, net of expenses | $ 165,374 | $ 137,946 | $ 18,540 | $ 0 | $ 321,992 | ||||||
Payments for common stock repurchased | $ (777) | $ (17,768) |
Stockholders' Equity - Dividend
Stockholders' Equity - Dividend Transactions (Details) - USD ($) $ / shares in Units, $ in Thousands | Mar. 27, 2020 | Feb. 27, 2020 | Jan. 30, 2020 | Jan. 27, 2020 | Mar. 31, 2020 | Mar. 31, 2019 | Mar. 31, 2018 |
Class of Stock [Line Items] | |||||||
Common stock dividends cash paid (in dollars per share) | $ 0.19 | ||||||
Common stock dividends paid | $ 30,377 | $ 29,814 | |||||
Series B Preferred Stock | |||||||
Class of Stock [Line Items] | |||||||
Preferred stock, dividends declared (in dollars per share) | $ 0.16 | $ 0.1640625 | $ 0.1640625 | ||||
Preferred stock dividends paid | $ 1,375 | 1,375 | $ 3,135 | ||||
Series C Preferred Stock | |||||||
Class of Stock [Line Items] | |||||||
Preferred stock, dividends declared (in dollars per share) | $ 0.15 | $ 0.15 | $ 0.14583 | $ 0.14583 | |||
Preferred stock dividends paid | $ 774 | $ 678 | 1,452 | $ 0 | |||
Common Stock | |||||||
Class of Stock [Line Items] | |||||||
Common stock dividends cash paid (in dollars per share) | $ 0.17 | $ 0.17 | $ 0.17 | ||||
Common stock dividends paid | $ 10,120 | $ 10,131 | $ 10,126 | $ 30,377 |
Net Loss per Common Share (Deta
Net Loss per Common Share (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Earnings Per Share [Abstract] | ||
Net Loss | $ (406,659) | $ (114,381) |
Less: Preferred dividends | (2,827) | (4,259) |
Net Loss related to common stockholders | $ (409,486) | $ (118,640) |
Weighted average common shares outstanding – basic (in shares) | 58,884 | 53,630 |
Add: Effect of dilutive non-vested awards, assumed vested (in shares) | 0 | 0 |
Weighted average common shares outstanding – diluted (in shares) | 58,884 | 53,630 |
Comprehensive Income (Loss) p_3
Comprehensive Income (Loss) per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Earnings Per Share [Abstract] | ||
Comprehensive Income (Loss) | $ (537,115) | $ 72,777 |
Less: Preferred dividends | (2,827) | (4,259) |
Comprehensive Income (Loss) available (related) to common stockholders | $ (539,942) | $ 68,518 |
Net Comprehensive Income (Loss) per share available (related) to common stockholders: | ||
Basic (in dollars per share) | $ (9.17) | $ 1.28 |
Diluted (in dollars per share) | $ (9.17) | $ 1.27 |
Weighted average common shares outstanding: | ||
Basic (in shares) | 58,884 | 53,630 |
Add: Effect of dilutive non-vested awards, assumed vested (in shares) | 0 | 0 |
Add: Effect of dilutive non-vested awards, assumed vested (in shares) | 333 | |
Weighted average common shares outstanding – diluted (in shares) | 58,884 | 53,630 |
Weighted average common shares outstanding – diluted (in shares) | 53,963 |
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, 2020 | Mar. 31, 2019 | |
Income Tax Disclosure [Abstract] | ||
GAAP net loss | $ (406,659) | $ (114,381) |
Book to tax differences: | ||
TRS (income) loss | 63 | (231) |
Credit Risk and Non-Agency Securities | 182,247 | (1,272) |
Interest-Only Securities | 0 | 548 |
U.S. Treasury Securities | (21,771) | 693 |
Changes in interest rate contracts | 363,265 | 143,835 |
Credit loss expense | 1,012 | 0 |
(Gain) loss on Security Sales | (93,325) | 2,910 |
Amortization of deferred hedging costs | (19,874) | (13,647) |
Series B Cumulative Preferred Stock dividend - Called for redemption | 1,375 | 0 |
Other | 4 | 4 |
Estimated REIT taxable income | $ 6,337 | $ 18,459 |
Income Taxes - Net Capital Loss
Income Taxes - Net Capital Losses Realized (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
Capital Loss Carryforward | ||||
Tax Credit Carryforward [Line Items] | ||||
Tax credit carryforward | $ (216,634) | $ (7,375) | $ (31,204) | $ (5,182) |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | |||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities | $ (661,300) | ||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities (in dollars per share) | $ (11.23) | ||
Common stock, shares issued (in shares) | 58,881 | 58,877 | |
Payment of dividends | $ 34,579 | $ 34,073 | |
Series B Cumulative Preferred Stock dividend - Called for redemption | 1,375 | 0 | |
Estimated REIT taxable income | $ 6,337 | $ 18,459 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2017 | Jun. 30, 2020 | Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | ||||||
Management fees | $ 7,458,000 | $ 7,258,000 | ||||
US Treasury Securities | ||||||
Related Party Transaction [Line Items] | ||||||
Payments to acquire trading securities held-for-investment | 3,763,561,000 | 101,039,000 | $ 1,685,058,000 | |||
Proceeds from sales of held-for-investment securities | 3,785,248,000 | 199,445,000 | 1,786,090,000 | |||
ACM | ||||||
Related Party Transaction [Line Items] | ||||||
Management agreement, annual management fee | $ 1 | |||||
Period of written notice of termination (in days) | 180 days | |||||
Management fees | $ 7,444,000 | 7,244,000 | ||||
ACM | Restricted Stock Units (RSUs) | ||||||
Related Party Transaction [Line Items] | ||||||
Award vesting period (in years) | 5 years | |||||
ACM | Subsequent Event | ||||||
Related Party Transaction [Line Items] | ||||||
Management fee reduction | 40.00% | |||||
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% | |||||
Equity method investments | 465,000 | 381,000 | ||||
Proceeds from divestiture of interest in joint venture | 363,000 | |||||
Required annual reduction in share of gross financing profit | 306,000 | |||||
Due to related parties | 1,947,604,000 | 5,107,101,000 | ||||
Interest expense, related party | 31,216,000 | 120,090,000 | ||||
Collateral pledged | 2,097,560,000 | $ 5,341,487,000 | ||||
Armour Management Agreement | ACM | ||||||
Related Party Transaction [Line Items] | ||||||
Automatic renewal period of management agreement (in years) | 5 years | |||||
Javelin Management Agreement | ACM | ||||||
Related Party Transaction [Line Items] | ||||||
Automatic renewal period of management agreement (in years) | 1 year | |||||
Related Party Transaction, Management Agreement, Term | 1 year | |||||
Other Expense | ACM | ||||||
Related Party Transaction [Line Items] | ||||||
Management fees | 117,000 | 27,000 | ||||
Stock Based Compensation Expense | ACM | ||||||
Related Party Transaction [Line Items] | ||||||
Management fees | 186,000 | 97,000 | ||||
Required Regulatory Capital Requirement of Related Party | Corporate Joint Venture | 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 | $ 258,000 | $ 539,000 |
Related Party Transactions - Sc
Related Party Transactions - Schedule of Related Party Transactions (Details) - BUCKLER Securities, LLC - Corporate Joint Venture - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Related Party Transaction [Line Items] | ||
Repurchase agreements | $ 1,947,604 | $ 5,107,101 |
Interest on repurchase agreements | 31,216 | 120,090 |
Collateral posted on repurchase agreements | $ 2,097,560 | $ 5,341,487 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | May 27, 2020 | Apr. 27, 2020 | Mar. 27, 2020 | Feb. 27, 2020 | Jan. 28, 2020 | Apr. 24, 2020 | Mar. 31, 2020 | Mar. 31, 2020 | Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2019 | Apr. 30, 2020 | Dec. 31, 2018 |
Subsequent Event [Line Items] | |||||||||||||
Purchases, Available-for-sale | $ 1,657,148 | $ 6,608,566 | |||||||||||
Debt securities | $ 3,552,515 | 3,552,515 | $ 12,825,367 | $ 7,991,138 | |||||||||
Agency Securities | 2,786,962 | 2,786,962 | 11,941,766 | ||||||||||
Securities, trading | $ 765,553 | 765,553 | 883,601 | ||||||||||
Issuance of common stock, net of expenses | 0 | $ 321,992 | |||||||||||
Series C Preferred Stock | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Shares issued (in shares) | 3,450 | 1,853 | |||||||||||
Preferred stock, dividends declared (in dollars per share) | $ 0.15 | $ 0.15 | $ 0.14583 | $ 0.14583 | |||||||||
Preferred stock dividends paid | $ 774 | $ 678 | 1,452 | $ 0 | |||||||||
Series C Preferred Stock | Scenario, Forecast | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Preferred stock, dividends declared (in dollars per share) | $ 0.15 | ||||||||||||
Subsequent Event | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Debt securities | $ 5,600,000 | ||||||||||||
Shares issued (in shares) | 5,704 | ||||||||||||
Issuance of common stock, net of expenses | $ 48,393 | ||||||||||||
Payments of stock issuance costs | $ 738 | ||||||||||||
Subsequent Event | Series C Preferred Stock | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Preferred stock, dividends declared (in dollars per share) | $ 0.15 | ||||||||||||
Preferred stock dividends paid | $ 773 | ||||||||||||
Agency Securities | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Purchases, Available-for-sale | 1,768,689 | 9,130,512 | |||||||||||
Agency Securities | $ 2,786,962 | 2,786,962 | 11,941,766 | 7,051,954 | |||||||||
Agency Securities | Subsequent Event | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Agency Securities | 5,300,000 | ||||||||||||
Credit Risk and Non-Agency Securities | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Proceeds from sales of held-for-investment securities | 72,437 | $ 0 | 0 | ||||||||||
Securities, trading | 765,553 | 765,553 | 883,601 | $ 819,915 | |||||||||
TBA Agency Securities | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Securities, trading | $ 1,292,462 | $ 1,292,462 | $ 1,006,280 | ||||||||||
TBA Agency Securities | Subsequent Event | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Securities, trading | $ 1,300,000 |