Cover Page
Cover Page - shares | 9 Months Ended | |
Sep. 30, 2021 | Oct. 26, 2021 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2021 | |
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 (in shares) | 89,689,029 | |
Entity Central Index Key | 0001428205 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Series C Preferred Stock | ||
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, $0.001 par value | ||
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 | Sep. 30, 2021 | Dec. 31, 2020 |
Assets | ||
Cash | $ 126,094 | $ 167,671 |
Cash collateral posted to counterparties | 30,098 | 3,997 |
Investments in securities, at fair value | ||
Receivable for unsettled sales | 82,100 | 0 |
Derivatives, at fair value | 178,602 | 54,686 |
Accrued interest receivable | 10,220 | 12,833 |
Prepaid and other | 1,574 | 1,977 |
Subordinated loan to BUCKLER | 105,000 | 105,000 |
Total Assets | 4,987,888 | 5,524,486 |
Liabilities: | ||
Repurchase agreements | 3,450,439 | 4,536,065 |
Cash collateral posted by counterparties | 154,713 | 44,704 |
Payable for unsettled purchases | 210,646 | 0 |
Derivatives, at fair value | 22,982 | 1,217 |
Accrued interest payable- repurchase agreements | 534 | 1,625 |
Accounts payable and other accrued expenses | 4,882 | 2,571 |
Total Liabilities | 3,844,196 | 4,586,182 |
Commitments and contingencies (Note 9) | ||
Stockholders’ Equity: | ||
Common stock, $0.001 par value. At September 30, 2021, 200,000 shares authorized and 87,709 shares issued and outstanding and at December 31, 2020, 125,000 shares authorized and 65,290 shares issued and outstanding. | 87 | 65 |
Additional paid-in capital | 3,334,523 | 3,033,025 |
Accumulated deficit | (2,314,879) | (2,273,822) |
Accumulated other comprehensive income | 123,954 | 179,031 |
Total Stockholders’ Equity | 1,143,692 | 938,304 |
Total Liabilities and Stockholders’ Equity | 4,987,888 | 5,524,486 |
Agency Securities | ||
Investments in securities, at fair value | ||
Agency Securities (including pledged securities of $3,385,728 at September 30, 2021 and $4,726,584 at December 31, 2020) | 4,259,294 | 5,178,322 |
U.S. Treasuries | ||
Investments in securities, at fair value | ||
Agency Securities (including pledged securities of $3,385,728 at September 30, 2021 and $4,726,584 at December 31, 2020) | 194,906 | 0 |
7.00% Series C | ||
Stockholders’ Equity: | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; 7.00% Series C Cumulative Preferred Stock; 6,847 and 5,347 shares issued and outstanding ($171,175 and $133,675 aggregate liquidation preference) at September 30, 2021 and December 31, 2020, respectively | $ 7 | $ 5 |
Consolidated Balance Sheets (_2
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
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) | 200,000,000 | 125,000,000 |
Common stock, shares issued (in shares) | 87,709,000 | 65,290,000 |
Common stock, shares outstanding (in shares) | 87,709,000 | 65,290,000 |
U.S. Treasuries | ||
Pledged securities | $ 194,906 | |
Agency Securities | ||
Pledged securities | $ 3,385,728 | $ 4,726,584 |
7.00% Series C | ||
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 |
Preferred stock, dividend rate | 7.00% | 7.00% |
Preferred stock, shares issued (in shares) | 6,847,000 | 5,347,000 |
Preferred stock, shares outstanding (in shares) | 6,847,000 | 5,347,000 |
Preferred stock, aggregate liquidation preference | $ 171,175 | $ 133,675 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | ||
Interest Income: | |||||
Agency Securities, net of amortization of premium and fees | $ 21,659,000 | $ 25,188,000 | $ 58,422,000 | $ 128,612,000 | |
Total Interest Income | 22,035,000 | 25,730,000 | 58,830,000 | 147,139,000 | |
Interest expense- repurchase agreements | (1,614,000) | (2,954,000) | (5,590,000) | (59,863,000) | |
Interest expense- U.S. Treasury Securities sold short | 0 | 0 | (87,000) | (32,000) | |
Net Interest Income | 20,421,000 | 22,776,000 | 53,153,000 | 87,244,000 | |
Other Income (Loss): | |||||
Realized gain on sale of available for sale Agency Securities (reclassified from Other Comprehensive Income (Loss)) | 3,724,000 | 9,468,000 | 11,078,000 | 138,802,000 | |
Credit loss expense | 0 | 0 | 0 | (1,012,000) | |
Gain (loss) on Agency Securities, trading | (2,387,000) | 12,149,000 | (45,790,000) | 20,060,000 | |
Loss on short sale of U.S. Treasury Securities | 0 | 0 | (28,000) | (414,000) | |
Subtotal | (7,833,000) | 14,984,000 | (43,910,000) | (10,348,000) | |
Realized gain (loss) on derivatives | [1] | (29,540,000) | 20,866,000 | (60,548,000) | (394,850,000) |
Unrealized gain on derivatives | 59,849,000 | 6,866,000 | 113,085,000 | 46,304,000 | |
Subtotal | 30,309,000 | 27,732,000 | 52,537,000 | (348,546,000) | |
Total Other Income (Loss) | 22,476,000 | 42,716,000 | 8,627,000 | (358,894,000) | |
Expenses: | |||||
Management fees | 7,899,000 | 7,393,000 | 23,055,000 | 22,234,000 | |
Professional fees | 581,000 | 559,000 | 1,909,000 | 3,058,000 | |
Insurance | 200,000 | 183,000 | 588,000 | 549,000 | |
Compensation | 1,676,000 | 1,387,000 | 5,027,000 | 4,210,000 | |
Other | 659,000 | 537,000 | 1,666,000 | 724,000 | |
Total Expenses | 11,015,000 | 10,059,000 | 32,245,000 | 30,775,000 | |
Less management fees waived | (2,100,000) | (2,953,000) | (6,600,000) | (5,900,000) | |
Total Expenses after fees waived | 8,915,000 | 7,106,000 | 25,645,000 | 24,875,000 | |
Net Income (Loss) | 33,982,000 | 58,386,000 | 36,135,000 | (296,525,000) | |
Dividends on preferred stock | (2,995,000) | (2,320,000) | (8,477,000) | (7,467,000) | |
Net Income (Loss) available (related) to common stockholders | $ 30,987,000 | $ 56,066,000 | $ 27,658,000 | $ (303,992,000) | |
Net Income (Loss) per share available (related) to common stockholders (Note 12): | |||||
Basic (in dollars per share) | $ 0.37 | $ 0.87 | $ 0.37 | $ (4.87) | |
Diluted (in dollars per share) | 0.36 | 0.86 | 0.36 | (4.87) | |
Dividends declared per common share (in dollars per share) | $ 0.30 | $ 0.30 | $ 0.90 | $ 0.90 | |
Weighted average common shares outstanding: | |||||
Basic (in shares) | 84,026 | 64,724 | 75,417 | 62,458 | |
Diluted (in shares) | 84,927 | 65,272 | 76,318 | 62,458 | |
Credit Risk and Non-Agency Securities | |||||
Interest Income: | |||||
Interest income, trading | $ 0 | $ 518,000 | $ 0 | $ 17,746,000 | |
Other Income (Loss): | |||||
Gain (loss) on securities | 0 | (6,633,000) | 0 | (189,555,000) | |
U.S. Treasury Securities | |||||
Interest Income: | |||||
Interest income, trading | 356,000 | 0 | 356,000 | 469,000 | |
Other Income (Loss): | |||||
Gain (loss) on securities | (9,170,000) | 0 | (9,170,000) | 21,771,000 | |
BUCKLER Subordinated loan | |||||
Interest Income: | |||||
Interest income, trading | $ 20,000 | $ 24,000 | $ 52,000 | $ 312,000 | |
[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 | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Statement of Comprehensive Income [Abstract] | ||||
Net Income (Loss) | $ 33,982 | $ 58,386 | $ 36,135 | $ (296,525) |
Other comprehensive income (loss): | ||||
Reclassification adjustment for realized gain on sale of available for sale Agency Securities | (3,724) | (9,468) | (11,078) | (138,802) |
Reclassification adjustment for credit loss expense on available for sale Agency Securities | 0 | 0 | 0 | 1,012 |
Net unrealized gain (loss) on available for sale Agency Securities | (16,961) | 13,002 | (43,999) | (17,486) |
Other Comprehensive Income (Loss) | (20,685) | 3,534 | (55,077) | (155,276) |
Comprehensive Income (Loss) | $ 13,297 | $ 61,920 | $ (18,942) | $ (451,801) |
Consolidated Statement of Stock
Consolidated Statement of Stockholders' Equity (Unaudited) - USD ($) shares in Thousands, $ in Thousands | Total | 7.00% Series C | Preferred Stock7.00% Series C | Common Stock | Total Additional Paid-in Capital | Total Additional Paid-in Capital7.00% Series C | Accumulated Deficit | Accumulated Deficit7.00% Series C | Accumulated Other Comprehensive Income |
Beginning balance at Dec. 31, 2019 | $ 1,436,707 | ||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Preferred dividends | $ (1,452) | ||||||||
Common stock dividends | (30,377) | ||||||||
Issuance of stock, net | 129,221 | ||||||||
Stock based compensation, net of withholding requirements | 1,001 | ||||||||
Net Income | (406,659) | ||||||||
Other Comprehensive Loss | (130,456) | ||||||||
Ending balance at Mar. 31, 2020 | 786,250 | ||||||||
Beginning balance at Dec. 31, 2019 | 1,436,707 | ||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Net Income | (296,525) | ||||||||
Other Comprehensive Loss | (155,276) | ||||||||
Ending balance at Sep. 30, 2020 | 892,269 | ||||||||
Beginning balance at Dec. 31, 2019 | 1,436,707 | ||||||||
Ending balance (in shares) at Dec. 31, 2020 | 5,347 | 65,290 | |||||||
Ending balance at Dec. 31, 2020 | 938,304 | $ 5 | $ 65 | $ 3,033,025 | $ (2,273,822) | $ 179,031 | |||
Beginning balance at Mar. 31, 2020 | 786,250 | ||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Preferred dividends | (2,320) | ||||||||
Common stock dividends | (5,876) | ||||||||
Issuance of stock, net | (125) | ||||||||
Stock based compensation, net of withholding requirements | 1,022 | ||||||||
Net Income | 51,748 | ||||||||
Other Comprehensive Loss | (28,354) | ||||||||
Ending balance at Jun. 30, 2020 | 851,231 | ||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Preferred dividends | (2,320) | ||||||||
Common stock dividends | (19,590) | ||||||||
Issuance of stock, net | 0 | ||||||||
Stock based compensation, net of withholding requirements | 1,028 | ||||||||
Net Income | 58,386 | ||||||||
Other Comprehensive Loss | 3,534 | ||||||||
Ending balance at Sep. 30, 2020 | 892,269 | ||||||||
Beginning balance at Dec. 31, 2020 | 938,304 | $ 5 | $ 65 | 3,033,025 | (2,273,822) | 179,031 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Preferred dividends | (2,486) | ||||||||
Common stock dividends | (20,057) | ||||||||
Issuance of stock, net | 28,173 | ||||||||
Stock based compensation, net of withholding requirements | 1,199 | ||||||||
Net Income | 71,327 | ||||||||
Other Comprehensive Loss | (42,234) | ||||||||
Ending balance at Mar. 31, 2021 | 1,027,186 | ||||||||
Beginning balance (in shares) at Dec. 31, 2020 | 5,347 | 65,290 | |||||||
Beginning balance at Dec. 31, 2020 | 938,304 | $ 5 | $ 65 | 3,033,025 | (2,273,822) | 179,031 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Preferred dividends | (8,477) | $ (8,477) | |||||||
Common stock dividends | (68,715) | (68,715) | |||||||
Issuance of stock, net (in shares) | 1,500 | 22,242 | |||||||
Issuance of stock, net | 261,296 | 36,585 | $ 2 | $ 22 | 261,274 | $ 36,583 | |||
Stock based compensation, net of withholding requirements (in shares) | 177 | ||||||||
Stock based compensation, net of withholding requirements | 3,641 | 3,641 | |||||||
Net Income | 36,135 | 36,135 | |||||||
Other Comprehensive Loss | (55,077) | (55,077) | |||||||
Ending balance (in shares) at Sep. 30, 2021 | 6,847 | 87,709 | |||||||
Ending balance at Sep. 30, 2021 | 1,143,692 | $ 7 | $ 87 | 3,334,523 | (2,314,879) | 123,954 | |||
Beginning balance at Mar. 31, 2021 | 1,027,186 | ||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Preferred dividends | (2,996) | ||||||||
Common stock dividends | (23,197) | ||||||||
Issuance of stock, net | 8,412 | ||||||||
Stock based compensation, net of withholding requirements | 1,205 | ||||||||
Net Income | (69,174) | ||||||||
Other Comprehensive Loss | 7,842 | ||||||||
Ending balance at Jun. 30, 2021 | 1,108,542 | ||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Preferred dividends | (2,995) | ||||||||
Common stock dividends | (25,461) | ||||||||
Issuance of stock, net | $ 0 | ||||||||
Stock based compensation, net of withholding requirements | 1,237 | ||||||||
Net Income | 33,982 | ||||||||
Other Comprehensive Loss | (20,685) | ||||||||
Ending balance (in shares) at Sep. 30, 2021 | 6,847 | 87,709 | |||||||
Ending balance at Sep. 30, 2021 | $ 1,143,692 | $ 7 | $ 87 | $ 3,334,523 | $ (2,314,879) | $ 123,954 |
Consolidated Statement of Sto_2
Consolidated Statement of Stockholders' Equity (Unaudited) (Parenthetical) | Jan. 28, 2020 | Sep. 30, 2021 | Dec. 31, 2020 |
Series C Preferred Stock | |||
Preferred stock, dividend rate | 7.00% | 7.00% | 7.00% |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||
Sep. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2020 | |
Cash Flows From Operating Activities: | ||||||||
Net Income (Loss) | $ 33,982,000 | $ 71,327,000 | $ 58,386,000 | $ (406,659,000) | $ 36,135,000 | $ (296,525,000) | ||
Adjustments to reconcile net loss to net cash and cash collateral posted to counterparties provided by (used in) operating activities: | ||||||||
Net amortization of premium on Agency Securities | 38,434,000 | 36,922,000 | ||||||
Realized gain on sale of Agency Securities, available for sale | (11,078,000) | (138,802,000) | ||||||
Credit loss expense | 0 | 0 | 1,012,000 | 0 | $ 0 | 1,012,000 | ||
(Gain) loss on Agency Securities, trading | 2,387,000 | (12,149,000) | 45,790,000 | (20,060,000) | ||||
Loss on short sale of U.S. Treasury Securities | 28,000 | 414,000 | ||||||
Stock based compensation | 3,641,000 | 3,051,000 | ||||||
Changes in operating assets and liabilities: | ||||||||
Decrease in accrued interest receivable | 2,794,000 | 21,836,000 | ||||||
Decrease in prepaid and other assets | 403,000 | 6,715,000 | ||||||
Change in derivatives, at fair value | (102,151,000) | (44,392,000) | ||||||
Decrease in accrued interest payable- repurchase agreements | (1,091,000) | (30,643,000) | ||||||
Increase in accounts payable and other accrued expenses | 2,311,000 | 518,000 | ||||||
Net cash and cash collateral posted to counterparties provided by (used in) operating activities | 24,384,000 | (294,935,000) | ||||||
Cash Flows From Investing Activities: | ||||||||
Purchases of Agency Securities | (672,816,000) | (5,317,832,000) | ||||||
Principal repayments of Agency Securities | 690,933,000 | 922,148,000 | ||||||
Principal repayments of Credit Risk and Non-Agency Securities | 0 | 45,766,000 | ||||||
Proceeds from sales of Agency Securities | 901,053,000 | 10,917,211,000 | ||||||
Disbursements on reverse repurchase agreements | (391,125,000) | (858,156,000) | ||||||
Receipts from reverse repurchase agreements | 391,125,000 | 858,156,000 | ||||||
Increase (decrease) in cash collateral posted by counterparties | 110,009,000 | (10,858,000) | ||||||
Net cash and cash collateral posted to counterparties provided by investing activities | 825,077,000 | 7,228,837,000 | ||||||
Cash Flows From Financing Activities: | ||||||||
Issuance of common stock, net of expenses | 261,296,000 | 48,886,000 | ||||||
Proceeds from repurchase agreements | 23,233,849,000 | 62,518,438,000 | ||||||
Principal repayments on repurchase agreements | (24,319,475,000) | (69,362,190,000) | ||||||
Common stock dividends paid | (68,715,000) | (55,843,000) | ||||||
Common stock repurchased, net | 0 | (777,000) | ||||||
Net cash and cash collateral posted to counterparties used in financing activities | (864,937,000) | (6,939,440,000) | ||||||
Net decrease in cash and cash collateral posted to counterparties | (15,476,000) | (5,538,000) | ||||||
Cash and cash collateral posted to counterparties - beginning of period | $ 171,668,000 | $ 273,166,000 | 171,668,000 | 273,166,000 | $ 273,166,000 | |||
Cash and cash collateral posted to counterparties - end of period | 156,192,000 | 267,628,000 | 156,192,000 | $ 171,668,000 | 267,628,000 | $ 171,668,000 | ||
Supplemental Disclosure: | ||||||||
Cash paid during the period for interest | 13,406,000 | 178,719,000 | ||||||
Non-Cash Investing Activities: | ||||||||
Receivable for unsettled sales | 82,100,000 | 0 | ||||||
Payable for unsettled purchases | (210,646,000) | (518,552,000) | ||||||
Net unrealized loss on available for sale Agency Securities | (43,999,000) | (17,486,000) | ||||||
Series B Preferred Stock | ||||||||
Cash Flows From Financing Activities: | ||||||||
Redemption of Series B Preferred stock, net of expenses | 0 | (209,583,000) | ||||||
Preferred stock dividends paid | 0 | (1,375,000) | ||||||
Series C Preferred Stock | ||||||||
Cash Flows From Financing Activities: | ||||||||
Issuance of Series C Preferred stock, net of expenses | 36,585,000 | 129,096,000 | ||||||
Preferred stock dividends paid | (8,477,200) | (6,092,000) | ||||||
Credit Risk and Non-Agency Securities | ||||||||
Adjustments to reconcile net loss to net cash and cash collateral posted to counterparties provided by (used in) operating activities: | ||||||||
Amortization (accretion) | 0 | (2,849,000) | ||||||
Gain (loss) on securities | 0 | 6,633,000 | 0 | 189,555,000 | ||||
Cash Flows From Investing Activities: | ||||||||
Purchases of Securities | 0 | (237,928,000) | ||||||
Proceeds from sales of held-for-investment securities | 0 | 889,057,000 | ||||||
U.S. Treasuries | ||||||||
Adjustments to reconcile net loss to net cash and cash collateral posted to counterparties provided by (used in) operating activities: | ||||||||
Amortization (accretion) | (2,000) | 84,000 | ||||||
Gain (loss) on securities | $ 9,170,000 | $ 0 | 9,170,000 | (21,771,000) | ||||
Cash Flows From Investing Activities: | ||||||||
Purchases of Securities | (788,919,000) | (4,621,776,000) | ||||||
Proceeds from sales of held-for-investment securities | $ 584,817,000 | $ 4,643,049,000 |
Organization and Nature of Busi
Organization and Nature of Business Operations | 9 Months Ended |
Sep. 30, 2021 | |
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 10.0% 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 ). 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 Conso
Basis of Presentation and Consolidation | 9 Months Ended |
Sep. 30, 2021 | |
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 and nine months ended September 30, 2021 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2021. 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, 2020. 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 | 9 Months Ended |
Sep. 30, 2021 | |
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 our cash positions 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, interest rate swaptions, basis swap contracts, Eurodollar Futures Contracts ("Futures 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 and interest on repurchase agreements. At certain times, we may have 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"), and more recently the Secured Overnight Funding Rate ("SOFR"). 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 September 30, 2021 and December 31, 2020. 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 may include interest rate swap contracts, interest rate swaptions, basis swap contracts and Futures 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 less than amortized cost. Impairment losses recognized establish a new cost basis for the related available for sale securities. Revenue Recognition 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 sales of available for sale securities are reclassified into income from other comprehensive income and are determined using the specific identification method. 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 | 9 Months Ended |
Sep. 30, 2021 | |
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. We have not identified any ASUs that we deemed to be applicable or that are expected to have a significant impact on our consolidated financial statements when adopted. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 9 Months Ended |
Sep. 30, 2021 | |
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. Investments in Securities: Fair value for our investments in 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 and are classified as Level 2. We estimate the fair value of TBA Agency Securities based on similar methods used to value our Agency Securities and they are classified as Level 2. Management compares the pricing information received to dealer quotes to ensure that the current market conditions are properly reflected. The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at September 30, 2021 and December 31, 2020. September 30, 2021 Level 1 Level 2 Level 3 Balance Assets at Fair Value: Agency Securities $ — $ 4,259,294 $ — $ 4,259,294 U.S. Treasury Securities $ 194,906 $ — $ — $ 194,906 Derivatives $ — $ 178,602 $ — $ 178,602 Liabilities at Fair Value: Derivatives $ — $ 22,982 $ — $ 22,982 December 31, 2020 Level 1 Level 2 Level 3 Balance Assets at Fair Value: Agency Securities $ — $ 5,178,322 $ — $ 5,178,322 Derivatives $ — $ 54,686 $ — $ 54,686 Liabilities at Fair Value: Derivatives $ — $ 1,217 $ — $ 1,217 There were no transfers of assets or liabilities between the levels of the fair value hierarchy during the nine months ended September 30, 2021 or for the year ended December 31, 2020. 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, |
Investments in Securities
Investments in Securities | 9 Months Ended |
Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments in Securities | Note 6 - Investments in Securities As of September 30, 2021 and December 31, 2020, our securities portfolio consisted of $4,454,200 and $5,178,322 of investment securities, at fair value, respectively, and $4,299,273 and $2,711,977 of TBA Agency Securities, at fair value, respectively. Our TBA Agency Securities are reported at net carrying value of $(12,446) and $19,747, at September 30, 2021 and December 31, 2020, respectively, and are reported in Derivatives, at fair value on our consolidated balance sheets (see Note 8 - Derivatives ). 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 tables summarize our investments in securities as of September 30, 2021 and December 31, 2020, excluding TBA Agency Securities (see Note 8 - Derivatives ). Beginning in the second quarter of 2020, we designated Agency MBS purchased as “trading securities” for financial reporting purposes, and consequently, fair value changes for these investments will be reported in net income. We anticipate continuing this designation for newly acquired Agency MBS positions because it is more representative of our results of operations insofar as the fair value changes for these securities are presented in a manner consistent with the presentation and timing of the fair value changes of our hedging instruments. Fair value changes for the legacy Agency Securities designated as available for sale are reported in other comprehensive income as required by GAAP. Available Trading Securities Agency Agency Credit Risk and Non-Agency U.S. Treasuries Totals September 30, 2021 Balance, December 31, 2020 $ 1,970,902 $ 3,207,420 $ — $ — $ 5,178,322 Purchases (1) — 883,281 — 788,919 1,672,200 Proceeds from sales (87,875) (813,178) — (584,817) (1,485,870) Receivable for unsettled sales (82,100) — — — (82,100) Principal repayments (278,662) (412,271) — — (690,933) Losses (43,999) (45,790) — (9,198) (98,987) (Amortization) accretion (12,755) (25,679) — 2 (38,432) Balance, September 30, 2021 $ 1,465,511 $ 2,793,783 $ — $ 194,906 $ 4,454,200 Percentage of Portfolio 32.90 % 62.72 % — % 4.38 % 100.00 % December 31, 2020 Balance, December 31, 2019 $ 11,941,766 $ — $ 883,601 $ — $ 12,825,367 Purchases (1) 1,768,688 3,711,961 237,928 4,621,776 10,340,353 Proceeds from sales (10,800,879) (158,708) (889,057) (4,643,049) (16,491,693) Principal repayments (873,650) (343,514) (45,766) — (1,262,930) Gains (losses) (32,565) 19,557 (189,555) 21,357 (181,206) Credit loss expense (1,012) — — — (1,012) (Amortization) accretion (31,446) (21,876) 2,849 (84) (50,557) Balance, December 31, 2020 $ 1,970,902 $ 3,207,420 $ — $ — $ 5,178,322 Percentage of Portfolio 38.06 % 61.94 % — % — % 100.00 % (1) Purchases include cash paid during the period, plus payable for investment securities purchased during the period as of period end. Available for Sale Securities: At September 30, 2021, we evaluated our available for sale securities to determine if the available for sale securities in an unrealized loss position were impaired. As a result of this evaluation, no credit loss expense was required. We do not have an allowance for credit losses as all of our available for sale securities consist of Agency MBS. During the year ended December 31, 2020, we evaluated our available for sale securities to determine if the available for sale securities in an unrealized loss position were impaired. In the first quarter of 2020, we recognized an impairment of $1,012 in our consolidated statements of operations as we had determined that we may have been required to sell certain securities in the near future. No credit loss expense was required for the remainder of 2020. The table below presents the components of the carrying value and the unrealized gain or loss position of our available for sale securities at September 30, 2021 and December 31, 2020. Our available for sale securities had a weighted average coupon of 3.00% and 3.25% at September 30, 2021 and December 31, 2020. Agency Securities Principal Amount Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value September 30, 2021 Total Fannie Mae $ 1,098,882 $ 1,125,271 $ (26) $ 113,765 $ 1,239,010 Total Freddie Mac 194,139 201,847 — 10,092 211,939 Total Ginnie Mae 14,084 14,439 (9) 132 14,562 Total $ 1,307,105 $ 1,341,557 $ (35) $ 123,989 $ 1,465,511 December 31, 2020 Total Fannie Mae $ 1,359,136 $ 1,397,206 $ (1) $ 159,603 $ 1,556,808 Total Freddie Mac 354,382 368,686 — 19,246 387,932 Total Ginnie Mae 25,388 25,979 (43) 226 26,162 Total $ 1,738,906 $ 1,791,871 $ (44) $ 179,075 $ 1,970,902 The following table presents the unrealized losses and estimated fair value of our available for sale securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2021 and December 31, 2020. All of our available for sale 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 Agency Securities Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses September 30, 2021 $ 1,722 $ (4) $ 5,341 $ (31) $ 7,063 $ (35) December 31, 2020 $ 8,811 $ (44) $ — $ — $ 8,811 $ (44) Actual maturities of available for sale securities are generally shorter than stated contractual maturities because actual maturities of available for sale 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 available for sale securities at September 30, 2021 and December 31, 2020. September 30, 2021 December 31, 2020 Weighted Average Life of Available for Sale Securities Fair Value Amortized Fair Value Amortized < 1 year $ 118 $ 115 $ 71 $ 72 ≥ 1 year and < 3 years 28,770 28,225 548,352 520,657 ≥ 3 years and < 5 years 381,710 363,268 282,739 269,716 ≥ 5 years 1,054,913 949,949 1,139,740 1,001,426 Total Available for Sale Securities $ 1,465,511 $ 1,341,557 $ 1,970,902 $ 1,791,871 We use a third party model to calculate the weighted average lives of our available for sale securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our available for sale 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 available for sale securities at September 30, 2021 and December 31, 2020 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 available for sale securities could be longer or shorter than estimated. Trading Securities: The components of the carrying value of our trading securities at September 30, 2021 and December 31, 2020 are presented in the table below. We did not have any Credit Risk and Non-Agency Securities or Interest-Only Securities at September 30, 2021 and December 31, 2020. Principal Amount Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value September 30, 2021 Agency Securities: Total Fannie Mae $ 2,184,495 $ 2,310,414 $ (25,528) $ 5,325 $ 2,290,211 Total Freddie Mac 482,142 505,537 (4,419) 2,454 503,572 Total Agency Securities $ 2,666,637 $ 2,815,951 $ (29,947) $ 7,779 $ 2,793,783 U.S. Treasury Securities 200,000 200,000 (5,094) — 194,906 Total Trading Securities $ 2,866,637 $ 3,015,951 $ (35,041) $ 7,779 $ 2,988,689 December 31, 2020 Agency Securities: Total Fannie Mae $ 2,420,828 $ 2,585,409 $ (1,441) $ 18,211 $ 2,602,179 Total Freddie Mac 570,654 601,320 (430) 4,351 605,241 Total Trading Securities $ 2,991,482 $ 3,186,729 $ (1,871) $ 22,562 $ 3,207,420 The following table summarizes the weighted average lives of our trading securities at September 30, 2021 and December 31, 2020. September 30, 2021 December 31, 2020 Estimated Weighted Average Life of Trading Securities Fair Value Amortized Cost Fair Value Amortized Cost < 1 year $ — $ — $ — $ — ≥ 1 year and < 3 years 61,949 61,793 649,425 650,328 ≥ 3 years and < 5 years 473,216 468,971 1,522,509 1,506,035 ≥ 5 years 2,453,524 2,485,187 1,035,486 1,030,366 Total $ 2,988,689 $ 3,015,951 $ 3,207,420 $ 3,186,729 We use a third party model to calculate the weighted average lives of our trading securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our trading 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 trading securities at September 30, 2021 and December |
Repurchase Agreements
Repurchase Agreements | 9 Months Ended |
Sep. 30, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Note 7 - Repurchase Agreements At September 30, 2021, we had active MRAs with 34 counterparties and had $3,450,439 in outstanding borrowings with 18 of those counterparties. At December 31, 2020, we had $4,536,065 in outstanding borrowings with 18 counterparties. The following table represents the contractual repricing regarding our repurchase agreements to finance MBS purchases at September 30, 2021 and December 31, 2020. No amounts below are subject to offsetting. Our repurchase agreements require excess collateral, known as a “haircut.” At September 30, 2021, the average haircut percentage was 3.44% compared to 3.13% at December 31, 2020. The haircut for our repurchase agreements vary by counterparty and therefore, the changes in the average haircut percentage will vary with the changes in our counterparty repurchase agreement balances. Balance Weighted Average Contractual Rate Weighted Average Maturity in days September 30, 2021 Agency Securities ≤ 30 days $ 2,556,476 0.13 % 15 > 30 days to ≤ 90 days 109,082 0.11 % 49 > 90 days 584,881 0.11 % 182 Total or Weighted Average $ 3,250,439 0.13 % 46 U.S. Treasury Securities ≤ 30 days 200,000 0.14 % 1 Total or Weighted Average $ 3,450,439 0.11 % 43 December 31, 2020 Agency Securities ≤ 30 days $ 3,618,255 0.23 % 15 > 30 days to ≤ 60 days 917,810 0.23 % 45 Total or Weighted Average $ 4,536,065 0.23 % 21 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 September 30, 2021 and December 31, 2020, BUCKLER accounted for 47.6% and 66.1%, respectively, of our aggregate borrowings and had an amount at risk of 3.9% and 8.3%, respectively, of our total stockholders' equity with a weighted average maturity of 65 days and 21 days, respectively, on repurchase agreements (see Note 15 - Related Party Transactions ). In addition, at September 30, 2021, we had 2 repurchase agreement counterparties that individually accounted for over 5% of our aggregate borrowings. In total, these counterparties accounted for approximately 18.7% of our repurchase agreement borrowings outstanding at September 30, 2021. At December 31, 2020, we had 1 repurchase agreement counterparty that individually accounted for over 5% of our aggregate borrowings. In total, this counterparty accounted for 9.0% of our repurchase agreement borrowings at December 31, 2020. |
Derivatives
Derivatives | 9 Months Ended |
Sep. 30, 2021 | |
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. Our Futures Contracts are traded on the Chicago Mercantile Exchange ("CME") which requires the use of daily mark-to-market collateral and the CME provides substantial credit support. The collateral requirements of the CME require us to pledge assets under a bi-lateral margin arrangement, including either cash or Agency Securities and these requirements may vary and change over time based on the market value, notional amount and remaining term of the Futures Contracts. In the event we are unable to meet a margin call under one of our Futures Contracts, the counterparty to such agreement may have the option to terminate or close-out all of the outstanding Futures Contracts with us. In addition, any close-out amount due to the counterparty upon termination of the counterparty’s transactions would be immediately payable by us pursuant to the applicable agreement. 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 ISDA. 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. 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 September 30, 2021 and December 31, 2020. Gross Amounts Not Offset Assets Gross Amounts (1) Financial Cash Collateral Total Net September 30, 2021 Interest rate swap contracts $ 172,592 $ (4,526) $ (147,138) $ 20,928 Futures Contracts — — 12 12 TBA Agency Securities 6,010 (18,456) 19,075 6,629 Totals $ 178,602 $ (22,982) $ (128,051) $ 27,569 December 31, 2020 Interest rate swap contracts $ 34,588 $ (866) $ (27,773) $ 5,949 TBA Agency Securities 20,098 (351) (13,942) 5,805 Totals $ 54,686 $ (1,217) $ (41,715) $ 11,754 (1) See Note 5 - Fair Value of Financial Instruments for additional discussion. Gross Amounts Not Offset Liabilities Gross Amounts (1) Financial Cash Collateral Total Net September 30, 2021 Interest rate swap contracts $ (4,526) $ 4,526 $ — $ — TBA Agency Securities (18,456) 18,456 — — Totals $ (22,982) $ 22,982 $ — $ — December 31, 2020 Interest rate swap contracts $ (866) $ 866 $ — $ — TBA Agency Securities (351) 351 — — Totals $ (1,217) $ 1,217 $ — $ — (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 and nine months ended September 30, 2021 and September 30, 2020. Income (Loss) Recognized For the Three Months Ended September 30, For the Nine Months Ended September 30, Derivatives Location on consolidated statements of operations 2021 2020 2021 2020 Interest rate swap contracts: Realized loss Realized gain (loss) on derivatives $ (58,637) $ — $ (58,637) $ (461,374) Interest income Realized gain (loss) on derivatives 1,250 1,136 3,007 28,937 Interest expense Realized gain (loss) on derivatives (8,325) (2,603) (21,507) (43,172) Changes in fair value Unrealized gain on derivatives 89,726 13,478 143,872 43,030 $ 24,014 $ 12,011 $ 66,735 $ (432,579) Futures Contracts: Realized gain Realized gain (loss) on derivatives 2 — 2 — $ 2 $ — $ 2 $ — TBA Agency Securities: Realized gain Realized gain (loss) on derivatives 36,170 22,333 16,587 80,759 Changes in fair value Unrealized gain on derivatives (29,877) (6,612) (30,787) 3,274 $ 6,293 $ 15,721 $ (14,200) $ 84,033 Totals $ 30,309 $ 27,732 $ 52,537 $ (348,546) The following tables present information about our derivatives at September 30, 2021 and December 31, 2020. Interest Rate Swap Contracts (1) Notional Amount Weighted Average Remaining Term (Months) Weighted Average Rate September 30, 2021 < 3 years $ 1,307,000 13 0.06 % ≥ 3 years and < 5 years 412,000 41 0.16 % ≥ 5 years and < 7 years 889,000 63 0.28 % ≥ 7 years 4,202,000 110 0.87 % Total or Weighted Average (2) $ 6,810,000 81 0.59 % December 31, 2020 < 3 years $ 2,230,000 12 0.06 % ≥ 3 years and < 5 years 463,000 45 0.14 % ≥ 5 years and < 7 years 942,000 72 0.28 % ≥ 7 years 1,702,000 113 0.50 % Total or Weighted Average (3) $ 5,337,000 58 0.24 % (1) Pay Fixed/Receive Variable. (2) Of this amount, $5,607,000 notional are Fed Funds based swaps, the last of which matures in 2032 and $1,203,000 notional are SOFR based swaps, the last of which matures in 2023. Includes $850,000 notional of forward settling swap contracts that settle by September 23, 2022. (3) Of this amount, $2,230,000 notional are SOFR based swaps, the last of which matures in 2023; and $3,107,000 notional are Fed Funds based swaps, the last of which matures in 2030. TBA Agency Securities Notional Amount Cost Basis Fair Value September 30, 2021 15 Year Long 1.5% $ 700,000 $ 707,348 $ 705,215 2.0% 1,700,000 1,753,652 1,746,736 30 Year Long 2.0% 300,000 303,320 300,609 2.5% 1,200,000 1,239,016 1,233,157 3.5% 300,000 313,543 313,556 Total (1) $ 4,200,000 $ 4,316,879 $ 4,299,273 December 31, 2020 15 Year Long 1.5% $ 200,000 $ 204,758 $ 205,781 2.0% 1,200,000 1,248,015 1,253,354 30 Year Long 2.0% 600,000 619,031 622,934 2.5% 800,000 838,047 841,314 3.5% (200,000) (211,055) (211,406) Total (1) $ 2,600,000 $ 2,698,796 $ 2,711,977 (1) $2,250,000 and $1,250,000 notional were forward settling at September 30, 2021 and December 31, 2020, respectively. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 9 - Commitments and Contingencies Management The Company is managed by ACM, pursuant to a management agreement (see also Note 15 - Related Party Transactions). The management agreement entitles ACM to receive management fees payable monthly in arrears. Currently, the monthly 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 September 30, 2021 and September 30, 2020, the effective management fee, prior to management fees waived, was 0.98% and 1.01% based on gross equity raised of $3,245,650 and $2,937,354, respectively. ACM began waiving 40% of its management fee during the second quarter of 2020 and on January 13, 2021, ACM notified ARMOUR that it intended to adjust the fee waiver to the rate of $2,400 for the first quarter of 2021 and $800 per month thereafter. On April 20, 2021, ACM notified ARMOUR that it intended to adjust the fee waiver to the rate of $2,100 for the second quarter of 2021 and $700 per month thereafter. On October 25, 2021, ACM notified ARMOUR that it intended to adjust the fee waiver from the rate of $700 per month to $650 per month, effective November 1, 2021, until further notice (see Note 16 - Subsequent Events ). During the three and nine months ended September 30, 2021, ACM waived management fees of $2,100 and $6,600, respectively. During the three and nine months ended September 30, 2020, ACM waived management fees of $2,953 and $5,900. The 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 incurs solely on our behalf other than the various overhead expenses specified in the terms of the management agreement. ACM is further entitled to receive termination fees from us 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 September 30, 2021 and December 31, 2020. 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. On June 15, 2020, co-counsel for the plaintiff filed a notice of supplemental authority requesting to move the matter forward. On August 19, 2020, a Notification To Parties of Contemplated Dismissal was sent out by the Clerk of the Circuit Court to all parties. Counsel for the plaintiff responded on August 24, 2020, with a Motion to Defer Dismissal, and the court deferred dismissal until May 10, 2021. A Motion to Defer Dismissal Further was not filed; however, on August 16, 2021, the court ordered that (i) entry of an Order of Dismissal is further deferred until February 1, 2022 and (ii) if the case is not fully disposed of by that date, the clerk shall enter on the docket "dismissed for lack of prosecution without prejudice." No further action has been taken by the court. 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 of all of these suits, ARMOUR is not able at this time to estimate their outcome. |
Stock Based Compensation
Stock Based Compensation | 9 Months Ended |
Sep. 30, 2021 | |
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, restricted stock units (“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. On May 13, 2021, at the Company’s 2021 annual meeting of stockholders, the Plan was amended to increase the aggregate number of shares available for issuance by 2,125 shares of common stock from 1,875 shares to 4,000 shares. At September 30, 2021, there were 2,167 shares available for future issuance under the Plan. Transactions related to awards for the nine months ended September 30, 2021 are summarized below: September 30, 2021 Number of Awards Weighted Unvested RSU Awards Outstanding beginning of period 496 $ 19.77 Granted (1) 635 $ 11.08 Vested (230) $ 17.10 Unvested RSU Awards Outstanding end of period 901 $ 14.33 (1) During the nine months ended September 30, 2021, 535 RSUs were granted to certain officers of ARMOUR through ACM and 100 RSUs were granted to the Board. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 June 30, 2021 September 30, 2021 March 31, 2020 June 30, 2020 September 30, 2020 Balance, beginning of quarter $ 938,304 $ 1,027,186 $ 1,108,542 $ 1,436,707 $ 786,250 $ 851,231 Series B Preferred dividends ($0.1640625 per share) — — — (1,375) — — Series C Preferred dividends ($0.14583 per share) (2,486) (2,996) (2,995) (1,452) (2,320) (2,320) Common stock dividends (1) (20,057) (23,197) (25,461) (30,377) (5,876) (19,590) Series B Preferred Stock, called for redemption — — — (209,583) — — Issuance of Series C Preferred Stock 28,173 8,412 — 129,221 (125) — Issuance of Common stock, net 52,960 159,264 49,072 — 48,886 — Stock based compensation, net of withholding requirements 1,199 1,205 1,237 1,001 1,022 1,028 Common Stock repurchased, net — — — (777) — — Net income (loss) 71,327 (69,174) 33,982 (406,659) 51,748 58,386 Other comprehensive income (loss) (42,234) 7,842 (20,685) (130,456) (28,354) 3,534 Balance, end of quarter $ 1,027,186 $ 1,108,542 $ 1,143,692 $ 786,250 $ 851,231 $ 892,269 (1) See the below table for common stock dividends per share for the nine months ended September 30, 2021. Common stock dividends were $0.17 per share each month for January, February and March 2020. No common stock dividends were paid in April and May 2020, $0.09 per share was paid in June 2020 and for each month from July through September 2020 common stock dividends paid were $0.10 per share. Preferred Stock At September 30, 2021 and December 31, 2020, 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 January 28, 2020, we filed Articles Supplementary with the State Department of Assessments and Taxation of the State of Maryland 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 September 30, 2021, a total of 31,617 shares of our authorized preferred stock remain available for designation as future series. Series C Cumulative Redeemable Preferred Stock "Series C Preferred Stock" At September 30, 2021 and December 31, 2020, we had 6,847 and 5,347 shares, respectively, of Series C Preferred Stock issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $171,175 and $133,675 in the aggregate. Shares designated as Series C Preferred Stock but unissued totaled 3,153 and 4,653 at September 30, 2021 and December 31, 2020, respectively. At September 30, 2021 and December 31, 2020, there were no accrued or unpaid dividends on the Series C Preferred Stock. On January 29, 2020, the Company entered into an Equity Sales Agreement (the “Preferred C ATM Sales Agreement”) with B. Riley Securities, Inc. (formerly 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 or more of the Agents, as the Company’s agents, up to 6,550 of Series C Preferred Stock. The Preferred C ATM Sales Agreement relates to a proposed “at-the-market” offering program. Under the Preferred C ATM Sales 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 Preferred C ATM Sales Agreement. During the nine months ended September 30, 2021, we sold 1,500 shares under Preferred C ATM Sales Agreement for proceeds of $36,585, net of issuance costs and commissions of approximately $445. Common Stock On August 20, 2021 we filed Articles of Amendment with the state of Maryland to increase the number of authorized common stock from 125,000 to 200,000 shares. At September 30, 2021 and December 31, 2020, we were authorized to issue up to 200,000 and 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 87,709 shares of common stock issued and outstanding at September 30, 2021 and 65,290 shares of common stock issued and outstanding at December 31, 2020. 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 Securities, Inc. (formerly B. Riley FBR, Inc.) as a sales agent. On May 4, 2020 the Common stock ATM Sales Agreement was further amended to increase the number of shares available for sale pursuant to the terms of the Common Stock ATM Sales Agreement. In accordance with the terms of the Common Stock ATM Sales agreement, as amended, we may offer and sell over a period of time and from time to time, up to 17,000 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 Common stock ATM Sales Agreement, as amended, we paid 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. Prior to exhausting the Common stock ATM Sales Agreement, as amended, on May 18, 2021, we sold 10,713 shares for proceeds of $129,336, net of issuance costs and commissions of approximately $1,682. After exhausting the Common stock ATM Sales Agreement, we entered into a new Equity Sales Agreement (the “2021 Common stock ATM Sales Agreement”) on May 14, 2021, with BUCKLER, JMP Securities LLC, Ladenburg Thalmann & Co. Inc. and B. Riley Securities, Inc., as sales agents, relating to the shares of our common stock. In accordance with the terms of the 2021 Common Stock ATM Sales agreement, we may offer and sell over a period of time and from time to time, up to 17,000 shares of our common stock, par value $0.001 per share. The 2021 Common stock ATM Sales Agreement relates to an "at-the-market" offering program. Under the 2021 Common stock ATM Sales 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 2021 Common stock ATM Sales Agreement. We have sold 11,529 shares under this agreement for proceeds of $131,960, net of issuance costs and commissions of approximately $1,473. See Note 15 - Related Party Transactions for discussion of additional transactions with BUCKLER. Common Stock Repurchased At September 30, 2021 and December 31, 2020, there were 8,210 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 nine months ended September 30, 2021 and for the year ended December 31, 2020. Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds (Costs) September 30, 2021 Preferred C ATM Sales Agreement January 19, 2021 - April 9, 2021 1,500 $ 24.38 $ 36,585 Common stock ATM Sales Agreement March 3, 2021 - May 18, 2021 10,713 $ 12.07 $ 129,336 2021 Common stock ATM Sales Agreement May 19, 2021 - September 28, 2021 11,529 $ 11.45 $ 131,960 December 31, 2020 Preferred C Underwritten Offering January 28, 2020 3,450 $ 24.14 $ 83,282 Preferred C ATM Sales Agreement January 30, 2020 - December 23, 2020 1,897 $ 24.70 $ 46,856 Common stock ATM Sales Agreement April 7, 2020 - December 15, 2020 6,287 $ 8.68 $ 54,575 Common stock repurchases, net February 26, 2020 - March 3, 2020 (40) $ 19.42 $ (777) (1) Weighted average price Dividends The following table presents our Series C Preferred Stock dividend transactions for the nine months ended September 30, 2021. Record Date Payment Date Rate per Series C Preferred Share Aggregate January 15, 2021 January 27, 2021 $ 0.14583 $ 779.7 February 15, 2021 February 26, 2021 $ 0.14583 $ 836.9 March 15, 2021 March 29, 2021 $ 0.14583 $ 869.6 April 15, 2021 April 27, 2021 $ 0.14583 $ 998.5 May 15, 2021 May 27, 2021 $ 0.14583 $ 998.5 June 15, 2021 June 28, 2021 $ 0.14583 $ 998.5 July 15, 2021 July 27, 2021 $ 0.14583 $ 998.5 August 15, 2021 August 27, 2021 $ 0.14583 $ 998.5 September 15, 2021 September 27, 2021 $ 0.14583 $ 998.5 Total dividends paid $ 8,477.2 The following table presents our common stock dividend transactions for the nine months ended September 30, 2021. Record Date Payment Date Rate per common share Aggregate January 15, 2021 January 28, 2021 $ 0.10 $ 6,646 February 16, 2021 February 26, 2021 $ 0.10 6,645 March 15, 2021 March 29, 2021 $ 0.10 6,766 April 15, 2021 April 29, 2021 $ 0.10 7,234 May 17, 2021 May 27, 2021 $ 0.10 7,646 June 15, 2021 June 29, 2021 $ 0.10 8,317 July 15, 2021 July 29, 2021 $ 0.10 8,413 August 16, 2021 August 27, 2021 $ 0.10 8,413 September 15, 2021 September 29, 2021 $ 0.10 8,635 Total dividends paid $ 68,715 |
Net Income (Loss) per Common Sh
Net Income (Loss) per Common Share | 9 Months Ended |
Sep. 30, 2021 | |
Earnings Per Share [Abstract] | |
Net Income (Loss) per Common Share | Note 12 - Net Income (Loss) per Common Share The following table presents a reconciliation of net income (loss) and the shares used in calculating weighted average basic and diluted earnings per common share for the three and nine months ended September 30, 2021 and September 30, 2020. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2021 2020 2021 2020 Net Income (Loss) $ 33,982 $ 58,386 $ 36,135 $ (296,525) Less: Preferred dividends (2,995) (2,320) (8,477) (7,467) Net Income (Loss) available (related) to common stockholders $ 30,987 $ 56,066 $ 27,658 $ (303,992) Weighted average common shares outstanding – basic 84,026 64,724 75,417 62,458 Add: Effect of dilutive non-vested awards, assumed vested 901 548 901 — Weighted average common shares outstanding – diluted 84,927 65,272 76,318 62,458 For the nine months ended September 30, 2020, 548 of potentially dilutive non-vested awards outstanding were excluded from the computation of diluted Net Income (Loss) available (related) to common stockholders because to have included them would have been anti-dilutive for the period. 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 and nine months ended September 30, 2021 and September 30, 2020. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2021 2020 2021 2020 Comprehensive Income (Loss) $ 13,297 $ 61,920 $ (18,942) $ (451,801) Less: Preferred dividends (2,995) (2,320) (8,477) (7,467) Comprehensive Income (Loss) available (related) to common stockholders $ 10,302 $ 59,600 $ (27,419) $ (459,268) Net Comprehensive Income (Loss) per share available (related) to common stockholders: Basic $ 0.12 $ 0.92 $ (0.36) $ (7.35) Diluted $ 0.12 $ 0.91 $ (0.36) $ (7.35) Weighted average common shares outstanding: Basic 84,026 64,724 75,417 62,458 Add: Effect of dilutive non-vested awards, assumed vested 901 548 — — Diluted 84,927 65,272 75,417 62,458 For the nine months ended September 30, 2021 and September 30, 2020, 901 and 548, respectively, of potentially dilutive non-vested awards outstanding were excluded from the computation of diluted Net Comprehensive Income (Loss) available (related) to common stockholders because to have included them would have been anti-dilutive for the period. |
Comprehensive Income (Loss) per
Comprehensive Income (Loss) per Common Share | 9 Months Ended |
Sep. 30, 2021 | |
Earnings Per Share [Abstract] | |
Comprehensive Income (Loss) per Common Share | Note 12 - Net Income (Loss) per Common Share The following table presents a reconciliation of net income (loss) and the shares used in calculating weighted average basic and diluted earnings per common share for the three and nine months ended September 30, 2021 and September 30, 2020. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2021 2020 2021 2020 Net Income (Loss) $ 33,982 $ 58,386 $ 36,135 $ (296,525) Less: Preferred dividends (2,995) (2,320) (8,477) (7,467) Net Income (Loss) available (related) to common stockholders $ 30,987 $ 56,066 $ 27,658 $ (303,992) Weighted average common shares outstanding – basic 84,026 64,724 75,417 62,458 Add: Effect of dilutive non-vested awards, assumed vested 901 548 901 — Weighted average common shares outstanding – diluted 84,927 65,272 76,318 62,458 For the nine months ended September 30, 2020, 548 of potentially dilutive non-vested awards outstanding were excluded from the computation of diluted Net Income (Loss) available (related) to common stockholders because to have included them would have been anti-dilutive for the period. 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 and nine months ended September 30, 2021 and September 30, 2020. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2021 2020 2021 2020 Comprehensive Income (Loss) $ 13,297 $ 61,920 $ (18,942) $ (451,801) Less: Preferred dividends (2,995) (2,320) (8,477) (7,467) Comprehensive Income (Loss) available (related) to common stockholders $ 10,302 $ 59,600 $ (27,419) $ (459,268) Net Comprehensive Income (Loss) per share available (related) to common stockholders: Basic $ 0.12 $ 0.92 $ (0.36) $ (7.35) Diluted $ 0.12 $ 0.91 $ (0.36) $ (7.35) Weighted average common shares outstanding: Basic 84,026 64,724 75,417 62,458 Add: Effect of dilutive non-vested awards, assumed vested 901 548 — — Diluted 84,927 65,272 75,417 62,458 For the nine months ended September 30, 2021 and September 30, 2020, 901 and 548, respectively, of potentially dilutive non-vested awards outstanding were excluded from the computation of diluted Net Comprehensive Income (Loss) available (related) to common stockholders because to have included them would have been anti-dilutive for the period. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2021 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 14 - Income Taxes The following table reconciles our GAAP net income (loss) to estimated REIT taxable loss for the three and nine months ended September 30, 2021 and September 30, 2020. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2021 2020 2021 2020 GAAP net income (loss) $ 33,982 $ 58,386 $ 36,135 $ (296,525) Book to tax differences: TRS (income) loss 23 145 (43) 76 Premium amortization expense (41) (103) (117) (183) Agency Securities, trading 2,387 (12,149) 45,790 (20,060) Credit Risk and Non-Agency Securities — 6,510 — 188,075 U.S. Treasury Securities 9,170 — 9,198 (21,357) Changes in interest rate contracts (37,384) (29,199) (71,037) 334,312 Credit loss expense — — — 1,012 Gain on Security Sales (3,724) (9,468) (11,078) (138,802) Amortization of deferred hedging costs (40,664) (45,458) (122,529) (106,618) Series B Cumulative Preferred Stock dividend - Called for redemption — — — 1,375 Other 531 561 1,368 1,032 Estimated REIT taxable loss $ (35,720) $ (30,775) $ (112,313) $ (57,663) 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. At September 30, 2021 and at December 31, 2020, we had approximately $648,000 and $717,000, respectively, in interest rate swap expense amortizing through the year 2031. At September 30, 2021, we had $91,961 of net operating loss carryforwards available for use indefinitely. Net capital losses realized Amount Available to offset capital gains through 2018 $ (136,388) 2023 2019 $ (13,819) 2024 The Company's subsidiary, ARMOUR TRS, Inc., has made an election as a taxable REIT subsidiary (“TRS”). As such, the TRS is taxable as a domestic C corporation and subject to federal, state, and local income taxes based upon its taxable income. The aggregate tax basis of our assets and liabilities was less than our total Stockholders’ Equity at September 30, 2021 by approximately $236,674, or approximately $2.70 per common share (based on the 87,709 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 for the three and nine months ended September 30, 2021 and September 30, 2020 were $28,456 and $77,192 and $21,910 and $63,310, respectively, (including the final dividend on the Series B Preferred Stock, called for redemption, paid on February 27, 2020). 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. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2021 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Note 15 - Related Party Transactions ACM The Company is managed by ACM, pursuant to a management agreement. 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 management agreement runs through June 18, 2027 and is thereafter automatically renewed for an additional five-year term unless terminated under certain circumstances. Under the terms of the management agreement, 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. ACM began waiving 40% of its management fee during the second quarter of 2020 and on January 13, 2021, ACM notified ARMOUR that it intended to adjust the fee waiver to the rate of $2,400 for the first quarter of 2021 and $800 per month thereafter. On April 20, 2021, ACM notified ARMOUR that it intended to adjust the fee waiver to the rate of $2,100 for the second quarter of 2021 and $700 per month thereafter. On October 25, 2021, ACM notified ARMOUR that it intended to adjust the fee waiver from the rate of $700 per month to $650 per month, effective November 1, 2021, until further notice (see Note 16 - Subsequent Events ). The following table reconciles the fees incurred in accordance with the management agreement for the three and nine months ended September 30, 2021 and September 30, 2020. For the Three Months Ended September 30, For the Nine Months 2021 2020 2021 2020 Management fees $ 7,886 $ 7,383 $ 23,024 $ 22,195 Less management fees waived (2,100) (2,953) (6,600) (5,900) Total net management fee expense $ 5,786 $ 4,430 $ 16,424 $ 16,295 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 agreement. For the three and nine months ended September 30, 2021 and September 30, 2020, we reimbursed ACM $92 and $130 and $2 and $150 for other expenses incurred on our behalf. In 2013, 2017, 2020 and January 2021, we elected to grant restricted stock unit awards to our executive officers and other ACM employees through ACM that generally vest over 5 years. In 2017, 2020 and January 2021, we elected to grant RSUs to the Board. We recognized stock based compensation expense of $176 and $584 and $118 and $402 for the three and nine months ended September 30, 2021 and September 30, 2020, 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 $687 at September 30, 2021 and $634 at December 31, 2020, 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 and nine months ended September 30, 2020, we earned $117 and $1,382, respectively, from BUCKLER as an allocated share of Financing Gross Profit for a reduction of interest on repurchase agreements charged to the Company. For the three and nine months ended September 30, 2021, we did not receive any allocated share of Financing Gross Profit. 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 2022. We have one subordinated loan agreement with BUCKLER, totaling $105.0 million and maturing on 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 and nine months ended September 30, 2021 and September 30, 2020, the Company earned $20 and $52 and $25 and $312, respectively, of interest on this loan. With BUCKLER as the sales agent, under the Common stock ATM Sales Agreement and the 2021 Common stock ATM Sales Agreement (see also Note 11 - Stockholders' Equity) , we sold 4,818 and 10,529 common shares for proceeds of $58,374 and $120,411, net of issuance costs and commissions of approximately $702 and $1,213, respectively, during the nine months ended September 30, 2021. The table below summarizes other transactions with BUCKLER for the nine months ended September 30, 2021 and for the year ended December 31, 2020. Transactions with BUCKLER September 30, 2021 December 31, 2020 Repurchase agreements (1) $ 1,642,069 $ 2,998,111 Collateral posted on repurchase agreements $ 1,707,223 $ 3,117,929 U.S. Treasury Securities Purchased $ 100,000 $ — (1) Interest on repurchase agreements was $774 and $2,938 and $1,424 and $36,821 for the three and nine months ended September 30, 2021 and September 30, 2020, respectively. See also, Note 7 - Repurchase Agreements |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 16 - Subsequent Events ACM Management Agreement On October 25, 2021, ACM notified ARMOUR that it intended to adjust the fee waiver from the rate of $700 per month to $650 per month, effective November 1, 2021, until ACM provides further notice to ARMOUR. ACM may terminate this waiver for any month by providing notice to ARMOUR on or before the 25th day of the preceding month. This waiver does not constitute a waiver of any other amounts due to ACM from ARMOUR under the management agreement between ARMOUR and ACM or otherwise, including but not limited to any expense reimbursements, any amounts calculated by reference to the contractual Base Management Fee (as defined in such management agreement), or any awards under the Second Amended and Restated 2009 Stock Incentive Plan. Series C Preferred Stock A cash dividend of $0.14583 per outstanding share of Series C Preferred Stock, or $998 in the aggregate, will be paid on October 27, 2021 to holders of record on October 15, 2021. We have also declared cash dividends of $0.14583 per outstanding share of Series C Preferred Stock payable November 29, 2021 to holders of record on November 15, 2021 and payable December 27, 2021 to holders of record on December 15, 2021. Common Stock A cash dividend of $0.10 per outstanding common share, or $9,065 in the aggregate, will be paid on October 28, 2021 to holders of record on October 15, 2021. We have also declared a cash dividend of $0.10 per outstanding common share payable November 15, 2021 to holders of record on November 29, 2021. Between October 1, 2021 and October 13, 2021, we issued 1,980 shares under our 2021 Common stock ATM Sales Agreement for proceeds of $21,543 net of issuance costs and commissions of $218. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2021 | |
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. Operating results for the three and nine months ended September 30, 2021 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2021. 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, 2020. |
Consolidation | The unaudited consolidated financial statements include the accounts of ARMOUR Residential REIT, Inc. and its subsidiaries. All intercompany accounts and transactions have been eliminated. |
Use of Estimates | 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. |
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 our cash positions 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, interest rate swaptions, basis swap contracts, Eurodollar Futures Contracts ("Futures 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 |
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 |
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"), and more recently the Secured Overnight Funding Rate ("SOFR"). 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 September 30, 2021 and December 31, 2020. |
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 may include interest rate swap contracts, interest rate swaptions, basis swap contracts and Futures Contracts. |
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 less than amortized cost. Impairment losses recognized establish a new cost basis for the related available for sale securities. |
Revenue Recognition | Revenue Recognition 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 sales of available for sale securities are reclassified into income from other comprehensive income and are determined using the specific identification method. 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. We have not identified any ASUs that we deemed to be applicable or that are expected to have a significant impact on our consolidated financial statements when adopted. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, 2021 and December 31, 2020. September 30, 2021 Level 1 Level 2 Level 3 Balance Assets at Fair Value: Agency Securities $ — $ 4,259,294 $ — $ 4,259,294 U.S. Treasury Securities $ 194,906 $ — $ — $ 194,906 Derivatives $ — $ 178,602 $ — $ 178,602 Liabilities at Fair Value: Derivatives $ — $ 22,982 $ — $ 22,982 December 31, 2020 Level 1 Level 2 Level 3 Balance Assets at Fair Value: Agency Securities $ — $ 5,178,322 $ — $ 5,178,322 Derivatives $ — $ 54,686 $ — $ 54,686 Liabilities at Fair Value: Derivatives $ — $ 1,217 $ — $ 1,217 |
Investments in Securities (Tabl
Investments in Securities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment in Securities | The following tables summarize our investments in securities as of September 30, 2021 and December 31, 2020, excluding TBA Agency Securities (see Note 8 - Derivatives ). Beginning in the second quarter of 2020, we designated Agency MBS purchased as “trading securities” for financial reporting purposes, and consequently, fair value changes for these investments will be reported in net income. We anticipate continuing this designation for newly acquired Agency MBS positions because it is more representative of our results of operations insofar as the fair value changes for these securities are presented in a manner consistent with the presentation and timing of the fair value changes of our hedging instruments. Fair value changes for the legacy Agency Securities designated as available for sale are reported in other comprehensive income as required by GAAP. Available Trading Securities Agency Agency Credit Risk and Non-Agency U.S. Treasuries Totals September 30, 2021 Balance, December 31, 2020 $ 1,970,902 $ 3,207,420 $ — $ — $ 5,178,322 Purchases (1) — 883,281 — 788,919 1,672,200 Proceeds from sales (87,875) (813,178) — (584,817) (1,485,870) Receivable for unsettled sales (82,100) — — — (82,100) Principal repayments (278,662) (412,271) — — (690,933) Losses (43,999) (45,790) — (9,198) (98,987) (Amortization) accretion (12,755) (25,679) — 2 (38,432) Balance, September 30, 2021 $ 1,465,511 $ 2,793,783 $ — $ 194,906 $ 4,454,200 Percentage of Portfolio 32.90 % 62.72 % — % 4.38 % 100.00 % December 31, 2020 Balance, December 31, 2019 $ 11,941,766 $ — $ 883,601 $ — $ 12,825,367 Purchases (1) 1,768,688 3,711,961 237,928 4,621,776 10,340,353 Proceeds from sales (10,800,879) (158,708) (889,057) (4,643,049) (16,491,693) Principal repayments (873,650) (343,514) (45,766) — (1,262,930) Gains (losses) (32,565) 19,557 (189,555) 21,357 (181,206) Credit loss expense (1,012) — — — (1,012) (Amortization) accretion (31,446) (21,876) 2,849 (84) (50,557) Balance, December 31, 2020 $ 1,970,902 $ 3,207,420 $ — $ — $ 5,178,322 Percentage of Portfolio 38.06 % 61.94 % — % — % 100.00 % |
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 available for sale securities at September 30, 2021 and December 31, 2020. Our available for sale securities had a weighted average coupon of 3.00% and 3.25% at September 30, 2021 and December 31, 2020. Agency Securities Principal Amount Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value September 30, 2021 Total Fannie Mae $ 1,098,882 $ 1,125,271 $ (26) $ 113,765 $ 1,239,010 Total Freddie Mac 194,139 201,847 — 10,092 211,939 Total Ginnie Mae 14,084 14,439 (9) 132 14,562 Total $ 1,307,105 $ 1,341,557 $ (35) $ 123,989 $ 1,465,511 December 31, 2020 Total Fannie Mae $ 1,359,136 $ 1,397,206 $ (1) $ 159,603 $ 1,556,808 Total Freddie Mac 354,382 368,686 — 19,246 387,932 Total Ginnie Mae 25,388 25,979 (43) 226 26,162 Total $ 1,738,906 $ 1,791,871 $ (44) $ 179,075 $ 1,970,902 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | The following table presents the unrealized losses and estimated fair value of our available for sale securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2021 and December 31, 2020. All of our available for sale 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 Agency Securities Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses September 30, 2021 $ 1,722 $ (4) $ 5,341 $ (31) $ 7,063 $ (35) December 31, 2020 $ 8,811 $ (44) $ — $ — $ 8,811 $ (44) |
Investments Classified by Contractual Maturity Date | The following table summarizes the weighted average lives of our available for sale securities at September 30, 2021 and December 31, 2020. September 30, 2021 December 31, 2020 Weighted Average Life of Available for Sale Securities Fair Value Amortized Fair Value Amortized < 1 year $ 118 $ 115 $ 71 $ 72 ≥ 1 year and < 3 years 28,770 28,225 548,352 520,657 ≥ 3 years and < 5 years 381,710 363,268 282,739 269,716 ≥ 5 years 1,054,913 949,949 1,139,740 1,001,426 Total Available for Sale Securities $ 1,465,511 $ 1,341,557 $ 1,970,902 $ 1,791,871 The following table summarizes the weighted average lives of our trading securities at September 30, 2021 and December 31, 2020. September 30, 2021 December 31, 2020 Estimated Weighted Average Life of Trading Securities Fair Value Amortized Cost Fair Value Amortized Cost < 1 year $ — $ — $ — $ — ≥ 1 year and < 3 years 61,949 61,793 649,425 650,328 ≥ 3 years and < 5 years 473,216 468,971 1,522,509 1,506,035 ≥ 5 years 2,453,524 2,485,187 1,035,486 1,030,366 Total $ 2,988,689 $ 3,015,951 $ 3,207,420 $ 3,186,729 |
Debt Securities, Trading, and Equity Securities, FV-NI | The components of the carrying value of our trading securities at September 30, 2021 and December 31, 2020 are presented in the table below. We did not have any Credit Risk and Non-Agency Securities or Interest-Only Securities at September 30, 2021 and December 31, 2020. Principal Amount Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value September 30, 2021 Agency Securities: Total Fannie Mae $ 2,184,495 $ 2,310,414 $ (25,528) $ 5,325 $ 2,290,211 Total Freddie Mac 482,142 505,537 (4,419) 2,454 503,572 Total Agency Securities $ 2,666,637 $ 2,815,951 $ (29,947) $ 7,779 $ 2,793,783 U.S. Treasury Securities 200,000 200,000 (5,094) — 194,906 Total Trading Securities $ 2,866,637 $ 3,015,951 $ (35,041) $ 7,779 $ 2,988,689 December 31, 2020 Agency Securities: Total Fannie Mae $ 2,420,828 $ 2,585,409 $ (1,441) $ 18,211 $ 2,602,179 Total Freddie Mac 570,654 601,320 (430) 4,351 605,241 Total Trading Securities $ 2,991,482 $ 3,186,729 $ (1,871) $ 22,562 $ 3,207,420 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, 2021 and December 31, 2020. No amounts below are subject to offsetting. Our repurchase agreements require excess collateral, known as a “haircut.” At September 30, 2021, the average haircut percentage was 3.44% compared to 3.13% at December 31, 2020. The haircut for our repurchase agreements vary by counterparty and therefore, the changes in the average haircut percentage will vary with the changes in our counterparty repurchase agreement balances. Balance Weighted Average Contractual Rate Weighted Average Maturity in days September 30, 2021 Agency Securities ≤ 30 days $ 2,556,476 0.13 % 15 > 30 days to ≤ 90 days 109,082 0.11 % 49 > 90 days 584,881 0.11 % 182 Total or Weighted Average $ 3,250,439 0.13 % 46 U.S. Treasury Securities ≤ 30 days 200,000 0.14 % 1 Total or Weighted Average $ 3,450,439 0.11 % 43 December 31, 2020 Agency Securities ≤ 30 days $ 3,618,255 0.23 % 15 > 30 days to ≤ 60 days 917,810 0.23 % 45 Total or Weighted Average $ 4,536,065 0.23 % 21 |
Derivatives (Tables)
Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, 2021 and December 31, 2020. Gross Amounts Not Offset Assets Gross Amounts (1) Financial Cash Collateral Total Net September 30, 2021 Interest rate swap contracts $ 172,592 $ (4,526) $ (147,138) $ 20,928 Futures Contracts — — 12 12 TBA Agency Securities 6,010 (18,456) 19,075 6,629 Totals $ 178,602 $ (22,982) $ (128,051) $ 27,569 December 31, 2020 Interest rate swap contracts $ 34,588 $ (866) $ (27,773) $ 5,949 TBA Agency Securities 20,098 (351) (13,942) 5,805 Totals $ 54,686 $ (1,217) $ (41,715) $ 11,754 (1) See Note 5 - Fair Value of Financial Instruments for additional discussion. |
Offsetting Liabilities | Gross Amounts Not Offset Liabilities Gross Amounts (1) Financial Cash Collateral Total Net September 30, 2021 Interest rate swap contracts $ (4,526) $ 4,526 $ — $ — TBA Agency Securities (18,456) 18,456 — — Totals $ (22,982) $ 22,982 $ — $ — December 31, 2020 Interest rate swap contracts $ (866) $ 866 $ — $ — TBA Agency Securities (351) 351 — — Totals $ (1,217) $ 1,217 $ — $ — (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 and nine months ended September 30, 2021 and September 30, 2020. Income (Loss) Recognized For the Three Months Ended September 30, For the Nine Months Ended September 30, Derivatives Location on consolidated statements of operations 2021 2020 2021 2020 Interest rate swap contracts: Realized loss Realized gain (loss) on derivatives $ (58,637) $ — $ (58,637) $ (461,374) Interest income Realized gain (loss) on derivatives 1,250 1,136 3,007 28,937 Interest expense Realized gain (loss) on derivatives (8,325) (2,603) (21,507) (43,172) Changes in fair value Unrealized gain on derivatives 89,726 13,478 143,872 43,030 $ 24,014 $ 12,011 $ 66,735 $ (432,579) Futures Contracts: Realized gain Realized gain (loss) on derivatives 2 — 2 — $ 2 $ — $ 2 $ — TBA Agency Securities: Realized gain Realized gain (loss) on derivatives 36,170 22,333 16,587 80,759 Changes in fair value Unrealized gain on derivatives (29,877) (6,612) (30,787) 3,274 $ 6,293 $ 15,721 $ (14,200) $ 84,033 Totals $ 30,309 $ 27,732 $ 52,537 $ (348,546) |
Schedule of Derivative Instruments | The following tables present information about our derivatives at September 30, 2021 and December 31, 2020. Interest Rate Swap Contracts (1) Notional Amount Weighted Average Remaining Term (Months) Weighted Average Rate September 30, 2021 < 3 years $ 1,307,000 13 0.06 % ≥ 3 years and < 5 years 412,000 41 0.16 % ≥ 5 years and < 7 years 889,000 63 0.28 % ≥ 7 years 4,202,000 110 0.87 % Total or Weighted Average (2) $ 6,810,000 81 0.59 % December 31, 2020 < 3 years $ 2,230,000 12 0.06 % ≥ 3 years and < 5 years 463,000 45 0.14 % ≥ 5 years and < 7 years 942,000 72 0.28 % ≥ 7 years 1,702,000 113 0.50 % Total or Weighted Average (3) $ 5,337,000 58 0.24 % (1) Pay Fixed/Receive Variable. (2) Of this amount, $5,607,000 notional are Fed Funds based swaps, the last of which matures in 2032 and $1,203,000 notional are SOFR based swaps, the last of which matures in 2023. Includes $850,000 notional of forward settling swap contracts that settle by September 23, 2022. (3) Of this amount, $2,230,000 notional are SOFR based swaps, the last of which matures in 2023; and $3,107,000 notional are Fed Funds based swaps, the last of which matures in 2030. TBA Agency Securities Notional Amount Cost Basis Fair Value September 30, 2021 15 Year Long 1.5% $ 700,000 $ 707,348 $ 705,215 2.0% 1,700,000 1,753,652 1,746,736 30 Year Long 2.0% 300,000 303,320 300,609 2.5% 1,200,000 1,239,016 1,233,157 3.5% 300,000 313,543 313,556 Total (1) $ 4,200,000 $ 4,316,879 $ 4,299,273 December 31, 2020 15 Year Long 1.5% $ 200,000 $ 204,758 $ 205,781 2.0% 1,200,000 1,248,015 1,253,354 30 Year Long 2.0% 600,000 619,031 622,934 2.5% 800,000 838,047 841,314 3.5% (200,000) (211,055) (211,406) Total (1) $ 2,600,000 $ 2,698,796 $ 2,711,977 (1) $2,250,000 and $1,250,000 notional were forward settling at September 30, 2021 and December 31, 2020, respectively. |
Stock Based Compensation (Table
Stock Based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Share-based Payment Arrangement [Abstract] | |
Schedule of Nonvested Restricted Stock Units Activity | Transactions related to awards for the nine months ended September 30, 2021 are summarized below: September 30, 2021 Number of Awards Weighted Unvested RSU Awards Outstanding beginning of period 496 $ 19.77 Granted (1) 635 $ 11.08 Vested (230) $ 17.10 Unvested RSU Awards Outstanding end of period 901 $ 14.33 (1) During the nine months ended September 30, 2021, 535 RSUs were granted to certain officers of ARMOUR through ACM and 100 RSUs were granted to the Board. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Equity [Abstract] | |
Schedule of Stockholders Equity | The following table presents the changes in Stockholders' Equity for the following interim periods. Stockholders' Equity March 31, 2021 June 30, 2021 September 30, 2021 March 31, 2020 June 30, 2020 September 30, 2020 Balance, beginning of quarter $ 938,304 $ 1,027,186 $ 1,108,542 $ 1,436,707 $ 786,250 $ 851,231 Series B Preferred dividends ($0.1640625 per share) — — — (1,375) — — Series C Preferred dividends ($0.14583 per share) (2,486) (2,996) (2,995) (1,452) (2,320) (2,320) Common stock dividends (1) (20,057) (23,197) (25,461) (30,377) (5,876) (19,590) Series B Preferred Stock, called for redemption — — — (209,583) — — Issuance of Series C Preferred Stock 28,173 8,412 — 129,221 (125) — Issuance of Common stock, net 52,960 159,264 49,072 — 48,886 — Stock based compensation, net of withholding requirements 1,199 1,205 1,237 1,001 1,022 1,028 Common Stock repurchased, net — — — (777) — — Net income (loss) 71,327 (69,174) 33,982 (406,659) 51,748 58,386 Other comprehensive income (loss) (42,234) 7,842 (20,685) (130,456) (28,354) 3,534 Balance, end of quarter $ 1,027,186 $ 1,108,542 $ 1,143,692 $ 786,250 $ 851,231 $ 892,269 (1) See the below table for common stock dividends per share for the nine months ended September 30, 2021. Common stock dividends were $0.17 per share each month for January, February and March 2020. No common stock dividends were paid in April and May 2020, $0.09 per share was paid in June 2020 and for each month from July through September 2020 common stock dividends paid were $0.10 per share. |
Equity Transactions | The following tables present our equity transactions for the nine months ended September 30, 2021 and for the year ended December 31, 2020. Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds (Costs) September 30, 2021 Preferred C ATM Sales Agreement January 19, 2021 - April 9, 2021 1,500 $ 24.38 $ 36,585 Common stock ATM Sales Agreement March 3, 2021 - May 18, 2021 10,713 $ 12.07 $ 129,336 2021 Common stock ATM Sales Agreement May 19, 2021 - September 28, 2021 11,529 $ 11.45 $ 131,960 December 31, 2020 Preferred C Underwritten Offering January 28, 2020 3,450 $ 24.14 $ 83,282 Preferred C ATM Sales Agreement January 30, 2020 - December 23, 2020 1,897 $ 24.70 $ 46,856 Common stock ATM Sales Agreement April 7, 2020 - December 15, 2020 6,287 $ 8.68 $ 54,575 Common stock repurchases, net February 26, 2020 - March 3, 2020 (40) $ 19.42 $ (777) (1) Weighted average price |
Dividends Transactions | The following table presents our Series C Preferred Stock dividend transactions for the nine months ended September 30, 2021. Record Date Payment Date Rate per Series C Preferred Share Aggregate January 15, 2021 January 27, 2021 $ 0.14583 $ 779.7 February 15, 2021 February 26, 2021 $ 0.14583 $ 836.9 March 15, 2021 March 29, 2021 $ 0.14583 $ 869.6 April 15, 2021 April 27, 2021 $ 0.14583 $ 998.5 May 15, 2021 May 27, 2021 $ 0.14583 $ 998.5 June 15, 2021 June 28, 2021 $ 0.14583 $ 998.5 July 15, 2021 July 27, 2021 $ 0.14583 $ 998.5 August 15, 2021 August 27, 2021 $ 0.14583 $ 998.5 September 15, 2021 September 27, 2021 $ 0.14583 $ 998.5 Total dividends paid $ 8,477.2 The following table presents our common stock dividend transactions for the nine months ended September 30, 2021. Record Date Payment Date Rate per common share Aggregate January 15, 2021 January 28, 2021 $ 0.10 $ 6,646 February 16, 2021 February 26, 2021 $ 0.10 6,645 March 15, 2021 March 29, 2021 $ 0.10 6,766 April 15, 2021 April 29, 2021 $ 0.10 7,234 May 17, 2021 May 27, 2021 $ 0.10 7,646 June 15, 2021 June 29, 2021 $ 0.10 8,317 July 15, 2021 July 29, 2021 $ 0.10 8,413 August 16, 2021 August 27, 2021 $ 0.10 8,413 September 15, 2021 September 29, 2021 $ 0.10 8,635 Total dividends paid $ 68,715 |
Net Income (Loss) per Common _2
Net Income (Loss) per Common Share (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of Weighted Average Number of Shares | The following table presents a reconciliation of net income (loss) and the shares used in calculating weighted average basic and diluted earnings per common share for the three and nine months ended September 30, 2021 and September 30, 2020. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2021 2020 2021 2020 Net Income (Loss) $ 33,982 $ 58,386 $ 36,135 $ (296,525) Less: Preferred dividends (2,995) (2,320) (8,477) (7,467) Net Income (Loss) available (related) to common stockholders $ 30,987 $ 56,066 $ 27,658 $ (303,992) Weighted average common shares outstanding – basic 84,026 64,724 75,417 62,458 Add: Effect of dilutive non-vested awards, assumed vested 901 548 901 — Weighted average common shares outstanding – diluted 84,927 65,272 76,318 62,458 |
Comprehensive Income (Loss) p_2
Comprehensive Income (Loss) per Common Share (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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 and nine months ended September 30, 2021 and September 30, 2020. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2021 2020 2021 2020 Comprehensive Income (Loss) $ 13,297 $ 61,920 $ (18,942) $ (451,801) Less: Preferred dividends (2,995) (2,320) (8,477) (7,467) Comprehensive Income (Loss) available (related) to common stockholders $ 10,302 $ 59,600 $ (27,419) $ (459,268) Net Comprehensive Income (Loss) per share available (related) to common stockholders: Basic $ 0.12 $ 0.92 $ (0.36) $ (7.35) Diluted $ 0.12 $ 0.91 $ (0.36) $ (7.35) Weighted average common shares outstanding: Basic 84,026 64,724 75,417 62,458 Add: Effect of dilutive non-vested awards, assumed vested 901 548 — — Diluted 84,927 65,272 75,417 62,458 |
Income Taxes (Tables)
Income Taxes (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Income Tax Disclosure [Abstract] | |
Schedule of Effective Income Tax Rate Reconciliation | The following table reconciles our GAAP net income (loss) to estimated REIT taxable loss for the three and nine months ended September 30, 2021 and September 30, 2020. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2021 2020 2021 2020 GAAP net income (loss) $ 33,982 $ 58,386 $ 36,135 $ (296,525) Book to tax differences: TRS (income) loss 23 145 (43) 76 Premium amortization expense (41) (103) (117) (183) Agency Securities, trading 2,387 (12,149) 45,790 (20,060) Credit Risk and Non-Agency Securities — 6,510 — 188,075 U.S. Treasury Securities 9,170 — 9,198 (21,357) Changes in interest rate contracts (37,384) (29,199) (71,037) 334,312 Credit loss expense — — — 1,012 Gain on Security Sales (3,724) (9,468) (11,078) (138,802) Amortization of deferred hedging costs (40,664) (45,458) (122,529) (106,618) Series B Cumulative Preferred Stock dividend - Called for redemption — — — 1,375 Other 531 561 1,368 1,032 Estimated REIT taxable loss $ (35,720) $ (30,775) $ (112,313) $ (57,663) |
Summary of Tax Credit Carryforwards | Net capital losses realized Amount Available to offset capital gains through 2018 $ (136,388) 2023 2019 $ (13,819) 2024 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The following table reconciles the fees incurred in accordance with the management agreement for the three and nine months ended September 30, 2021 and September 30, 2020. For the Three Months Ended September 30, For the Nine Months 2021 2020 2021 2020 Management fees $ 7,886 $ 7,383 $ 23,024 $ 22,195 Less management fees waived (2,100) (2,953) (6,600) (5,900) Total net management fee expense $ 5,786 $ 4,430 $ 16,424 $ 16,295 Transactions with BUCKLER September 30, 2021 December 31, 2020 Repurchase agreements (1) $ 1,642,069 $ 2,998,111 Collateral posted on repurchase agreements $ 1,707,223 $ 3,117,929 U.S. Treasury Securities Purchased $ 100,000 $ — (1) Interest on repurchase agreements was $774 and $2,938 and $1,424 and $36,821 for the three and nine months ended September 30, 2021 and September 30, 2020, respectively. See also, Note 7 - Repurchase Agreements |
Organization and Nature of Bu_2
Organization and Nature of Business Operations (Details) | Sep. 30, 2021 | Mar. 31, 2017 |
BUCKLER Securities, LLC | Corporate Joint Venture | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Percentage of voting interests acquired | 10.00% | 10.00% |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Additional Information (Details) | 9 Months Ended |
Sep. 30, 2021dealer | |
Fair Value Disclosures [Abstract] | |
Number of dealers received quotes from, trading | 3 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Assets at Fair Value: | ||
Securities | $ 1,465,511 | $ 1,970,902 |
Derivatives | 178,602 | 54,686 |
Liabilities at Fair Value: | ||
Derivatives | 22,982 | 1,217 |
Fair Value, Measurements, Recurring | ||
Assets at Fair Value: | ||
Securities | 5,178,322 | |
Derivatives | 178,602 | 54,686 |
Liabilities at Fair Value: | ||
Derivatives | 22,982 | 1,217 |
Fair Value, Measurements, Recurring | Agency Securities | ||
Assets at Fair Value: | ||
Securities | 4,259,294 | |
Fair Value, Measurements, Recurring | U.S. Treasuries | ||
Assets at Fair Value: | ||
Securities | 194,906 | |
Fair Value, Measurements, Recurring | Level 1 | ||
Assets at Fair Value: | ||
Securities | 0 | |
Derivatives | 0 | 0 |
Liabilities at Fair Value: | ||
Derivatives | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Agency Securities | ||
Assets at Fair Value: | ||
Securities | 0 | |
Fair Value, Measurements, Recurring | Level 1 | U.S. Treasuries | ||
Assets at Fair Value: | ||
Securities | 194,906 | |
Fair Value, Measurements, Recurring | Level 2 | ||
Assets at Fair Value: | ||
Securities | 5,178,322 | |
Derivatives | 178,602 | 54,686 |
Liabilities at Fair Value: | ||
Derivatives | 22,982 | 1,217 |
Fair Value, Measurements, Recurring | Level 2 | Agency Securities | ||
Assets at Fair Value: | ||
Securities | 4,259,294 | |
Fair Value, Measurements, Recurring | Level 2 | U.S. Treasuries | ||
Assets at Fair Value: | ||
Securities | 0 | |
Fair Value, Measurements, Recurring | Level 3 | ||
Assets at Fair Value: | ||
Securities | 0 | |
Derivatives | 0 | 0 |
Liabilities at Fair Value: | ||
Derivatives | 0 | $ 0 |
Fair Value, Measurements, Recurring | Level 3 | Agency Securities | ||
Assets at Fair Value: | ||
Securities | 0 | |
Fair Value, Measurements, Recurring | Level 3 | U.S. Treasuries | ||
Assets at Fair Value: | ||
Securities | $ 0 |
Investments in Securities - Add
Investments in Securities - Additional Information (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2021 | Sep. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | |
Debt Securities, Available-for-sale [Line Items] | ||||||
Debt securities | $ 4,454,200,000 | $ 4,454,200,000 | $ 5,178,322,000 | |||
Trading securities | 2,988,689,000 | 2,988,689,000 | 3,207,420,000 | |||
Credit loss expense | 0 | $ 0 | $ 1,012,000 | 0 | 0 | $ 1,012,000 |
TBA Agency Securities | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Derivative assets (liabilities), net | (12,446,000) | (12,446,000) | 19,747,000 | |||
TBA Agency Securities | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Trading securities | 4,299,273,000 | 4,299,273,000 | $ 2,711,977,000 | |||
Agency Securities | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Trading securities | $ 2,793,783,000 | $ 2,793,783,000 | ||||
Weighted average coupon rate | 3.00% | 3.00% | 3.25% |
Investments in Securities - Sum
Investments in Securities - Summary of Investment in Securities (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Investment In Securities, Fair Value, Roll Forward Abstract [Abstract] | ||
Beginning balance | $ 5,178,322 | $ 12,825,367 |
Purchases | 1,672,200 | 10,340,353 |
Proceeds from sales | (1,485,870) | (16,491,693) |
Receivable for unsettled sales | (82,100) | |
Principal repayments | (690,933) | (1,262,930) |
Gains (losses) | (98,987) | (181,206) |
Credit loss expense | (1,012) | |
(Amortization) accretion | (38,432) | (50,557) |
Ending balance | $ 4,454,200 | $ 5,178,322 |
Percentage of portfolio | 100.00% | 100.00% |
Agency Available for Sale Securities | ||
Investment In Securities, Fair Value, Roll Forward Abstract [Abstract] | ||
Beginning balance | $ 1,970,902 | $ 11,941,766 |
Purchases | 0 | 1,768,688 |
Proceeds from sales | (87,875) | (10,800,879) |
Receivable for unsettled sales | (82,100) | |
Principal repayments | (278,662) | (873,650) |
Gains (losses) | (43,999) | (32,565) |
Credit loss expense | (1,012) | |
(Amortization) accretion | (12,755) | (31,446) |
Ending balance | $ 1,465,511 | $ 1,970,902 |
Percentage of portfolio | 32.90% | 38.06% |
Agency Trading Securities | ||
Investment In Securities, Fair Value, Roll Forward Abstract [Abstract] | ||
Beginning balance | $ 3,207,420 | $ 0 |
Purchases | 883,281 | 3,711,961 |
Proceeds from sales | (813,178) | (158,708) |
Receivable for unsettled sales | 0 | |
Principal repayments | (412,271) | (343,514) |
Gains (losses) | (45,790) | 19,557 |
Credit loss expense | 0 | |
(Amortization) accretion | (25,679) | (21,876) |
Ending balance | $ 2,793,783 | $ 3,207,420 |
Percentage of portfolio | 62.72% | 61.94% |
Credit Risk and Non-Agency Securities | ||
Investment In Securities, Fair Value, Roll Forward Abstract [Abstract] | ||
Beginning balance | $ 0 | $ 883,601 |
Purchases | 0 | 237,928 |
Proceeds from sales | 0 | (889,057) |
Receivable for unsettled sales | 0 | |
Principal repayments | 0 | (45,766) |
Gains (losses) | 0 | (189,555) |
Credit loss expense | 0 | |
(Amortization) accretion | 0 | 2,849 |
Ending balance | $ 0 | $ 0 |
Percentage of portfolio | 0.00% | 0.00% |
U.S. Treasuries | ||
Investment In Securities, Fair Value, Roll Forward Abstract [Abstract] | ||
Beginning balance | $ 0 | $ 0 |
Purchases | 788,919 | 4,621,776 |
Proceeds from sales | (584,817) | (4,643,049) |
Receivable for unsettled sales | 0 | |
Principal repayments | 0 | 0 |
Gains (losses) | (9,198) | 21,357 |
Credit loss expense | 0 | |
(Amortization) accretion | 2 | (84) |
Ending balance | $ 194,906 | $ 0 |
Percentage of portfolio | 4.38% | 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 | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal Amount | $ 1,307,105 | $ 1,738,906 |
Amortized Cost | 1,341,557 | 1,791,871 |
Gross Unrealized Loss | (35) | (44) |
Gross Unrealized Gain | 123,989 | 179,075 |
Fair Value | 1,465,511 | 1,970,902 |
Fannie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Amount | 1,098,882 | 1,359,136 |
Amortized Cost | 1,125,271 | 1,397,206 |
Gross Unrealized Loss | (26) | (1) |
Gross Unrealized Gain | 113,765 | 159,603 |
Fair Value | 1,239,010 | 1,556,808 |
Freddie Mac | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Amount | 194,139 | 354,382 |
Amortized Cost | 201,847 | 368,686 |
Gross Unrealized Loss | 0 | 0 |
Gross Unrealized Gain | 10,092 | 19,246 |
Fair Value | 211,939 | 387,932 |
Ginnie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Amount | 14,084 | 25,388 |
Amortized Cost | 14,439 | 25,979 |
Gross Unrealized Loss | (9) | (43) |
Gross Unrealized Gain | 132 | 226 |
Fair Value | $ 14,562 | $ 26,162 |
Investments in Securities - Gro
Investments in Securities - Gross Unrealized Losses and Estimated Fair Value of Available for Sale Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Fair Value | ||
Less than 12 months | $ 1,722 | $ 8,811 |
Greater than or equal to 12 months | 5,341 | 0 |
Total | 7,063 | 8,811 |
Unrealized Losses | ||
Less than 12 months | (4) | (44) |
Greater than or equal to 12 months | (31) | 0 |
Unrealized Losses | $ (35) | $ (44) |
Investments in Securities - S_2
Investments in Securities - Summary of Weighted Average Lives of Available for Sale Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Fair Value | ||
Less than 1 year | $ 118 | $ 71 |
Greater than or equal to 1 year and less than 3 years | 28,770 | 548,352 |
Greater than or equal to 3 years and less than 5 years | 381,710 | 282,739 |
Greater than or equal to 5 years | 1,054,913 | 1,139,740 |
Total Agency Securities | 1,465,511 | 1,970,902 |
Amortized Cost | ||
Less than 1 year | 115 | 72 |
Greater than or equal to 1 year and less than 3 years | 28,225 | 520,657 |
Greater than or equal to 3 years and less than 5 years | 363,268 | 269,716 |
Greater than or equal to 5 years | 949,949 | 1,001,426 |
Amortized Cost | $ 1,341,557 | $ 1,791,871 |
Investments in Securities - Car
Investments in Securities - Carrying Value of Trading Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Principal Amount | $ 2,866,637 | $ 2,991,482 |
Amortized Cost | 3,015,951 | 3,186,729 |
Gross Unrealized Loss | (35,041) | (1,871) |
Gross Unrealized Gain | 7,779 | 22,562 |
Fair Value | 2,988,689 | 3,207,420 |
Agency Securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Principal Amount | 2,666,637 | |
Amortized Cost | 2,815,951 | |
Gross Unrealized Loss | (29,947) | |
Gross Unrealized Gain | 7,779 | |
Fair Value | 2,793,783 | |
U.S. Treasuries | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Principal Amount | 200,000 | |
Amortized Cost | 200,000 | |
Gross Unrealized Loss | (5,094) | |
Gross Unrealized Gain | 0 | |
Fair Value | 194,906 | |
Fannie Mae | Agency Securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Principal Amount | 2,184,495 | 2,420,828 |
Amortized Cost | 2,310,414 | 2,585,409 |
Gross Unrealized Loss | (25,528) | (1,441) |
Gross Unrealized Gain | 5,325 | 18,211 |
Fair Value | 2,290,211 | 2,602,179 |
Freddie Mac | Agency Securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Principal Amount | 482,142 | 570,654 |
Amortized Cost | 505,537 | 601,320 |
Gross Unrealized Loss | (4,419) | (430) |
Gross Unrealized Gain | 2,454 | 4,351 |
Fair Value | $ 503,572 | $ 605,241 |
Investments in Securities - Wei
Investments in Securities - Weighted Average Lives of Trading Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Fair Value | ||
Less than one year | $ 0 | $ 0 |
Greater than one year and less than three years | 61,949 | 649,425 |
Greater than three years and less than five years | 473,216 | 1,522,509 |
Greater than five years | 2,453,524 | 1,035,486 |
Securities, trading | 2,988,689 | 3,207,420 |
Amortized Cost | ||
Less than one year | 0 | 0 |
Greater than one year and less than three years | 61,793 | 650,328 |
Greater than three years and less than five years | 468,971 | 1,506,035 |
Greater than five years | 2,485,187 | 1,030,366 |
Amortized Cost | $ 3,015,951 | $ 3,186,729 |
Repurchase Agreements - Additio
Repurchase Agreements - Additional Information (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021USD ($)counterparty | Dec. 31, 2020USD ($)counterparty | |
Concentration Risk [Line Items] | ||
Number of counterparties with MRAs | 34 | |
Carrying amount | $ | $ 3,450,439 | $ 4,536,065 |
Number of counterparties with repurchase agreements outstanding | 18 | 18 |
Ratio of indebtedness to net capital maximum | 12 | |
Counterparty Concentration Risk | Aggregate Borrowings | ||
Concentration Risk [Line Items] | ||
Number of counterparties | 2 | 1 |
Counterparty Concentration Risk | BUCKLER Securities, LLC | Aggregate Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 47.60% | 66.10% |
Counterparty Concentration Risk | BUCKLER Securities, LLC | Stockholders' Equity | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 3.90% | 8.30% |
Weighted average maturity | 65 days | 21 days |
Counterparty Concentration Risk | One Repurchase Agreement Counterparty | Aggregate Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 5.00% | 5.00% |
Counterparty Concentration Risk | One Repurchase Agreement Counterparty | Repurchase Agreement Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of portfolio invested | 18.70% | 9.00% |
Repurchase Agreements - Repurch
Repurchase Agreements - Repurchase Agreements by Maturity Period (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Haircut percentage | 3.44% | 3.13% |
Balance | $ 3,450,439 | $ 4,536,065 |
Weighted Average Contractual Rate | 0.11% | 0.23% |
Weighted Average Maturity in days | 43 days | 21 days |
Agency Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 3,250,439 | |
Weighted Average Contractual Rate | 0.13% | |
Weighted Average Maturity in days | 46 days | |
Agency Securities | Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 2,556,476 | $ 3,618,255 |
Weighted Average Contractual Rate | 0.13% | 0.23% |
Weighted Average Maturity in days | 15 days | 15 days |
Agency Securities | 31 days to 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 109,082 | |
Weighted Average Contractual Rate | 0.11% | |
Weighted Average Maturity in days | 49 days | |
Agency Securities | Greater than 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 584,881 | |
Weighted Average Contractual Rate | 0.11% | |
Weighted Average Maturity in days | 182 days | |
Agency Securities | 31 days to 60 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 917,810 | |
Weighted Average Contractual Rate | 0.23% | |
Weighted Average Maturity in days | 45 days | |
U.S. Treasuries | Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 200,000 | |
Weighted Average Contractual Rate | 0.14% | |
Weighted Average Maturity in days | 1 day |
Derivatives - Narrative (Detail
Derivatives - Narrative (Details) | Sep. 30, 2021 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Ratio of indebtedness to net capital maximum | 12 |
Derivatives - Offsetting Assets
Derivatives - Offsetting Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Offsetting Assets [Line Items] | ||
Gross Amounts | $ 178,602 | $ 54,686 |
Gross Amounts Not Offset, Financial Instruments | (22,982) | (1,217) |
Gross Amounts Not Offset, Cash Collateral | (128,051) | (41,715) |
Total Net | 27,569 | 11,754 |
Interest rate swap contracts | ||
Offsetting Assets [Line Items] | ||
Gross Amounts | 172,592 | 34,588 |
Gross Amounts Not Offset, Financial Instruments | (4,526) | (866) |
Gross Amounts Not Offset, Cash Collateral | (147,138) | (27,773) |
Total Net | 20,928 | 5,949 |
Futures Contracts | ||
Offsetting Assets [Line Items] | ||
Gross Amounts | 0 | |
Gross Amounts Not Offset, Financial Instruments | 0 | |
Gross Amounts Not Offset, Cash Collateral | 12 | |
Total Net | 12 | |
TBA Agency Securities | ||
Offsetting Assets [Line Items] | ||
Gross Amounts | 6,010 | 20,098 |
Gross Amounts Not Offset, Financial Instruments | (18,456) | (351) |
Gross Amounts Not Offset, Cash Collateral | 19,075 | (13,942) |
Total Net | $ 6,629 | $ 5,805 |
Derivatives - Offsetting Liabil
Derivatives - Offsetting Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Offsetting Liabilities [Line Items] | ||
Gross Amounts | $ (22,982) | $ (1,217) |
Gross Amounts Not Offset, Financial Instruments | 22,982 | 1,217 |
Gross Amounts Not Offset, Cash Collateral | 0 | 0 |
Net Amount | 0 | 0 |
Interest rate swap contracts | ||
Offsetting Liabilities [Line Items] | ||
Gross Amounts | (4,526) | (866) |
Gross Amounts Not Offset, Financial Instruments | 4,526 | 866 |
Gross Amounts Not Offset, Cash Collateral | 0 | 0 |
Net Amount | 0 | 0 |
TBA Agency Securities | ||
Offsetting Liabilities [Line Items] | ||
Gross Amounts | (18,456) | (351) |
Gross Amounts Not Offset, Financial Instruments | 18,456 | 351 |
Gross Amounts Not Offset, Cash Collateral | 0 | 0 |
Net Amount | $ 0 | $ 0 |
Derivatives - Location and Info
Derivatives - Location and Information of Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Realized gain (loss) on derivatives | [1] | $ (29,540) | $ 20,866 | $ (60,548) | $ (394,850) |
Changes in fair value | 59,849 | 6,866 | 113,085 | 46,304 | |
Subtotal | 30,309 | 27,732 | 52,537 | (348,546) | |
Interest rate swap contracts | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Realized gain (loss) on derivatives | (58,637) | 0 | (58,637) | (461,374) | |
Interest income | 1,250 | 1,136 | 3,007 | 28,937 | |
Interest expense | (8,325) | (2,603) | (21,507) | (43,172) | |
Changes in fair value | 89,726 | 13,478 | 143,872 | 43,030 | |
Subtotal | 24,014 | 12,011 | 66,735 | (432,579) | |
Futures Contracts | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Realized gain (loss) on derivatives | 2 | 0 | 2 | 0 | |
Subtotal | 2 | 0 | 2 | 0 | |
TBA Agency Securities | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Realized gain (loss) on derivatives | 36,170 | 22,333 | 16,587 | 80,759 | |
Changes in fair value | (29,877) | (6,612) | (30,787) | 3,274 | |
Subtotal | $ 6,293 | $ 15,721 | $ (14,200) | $ 84,033 | |
[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 ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Derivative [Line Items] | ||
Notional Amount | $ 6,810,000,000 | $ 5,337,000,000 |
Weighted Average Remaining Term (Months) | 81 months | 58 months |
Weighted Average Rate | 0.59% | 0.24% |
Notional amount, forward settling | $ 850,000,000 | |
Fed Funds Effective Rate Overnight Index Swap Rate | ||
Derivative [Line Items] | ||
Notional Amount | 5,607,000,000 | $ 3,107,000,000 |
Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,203,000,000 | $ 2,230,000,000 |
Less than 3 years | ||
Derivative [Line Items] | ||
Derivative, remaining maturity | 3 years | 3 years |
Notional Amount | $ 1,307,000,000 | $ 2,230,000,000 |
Weighted Average Remaining Term (Months) | 13 months | 12 months |
Weighted Average Rate | 0.06% | 0.06% |
Greater than or equal to 3 years and less than 5 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 412,000,000 | $ 463,000,000 |
Weighted Average Remaining Term (Months) | 41 months | 45 months |
Weighted Average Rate | 0.16% | 0.14% |
Greater than or equal to 5 years and less than 7 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 889,000,000 | $ 942,000,000 |
Weighted Average Remaining Term (Months) | 63 months | 72 months |
Weighted Average Rate | 0.28% | 0.28% |
Greater than or equal to 7 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 4,202,000,000 | $ 1,702,000,000 |
Weighted Average Remaining Term (Months) | 110 months | 113 months |
Weighted Average Rate | 0.87% | 0.50% |
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 | Greater than or equal to 7 years | ||
Derivative [Line Items] | ||
Derivative, remaining maturity | 7 years | 7 years |
Derivatives - TBA Agency Securi
Derivatives - TBA Agency Securities (Details) - USD ($) | Sep. 30, 2021 | Dec. 31, 2020 |
Derivative [Line Items] | ||
Notional Amount | $ 6,810,000,000 | $ 5,337,000,000 |
Notional amount, forward settling | $ 850,000,000 | |
TBA Agency Securities, 15-year, 1.5% | ||
Derivative [Line Items] | ||
Fixed interest rate | 1.50% | 1.50% |
Notional Amount | $ 700,000,000 | $ 200,000,000 |
Cost Basis | 707,348,000 | 204,758,000 |
Fair Value | $ 705,215,000 | $ 205,781,000 |
TBA Agency Securities, 15-year, 2.0% | ||
Derivative [Line Items] | ||
Fixed interest rate | 2.00% | 2.00% |
Notional Amount | $ 1,700,000,000 | $ 1,200,000,000 |
Cost Basis | 1,753,652,000 | 1,248,015,000 |
Fair Value | $ 1,746,736,000 | $ 1,253,354,000 |
TBA Agency Securities, 30-year, 2.0% | ||
Derivative [Line Items] | ||
Fixed interest rate | 2.00% | 2.00% |
Notional Amount | $ 300,000,000 | $ 600,000,000 |
Cost Basis | 303,320,000 | 619,031,000 |
Fair Value | $ 300,609,000 | $ 622,934,000 |
TBA Agency Securities, 30-year, 2.5% | ||
Derivative [Line Items] | ||
Fixed interest rate | 2.50% | 2.50% |
Notional Amount | $ 1,200,000,000 | $ 800,000,000 |
Cost Basis | 1,239,016,000 | 838,047,000 |
Fair Value | 1,233,157,000 | $ 841,314,000 |
TBA Agency Securities, 30-year, 3.5% | ||
Derivative [Line Items] | ||
Fixed interest rate | 3.50% | |
Notional Amount | 300,000,000 | $ (200,000,000) |
Cost Basis | 313,543,000 | (211,055,000) |
Fair Value | 313,556,000 | (211,406,000) |
TBA Agency Securities | ||
Derivative [Line Items] | ||
Notional Amount | 4,200,000,000 | 2,600,000,000 |
Cost Basis | 4,316,879,000 | 2,698,796,000 |
Fair Value | 4,299,273,000 | 2,711,977,000 |
Notional amount, forward settling | $ 2,250,000,000 | $ 1,250,000,000 |
Commitments and Contingencies (
Commitments and Contingencies (Details) $ in Thousands | Jan. 13, 2021 | Apr. 25, 2016lawsuit | Apr. 24, 2016lawsuit | Mar. 01, 2016lawsuitdefendant | Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Jun. 30, 2020 | Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Oct. 25, 2021USD ($) | Jul. 01, 2021USD ($) | Apr. 20, 2021USD ($) | Apr. 01, 2021USD ($) | Mar. 31, 2021USD ($) |
Other Commitments [Line Items] | ||||||||||||||
Monthly percentage of effective management fee percentage | 8.33% | 8.33% | ||||||||||||
Gross equity raised | $ 3,245,650 | $ 2,937,354 | $ 3,245,650 | $ 2,937,354 | ||||||||||
Fee waiver adjustment, first quarter | $ 2,100 | $ 2,400 | ||||||||||||
Fee waiver adjustment, every month thereafter | $ 700 | $ 800 | ||||||||||||
Management fees waived | $ 2,100 | $ 2,953 | $ 6,600 | $ 5,900 | ||||||||||
Subsequent Event | ||||||||||||||
Other Commitments [Line Items] | ||||||||||||||
Fee waiver adjustment, every month thereafter | $ 650 | |||||||||||||
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% | 1.50% | ||||||||||||
Percentage of gross equity raised used in calculation of management fee in excess of 1 Billion | 0.75% | 0.75% | ||||||||||||
Effective management fee percentage | 0.98% | 1.01% | 0.98% | 1.01% | ||||||||||
Related party transaction, management fee reduction (as a percent) | 40.00% | 40.00% |
Stock Based Compensation - Addi
Stock Based Compensation - Additional Information (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | May 13, 2021 | Sep. 30, 2021 | May 12, 2021 | Dec. 31, 2020 |
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] | ||||
Increase in aggregate number of shares (in shares) | 2,125 | |||
Common stock available for grant (in shares) | 4,000 | 1,875 | ||
Common stock, shares outstanding (in shares) | 2,167 | |||
Compensation cost not yet recognized | $ 12,911 | |||
Period for recognition for compensation cost not yet recognized | 2 years 9 months 18 days | |||
The 2009 Stock Incentive Plan | Restricted Stock Units (RSUs) | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Weighted average grant date fair value (in dollars per share) | $ 14.33 | $ 19.77 |
Stock Based Compensation - Rest
Stock Based Compensation - Restricted Shares (Details) - The 2009 Stock Incentive Plan - Restricted Stock Units (RSUs) shares in Thousands | 9 Months Ended |
Sep. 30, 2021$ / sharesshares | |
Number of Awards | |
Unvested RSU Awards Outstanding beginning of period (in shares) | 496 |
Granted (in shares) | 635 |
Vested (in shares) | (230) |
Unvested RSU Awards Outstanding end of period (in shares) | 901 |
Weighted Average Grant Date Fair Value per Award | |
Unvested RSU Awards Outstanding beginning of period (in dollars per share) | $ / shares | $ 19.77 |
Granted (in dollars per share) | $ / shares | 11.08 |
Vested (in dollars per share) | $ / shares | 17.10 |
Unvested RSU Awards Outstanding end of period (in dollars per share) | $ / shares | $ 14.33 |
Board of Directors | |
Number of Awards | |
Granted (in shares) | 100 |
Armour Capital Management | |
Number of Awards | |
Granted (in shares) | 535 |
Stockholders' Equity - Schedule
Stockholders' Equity - Schedule of Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands | Sep. 29, 2021 | Sep. 27, 2021 | Aug. 27, 2021 | Jul. 29, 2021 | Jul. 27, 2021 | Jun. 29, 2021 | Jun. 28, 2021 | May 27, 2021 | Apr. 29, 2021 | Apr. 27, 2021 | Mar. 29, 2021 | Feb. 26, 2021 | Jan. 28, 2021 | Jan. 27, 2021 | Dec. 31, 2020 | Nov. 30, 2020 | Oct. 31, 2020 | Sep. 30, 2020 | Aug. 31, 2020 | Jul. 31, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Feb. 29, 2020 | Jan. 31, 2020 | May 31, 2020 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||||||||||||||||||||
Beginning balance | $ 892,269 | $ 851,231 | $ 1,436,707 | $ 786,250 | $ 1,108,542 | $ 1,027,186 | $ 938,304 | $ 851,231 | $ 786,250 | $ 1,436,707 | $ 938,304 | $ 1,436,707 | $ 1,436,707 | |||||||||||||||||||||
Common stock dividends | (25,461) | (23,197) | (20,057) | (19,590) | (5,876) | (30,377) | (68,715) | |||||||||||||||||||||||||||
Issuance of stock | 261,296 | |||||||||||||||||||||||||||||||||
Stock based compensation, net of withholding requirements | 1,237 | 1,205 | 1,199 | 1,028 | 1,022 | 1,001 | 3,641 | |||||||||||||||||||||||||||
Common stock repurchased, net | 0 | 0 | 0 | 0 | 0 | (777) | ||||||||||||||||||||||||||||
Net Income (Loss) | 33,982 | (69,174) | 71,327 | 58,386 | 51,748 | (406,659) | 36,135 | (296,525) | ||||||||||||||||||||||||||
Other comprehensive income (loss) | (20,685) | 7,842 | (42,234) | 3,534 | (28,354) | (130,456) | (55,077) | (155,276) | ||||||||||||||||||||||||||
Ending balance | $ 938,304 | $ 892,269 | $ 851,231 | $ 786,250 | 1,143,692 | 1,108,542 | 1,027,186 | 892,269 | 851,231 | 786,250 | 1,143,692 | $ 892,269 | $ 938,304 | |||||||||||||||||||||
Common stock dividends, cash paid (in dollars per share) | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.09 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0 | |||||||||||||||||||||||
Series B Preferred Stock | ||||||||||||||||||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||||||||||||||||||||
Preferred dividends | 0 | 0 | 0 | 0 | 0 | (1,375) | ||||||||||||||||||||||||||||
Series B Preferred Stock, called for redemption | 0 | 0 | 0 | 0 | $ 0 | (209,583) | ||||||||||||||||||||||||||||
Preferred stock dividends, cash paid (in dollars per share) | $ 0.1640625 | |||||||||||||||||||||||||||||||||
Series C Preferred Stock | ||||||||||||||||||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||||||||||||||||||||
Preferred dividends | (2,995) | (2,996) | (2,486) | (2,320) | $ (2,320) | (1,452) | (8,477) | |||||||||||||||||||||||||||
Issuance of stock | $ 0 | 8,412 | 28,173 | $ 0 | (125) | 129,221 | $ 36,585 | |||||||||||||||||||||||||||
Preferred stock dividends, cash paid (in dollars per share) | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | |||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||||||||||||||||||||
Issuance of stock | $ 49,072 | $ 159,264 | $ 52,960 | $ 0 | $ 48,886 | $ 0 | ||||||||||||||||||||||||||||
Common stock dividends, cash paid (in dollars per share) | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands | May 18, 2021 | May 14, 2021 | May 04, 2020 | Jan. 28, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | Aug. 20, 2021 | Aug. 19, 2021 | Jan. 29, 2020 |
Class of Stock [Line Items] | ||||||||||
Preferred stock, shares authorized (in shares) | 50,000,000 | 50,000,000 | ||||||||
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 | ||||||||
Preferred stock, undesignated shares authorized (in shares) | 31,617,000 | |||||||||
Common stock, shares authorized (in shares) | 200,000,000 | 125,000,000 | 200,000,000 | 125,000,000 | ||||||
Common stock, par value (in dollars per share) | $ 0.001 | $ 0.001 | ||||||||
Common stock, shares issued (in shares) | 87,709,000 | 65,290,000 | ||||||||
Common stock, shares outstanding (in shares) | 87,709,000 | 65,290,000 | ||||||||
Remaining shares authorized to be repurchased (in shares) | 8,210,000 | 8,210,000 | ||||||||
At-The-Market Offering Program | ||||||||||
Class of Stock [Line Items] | ||||||||||
Commission rate | 2.00% | 2.00% | ||||||||
Number of shares issued in transaction (in shares) | 17,000 | 17,000,000 | ||||||||
Common stock, par value (in dollars per share) | $ 0.001 | $ 0.001 | ||||||||
2021 Common Stock ATM Sales Agreement | Common Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Number of shares issued in transaction (in shares) | 11,529,000 | |||||||||
Proceeds from issuance of preferred stock | $ 131,960 | |||||||||
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 | $ 0.001 | $ 0.001 | |||||||
Preferred stock, dividend rate | 7.00% | 7.00% | 7.00% | |||||||
Preferred stock, shares outstanding (in shares) | 6,847,000 | 5,347,000 | ||||||||
Preferred stock, shares issued (in shares) | 6,847,000 | 5,347,000 | ||||||||
Preferred stock, aggregate liquidation preference | $ 171,175 | $ 133,675 | ||||||||
Preferred stock, designated but unissued shares authorized (in shares) | 3,153,000 | 4,653,000 | ||||||||
Proceeds from issuance of preferred stock | $ 36,585 | $ 129,096 | ||||||||
Series C Preferred Stock | January 23, 2020 Underwriting Agreement | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 | $ 25 | ||||||||
Series C Preferred Stock | Preferred C ATM Sales Agreement | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock, shares authorized (in shares) | 6,550,000 | |||||||||
Commission rate | 2.00% | |||||||||
Number of shares issued in transaction (in shares) | 1,500,000 | |||||||||
Proceeds from issuance of preferred stock | $ 36,585 | |||||||||
Payments of stock issuance costs | 445 | |||||||||
Series B Preferred Stock | February 15, 2019, Common Stock ATM Sales Agreement | ||||||||||
Class of Stock [Line Items] | ||||||||||
Number of shares issued in transaction (in shares) | 10,713,000 | |||||||||
Proceeds from issuance of preferred stock | $ 129,336 | |||||||||
Payments of stock issuance costs | $ 1,682 | |||||||||
Series B Preferred Stock | 2021 Common Stock ATM Sales Agreement | ||||||||||
Class of Stock [Line Items] | ||||||||||
Payments of stock issuance costs | $ 1,473 |
Stockholders' Equity - Equity C
Stockholders' Equity - Equity Capital Raising Activities (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||||
Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Class of Stock [Line Items] | |||||||||
Issuance of stock | $ 261,296 | ||||||||
Common stock repurchases, net | $ 0 | $ 777 | |||||||
Common Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Common stock repurchased (in shares) | 22,242 | ||||||||
Common stock repurchased, net (in shares) | (40) | ||||||||
Price per share (in dollars per share) | $ 19.42 | ||||||||
Issuance of stock | $ 22 | ||||||||
Common stock repurchases, net | $ (777) | ||||||||
Series C Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Issuance of stock | $ 0 | $ 8,412 | $ 28,173 | $ 0 | $ (125) | $ 129,221 | $ 36,585 | ||
Preferred C ATM Sales Agreement | Series C Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Shares issued (in shares) | 1,500 | 1,897 | |||||||
Price per share (in dollars per share) | $ 24.38 | $ 24.38 | $ 24.70 | ||||||
Issuance of stock | $ 36,585 | $ 46,856 | |||||||
Common stock ATM Sales Agreement | Common Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Shares issued (in shares) | 6,287 | ||||||||
Common stock repurchased (in shares) | 10,713 | ||||||||
Price per share (in dollars per share) | 12.07 | $ 12.07 | $ 8.68 | ||||||
Issuance of stock | $ 129,336 | $ 54,575 | |||||||
2021 Common Stock ATM Sales Agreement | Common Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Shares issued (in shares) | 11,529 | ||||||||
Price per share (in dollars per share) | $ 11.45 | $ 11.45 | |||||||
Preferred C Underwritten Offering | Series C Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Shares issued (in shares) | 3,450 | ||||||||
Price per share (in dollars per share) | $ 24.14 | ||||||||
Issuance of stock | $ 83,282 |
Stockholders' Equity - Dividend
Stockholders' Equity - Dividend Transactions (Details) - USD ($) | Sep. 29, 2021 | Sep. 27, 2021 | Aug. 27, 2021 | Jul. 29, 2021 | Jul. 27, 2021 | Jun. 29, 2021 | Jun. 28, 2021 | May 27, 2021 | Apr. 29, 2021 | Apr. 27, 2021 | Mar. 29, 2021 | Feb. 26, 2021 | Jan. 28, 2021 | Jan. 27, 2021 | Dec. 31, 2020 | Nov. 30, 2020 | Oct. 31, 2020 | Sep. 30, 2020 | Aug. 31, 2020 | Jul. 31, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Feb. 29, 2020 | Jan. 31, 2020 | May 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
Class of Stock [Line Items] | |||||||||||||||||||||||||||||
Rate per common share (in dollars per share) | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.09 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0 | ||||||||||||||||||
Aggregate amount paid to holders of record | $ 68,715,000 | $ 55,843,000 | |||||||||||||||||||||||||||
Series C Preferred Stock | |||||||||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||||||||
Rate per Series C Preferred Share (in dollars per share) | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | ||||||||||||||||
Aggregate amount paid to holders of record | $ 998,500 | $ 998,500 | $ 998,500 | $ 998,500 | $ 998,500 | $ 998,500 | $ 869,600 | $ 836,900 | $ 779,700 | $ 8,477,200 | $ 6,092,000 | ||||||||||||||||||
Common Stock | |||||||||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||||||||
Rate per common share (in dollars per share) | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | ||||||||||||||||||||
Aggregate amount paid to holders of record | $ 8,635,000 | $ 8,413,000 | $ 8,413,000 | $ 8,317,000 | $ 7,646,000 | $ 7,234,000 | $ 6,766,000 | $ 6,645,000 | $ 6,646,000 | $ 68,715,000 |
Net Income (Loss) per Common _3
Net Income (Loss) per Common Share (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Earnings Per Share [Abstract] | ||||||||
Net Income (Loss) | $ 33,982 | $ (69,174) | $ 71,327 | $ 58,386 | $ 51,748 | $ (406,659) | $ 36,135 | $ (296,525) |
Less: Preferred dividends | (2,995) | (2,320) | (8,477) | (7,467) | ||||
Net Income (Loss) available (related) to common stockholders | $ 30,987 | $ 56,066 | $ 27,658 | $ (303,992) | ||||
Weighted average common shares outstanding – basic (in shares) | 84,026 | 64,724 | 75,417 | 62,458 | ||||
Add: Effect of dilutive non-vested awards, assumed vested (in shares) | 901 | 548 | 901 | 0 | ||||
Weighted average common shares outstanding – diluted (in shares) | 84,927 | 65,272 | 76,318 | 62,458 | ||||
Antidilutive shares excluded from computation of earnings per share (in shares) | 901 | 548 |
Comprehensive Income (Loss) p_3
Comprehensive Income (Loss) per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Earnings Per Share [Abstract] | ||||
Comprehensive Income (Loss) | $ 13,297 | $ 61,920 | $ (18,942) | $ (451,801) |
Less: Preferred dividends | (2,995) | (2,320) | (8,477) | (7,467) |
Comprehensive Income (Loss) available (related) to common stockholders | $ 10,302 | $ 59,600 | $ (27,419) | $ (459,268) |
Net Comprehensive Income (Loss) per share available (related) to common stockholders: | ||||
Basic (in dollars per share) | $ 0.12 | $ 0.92 | $ (0.36) | $ (7.35) |
Diluted (in dollars per share) | $ 0.12 | $ 0.91 | $ (0.36) | $ (7.35) |
Weighted average common shares outstanding: | ||||
Basic (in shares) | 84,026 | 64,724 | 75,417 | 62,458 |
Add: Effect of dilutive non-vested awards, assumed vested (in shares) | 901 | 548 | 0 | 0 |
Weighted average common shares outstanding – diluted (in shares) | 84,927 | 65,272 | 75,417 | 62,458 |
Antidilutive shares excluded from computation of earnings per share (in shares) | 901 | 548 |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of GAAP Net Income to Estimated REIT Taxable Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Income Tax Disclosure [Abstract] | ||||||||
GAAP net income (loss) | $ 33,982 | $ (69,174) | $ 71,327 | $ 58,386 | $ 51,748 | $ (406,659) | $ 36,135 | $ (296,525) |
Book to tax differences: | ||||||||
TRS (income) loss | 23 | 145 | (43) | 76 | ||||
Premium amortization expense | (41) | (103) | (117) | (183) | ||||
(Gain) loss on Agency Securities, trading | 2,387 | (12,149) | 45,790 | (20,060) | ||||
Credit Risk and Non-Agency Securities | 0 | 6,510 | 0 | 188,075 | ||||
U.S. Treasury Securities | 9,170 | 0 | 9,198 | (21,357) | ||||
Changes in interest rate contracts | (37,384) | (29,199) | (71,037) | 334,312 | ||||
Credit loss expense | 0 | 0 | 0 | 1,012 | ||||
Gain on Security Sales | (3,724) | (9,468) | (11,078) | (138,802) | ||||
Amortization of deferred hedging costs | (40,664) | (45,458) | (122,529) | (106,618) | ||||
Series B Cumulative Preferred Stock dividend - Called for redemption | 0 | 0 | 0 | 1,375 | ||||
Other | 531 | 561 | 1,368 | 1,032 | ||||
Estimated REIT taxable loss | $ (35,720) | $ (30,775) | $ (112,313) | $ (57,663) |
Income Taxes - Net Capital Loss
Income Taxes - Net Capital Losses Realized (Details) - Capital Loss Carryforward $ in Thousands | Sep. 30, 2021USD ($) |
2018 | |
Tax Credit Carryforward [Line Items] | |
Tax credit carryforward | $ (136,388) |
2019 | |
Tax Credit Carryforward [Line Items] | |
Tax credit carryforward | $ (13,819) |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Tax Credit Carryforward [Line Items] | |||||
Non capital losses available for use in future years | $ 91,961 | $ 91,961 | |||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities | $ 236,674 | $ 236,674 | |||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities (in dollars per share) | $ 2.70 | $ 2.70 | |||
Common stock, shares issued (in shares) | 87,709 | 87,709 | 65,290 | ||
Payment of dividends | $ 28,456 | $ 21,910 | $ 77,192 | $ 63,310 | |
Interest rate swap contracts | |||||
Tax Credit Carryforward [Line Items] | |||||
Interest rate swap expense amortization through year 2029 | $ 648,000 | $ 648,000 | $ 717,000 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Details) shares in Thousands | Oct. 13, 2021USD ($) | May 18, 2021USD ($)shares | Jan. 13, 2021 | Mar. 31, 2017USD ($) | Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Jun. 30, 2020 | Sep. 30, 2021USD ($)shares | Sep. 30, 2020USD ($) | Oct. 25, 2021USD ($) | Jul. 01, 2021USD ($) | Apr. 20, 2021USD ($) | Apr. 01, 2021USD ($) | Mar. 31, 2021USD ($) | Dec. 31, 2020USD ($) | Mar. 18, 2019loan |
Related Party Transaction [Line Items] | ||||||||||||||||
Fee waiver adjustment, every month thereafter | $ 700,000 | $ 800,000 | ||||||||||||||
Fee waiver adjustment, first quarter | $ 2,100,000 | $ 2,400,000 | ||||||||||||||
Management fees | $ 7,899,000 | $ 7,393,000 | $ 23,055,000 | $ 22,234,000 | ||||||||||||
Number of subordinated loan agreements | loan | 1 | |||||||||||||||
Subsequent Event | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Fee waiver adjustment, every month thereafter | $ 650,000 | |||||||||||||||
2021 Common Stock ATM Sales Agreement | Subsequent Event | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Payments of stock issuance costs | $ 218,000 | |||||||||||||||
2021 Common Stock ATM Sales Agreement | Series B Preferred Stock | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Payments of stock issuance costs | $ 1,473,000 | |||||||||||||||
February 15, 2019, Common Stock ATM Sales Agreement | Series B Preferred Stock | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Number of shares issued in transaction (in shares) | shares | 10,713 | |||||||||||||||
Issuance of Series C Preferred stock, net of expenses | $ 129,336,000 | |||||||||||||||
Payments of stock issuance costs | $ 1,682,000 | |||||||||||||||
Common Stock | 2021 Common Stock ATM Sales Agreement | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Number of shares issued in transaction (in shares) | shares | 11,529 | |||||||||||||||
Issuance of Series C Preferred stock, net of expenses | $ 131,960,000 | |||||||||||||||
BUCKLER Securities, LLC | 2021 Common Stock ATM Sales Agreement | Series B Preferred Stock | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Payments of stock issuance costs | 1,213,000 | |||||||||||||||
BUCKLER Securities, LLC | February 15, 2019, Common Stock ATM Sales Agreement | Series B Preferred Stock | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Payments of stock issuance costs | $ 702,000 | |||||||||||||||
BUCKLER Securities, LLC | Common Stock | 2021 Common Stock ATM Sales Agreement | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Number of shares issued in transaction (in shares) | shares | 10,529 | |||||||||||||||
Issuance of Series C Preferred stock, net of expenses | $ 120,411,000 | |||||||||||||||
BUCKLER Securities, LLC | Common Stock | February 15, 2019, Common Stock ATM Sales Agreement | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Number of shares issued in transaction (in shares) | shares | 4,818 | |||||||||||||||
Issuance of Series C Preferred stock, net of expenses | $ 58,374,000 | |||||||||||||||
ACM | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Management fee reduction (as a percent) | 40.00% | 40.00% | ||||||||||||||
ACM | Restricted Stock Units (RSUs) | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Award vesting period | 5 years | |||||||||||||||
Corporate Joint Venture | BUCKLER Securities, LLC | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Payments to acquire equity method investments | $ 352,000 | |||||||||||||||
Percentage of voting interests acquired | 10.00% | 10.00% | 10.00% | |||||||||||||
Value of equity method investment | $ 687,000 | $ 687,000 | $ 634,000 | |||||||||||||
Proceeds from divestiture of interest in joint venture | 117,000 | 1,382,000 | ||||||||||||||
Required annual reduction in share of gross financing profit | 306,000 | $ 306,000 | ||||||||||||||
Armour Management Agreement | ACM | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Automatic renewal period of management agreement | 5 years | |||||||||||||||
Other Expense | ACM | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Management fees | 92,000 | 2,000 | $ 130,000 | 150,000 | ||||||||||||
Stock Based Compensation Expense | ACM | ||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||
Management fees | 176,000 | 118,000 | 584,000 | 402,000 | ||||||||||||
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 | $ 105,000,000 | ||||||||||||||
Related party transaction, rate | 0.00% | |||||||||||||||
Loans and leases receivable, related parties, proceeds | $ 20,000 | $ 52,000 | $ 25,000 | $ 312,000 |
Related Party Transactions - Sc
Related Party Transactions - Schedule of Related Party Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | ||||||
Management fees | $ 7,886 | $ 7,383 | $ 23,024 | $ 22,195 | ||
Less management fees waived | (2,100) | (2,953) | (6,600) | (5,900) | ||
Total net management fee expense | 5,786 | 4,430 | 16,424 | 16,295 | ||
U.S. Treasuries | ||||||
Related Party Transaction [Line Items] | ||||||
U.S. Treasury Securities Purchased | 788,919 | 4,621,776 | ||||
BUCKLER Securities, LLC | Corporate Joint Venture | ||||||
Related Party Transaction [Line Items] | ||||||
Repurchase agreements | 1,642,069 | 1,642,069 | $ 2,998,111 | |||
Collateral posted on repurchase agreements | 1,707,223 | 1,707,223 | $ 3,117,929 | |||
Interest on repurchase agreements | $ 774 | $ 1,424 | 2,938 | $ 36,821 | ||
BUCKLER Securities, LLC | Corporate Joint Venture | U.S. Treasuries | ||||||
Related Party Transaction [Line Items] | ||||||
U.S. Treasury Securities Purchased | $ 0 | $ 100,000 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) | Dec. 27, 2021 | Nov. 29, 2021 | Oct. 28, 2021 | Oct. 27, 2021 | Oct. 13, 2021 | Sep. 27, 2021 | Aug. 27, 2021 | Jul. 27, 2021 | Jun. 28, 2021 | May 27, 2021 | Apr. 27, 2021 | Mar. 29, 2021 | Feb. 26, 2021 | Jan. 27, 2021 | Dec. 31, 2020 | Nov. 30, 2020 | Oct. 31, 2020 | Sep. 30, 2020 | Aug. 31, 2020 | Jul. 31, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Feb. 29, 2020 | Jan. 31, 2020 | May 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Oct. 25, 2021 | Jul. 01, 2021 | Apr. 01, 2021 |
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||
Fee waiver adjustment, every month thereafter | $ 700,000 | $ 800,000 | ||||||||||||||||||||||||||||||
Common stock dividends, cash paid (in dollars per share) | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.10 | $ 0.09 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0 | |||||||||||||||||||||
Aggregate amount paid to holders of record | $ 68,715,000 | $ 55,843,000 | ||||||||||||||||||||||||||||||
Common stock, shares issued (in shares) | 65,290,000 | 87,709,000 | 87,709,000 | |||||||||||||||||||||||||||||
Issuance of common stock, net of expenses | $ 261,296,000 | $ 48,886,000 | ||||||||||||||||||||||||||||||
Series C Preferred Stock | ||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||
Preferred stock dividends, cash paid (in dollars per share) | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | $ 0.14583 | |||||||||||||||||||
Preferred stock dividends paid | $ 998,500 | $ 998,500 | $ 998,500 | $ 998,500 | $ 998,500 | $ 998,500 | $ 869,600 | $ 836,900 | $ 779,700 | $ 8,477,200 | $ 6,092,000 | |||||||||||||||||||||
Subsequent Event | ||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||
Fee waiver adjustment, every month thereafter | $ 650,000 | |||||||||||||||||||||||||||||||
Subsequent Event | 2021 Common Stock ATM Sales Agreement | ||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||
Common stock, shares issued (in shares) | 1,980,000 | |||||||||||||||||||||||||||||||
Issuance of common stock, net of expenses | $ 21,543,000 | |||||||||||||||||||||||||||||||
Payments of stock issuance costs | $ 218,000 | |||||||||||||||||||||||||||||||
Subsequent Event | Forecast | ||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||
Common stock dividends, cash paid (in dollars per share) | $ 0.10 | $ 0.10 | ||||||||||||||||||||||||||||||
Aggregate amount paid to holders of record | $ 9,065,000 | |||||||||||||||||||||||||||||||
Subsequent Event | Forecast | Series C Preferred Stock | ||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||
Preferred stock dividends, cash paid (in dollars per share) | $ 0.14583 | $ 0.14583 | $ 0.14583 | |||||||||||||||||||||||||||||
Preferred stock dividends paid | $ 998,000 |