Document And Entity Information
Document And Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Mar. 02, 2016 | Jun. 30, 2015 | |
Document and Entity Information [Abstract] | |||
Entity Registrant Name | JAVELIN MORTGAGE INVESTMENT CORP. | ||
Entity Central Index Key | 1,552,890 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Accelerated Filer | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2015 | ||
Document Fiscal Year Focus | 2,015 | ||
Document Fiscal Period Focus (Q1,Q2,Q3,FY) | FY | ||
Amendment Flag | false | ||
Entity Common Stock, Shares Outstanding | 11,866,691 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 81,951,549 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Assets | ||
Cash | $ 15,945 | $ 29,882 |
Cash collateral posted to counterparties | 9,539 | 3,209 |
Agency Securities, available for sale, at fair value (including pledged securities of $609,839 and $1,071,298) | 611,259 | 1,075,521 |
Non-Agency Securities, trading, at fair value (including pledged securities of $234,800 and $158,931) | 234,800 | 158,931 |
Linked Transactions, net, at fair value (including pledged securities of $8,940 in 2014) | 0 | 2,532 |
Derivatives, at fair value | 397 | 7,321 |
Accrued interest receivable | 1,628 | 2,792 |
Prepaid and other assets | 716 | 713 |
Total Assets | 874,284 | 1,280,901 |
Liabilities: | ||
Repurchase agreements | 751,924 | 1,134,387 |
Cash collateral posted by counterparties | 0 | 2,876 |
Derivatives, at fair value | 8,158 | 2,603 |
Accrued interest payable | 810 | 696 |
Accounts payable and other accrued expenses | 1,042 | 731 |
Total Liabilities | $ 761,934 | $ 1,141,293 |
Commitments and Contingencies | ||
Stockholders’ Equity: | ||
Preferred stock, $0.001 par value, 25,000 shares authorized and none issued and outstanding | $ 0 | $ 0 |
Common stock, $0.001 par value, 250,000 shares authorized, 11,866 shares and 11,985 shares issued and outstanding at December 31, 2015 and December 31, 2014. | 12 | 12 |
Additional paid-in capital | 243,060 | 243,892 |
Accumulated deficit | (127,168) | (112,899) |
Accumulated other comprehensive income (loss) | (3,554) | 8,603 |
Total Stockholders’ Equity | 112,350 | 139,608 |
Total Liabilities and Stockholders’ Equity | $ 874,284 | $ 1,280,901 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parentheticals) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 |
Preferred stock, shares authorized (in shares) | 25,000,000 | 25,000,000 |
Preferred stock, shares issued (in shares) | 0 | 0 |
Preferred stock, shares outstanding (in shares) | 0 | 0 |
Common stock, par value (in dollars per share) | $ 0.001 | $ 0.001 |
Common stock, shares authorized (in shares) | 250,000,000 | 250,000,000 |
Common stock, shares issued (in shares) | 11,866,000 | 11,985,000 |
Common stock, shares outstanding (in shares) | 11,866,000 | 11,985,000 |
Agency securities pledged | $ 609,839 | $ 1,071,298 |
Non-agency securities pledged | 234,800 | 158,931 |
Linked Transactions | ||
Linked transactions pledged assets | $ 0 | $ 8,940 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Interest Income: | ||||
Agency Securities, net of amortization of premium | $ 19,467 | $ 30,541 | $ 35,081 | |
Non-Agency Securities, including discount accretion | 12,378 | 9,782 | 7,975 | |
Total Interest Income | 31,845 | 40,323 | 43,056 | |
Interest expense | (6,457) | (6,635) | (7,332) | |
Net Interest Income | 25,388 | 33,688 | 35,724 | |
Other Income (Loss): | ||||
Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss)) | 5,106 | 8,254 | (81,045) | |
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income (loss); no amounts remaining in Accumulated other comprehensive income (loss)) | 0 | 0 | (44,278) | |
Gain (loss) on Non-Agency Securities | (994) | 559 | (977) | |
Gain on short sale of U.S. Treasury Securities | 0 | 0 | 633 | |
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | 0 | 10,330 | (3,352) | |
Subtotal | 4,112 | 19,143 | (129,019) | |
Realized gain (loss) on derivatives | [1] | (5,933) | (12,586) | (2,795) |
Unrealized gain (loss) on derivatives | (16,764) | (54,871) | 57,748 | |
Subtotal | (22,697) | (67,457) | 54,953 | |
Total Other Loss | (18,585) | (48,314) | (74,066) | |
Expenses: | ||||
Professional fees | 1,518 | 1,624 | 1,025 | |
Insurance | 385 | 434 | 280 | |
Board compensation | 701 | 715 | 292 | |
Other | 943 | 702 | 518 | |
Total Expenses | 7,093 | 7,133 | 5,430 | |
Loss before taxes | (290) | (21,759) | (43,772) | |
Income tax expense | 0 | 0 | (2) | |
Net Income (Loss) | $ (290) | $ (21,759) | $ (43,774) | |
Net loss per common share (in dollars per share) | $ (0.02) | $ (1.81) | $ (3.89) | |
Weighted average common shares outstanding (in shares) | 11,943 | 12,000 | 11,257 | |
[1] | Interest expense related to our interest rate swap contracts is recorded in realized losses on derivatives on the statements of operations. For additional information see Note 10 to the consolidated financial statements. |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Statement of Comprehensive Income [Abstract] | |||
Net Loss | $ (290) | $ (21,759) | $ (43,774) |
Other comprehensive income (loss): | |||
Reclassification adjustment for realized (gain) loss on sale of available for sale Agency Securities | (5,106) | (8,254) | 81,045 |
Reclassification adjustment for other than temporary impairment of available for sale Agency Securities | 0 | 0 | 44,278 |
Net unrealized gain (loss) on available for sale Agency Securities | (7,051) | 20,000 | (123,864) |
Other comprehensive income (loss) | (12,157) | 11,746 | 1,459 |
Comprehensive Loss | $ (12,447) | $ (10,013) | $ (42,315) |
Consolidated Statements of Stoc
Consolidated Statements of Stockholders' Equity - USD ($) shares in Thousands, $ in Thousands | Total | Common Stock | Additional Paid-In Capital | Retained Earnings (Accumulated Deficit) | Accumulated Other Comprehensive (Income) Loss |
Beginning Balance (in shares) at Dec. 31, 2012 | 7,500 | ||||
Beginning Balance at Dec. 31, 2012 | $ 148,047 | $ 8 | $ 149,993 | $ 2,648 | $ (4,602) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Common stock dividends declared | (28,414) | (28,414) | |||
Issuance of common stock, net (in shares) | 6,000 | ||||
Issuance of common stock, net | 113,163 | $ 6 | 113,157 | ||
Common stock repurchased (in shares) | (1,507) | ||||
Common stock repurchased | (19,201) | $ (2) | (19,199) | ||
Net Loss | (43,774) | (43,774) | |||
Other comprehensive income | 1,459 | 1,459 | |||
Ending Balance (in shares) at Dec. 31, 2013 | 11,993 | ||||
Ending Balance at Dec. 31, 2013 | 171,280 | $ 12 | 243,951 | (69,540) | (3,143) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Common stock dividends declared | (21,600) | (21,600) | |||
Issuance of common stock, net (in shares) | 32 | ||||
Issuance of common stock, net | 358 | 358 | |||
Stock based compensation, net of withholding requirements (in shares) | 14 | ||||
Stock based compensation, net of withholding requirements | 174 | 174 | |||
Common stock repurchased (in shares) | (54) | ||||
Common stock repurchased | (591) | (591) | |||
Net Loss | (21,759) | (21,759) | |||
Other comprehensive income | 11,746 | 11,746 | |||
Ending Balance (in shares) at Dec. 31, 2014 | 11,985 | ||||
Ending Balance at Dec. 31, 2014 | 139,608 | $ 12 | 243,892 | (112,899) | 8,603 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Common stock dividends declared | (13,979) | (13,979) | |||
Issuance of common stock, net (in shares) | 1 | ||||
Issuance of common stock, net | 8 | 8 | |||
Stock based compensation, net of withholding requirements (in shares) | 25 | ||||
Stock based compensation, net of withholding requirements | 169 | 169 | |||
Common stock repurchased (in shares) | (145) | ||||
Common stock repurchased | (1,009) | (1,009) | |||
Net Loss | (290) | (290) | |||
Other comprehensive income | (12,157) | (12,157) | |||
Ending Balance (in shares) at Dec. 31, 2015 | 11,866 | ||||
Ending Balance at Dec. 31, 2015 | $ 112,350 | $ 12 | $ 243,060 | $ (127,168) | $ (3,554) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Cash Flows From Operating Activities: | |||
Net Loss | $ (290) | $ (21,759) | $ (43,774) |
Adjustments to reconcile net loss to net cash provided by operating activities: | |||
Net amortization of premium on Agency Securities | 3,587 | 4,255 | 5,701 |
Accretion of net discount on Non-Agency Securities | (477) | (546) | 762 |
Net (gain) loss on Non-Agency Securities | 994 | (559) | 977 |
(Gain) Loss on sale of Agency Securities | (5,106) | (8,254) | 81,045 |
Other than temporary impairment of Agency Securities | 0 | 0 | 44,278 |
Unrealized net (gain) loss and net interest income (loss) from Linked Transactions | 0 | (10,330) | 3,352 |
Gain on short sale of U.S. Treasury Securities | 0 | 0 | (633) |
Stock based compensation | 169 | 174 | 0 |
Changes in operating assets and liabilities: | |||
(Increase) decrease in accrued interest receivable | 1,164 | (456) | 423 |
Increase in prepaid and other assets | (3) | (90) | (452) |
Increase (decrease) in derivatives, at fair value | 12,479 | 54,985 | (55,128) |
Increase (decrease) in accrued interest payable | 90 | 85 | (233) |
Increase (decrease) in accounts payable and other accrued expenses | 311 | (1,208) | 379 |
Net cash provided by operating activities | 12,918 | 16,297 | 36,697 |
Cash Flows From Investing Activities: | |||
Purchases of Agency Securities | (181,109) | (1,391,296) | (899,127) |
Purchases of Non-Agency Securities | (97,027) | (32,397) | (38,332) |
Cash receipts (disbursements) on Linked Transactions | 0 | 16,839 | (19,674) |
Principal repayments of Agency Securities | 74,478 | 104,448 | 95,690 |
Principal repayments of Non-Agency Securities | 29,581 | 15,494 | 21,788 |
Proceeds from sales of Agency Securities | 560,255 | 1,028,849 | 984,453 |
Proceeds from sales of Non-Agency Securities | 0 | 9,757 | 1,352 |
Disbursements on reverse repurchase agreements | 0 | 0 | (1,265,400) |
Principal receipts on reverse repurchase agreements | 0 | 0 | 1,265,400 |
(Increase) decrease in cash collateral | (9,206) | (52,999) | 51,513 |
Net cash provided by (used in) investing activities | 376,972 | (301,305) | 197,663 |
Cash Flows From Financing Activities: | |||
Issuance of common stock, net of expenses | 8 | 358 | 113,163 |
Proceeds from repurchase agreements | 6,104,538 | 7,971,302 | 9,307,401 |
Principal repayments on repurchase agreements | (6,493,385) | (7,676,320) | (9,603,826) |
Proceeds from sales of U.S. Treasury Securities | 0 | 0 | 301,512 |
Purchases of U.S. Treasury Securities | 0 | 0 | (300,879) |
Common stock dividends paid | (13,979) | (21,600) | (28,414) |
Common stock repurchased | (1,009) | (374) | (18,109) |
Net cash provided by (used in) financing activities | (403,827) | 273,366 | (229,152) |
Net increase (decrease) in cash | (13,937) | (11,642) | 5,208 |
Cash - beginning of year | 29,882 | 41,524 | 36,316 |
Cash - end of year | 15,945 | 29,882 | 41,524 |
Supplemental Disclosure: | |||
Cash paid for income taxes | 0 | 0 | 48 |
Cash paid during the year for interest | 17,324 | 20,741 | 12,079 |
Non-Cash Investing and Financing Activities: | |||
Unrealized gain (loss) on investment in available for sale securities | (7,051) | 20,000 | (123,864) |
Linked Transaction Value of Purchased Non-Agency Securities | 2,532 | 7,281 | 0 |
Amounts payable for common stock repurchased | $ 0 | $ (217) | $ (1,092) |
Basis of Presentation
Basis of Presentation | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Note 1 -Basis of Presentation The accompanying consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the U.S. (“GAAP”). The consolidated financial statements include the accounts of JAVELIN Mortgage Investment Corp. and its subsidiary. All intercompany accounts and transactions have been eliminated.The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying consolidated financial statements include the valuation of MBS (as defined below), including an assessment of whether other-than-temporary impairment (“OTTI”) exists, and derivative instruments. |
Organization and Nature of Busi
Organization and Nature of Business Operations | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Nature of Business Operations | Note 2 -Organization and Nature of Business Operations References to “we,” “us,” “our,” “JAVELIN” or the “Company” are to JAVELIN Mortgage Investment Corp. References to “ACM” are to ARMOUR Capital Management LP, a Delaware limited partnership. We are an externally managed Maryland corporation managed by ACM, an investment advisor registered with the SEC (see Note 11 , “ Commitments and Contingencies ” and Note 16 , “ Related Party Transactions ” for additional discussion). We invest primarily in fixed rate and hybrid adjustable rate mortgage backed securities. Some of these securities may be issued or guaranteed by a United States (“U.S.”) Government-sponsored entity (“GSE”), such as the Federal National Mortgage Association (Fannie Mae), the Federal Home Loan Mortgage Corporation (Freddie Mac), or guaranteed by the Government National Mortgage Administration (Ginnie Mae) (collectively, “Agency Securities”). Other securities backed by residential mortgages in which we invest, for which the payment of principal and interest is not guaranteed by a GSE or government agency (collectively, “Non-Agency Securities” and together with Agency Securities, “MBS”), may benefit from credit enhancement derived from structural elements such as subordination, over collateralization or insurance. We also may invest in collateralized commercial mortgage backed securities and other mortgage related investments, including mortgage loans, mortgage related derivatives and mortgage servicing rights. From time to time, a portion of our assets may be invested in unsecured notes and bonds issued by GSEs, U.S. Treasuries and money market instruments, subject to certain income tests we must satisfy for our qualification as a real estate investment trust (“REIT”). Our charter permits us to invest in Agency Securities and Non-Agency Securities. We have elected to be taxed as a REIT under the Internal Revenue Code, as amended (the “Code”). Our qualification as a REIT depends on our ability to meet, on a continuing basis, various complex requirements under the Code relating to, among other things, the sources of our gross income, the composition and values of our assets, our distribution levels and the concentration of ownership of our capital stock. We believe that we are organized in conformity with the requirements for qualification as a REIT under the Code and our manner of operations enables us to meet the requirements for taxation as a REIT for federal income tax purposes. As a REIT, we will generally not be subject to federal income tax on the taxable REIT income that we currently distribute to our stockholders. If we fail to qualify as a REIT in any taxable year and do not qualify for certain statutory relief provisions, we will be subject to federal income tax at regular corporate rates. Even if we qualify as a REIT for federal income tax purposes, we may still be subject to some federal, state and local taxes on our income. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 3 -Summary of Significant Accounting Policies Cash Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents cash posted by us to counterparties or posted by counterparties to us as collateral for our interest rate swap contracts (including swaptions) and repurchase agreements on our MBS and our Agency Securities purchased or sold on a to-be-announced basis (“TBA Agency Securities” ). MBS, at Fair Value We generally intend to hold most of our MBS for extended periods of time. We may, from time to time, sell any of our MBS as part of the overall management of our MBS portfolio. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. Purchases and sales of our MBS are recorded on the trade date. However, in 2014, if on the purchase settlement date, a repurchase agreement was used to finance the purchase of an MBS with the same counterparty and such transaction was determined to be linked, then the MBS and linked repurchase borrowing were reported on the same settlement date as Linked Transactions (see below). Agency Securities, Available For Sale At December 31, 2015 and December 31, 2014 , all of our Agency Securities were classified as available for sale securities. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the statements of comprehensive income (loss). We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities. Non-Agency Securities, Trading At December 31, 2015 and December 31, 2014 , all of our Non-Agency Securities were classified as trading securities. Non-Agency Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in other income (loss) as a component of the statements of operations. We estimate future cash flows for each Non-Agency Security and then discount those cash flows based on our estimates of current market yield for each individual security. We then compare our calculated price with our pricing services and/or dealer marks. Our estimates for future cash flows and current market yields incorporate such factors as coupons, prepayment speeds, defaults, delinquencies and severities. 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 MBS. Accrued interest payable includes interest payable on our repurchase agreements. Repurchase Agreements We finance the acquisition of our MBS through the use of repurchase agreements. Our repurchase agreements are secured by our MBS and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell MBS to a lender and agree to repurchase the same MBS in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement (with the exception of repurchase agreements accounted for as a component of a Linked Transaction described below) 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 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 during or at the years ended December 31, 2015 or December 31, 2014 . Obligations to Return Securities Received as Collateral, at Fair Value At certain times, we also sell to third parties the U.S. Treasury Securities received as collateral for reverse repurchase agreements and recognize the resulting obligation to return said U.S. Treasury Securities as a liability on our consolidated balance sheets. Interest is recorded on the repurchase agreements, reverse repurchase agreements and U.S. Treasury Securities sold short on an accrual basis and presented as net interest expense. Both parties to the transaction have the right to make daily margin calls based on changes in the fair value of the collateral received and/or pledged. We did not have any obligations to return securities received as collateral at December 31, 2015 or December 31, 2014 . Derivatives, at Fair Value We recognize all derivatives as either assets or liabilities at fair value on our consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our consolidated statements of operations. We designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. These transactions include interest rate swap contracts and interest rate swaptions. We also utilize forward contracts for the purchase or sale of TBA Agency Securities. We account for TBA Agency Securities as derivative instruments if it is reasonably possible that we will not take or make physical delivery of the Agency Security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. We may also purchase and sell TBA Agency Securities as a means of investing in and financing Agency Securities (thereby increasing our “at risk” leverage) or as a means of disposing of or reducing our exposure to Agency Securities (thereby reducing our “at risk” leverage). Pursuant to TBA Agency Securities, we agree to purchase or sell, for future delivery, Agency Securities with certain principal and interest terms and certain types of collateral, but the particular Agency Securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA Agency Security for a later settlement date. This transaction is commonly referred to as a “dollar roll.“ When it is reasonably possible that we will pair off a TBA Agency Security, we account for that contract as a derivative. Linked Transactions Through December 31, 2014 , the initial purchase of Non-Agency Securities and the related contemporaneous repurchase financing of such MBS with the same counterparty were considered part of the same arrangement, or a “Linked Transaction,” when certain criteria were met. Our acquisition of a Non-Agency Security and a related repurchase financing provided by the seller are generally considered to be linked if the initial transfer of and repurchase financing are contractually contingent, or there is a limited secondary market for the purchased security. The components of a Linked Transaction are evaluated on a combined basis and in totality, accounted for as a forward contract and reported as “Linked Transactions” on our balance sheets. Changes in the fair value of the Non-Agency Securities and repurchase liabilities underlying the Linked Transactions and associated interest income and expense are reported as “unrealized net gains/(losses) and net interest income (loss) from Linked Transactions” on our statements of operations and are not included in other comprehensive income (loss). When the linking criteria are no longer met, the initial transfer (i.e., the purchase of a security) and repurchase financing will no longer be treated as a Linked Transaction and will be evaluated and reported separately as a MBS purchase and repurchase financing. See Note 4 , “ Recent Accounting Pronouncements .” Revenue Recognition Interest income is earned and recognized on Agency Securities based on their unpaid principal balance and their contractual terms. 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. Interest income on Non-Agency Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Other than temporary impairments, which establish a new cost basis in the security for purposes of calculating effective yields, are recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. 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 | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Changes and Error Corrections [Abstract] | |
Recent Accounting Pronouncements | Note 4 -Recent Accounting Pronouncements In June 2014, the Financial Accounting Standards Board released ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, Transfers and Servicing (Topic 860) . This amendment to the accounting standards changed the accounting for repurchase financing transactions, that is, a transfer of a financial asset financed by a repurchase agreement with the same counterparty. In 2014, certain of these transactions were combined and accounted for as a forward contract and are reported as “Linked Transactions” on our balance sheet. Under the amendment, these arrangements are no longer presented as Linked Transactions on our consolidated balance sheet but are instead accounted for from inception as purchases of Non-Agency trading securities and repurchase agreement liabilities. The amendment also changed the accounting for repurchase-to-maturity transactions to secured borrowing accounting. We do not currently have, and do not contemplate having, repurchase-to-maturity transactions. The accounting changes were effective for the Company beginning on January 1, 2015, early adoption was prohibited. In 2014, we continued to account for Linked Transactions and Non-Agency Securities all on a fair value basis. The amendment also required certain additional disclosures about repurchase agreements beginning with the second quarter 2015 consolidated financial statements. See Note 9 , “ Repurchase Agreements . ” |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 12 Months Ended |
Dec. 31, 2015 | |
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. The following describes the valuation techniques used for our assets and liabilities measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy. Any transfers between levels are assumed to occur at the beginning of the reporting period. Cash - Cash includes cash on deposit with financial institutions. The carrying amount of cash is deemed to be its fair value and is classified as Level 1. Cash balances posted by us to counterparties or posted by counterparties to us as collateral are classified as Level 2 because they are integrally related to the Company's repurchase financing and interest rate swap agreements, which are classified as Level 2. Agency Securities, Available for Sale - Fair value for the Agency Securities in our MBS portfolio is based on obtaining a valuation for each Agency Security from third party pricing services and/or dealer quotes. The third party pricing services use common market pricing methods that may include pricing models that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement. If the fair value of an Agency Security is not available from the third party pricing services or such data appears unreliable, we obtain pricing indications from up to three dealers who make markets in similar Agency Securities. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third party pricing services, dealer pricing indications and comparisons to a third party pricing model. Fair values obtained from the third party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing models used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the third party pricing service, but dealer pricing indications are, the security will be classified as a Level 2 security. If neither is available, management will determine the fair value based on characteristics of the security that we receive from the issuer and based on available market information and classify it as a Level 3 security. At December 31, 2015 and December 31, 2014 , all of our Agency Security fair values are classified as Level 2 based on the inputs used by our third party pricing services and dealer quotes. Non-Agency Securities Trading - The fair value for the Non-Agency Securities in our MBS portfolio is based on estimates prepared by our Portfolio Management group, which organizationally reports to our Chief Investment Officer. In preparing the estimates, our Portfolio Management group uses commercially available and proprietary models and data as well as market intelligence gained from discussions with, and transactions by, other market participants. We estimate the fair value of our Non-Agency Securities by estimating the future cash flows for each Non-Agency Security and then discounting those cash flows based on our estimates of current market yield for each individual security. Our estimates for future cash flows and current market yields incorporate such factors as collateral type, bond structure and priority of payments, coupons, prepayment speeds, defaults, delinquencies and severities. Quarterly, we compare our estimates of fair value of our Non-Agency Securities with pricing from third party pricing services, dealer marks received and recent purchase and financing transaction history to validate our assumptions of cash flow and market yield and calibrate our models. Fair values calculated in this manner are considered Level 3. At December 31, 2015 and December 31, 2014 , all of our Non-Agency Security fair values are calculated in this manner and therefore were classified as Level 3. Linked Transactions - Through December 31, 2014, the Non-Agency Securities underlying our Linked Transactions were valued using similar techniques to those used for our other Non-Agency Securities. The value of the underlying Non-Agency Security was then netted against the carrying amount (which approximated fair value) of the repurchase agreement at the valuation date. The fair value of Linked Transactions also included accrued interest receivable on the Non-Agency Security and accrued interest payable on the underlying repurchase agreement. Our Linked Transactions were classified as Level 3 at December 31, 2014. Receivables and Payables for Unsettled Sales and Purchases - The carrying amount is generally deemed to be fair value because of the relatively short time to settlement. Such receivables and payables are classified as Level 2 because they are effectively secured by the related securities and could potentially be subject to counterparty credit considerations. Repurchase Agreements - The fair value of repurchase agreements reflects the present value of the contractual cash flows discounted at the estimated LIBOR based market interest rates at the valuation date for repurchase agreements with a term equivalent to the remaining term to interest rate repricing, which may be at maturity, of our repurchase agreements. The fair value of the repurchase agreements approximates their carrying amount due to the short-term nature of these financial instruments. Our repurchase agreements are classified as Level 2. Obligations to Return Securities Received as Collateral - The fair value of the obligations to return securities received as collateral are based upon the prices of the related U.S. Treasury Securities obtained from a third party pricing service. Such obligations are classified as Level 1. Derivative Transactions - The fair values of our interest rate swap contracts and interest rate swaptions are valued using information provided by third party pricing services that may incorporate current interest rate curves, forward interest rate curves and market spreads to interest rate curves. We estimate the fair value of TBA Agency Securities based on similar methods used to value our Agency Securities. Management compares pricing information received to dealer quotes to ensure that the current market conditions are properly reflected. The fair values of our interest rate swap contracts, our interest rate swaptions and TBA Agency Securities are classified as Level 2. The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at December 31, 2015 and December 31, 2014 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at December 31, 2015 Assets at Fair Value: Agency Securities, available for sale $ — $ 611,259 $ — $ 611,259 Non-Agency Securities, trading $ — $ — $ 234,800 $ 234,800 Derivatives $ — $ 397 $ — $ 397 Liabilities at Fair Value: Derivatives $ — $ 8,158 $ — $ 8,158 There were no transfers of assets or liabilities between Levels of the fair value hierarchy during the year ended December 31, 2015 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at December 31, 2014 Assets at Fair Value: Agency Securities, available for sale $ — $ 1,075,521 $ — $ 1,075,521 Non-Agency Securities, trading $ — $ — $ 158,931 $ 158,931 Linked Transactions, net $ — $ — $ 2,532 $ 2,532 Derivatives $ — $ 7,231 $ — $ 7,231 Liabilities at Fair Value: Derivatives $ — $ 2,603 $ — $ 2,603 There were no transfers of assets or liabilities between Levels of the fair value hierarchy during the year ended December 31, 2014 . The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at December 31, 2015 and December 31, 2014 . December 31, 2015 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 15,945 $ 15,945 $ 15,945 $ — $ — Cash collateral posted to counterparties $ 9,539 $ 9,539 $ — $ 9,539 $ — Accrued interest receivable $ 1,628 $ 1,628 $ — $ 1,628 $ — Financial Liabilities: Repurchase agreements $ 751,924 $ 751,924 $ — $ 751,924 $ — Accrued interest payable $ 810 $ 810 $ — $ 810 $ — December 31, 2014 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 29,882 $ 29,882 $ 29,882 $ — $ — Cash collateral posted to counterparties $ 3,209 $ 3,209 $ — $ 3,209 $ — Accrued interest receivable $ 2,792 $ 2,792 $ — $ 2,792 $ — Financial Liabilities: Repurchase agreements $ 1,134,387 $ 1,134,387 $ — $ 1,134,387 $ — Cash collateral posted by counterparties $ 2,876 $ 2,876 $ — $ 2,876 $ — Accrued interest payable $ 696 $ 696 $ — $ 696 $ — The following tables provide a summary of the changes in Level 3 assets measured at fair value on a recurring basis at December 31, 2015 and December 31, 2014 and for the period from June 21, 2012 through December 31, 2012 . For the Years Ended Non-Agency Securities December 31, 2015 December 31, 2014 December 31, 2013 Balance, beginning of period $ 158,931 $ 143,399 $ 129,946 Purchases of Non-Agency Securities, at cost 97,027 32,397 38,332 Principal repayments of Non-Agency Securities (29,581 ) (15,494 ) (21,788 ) Proceeds from the sale of Non-Agency Securities — (9,757 ) (1,352 ) Gain (loss) on Non-Agency Securities (994 ) 559 (977 ) Linked Transactions Value of Purchased Non-Agency Securities 2,532 7,281 — Linked Transaction Liabilities Recognized 6,408 — — Discount accretion 477 546 (762 ) Balance, end of period $ 234,800 $ 158,931 $ 143,399 Gain (loss) on Non-Agency Securities $ (994 ) $ 559 $ (977 ) For the Years Ended Linked Transactions December 31, 2015 December 31, 2014 December 31, 2013 Balance, beginning of period $ 2,532 $ 16,322 Linked Transaction value of purchased Non-Agency Securities (2,532 ) (7,281 ) — Cash (receipts) disbursements on Linked Transactions — (16,839 ) 19,674 Unrealized net gain (loss) and net interest income (loss) from Linked Transactions — 10,330 (3,352 ) Balance, end of period $ — $ 2,532 $ 16,322 Gain (loss) on Linked Transactions $ — $ 10,330 $ (3,352 ) The significant unobservable inputs used in the fair value measurement of our Level 3 Non-Agency Securities (inclusive of Non-Agency Securities underlying Linked Transactions though December 31, 2014) include assumptions for underlying loan collateral, cumulative default rates and loss severities in the event of default, as well as discount rates. The following tables present the range of our estimates of cumulative default and loss severities, together with the discount rates implicit in our Level 3 Non-Agency Security fair values at December 31, 2015 and December 31, 2014 (inclusive of Non-Agency Securities underlying Linked Transactions), respectively. See Note 8 , “ Linked Transactions ” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions through December 31, 2014. December 31, 2015 Unobservable Level 3 Input Minimum Weighted Average Maximum Cumulative default 0.00 % 16.80 % 62.10 % Loss severity (life) 0.00 % 39.78 % 77.00 % Discount rate 3.50 % 5.09 % 5.57 % Delinquency (life) 0.00 % 20.23 % 53.10 % Voluntary prepayments (life) 0.80 % 7.28 % 16.80 % December 31, 2014 Unobservable Level 3 Input Minimum Weighted Average Maximum Cumulative default 0.00 % 14.98 % 47.89 % Loss severity (life) 18.80 % 57.15 % 100.00 % Discount rate 4.60 % 5.44 % 6.50 % Delinquency (life) 0.00 % 13.51 % 46.30 % Voluntary prepayments (life) 5.20 % 9.02 % 15.50 % The tables above include the effects of the structural elements of our Non-Agency Securities (inclusive of Non-Agency Securities underlying Linked Transactions through December 31, 2014), such as subordination, over collateralization or insurance. Significant increases or decreases in any of these inputs in isolation would result in a significantly lower or higher fair value measurement. Generally, a change in the assumption used for the probability of cumulative default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for voluntary prepayment rates for the life of the security. However, given the interrelationship between loss estimates and the discount rate, overall Non-Agency Security market conditions would likely have a more significant impact on our Level 3 fair values than changes in any one unobservable input. |
Agency Securities, Available fo
Agency Securities, Available for Sale | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Agency Securities, Available for Sale | Note 6 -Agency Securities, Available for Sale All of our Agency Securities are classified as available for sale securities and, as such, are reported at their estimated fair value and changes in fair value reported as part of the statements of comprehensive income. At December 31, 2015 , investments in Agency Securities accounted for 72.25% of our MBS portfolio. At December 31, 2014 , investments in Agency Securities accounted for 87.13% of our MBS portfolio and 86.50% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8 , “ Linked Transactions ” for additional discussion of Linked Transactions through December 31, 2014 ). We evaluated our Agency Securities with unrealized losses at December 31, 2015 , December 31, 2014 and December 31, 2013 , to determine whether there was an other than temporary impairment. All of our Agency Securities are issued and guaranteed by GSEs. The GSEs have a long term credit rating of AA+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. There was no other than temporary impairment recognized for the year ended December 31, 2015 and December 31, 2014 . In December 2013, anticipating portfolio repositioning sales in the first quarter of 2014, we concluded that the December 31, 2013 unrealized losses on our 25-year and 30-year fixed rate Agency Securities represented an other than temporary impairment. Accordingly, we recognized losses totaling $(44,278) in our 2013 statements of operations, thereby establishing a new cost basis for Agency Securities with aggregate fair value of $744,600 at December 31, 2013. We also determined that at December 31, 2013, there was no other than temporary impairment of our other Agency Securities, which were primarily 20-year and 15-year fixed rate securities. At December 31, 2015 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2015 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.29% at December 31, 2015 . December 31, 2015 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae Multi-Family MBS $ 131,071 $ (493 ) $ 896 $ 131,474 21.51 % 10 Year Fixed 2,071 — — 2,071 0.34 15 Year Fixed 306,354 (216 ) 355 306,493 50.14 20 Year Fixed 25,761 (776 ) — 24,985 4.09 30 Year Fixed 26,347 (325 ) — 26,022 4.26 Total Fannie Mae $ 491,604 $ (1,810 ) $ 1,251 $ 491,045 80.34 % Freddie Mac 30 Year Fixed $ 123,209 $ (2,995 ) $ — $ 120,214 19.66 % Total Freddie Mac $ 123,209 $ (2,995 ) $ — $ 120,214 19.66 % Total Agency Securities $ 614,813 $ (4,805 ) $ 1,251 $ 611,259 100.00 % At December 31, 2014 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2014 are also presented below. All of our Agency Securities were fixed rate securities with a weighted average coupon of 3.25% at December 31, 2014 . December 31, 2014 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae Multi-Family MBS $ 230,799 $ — $ 2,903 $ 233,702 21.73 % 15 Year Fixed 790,238 (26 ) 6,031 796,243 74.03 20 Year Fixed 45,881 (652 ) 347 45,576 4.24 Total Fannie Mae $ 1,066,918 $ (678 ) $ 9,281 $ 1,075,521 100.00 % Total Agency Securities $ 1,066,918 $ (678 ) $ 9,281 $ 1,075,521 Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following table summarizes the weighted average lives of our Agency Securities at December 31, 2015 and December 31, 2014 . December 31, 2015 December 31, 2014 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years — — — — Greater than or equal to three years and less than five years 308,565 308,425 702,485 697,385 Greater than or equal to five years 302,694 306,388 373,036 369,533 Total Agency Securities $ 611,259 $ 614,813 $ 1,075,521 $ 1,066,918 We use a third party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities at December 31, 2015 and December 31, 2014 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2015 and December 31, 2014 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total As of Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2015 $ 342,561 $ (4,029 ) $ 24,985 $ (776 ) $ 367,546 $ (4,805 ) December 31, 2014 $ 58,363 $ (26 ) $ 27,640 $ (652 ) $ 86,003 $ (678 ) During the year ended December 31, 2015 we sold $560,255 of Agency Securities, resulting in a realized gain of $5,106 . During the year ended December 31, 2014 , we sold $1,028,849 of Agency Securities, resulting in a realized gain of $8,254 . Sales of Agency Securities are done to reposition our securities portfolio and to reach our target level of liquidity. Note 7 -Non-Agency Securities, Trading All of our Non-Agency Securities are classified as trading securities and reported at their estimated fair value. Fair value changes are reported in the consolidated statements of operations in the period in which they occur. As the result of the adoption of ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, Transfers and Servicing (Topic 860), effective January 1, 2015, we completed the purchase of Non-Agency Securities with a fair value of $8,940 that were previously treated as Linked Transactions with repayment at maturity of related repurchase agreement borrowings of $6,408 . At December 31, 2015 , investments in Non-Agency Securities accounted for 27.75% of our MBS portfolio. The components of the carrying value of our Non-Agency Securities at December 31, 2015 are presented in the table below. Non-Agency Securities December 31, 2015 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Prime Fixed $ 36,784 $ 34,991 $ 40,923 5.30 % Prime Hybrid 14,137 12,752 16,243 2.35 % Prime Floater 33,612 33,789 34,750 4.59 % Alt-A Fixed 72,123 68,062 87,910 5.88 % Alt-A Hybrid 6,999 6,578 8,342 2.61 % Non Performing Loans 71,145 72,198 72,361 3.44 % Total Non-Agency Securities $ 234,800 $ 228,370 $ 260,529 4.56 % At December 31, 2014 , investments in Non-Agency Securities accounted for 12.87% of our MBS portfolio and 13.50% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8 , “ Linked Transactions ” for additional discussion of Linked Transactions through December 31, 2014 ). The components of the carrying value of our Non-Agency Securities at December 31, 2014 are presented in the table below. Non-Agency Securities December 31, 2014 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Prime Fixed $ 41,288 $ 40,894 $ 47,806 5.43 % Prime Hybrid 15,592 13,982 18,565 2.29 % Prime Floater 18,625 19,380 19,750 4.22 % Alt-A Fixed 75,072 70,986 88,965 5.99 % Alt-A Hybrid 8,354 7,972 9,998 2.50 % Total Non-Agency Securities $ 158,931 $ 153,214 $ 185,084 5.09 % Prime/Alt-A Non-Agency Securities at December 31, 2015 and December 31, 2014 include senior tranches in securitization trusts issued between 2004 and 2007, and are collateralized by residential mortgages originated between 2002 and 2007. The loans were originally considered to be either prime or one tier below prime credit quality. Prime mortgage loans are residential mortgage loans that are considered the highest tier with the most stringent underwriting standards within the Non-agency mortgage market, but do not carry any credit guarantee from either a U.S. Government agency or GSE. These loans were originated during a period when underwriting standards were generally weak and housing prices have dropped significantly subsequent to their origination. As a result, there is still material credit risk embedded in these vintage tranches. Alt-A, or alternative A-paper, mortgage loans are considered riskier than prime mortgage loans and less risky than sub-prime mortgage loans and are typically characterized by borrowers with less than full documentation, lower credit scores, higher loan to value ratios and a higher percentage of investment properties. These securities were generally rated below investment grade at December 31, 2015 and December 31, 2014 . The following table summarizes the weighted average lives of our Non-Agency Securities at December 31, 2015 and December 31, 2014 . December 31, 2015 December 31, 2014 Weighted Average Life of all Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ 15,394 $ 15,552 $ — $ — Greater than or equal to one year and less than three years 67,170 68,171 — — Greater than or equal to three years and less than five years 17,684 16,848 20,045 19,866 Greater than or equal to five years 134,552 127,799 138,886 133,348 Total Non-Agency Securities $ 234,800 $ 228,370 $ 158,931 $ 153,214 We use a third party model to calculate the weighted average lives of our Non-Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Non-Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Non-Agency Securities at December 31, 2015 and December 31, 2014 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 Non-Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Non-Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2015 and December 31, 2014 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total As of Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2015 $ 83,806 $ (1,172 ) $ 4,388 $ (247 ) $ 88,194 $ (1,419 ) December 31, 2014 $ 19,166 $ (1,029 ) $ 5,893 $ (296 ) $ 25,059 $ (1,325 ) Our Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and at December 31, 2015 and December 31, 2014 , have generally either been assigned below investment grade ratings by rating agencies, or have not been rated. We evaluate each investment based on the characteristics of the underlying collateral and securitization structure, rather than relying on the ratings assigned by rating agencies. In April 2014, we entered in to a long term collateral exchange agreement whereby we will receive approximately $50,000 of U.S. Treasury Securities or cash for two years (declining to $30,000 for a third year) in exchange for certain of our Non-Agency Securities. At December 31, 2015 , our repurchase agreement balance on our consolidated balance sheet includes borrowing against these U.S. Treasury Securities pledged to us under this agreement. |
Non-Agency Securities, Trading
Non-Agency Securities, Trading | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Non-Agency Securities, Trading | Note 6 -Agency Securities, Available for Sale All of our Agency Securities are classified as available for sale securities and, as such, are reported at their estimated fair value and changes in fair value reported as part of the statements of comprehensive income. At December 31, 2015 , investments in Agency Securities accounted for 72.25% of our MBS portfolio. At December 31, 2014 , investments in Agency Securities accounted for 87.13% of our MBS portfolio and 86.50% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8 , “ Linked Transactions ” for additional discussion of Linked Transactions through December 31, 2014 ). We evaluated our Agency Securities with unrealized losses at December 31, 2015 , December 31, 2014 and December 31, 2013 , to determine whether there was an other than temporary impairment. All of our Agency Securities are issued and guaranteed by GSEs. The GSEs have a long term credit rating of AA+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. There was no other than temporary impairment recognized for the year ended December 31, 2015 and December 31, 2014 . In December 2013, anticipating portfolio repositioning sales in the first quarter of 2014, we concluded that the December 31, 2013 unrealized losses on our 25-year and 30-year fixed rate Agency Securities represented an other than temporary impairment. Accordingly, we recognized losses totaling $(44,278) in our 2013 statements of operations, thereby establishing a new cost basis for Agency Securities with aggregate fair value of $744,600 at December 31, 2013. We also determined that at December 31, 2013, there was no other than temporary impairment of our other Agency Securities, which were primarily 20-year and 15-year fixed rate securities. At December 31, 2015 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2015 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.29% at December 31, 2015 . December 31, 2015 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae Multi-Family MBS $ 131,071 $ (493 ) $ 896 $ 131,474 21.51 % 10 Year Fixed 2,071 — — 2,071 0.34 15 Year Fixed 306,354 (216 ) 355 306,493 50.14 20 Year Fixed 25,761 (776 ) — 24,985 4.09 30 Year Fixed 26,347 (325 ) — 26,022 4.26 Total Fannie Mae $ 491,604 $ (1,810 ) $ 1,251 $ 491,045 80.34 % Freddie Mac 30 Year Fixed $ 123,209 $ (2,995 ) $ — $ 120,214 19.66 % Total Freddie Mac $ 123,209 $ (2,995 ) $ — $ 120,214 19.66 % Total Agency Securities $ 614,813 $ (4,805 ) $ 1,251 $ 611,259 100.00 % At December 31, 2014 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2014 are also presented below. All of our Agency Securities were fixed rate securities with a weighted average coupon of 3.25% at December 31, 2014 . December 31, 2014 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae Multi-Family MBS $ 230,799 $ — $ 2,903 $ 233,702 21.73 % 15 Year Fixed 790,238 (26 ) 6,031 796,243 74.03 20 Year Fixed 45,881 (652 ) 347 45,576 4.24 Total Fannie Mae $ 1,066,918 $ (678 ) $ 9,281 $ 1,075,521 100.00 % Total Agency Securities $ 1,066,918 $ (678 ) $ 9,281 $ 1,075,521 Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following table summarizes the weighted average lives of our Agency Securities at December 31, 2015 and December 31, 2014 . December 31, 2015 December 31, 2014 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years — — — — Greater than or equal to three years and less than five years 308,565 308,425 702,485 697,385 Greater than or equal to five years 302,694 306,388 373,036 369,533 Total Agency Securities $ 611,259 $ 614,813 $ 1,075,521 $ 1,066,918 We use a third party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities at December 31, 2015 and December 31, 2014 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2015 and December 31, 2014 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total As of Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2015 $ 342,561 $ (4,029 ) $ 24,985 $ (776 ) $ 367,546 $ (4,805 ) December 31, 2014 $ 58,363 $ (26 ) $ 27,640 $ (652 ) $ 86,003 $ (678 ) During the year ended December 31, 2015 we sold $560,255 of Agency Securities, resulting in a realized gain of $5,106 . During the year ended December 31, 2014 , we sold $1,028,849 of Agency Securities, resulting in a realized gain of $8,254 . Sales of Agency Securities are done to reposition our securities portfolio and to reach our target level of liquidity. Note 7 -Non-Agency Securities, Trading All of our Non-Agency Securities are classified as trading securities and reported at their estimated fair value. Fair value changes are reported in the consolidated statements of operations in the period in which they occur. As the result of the adoption of ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, Transfers and Servicing (Topic 860), effective January 1, 2015, we completed the purchase of Non-Agency Securities with a fair value of $8,940 that were previously treated as Linked Transactions with repayment at maturity of related repurchase agreement borrowings of $6,408 . At December 31, 2015 , investments in Non-Agency Securities accounted for 27.75% of our MBS portfolio. The components of the carrying value of our Non-Agency Securities at December 31, 2015 are presented in the table below. Non-Agency Securities December 31, 2015 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Prime Fixed $ 36,784 $ 34,991 $ 40,923 5.30 % Prime Hybrid 14,137 12,752 16,243 2.35 % Prime Floater 33,612 33,789 34,750 4.59 % Alt-A Fixed 72,123 68,062 87,910 5.88 % Alt-A Hybrid 6,999 6,578 8,342 2.61 % Non Performing Loans 71,145 72,198 72,361 3.44 % Total Non-Agency Securities $ 234,800 $ 228,370 $ 260,529 4.56 % At December 31, 2014 , investments in Non-Agency Securities accounted for 12.87% of our MBS portfolio and 13.50% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8 , “ Linked Transactions ” for additional discussion of Linked Transactions through December 31, 2014 ). The components of the carrying value of our Non-Agency Securities at December 31, 2014 are presented in the table below. Non-Agency Securities December 31, 2014 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Prime Fixed $ 41,288 $ 40,894 $ 47,806 5.43 % Prime Hybrid 15,592 13,982 18,565 2.29 % Prime Floater 18,625 19,380 19,750 4.22 % Alt-A Fixed 75,072 70,986 88,965 5.99 % Alt-A Hybrid 8,354 7,972 9,998 2.50 % Total Non-Agency Securities $ 158,931 $ 153,214 $ 185,084 5.09 % Prime/Alt-A Non-Agency Securities at December 31, 2015 and December 31, 2014 include senior tranches in securitization trusts issued between 2004 and 2007, and are collateralized by residential mortgages originated between 2002 and 2007. The loans were originally considered to be either prime or one tier below prime credit quality. Prime mortgage loans are residential mortgage loans that are considered the highest tier with the most stringent underwriting standards within the Non-agency mortgage market, but do not carry any credit guarantee from either a U.S. Government agency or GSE. These loans were originated during a period when underwriting standards were generally weak and housing prices have dropped significantly subsequent to their origination. As a result, there is still material credit risk embedded in these vintage tranches. Alt-A, or alternative A-paper, mortgage loans are considered riskier than prime mortgage loans and less risky than sub-prime mortgage loans and are typically characterized by borrowers with less than full documentation, lower credit scores, higher loan to value ratios and a higher percentage of investment properties. These securities were generally rated below investment grade at December 31, 2015 and December 31, 2014 . The following table summarizes the weighted average lives of our Non-Agency Securities at December 31, 2015 and December 31, 2014 . December 31, 2015 December 31, 2014 Weighted Average Life of all Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ 15,394 $ 15,552 $ — $ — Greater than or equal to one year and less than three years 67,170 68,171 — — Greater than or equal to three years and less than five years 17,684 16,848 20,045 19,866 Greater than or equal to five years 134,552 127,799 138,886 133,348 Total Non-Agency Securities $ 234,800 $ 228,370 $ 158,931 $ 153,214 We use a third party model to calculate the weighted average lives of our Non-Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Non-Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Non-Agency Securities at December 31, 2015 and December 31, 2014 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 Non-Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Non-Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2015 and December 31, 2014 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total As of Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2015 $ 83,806 $ (1,172 ) $ 4,388 $ (247 ) $ 88,194 $ (1,419 ) December 31, 2014 $ 19,166 $ (1,029 ) $ 5,893 $ (296 ) $ 25,059 $ (1,325 ) Our Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and at December 31, 2015 and December 31, 2014 , have generally either been assigned below investment grade ratings by rating agencies, or have not been rated. We evaluate each investment based on the characteristics of the underlying collateral and securitization structure, rather than relying on the ratings assigned by rating agencies. In April 2014, we entered in to a long term collateral exchange agreement whereby we will receive approximately $50,000 of U.S. Treasury Securities or cash for two years (declining to $30,000 for a third year) in exchange for certain of our Non-Agency Securities. At December 31, 2015 , our repurchase agreement balance on our consolidated balance sheet includes borrowing against these U.S. Treasury Securities pledged to us under this agreement. |
Linked Transactions
Linked Transactions | 12 Months Ended |
Dec. 31, 2015 | |
Linked Transactions Disclosure [Abstract] | |
Linked Transactions | Note 8 -Linked Transactions Through December 31, 2014 , our Linked Transactions are evaluated on a combined basis, reported as forward (derivative) instruments and presented as assets on our balance sheets at fair value. The fair value of Linked Transactions reflect the value of the underlying Non-Agency MBS, linked repurchase agreement borrowings and accrued interest receivable and payable on such instruments. For the year ended December 31, 2014 , our Linked Transactions are not designated as hedging instruments and, as a result, the change in the fair value and net interest income from Linked Transactions were reported in other income on our consolidated statements of operations. See Note 4 , “ Recent Accounting Pronouncements .” The following tables present information about our Non-Agency Securities and repurchase agreements underlying our Linked Transactions at December 31, 2014 . Our Non-Agency Securities underlying our Linked Transactions represented approximately 0.72% of our overall investment in MBS at December 31, 2014 . December 31, 2014 Linked Repurchase Agreements Linked Non-Agency Securities Maturity or Repricing Balance Weighted Average Interest Rate Non-Agency MBS Fair Value Amortized Cost Par/Current Face Weighted Average Coupon Rate Within 30 days $ 676 1.51 % Prime $ — $ — $ — 0.00 % 31 days to 60 days — 0.00 % Alt-A 8,940 8,854 12,199 6.22 % 61 days to 90 days 5,708 2.01 % Total $ 8,940 $ 8,854 $ 12,199 6.22 % Greater than 90 days — 0.00 % Total $ 6,384 1.95 % Not included in the tables above is $24 of accrued interest payable from Linked Transactions included in our consolidated balance sheet for the year ended December 31, 2014 . The following table presents certain information about the components of the unrealized net gains and (losses) and net interest income (loss) from Linked Transactions included in our consolidated statements of operations for the years ended December 31, 2015 , December 31, 2014 and December 31, 2013 . Unrealized Net Gain (Loss) and Net Interest Income (Loss) from Linked Transactions December 31, 2015 December 31, 2014 December 31, 2013 Interest income attributable to MBS underlying Linked Transactions $ — $ 4,671 $ 2,334 Interest expense attributable to linked repurchase agreements underlying Linked Transactions — (768 ) (534 ) Gain on sale of Linked Transactions — 2,971 — Change in fair value of Linked Transactions included in earnings — 3,456 (5,152 ) Unrealized net gain (loss) and net interest income (loss) from Linked Transactions $ — $ 10,330 $ (3,352 ) |
Repurchase Agreements
Repurchase Agreements | 12 Months Ended |
Dec. 31, 2015 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Note 9 -Repurchase Agreements At December 31, 2015 we had MRAs with 30 counterparties and had $751,924 in outstanding borrowings with 18 of those counterparties. At December 31, 2014 we had MRAs with 30 counterparties and had $1,134,387 in outstanding borrowings with 20 of those counterparties. See Note 8 “ Linked Transactions ” for additional discussion of Linked Transactions through December 31, 2014 . The following tables represent the contractual repricing and other information regarding our repurchase agreements to finance our MBS purchases at December 31, 2015 and December 31, 2014 . December 31, 2015 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 589,680 0.59 % 20 4.92 % Non-Agency Securities 129,413 2.02 % 48 22.93 % U.S. Treasury Securities 32,831 0.18 % 0 0.00 % Total or Weighted Average $ 751,924 0.81 % 24 8.68 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. December 31, 2014 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 1,020,916 0.37 % 39 4.87 % Non-Agency Securities 70,697 1.74 % 43 25.44 % U.S. Treasury Securities 42,774 0.19 % 2 0.00 % Total or Weighted Average $ 1,134,387 0.45 % 38 7.56 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. Maturing or Repricing December 31, 2015 Weighted Average Contractual Rate December 31, 2014 Weighted Average Contractual Rate Within 30 days $ 565,110 0.68 % $ 522,855 0.44 % 31 days to 60 days 162,882 1.09 289,819 0.41 61 days to 90 days 23,932 2.15 321,713 0.49 Total or Weighted Average $ 751,924 0.81 % $ 1,134,387 0.45 % At December 31, 2015 , 8 repurchase agreement counterparties individually accounted for between 5% and 10% of our aggregate borrowings. In total, these counterparties account for approximately 79.02% of our repurchase agreement borrowings outstanding at December 31, 2015 . At December 31, 2014 , 9 repurchase counterparties individually accounted for between 5% and 10% of our aggregate borrowings. In total these counterparties accounted for approximately 68.89% of our repurchase agreement borrowings outstanding at December 31, 2014 . The table below represents information about repurchase agreement counterparties that the amount at risk exceeds 5% of our stockholders' equity at December 31, 2015 and December 31, 2014 . December 31, 2015 December 31, 2014 Repurchase Agreement Counterparty Amount at Risk Weighted Average Maturity of Repurchase Agreements in days Amount at Risk Weighted Average Maturity of Repurchase Agreements in days Bank of America-Merrill Lynch $ 6,572 27 $ 7,238 42 BNP Paribas Securities Corp. (2) — 0 7,289 14 Credit Suisse First Boston 9,798 35 (2) 2,729 67 Royal Bank of Canada (1) 14,415 43 11,018 42 UBS AG (1) 19,375 250 (1) 19,194 615 Wells Fargo Securities 6,021 28 (2) 3,501 20 Total $ 56,181 $ 50,969 (1) Amount at risk exceeds 10% of stockholders' equity. (2) Amount less than 5%. |
Derivatives
Derivatives | 12 Months Ended |
Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives | Note 10 -Derivatives We enter into derivative transactions to manage our interest rate risk exposure. These transactions may include entering into interest rate swap contracts and interest rate swaptions. These transactions are designed to lock in funding costs for repurchase agreements associated with our assets in such a way to help assure the realization of net interest margins. Such transactions are based on assumptions about prepayments on our Agency Securities which, if not realized, will cause transaction results to differ from expectations. We also utilize forward contracts for the purchase or sale of TBA Agency Securities. We have agreements with our derivative counterparties that provide for the posting of collateral based on the fair values of our interest rate swap contracts, swaptions and TBA Agency Securities. Through this margin process, either we or our swap counterparty may be required to pledge cash or Agency Securities as collateral. Collateral requirements vary by counterparty and change over time based on the fair value; notional amount and remaining term of the contracts. Certain interest rate swap contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty. Interest rate swaptions generally provide us the option to enter into an interest rate swap agreement at a certain point of time in the future with a predetermined notional amount, stated term and stated rate of interest in the fixed leg and interest rate index on the floating leg. TBA Agency Securities are forward contracts for the purchase (“long position” ) or sale (“short position”) of Agency Securities at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency Securities delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. We may enter into TBA Agency Securities as a means of hedging against short-term changes in interest rates. We may also enter into TBA Agency Securities as a means of acquiring or disposing of Agency Securities and we may from time to time utilize TBA dollar roll transactions to finance Agency Security purchases. We estimate the fair value of TBA Agency Securities based on similar methods used to value our Agency Securities. The following tables present information about our derivatives at December 31, 2015 and December 31, 2014 . We did not have any TBA Agency Securities outstanding at December 31, 2014 . December 31, 2015 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount (2) Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 13-24 Months 22 0.55 % $ 50,000 $ 228 $ — Interest rate swap contracts 25-36 Months 29 0.92 % 50,000 — (137 ) Interest rate swap contract 37-48 Months 46 1.59 % 60,000 — (855 ) Interest rate swap contracts 61-72 Months 66 1.95 % 100,000 — (1,722 ) Interest rate swap contracts 85-96 Months 91 2.04 % 111,250 — (2,959 ) Interest rate swap contracts 121-132 Months 123 2.07 % 200,000 — (2,485 ) TBA Agency Securities — 0 — 40,000 169 — Total or Weighted Average $ 611,250 $ 397 $ (8,158 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. (2) Notional amount includes $300,000 of forward starting interest rate swap contracts which become effective within 6 months . December 31, 2014 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 25-36 Months 34 0.55 % $ 50,000 $ 611 $ — Interest rate swap contracts 37-48 Months 41 0.92 % 50,000 241 — Interest rate swap contracts 49-60 Months 58 1.59 % 60,000 — (306 ) Interest rate swap contracts 85-96 Months 93 1.50 % 175,000 4,178 — Interest rate swap contracts 97-108 Months 100 1.91 % 526,250 2,291 (2,297 ) Total or Weighted Average 89 1.67 % $ 861,250 $ 7,321 $ (2,603 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. We have netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association. We are also required to post cash collateral to counterparties or have cash collateral posted by counterparties to us based upon the net underlying market value of our open positions with the counterparty. The following tables present information about interest rate swap contracts and TBA Agency Securities and the potential effects of the master netting arrangements if we were to offset the assets and liabilities of these financial instruments on the accompanying consolidated balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives at fair value on the accompanying consolidated balance sheets at December 31, 2015 . December 31, 2015 Gross Amounts Not Offset in the Consolidated Balance Sheet Assets Gross Amounts of Assets Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Held Net Amount Interest rate swap contracts $ 228 $ (8,158 ) $ 9,539 $ 1,609 TBA Agency Securities 169 — — 169 Totals $ 397 $ (8,158 ) $ 9,539 $ 1,778 December 31, 2015 Gross Amounts Not Offset in the Consolidated Balance Sheet Liabilities Gross Amounts of Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Posted Net Amount Interest rate swap contracts $ (8,158 ) $ 8,158 $ — $ — Totals $ (8,158 ) $ 8,158 $ — $ — The following tables present information about interest rate swap contracts and the potential effects of the master netting arrangements if we were to offset the assets and liabilities of these financial instruments on the accompanying consolidated balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives at fair value on the accompanying consolidated balance sheets at December 31, 2014 . December 31, 2014 Gross Amounts Not Offset in the Consolidated Balance Sheet Assets Gross Amounts of Assets Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Held Net Amount Interest rate swap contracts $ 7,321 $ (2,603 ) $ 333 $ 5,051 Totals $ 7,321 $ (2,603 ) $ 333 $ 5,051 December 31, 2014 Gross Amounts Not Offset in the Consolidated Balance Sheet Liabilities Gross Amounts of Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Posted Net Amount Interest rate swap contracts $ (2,603 ) $ 2,603 $ — $ — Totals $ (2,603 ) $ 2,603 $ — $ — We apply trade date accounting. We did not have unsettled purchases or sales of derivatives at December 31, 2015 and December 31, 2014 . The following table represents the location and information regarding our derivatives which are included in total Other Income (Loss) in the accompanying consolidated statements of operations for the years ended December 31, 2015 , December 31, 2014 and December 31, 2013 . Income (Loss) Recognized For the Year Ended Derivatives Location on consolidated statements of operations December 31, 2015 December 31, 2014 December 31, 2013 Interest rate swap contracts: Realized gain Realized loss on derivatives $ (462 ) $ — $ — Interest income Realized loss on derivatives 682 1,060 787 Interest expense Realized loss on derivatives (6,578 ) (13,646 ) (9,457 ) Changes in fair value Unrealized gain (loss) on derivatives (16,933 ) (47,987 ) 57,738 $ (23,291 ) $ (60,573 ) $ 49,068 Interest rate swaptions: Realized gain Realized loss on derivatives — — 5,875 Changes in fair value Unrealized gain (loss) on derivatives — (6,884 ) 10 $ — $ (6,884 ) $ 5,885 TBA Agency Securities Realized gain Realized loss on derivatives 425 — — Changes in fair value Unrealized gain (loss) on derivatives 169 — — $ 594 $ — $ — Totals $ (22,697 ) $ (67,457 ) $ 54,953 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 11 -Commitments and Contingencies Management Agreement with ACM We are externally managed by ACM pursuant to a management agreement, (the “Management Agreement”) see also Note 14, “ Related Party Transactions” ). The Management Agreement entitles ACM to receive a management fee payable monthly in arrears in an amount equal to 1/12th of (a) 1.5% of gross equity raised (including our initial public offering and private placement equity) up to $1.0 billion plus (b) 1.0% of gross equity raised in excess of $1.0 billion . Gross equity raised was $238,483 , $243,101 and $244,410 at December 31, 2015 , December 31, 2014 and December 31, 2013 . 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. ACM is entitled to receive a termination fee from us under certain circumstances. The ACM monthly management fee is not calculated based on the performance of our assets. Accordingly, the payment of our monthly management fee 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 a termination fee from us under certain circumstances. Indemnifications and Litigation We enter into certain contracts that contain a variety of indemnifications to third parties, principally with ACM and brokers. The maximum potential amount of future payments we could be required to make under these indemnification provisions is unknown. 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 is not material. Accordingly, we have no liabilities recorded for these agreements at December 31, 2015 , December 31, 2014 . We are not party to any pending, threatened or contemplated litigation. |
Stock-Based Compensation
Stock-Based Compensation | 12 Months Ended |
Dec. 31, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Stock-Based Compensation | Note 12 -Stock Based Compensation Stock Incentive Plan Our 2012 Stock Incentive Plan (the “Plan”) provides for grants of common stock, restricted shares of common stock, stock options, performance shares, performance units, stock appreciation rights and other equity and cash-based awards (collectively “Awards”) to eligible individuals. The maximum number of shares of common stock reserved for the grant of awards under the Plan is equal to 3.0% of the total issued and outstanding shares of common stock (on a fully diluted basis) at the time of the grant of the award (other than any shares of common stock issued or subject to awards made pursuant to the Plan). If an award granted under the Plan expires or terminates, the shares subject to any portion of the award that expires or terminates without having been exercised or paid, as the case may be, will again become available for the issuance of additional awards. At December 31, 2015 there were 356 shares reserved for award under the Plan. No awards have been made to date. Directors Fees In the first quarter of 2014, we began paying to our non-executive directors a fee payable in cash, common stock, or a combination of cash and stock at the option of the director. The number of shares issued is determined by dividing the chosen U.S. dollar amount of these fees by the closing market price for our stock at the end of each quarter. |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Stockholders' Equity | Note 13 -Stockholders' Equity Preferred Stock At December 31, 2015 and December 31, 2014 , we were authorized to issue up to 25,000 shares of preferred stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by our Board of Directors (“Board”) or a committee thereof. We have not issued any preferred stock to date. Common Stock At December 31, 2015 and December 31, 2014 , we were authorized to issue up to 250,000 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 11,866 shares of common stock issued and outstanding at December 31, 2015 and 11,985 issued and outstanding at December 31, 2014 . Common Stock Repurchased On March 5, 2014, our Board increased the authorization under the Repurchase Program to 3,000 shares of our common stock outstanding (the “Repurchase Program”). On December 14, 2015, the Board changed the authorization to 2,000 shares of our common stock outstanding. 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. At December 31, 2015 , there were 1,936 authorized shares remaining under our Repurchase Program. Dividends The following table presents our common stock dividend transactions for the year ended December 31, 2015 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2015 January 27, 2015 $0.12 $ 1,438 February 13, 2015 February 27, 2015 $0.12 1,438 March 13, 2015 March 27, 2015 $0.12 1,438 April 15, 2015 April 27, 2015 $0.09 1,079 May 15, 2015 May 27, 2015 $0.09 1,076 June 15, 2015 June 29, 2015 $0.09 1,072 July 15, 2015 July 27, 2015 $0.09 1,073 August 17, 2015 August 27, 2015 $0.09 1,073 September 15, 2015 September 28, 2015 $0.09 1,073 October 15, 2015 October 27, 2015 $0.09 1,073 November 16, 2015 November 27, 2015 $0.09 1,073 December 16, 2015 December 30, 2015 $0.09 1,073 Total dividends paid $ 13,979 The following table presents our common stock dividend transactions for the year ended December 31, 2014 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2014 January 30, 2014 $0.15 $ 1,799 February 14, 2014 February 27, 2014 $0.15 1,799 March 17, 2014 March 28, 2014 $0.15 1,799 April 15, 2014 April 29, 2014 $0.15 1,799 May 15, 2014 May 29, 2014 $0.15 1,799 June 16, 2014 June 27, 2014 $0.15 1,800 July 15, 2014 July 30, 2014 $0.15 1,800 August 15, 2014 August 29, 2014 $0.15 1,800 September 15, 2014 September 29, 2014 $0.15 1,800 October 15, 2014 October 30, 2014 $0.15 1,800 November 17, 2014 November 26, 2014 $0.15 1,800 December 15, 2014 December 30, 2014 $0.15 1,805 Total dividends paid $ 21,600 The following table presents our common stock dividend transactions for the year ended December 31, 2013 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2013 January 30, 2013 $0.23 $ 1,725 February 15, 2013 February 27, 2013 $0.23 1,725 March 15, 2013 March 27, 2013 $0.23 1,725 April 15, 2013 April 29, 2013 $0.23 1,725 May 15, 2013 May 30, 2013 $0.23 3,105 June 14, 2013 June 27, 2013 $0.23 3,105 July 15, 2013 July 30, 2013 $0.23 3,105 August 15, 2013 August 29, 2013 $0.23 3,105 September 16, 2013 September 27, 2013 $0.23 3,105 October 15, 2013 October 28, 2013 $0.15 2,025 November 15, 2013 November 27, 2013 $0.15 2,025 December 16, 2013 December 27, 2013 $0.15 1,939 Total dividends paid $ 28,414 Equity Capital Raising Activities The following table presents our equity transactions for the year ended December 31, 2015 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds Dividend Reinvestment Plan January 27, 2015 to November 27, 2015 1 $ 7.57 $ 8 (1) Weighted average price. The following table presents our equity transactions for the year ended December 31, 2014 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds Dividend Reinvestment Plan Shares July 25, 2014 to December 30, 2014 NM $ 12.48 NM Common equity distribution agreements November 25, 2014 to December 5, 2014 32 $ 12.61 358 (1) Weighted average price. NM - Not meaningful The following table presents our equity transactions for the year ended December 31, 2013 . Transaction Type Completion Date Number of Shares Per Share price Net Proceeds Common stock follow-on public offering May 13, 2013 6,000 $ 18.93 $ 113,163 (1) Weighted average price. Common Stock Repurchases The following table presents our common stock repurchases for the year ended December 31, 2015 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Cost Repurchased shares May 7, 2015 to December 18, 2015 145 $ 6.97 $ (1,009 ) (1) Weighted average price. The following table presents our common stock repurchases for the year ended December 31, 2014 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Cost Repurchased shares December 23, 2014 to December 30, 2014 54 $ 10.95 $ (591 ) (1) Weighted average price. The following table presents our common stock repurchases for the year ended December 31, 2013 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Cost Repurchased shares November 26, 2013 to December 30, 2013 1,507 $ 12.72 $ (19,201 ) (1) Weighted average price. |
Net Loss per Common Share
Net Loss per Common Share | 12 Months Ended |
Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |
Net Loss per Common Share | Note 14 -Net Loss per Common Share GAAP requires earnings per share to be computed based on the weighted average number of shares outstanding during the period presented, calculated on a daily basis. Net loss per common share was $(0.02) , $(1.81) and $(3.89) based on weighted average shares outstanding of 11,943 , 12,000 and 11,257 , respectively, for the years ended December 31, 2015 , December 31, 2014 and December 31, 2013 respectively. To date, we have not issued any dilutive securities. |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 15 -Income Taxes The following table reconciles our GAAP net income (loss) to estimated REIT taxable income for the years ended December 31, 2015 , December 31, 2014 and December 31, 2013 . For the Years Ended December 31, 2015 December 31, 2014 December 31, 2013 GAAP Net loss $ (290 ) $ (21,759 ) $ (43,774 ) Book to tax differences: Net book to tax differences on Non-Agency Securities and Linked Transactions though December 31, 2014 917 (6,143 ) 8,006 Net capital losses carried forward — — 80,509 Gain on sale of Agency Securities (5,106 ) (8,254 ) — Other than temporary impairment of Agency Securities — — 44,278 Amortization of deferred hedging gains (costs) (1,025 ) 229 (57,879 ) Net premium amortization differences — (809 ) — Changes in interest rate contracts 16,801 54,871 (5,875 ) Other 3 3 3 Estimated taxable income $ 11,300 $ 18,138 $ 25,268 Interest rate contracts are treated as hedging transactions for tax purposes. Unrealized gains and losses on open interest rate contracts are not included in the determination of 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. Net capital losses realized in 2013 and 2014 totaling $(80,509) and $(33,335) will be available to offset future capital gains realized through 2018 and 2019, respectively. The aggregate tax basis of our assets and liabilities is less than our Total Stockholders’ Equity at December 31, 2015 by approximately $15,603 , or approximately $1.31 per share (based on the 11,866 shares then outstanding). We are required and intend to timely distribute substantially all of our REIT taxable income in order to maintain our REIT status under the Code. Total dividend payments to stockholders were $13,979 and $21,600 for the years ended December 31, 2015 and December 31, 2014 , respectively. We made dividend payments to stockholders of $28,414 for the year ended December 31, 2013 . Our estimated REIT taxable income available to pay dividends was $11,300 and $18,138 for the years ended December 31, 2015 and December 31, 2014 and $25,268 for the year ended December 31, 2013 , respectively. The portion of the dividends on our common stock which represented non-taxable return of capital was approximately 19.15% in 2015, 16.03% in 2014 and 4.27% in 2013. Our management is responsible for determining whether tax positions taken by us are more likely than not to be sustained on their merits. We have no material unrecognized tax benefits or material uncertain tax positions. |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2015 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Note 16 -Related Party Transactions We are externally managed by ACM pursuant to the 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 October 5, 2017 and is thereafter automatically renewed for successive one -year terms unless terminated under certain circumstances. Either party must provide 180 days prior written notice of any such termination. Under the terms of the Management 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. In accordance with the Management Agreement, we incurred $3,546 , $3,658 and $3,315 in management fees for the years ended December 31, 2015 , December 31, 2014 and December 31, 2013 , respectively. We are required to take actions as may be reasonably required to enable ACM to carry out its duties and obligations. We are also responsible for any costs and expenses that ACM incurred solely on behalf of us other than the various overhead expenses specified in the terms of the Management Agreement. For the years ended December 31, 2015 , December 31, 2014 and December 31, 2013 , we reimbursed ACM $235 , $353 and $147 , respectively, for expenses incurred on our behalf. |
Interest Rate Risk
Interest Rate Risk | 12 Months Ended |
Dec. 31, 2015 | |
Interest Rate Risk [Abstract] | |
Interest Rate Risk | Note 17 -Interest Rate Risk Our primary market risk is interest rate risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond our control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned and the interest expense incurred in connection with the liabilities, by affecting the spread between the interest-earning assets and interest-bearing liabilities. Changes in the level of interest rates also can affect the value of MBS and our ability to realize gains from the sale of these assets. A decline in the value of the MBS pledged as collateral for borrowings under repurchase agreements could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 18 -Subsequent Events On January 27, 2016, a cash dividend of $0.09 per outstanding common share, or $1,068 in the aggregate, was paid to holders of record on January 15, 2016. On February 26, 2016, a cash dividend of $0.09 per outstanding common share, or $1,068 in the aggregate, was paid to holders of record on February 15, 2016. On March 1, 2016, we declared a cash dividend for the month of March 2016 of $0.09 per outstanding share payable on March 28, 2016 to holders of record on March 15, 2016. In January 2016, the Federal Housing Financing Authority issued a Final Rule revising its regulations governing FHLB bank membership. The Final Rule changes the definition of “insurance company“ to exclude captives, thereby making them ineligible for membership. The Final Rule contains a transition provision to give captives admitted to membership on or after the date of the publication of the proposed rule, which includes LANCE, until February 2017 to terminate its membership in the FHLB Cincinnati. Under the Final Rule, LANCE is prohibited from taking new advances. LANCE does not currently have an existing advance with FHLB Cincinnati. The Final Rule does not directly affect JAVELIN's MRA agreement or reported repurchase financing with another FHLB. On March 1, 2016 the Company entered into an Agreement and Plan of Merger (“Merger Agreement”) with ARMOUR Residential REIT, Inc. (“ARMOUR”) and JMI Acquisition Corp., a newly formed wholly-owned subsidiary of ARMOUR. Pursuant to the Merger Agreement, JMI Acquisition Corporation will commence a tender offer to purchase all of the outstanding common stock of the Company for cash at a price equal to 87% of the Company’s book value per share, as calculated in accordance with the merger agreement, including a reduction of $1.0 million in respect of our transaction expense (the “Tender Offer Price”). The actual dollar price of the Tender Offer Price will be set 10 business days prior to the expiration of the tender offer and the tender offer is subject to the condition that greater than 50% of the total outstanding shares of common stock which are not owned immediately before the expiration of the tender offer by ARMOUR, any of its subsidiaries, or any officers or directors of ARMOUR, or us, are validly tendered and not withdrawn. Upon completion of the tender, JMI Acquisition Corp. will be merged with and into the Company (the “Merger”). Pursuant to the Merger Agreement, any remaining untendered shares of JAVELIN common stock will be converted into the right to receive cash equal to the Tender Offer Price. The Merger Agreement has been approved and the tender offer has been recommended by a unanimous vote of the Board, acting in accordance with a unanimous recommendation by the Special Committee of the Board, consisting of the director of JAVELIN who is not employed by or otherwise affiliated with ARMOUR, ACM or any of their respective subsidiaries. The Merger is subject to customary closing conditions and is expected to close in the second quarter of 2016. The Company expects to terminate the listing of its common stock on the New York Stock Exchange and the registration of its common stock under the Securities and Exchange Act of 1934, as amended, and continue to operate as a private subsidiary of ARMOUR and be managed by ACM. The Company will be required to reimburse ARMOUR’s documented out-of-pocket expenses, up to $2.0 million , if (1) the Company terminates the Merger Agreement in connection with a superior proposal, or (2) if ARMOUR terminates the Merger Agreement, solely in the event the tender offer is commenced and a majority of shares are not tendered as described above, and (i) the Board, acting upon the recommendation of the Special Committee, withdraws or materially modifies in a manner adverse to the tender offer and Merger, or recommends that the Board withdraw or materially modify in a manner adverse to the tender offer and Merger, the recommendation that the stockholders of the Company tender their shares in response to the tender offer, or (ii) if there is a public statement, for which neither ARMOUR, any subsidiary of ARMOUR or anyone acting on their behalf is responsible, to the effect that the Board, acting upon the recommendation of the Special Committee, intends to withdraw its recommendation or modify it in a manner adverse to the tender offer and Merger and, if requested by ARMOUR, the Company does not within three full business days after the date of the request, with the approval of the Board, acting upon the recommendation of the Special Committee, issue and file with the SEC a public statement denying that that is the case. |
Quarterly Financial Data (unaud
Quarterly Financial Data (unaudited) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Data (unaudited) | Note 19 -Quarterly Financial Data (unaudited) The following tables are a comparative breakdown of our unaudited quarterly financial results for the immediately preceding eight quarters. Quarters Ended March 31, June 30, September 30, December 31, Interest income: Agency Securities, net of amortization of premium $ 5,304 $ 5,172 $ 4,626 $ 4,365 Non-Agency Securities, including discount accretion 2,697 3,021 3,389 3,271 Total Interest Income $ 8,001 $ 8,193 $ 8,015 $ 7,636 Interest expense (1,430 ) (1,530 ) (1,749 ) (1,748 ) Net Interest Income $ 6,571 $ 6,663 $ 6,266 $ 5,888 Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss) 4,271 (3 ) 797 41 Gain (loss) on Non-Agency Securities 2,606 669 (2,127 ) (2,142 ) Realized loss on derivatives (1) (2,263 ) (1,104 ) (703 ) (1,863 ) Unrealized gain (loss) on derivatives (15,633 ) 12,755 (18,925 ) 5,039 Expenses (1,737 ) (1,751 ) (1,836 ) (1,769 ) Net Income (Loss) $ (6,185 ) $ 17,229 $ (16,528 ) $ 5,194 Net income (loss) per common share $ (0.52 ) $ 1.44 $ (1.39 ) $ 0.44 Weighted average common shares outstanding 11,985 11,956 11,917 11,913 Common stock dividends declared $ 4,315 $ 3,227 $ 3,217 $ 3,220 Common stock dividends declared per share $ 0.36 $ 0.27 $ 0.27 $ 0.27 Common Shares of record end of period 11,991 11,917 11,924 11,866 (1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the consolidated statements of operations. Quarters Ended March 31, June 30, September 30, December 31, Interest income: Agency Securities, net of amortization of premium $ 8,445 $ 8,031 $ 7,246 $ 6,819 Non-Agency Securities, including discount accretion 2,308 2,410 2,478 2,592 Total Interest Income $ 10,753 $ 10,441 $ 9,724 $ 9,411 Interest expense (1,448 ) (1,769 ) (1,698 ) (1,638 ) Net Interest Income $ 9,305 $ 8,672 $ 8,026 $ 7,773 Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss) 8,810 (34 ) (845 ) 323 Gain (loss) on Non-Agency Securities 833 288 1,571 (2,133 ) Unrealized net gain and net interest income from Linked Transactions 4,427 2,950 1,145 1,726 Realized loss on derivatives (1) (3,106 ) (3,097 ) (3,131 ) (3,252 ) Unrealized gain (loss) on derivatives (20,029 ) (15,703 ) 1,293 (20,432 ) Expenses (2,103 ) (1,852 ) (1,487 ) (1,697 ) Net Income (Loss) $ (1,863 ) $ (8,776 ) $ 6,572 $ (17,692 ) Net income (loss) per common share $ (0.16 ) $ (0.73 ) $ 0.55 $ (1.47 ) Weighted average common shares outstanding 11,993 11,996 11,999 12,010 Common stock dividends declared $ 5,397 $ 5,398 $ 5,400 $ 5,406 Common stock dividends declared per share $ 0.45 $ 0.45 $ 0.45 $ 0.45 Common Shares of record end of period 11,996 11,999 12,003 11,985 (1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the consolidated statements of operations. |
Summary of Significant Accoun27
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The accompanying consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the U.S. (“GAAP”). The consolidated financial statements include the accounts of JAVELIN Mortgage Investment Corp. and its subsidiary. All intercompany accounts and transactions have been eliminated.The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying consolidated financial statements include the valuation of MBS (as defined below), including an assessment of whether other-than-temporary impairment (“OTTI”) exists, 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 we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. |
Cash Collateral Posted To/By Counterparties | Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents cash posted by us to counterparties or posted by counterparties to us as collateral for our interest rate swap contracts (including swaptions) and repurchase agreements on our MBS and our Agency Securities purchased or sold on a to-be-announced basis (“TBA Agency Securities” ). |
MBS, at Fair Value | MBS, at Fair Value We generally intend to hold most of our MBS for extended periods of time. We may, from time to time, sell any of our MBS as part of the overall management of our MBS portfolio. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. Purchases and sales of our MBS are recorded on the trade date. However, in 2014, if on the purchase settlement date, a repurchase agreement was used to finance the purchase of an MBS with the same counterparty and such transaction was determined to be linked, then the MBS and linked repurchase borrowing were reported on the same settlement date as Linked Transactions (see below). |
Agency Securities, Available For Sale | Agency Securities, Available For Sale At December 31, 2015 and December 31, 2014 , all of our Agency Securities were classified as available for sale securities. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the statements of comprehensive income (loss). We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities. |
Non-Agency Securities, Trading | Non-Agency Securities, Trading At December 31, 2015 and December 31, 2014 , all of our Non-Agency Securities were classified as trading securities. Non-Agency Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in other income (loss) as a component of the statements of operations. We estimate future cash flows for each Non-Agency Security and then discount those cash flows based on our estimates of current market yield for each individual security. We then compare our calculated price with our pricing services and/or dealer marks. Our estimates for future cash flows and current market yields incorporate such factors as coupons, prepayment speeds, defaults, delinquencies and severities. |
Receivables and Payable for Unsettled Sales and Purchases | Receivables and Payables for Unsettled Sales and Purchases We account for purchases and sales of securities on the trade date, including purchases and sales for forward settlement. Receivables and payables for unsettled trades represent the agreed trade price multiplied by the outstanding balance of the securities at the balance sheet date. |
Accrued Interest Receivable and Payable | Accrued Interest Receivable and Payable Accrued interest receivable includes interest accrued between payment dates on MBS. Accrued interest payable includes interest payable on our repurchase agreements. |
Repurchase Agreements and Obligations to Return Securities Received as Collateral, at Fair Value | Repurchase Agreements We finance the acquisition of our MBS through the use of repurchase agreements. Our repurchase agreements are secured by our MBS and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell MBS to a lender and agree to repurchase the same MBS in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement (with the exception of repurchase agreements accounted for as a component of a Linked Transaction described below) 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 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 during or at the years ended December 31, 2015 or December 31, 2014 . Obligations to Return Securities Received as Collateral, at Fair Value At certain times, we also sell to third parties the U.S. Treasury Securities received as collateral for reverse repurchase agreements and recognize the resulting obligation to return said U.S. Treasury Securities as a liability on our consolidated balance sheets. Interest is recorded on the repurchase agreements, reverse repurchase agreements and U.S. Treasury Securities sold short on an accrual basis and presented as net interest expense. Both parties to the transaction have the right to make daily margin calls based on changes in the fair value of the collateral received and/or pledged. |
Derivatives, at Fair Value | Derivatives, at Fair Value We recognize all derivatives as either assets or liabilities at fair value on our consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our consolidated statements of operations. We designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. These transactions include interest rate swap contracts and interest rate swaptions. We also utilize forward contracts for the purchase or sale of TBA Agency Securities. We account for TBA Agency Securities as derivative instruments if it is reasonably possible that we will not take or make physical delivery of the Agency Security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. We may also purchase and sell TBA Agency Securities as a means of investing in and financing Agency Securities (thereby increasing our “at risk” leverage) or as a means of disposing of or reducing our exposure to Agency Securities (thereby reducing our “at risk” leverage). Pursuant to TBA Agency Securities, we agree to purchase or sell, for future delivery, Agency Securities with certain principal and interest terms and certain types of collateral, but the particular Agency Securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA Agency Security for a later settlement date. This transaction is commonly referred to as a “dollar roll.“ When it is reasonably possible that we will pair off a TBA Agency Security, we account for that contract as a derivative. |
Linked Transactions | Linked Transactions Through December 31, 2014 , the initial purchase of Non-Agency Securities and the related contemporaneous repurchase financing of such MBS with the same counterparty were considered part of the same arrangement, or a “Linked Transaction,” when certain criteria were met. Our acquisition of a Non-Agency Security and a related repurchase financing provided by the seller are generally considered to be linked if the initial transfer of and repurchase financing are contractually contingent, or there is a limited secondary market for the purchased security. The components of a Linked Transaction are evaluated on a combined basis and in totality, accounted for as a forward contract and reported as “Linked Transactions” on our balance sheets. Changes in the fair value of the Non-Agency Securities and repurchase liabilities underlying the Linked Transactions and associated interest income and expense are reported as “unrealized net gains/(losses) and net interest income (loss) from Linked Transactions” on our statements of operations and are not included in other comprehensive income (loss). When the linking criteria are no longer met, the initial transfer (i.e., the purchase of a security) and repurchase financing will no longer be treated as a Linked Transaction and will be evaluated and reported separately as a MBS purchase and repurchase financing. |
Revenue Recognition | Revenue Recognition Interest income is earned and recognized on Agency Securities based on their unpaid principal balance and their contractual terms. 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. Interest income on Non-Agency Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Other than temporary impairments, which establish a new cost basis in the security for purposes of calculating effective yields, are recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. |
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 | In June 2014, the Financial Accounting Standards Board released ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, Transfers and Servicing (Topic 860) . This amendment to the accounting standards changed the accounting for repurchase financing transactions, that is, a transfer of a financial asset financed by a repurchase agreement with the same counterparty. In 2014, certain of these transactions were combined and accounted for as a forward contract and are reported as “Linked Transactions” on our balance sheet. Under the amendment, these arrangements are no longer presented as Linked Transactions on our consolidated balance sheet but are instead accounted for from inception as purchases of Non-Agency trading securities and repurchase agreement liabilities. The amendment also changed the accounting for repurchase-to-maturity transactions to secured borrowing accounting. We do not currently have, and do not contemplate having, repurchase-to-maturity transactions. The accounting changes were effective for the Company beginning on January 1, 2015, early adoption was prohibited. In 2014, we continued to account for Linked Transactions and Non-Agency Securities all on a fair value basis. The amendment also required certain additional disclosures about repurchase agreements beginning with the second quarter 2015 consolidated financial statements. |
Fair Value of Financial Instr28
Fair Value of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at December 31, 2014 Assets at Fair Value: Agency Securities, available for sale $ — $ 1,075,521 $ — $ 1,075,521 Non-Agency Securities, trading $ — $ — $ 158,931 $ 158,931 Linked Transactions, net $ — $ — $ 2,532 $ 2,532 Derivatives $ — $ 7,231 $ — $ 7,231 Liabilities at Fair Value: Derivatives $ — $ 2,603 $ — $ 2,603 The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at December 31, 2015 and December 31, 2014 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at December 31, 2015 Assets at Fair Value: Agency Securities, available for sale $ — $ 611,259 $ — $ 611,259 Non-Agency Securities, trading $ — $ — $ 234,800 $ 234,800 Derivatives $ — $ 397 $ — $ 397 Liabilities at Fair Value: Derivatives $ — $ 8,158 $ — $ 8,158 |
Carrying Values and Fair Values of Financial Assets and Liabilities | The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at December 31, 2015 and December 31, 2014 . December 31, 2015 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 15,945 $ 15,945 $ 15,945 $ — $ — Cash collateral posted to counterparties $ 9,539 $ 9,539 $ — $ 9,539 $ — Accrued interest receivable $ 1,628 $ 1,628 $ — $ 1,628 $ — Financial Liabilities: Repurchase agreements $ 751,924 $ 751,924 $ — $ 751,924 $ — Accrued interest payable $ 810 $ 810 $ — $ 810 $ — December 31, 2014 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 29,882 $ 29,882 $ 29,882 $ — $ — Cash collateral posted to counterparties $ 3,209 $ 3,209 $ — $ 3,209 $ — Accrued interest receivable $ 2,792 $ 2,792 $ — $ 2,792 $ — Financial Liabilities: Repurchase agreements $ 1,134,387 $ 1,134,387 $ — $ 1,134,387 $ — Cash collateral posted by counterparties $ 2,876 $ 2,876 $ — $ 2,876 $ — Accrued interest payable $ 696 $ 696 $ — $ 696 $ — |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables provide a summary of the changes in Level 3 assets measured at fair value on a recurring basis at December 31, 2015 and December 31, 2014 and for the period from June 21, 2012 through December 31, 2012 . For the Years Ended Non-Agency Securities December 31, 2015 December 31, 2014 December 31, 2013 Balance, beginning of period $ 158,931 $ 143,399 $ 129,946 Purchases of Non-Agency Securities, at cost 97,027 32,397 38,332 Principal repayments of Non-Agency Securities (29,581 ) (15,494 ) (21,788 ) Proceeds from the sale of Non-Agency Securities — (9,757 ) (1,352 ) Gain (loss) on Non-Agency Securities (994 ) 559 (977 ) Linked Transactions Value of Purchased Non-Agency Securities 2,532 7,281 — Linked Transaction Liabilities Recognized 6,408 — — Discount accretion 477 546 (762 ) Balance, end of period $ 234,800 $ 158,931 $ 143,399 Gain (loss) on Non-Agency Securities $ (994 ) $ 559 $ (977 ) For the Years Ended Linked Transactions December 31, 2015 December 31, 2014 December 31, 2013 Balance, beginning of period $ 2,532 $ 16,322 Linked Transaction value of purchased Non-Agency Securities (2,532 ) (7,281 ) — Cash (receipts) disbursements on Linked Transactions — (16,839 ) 19,674 Unrealized net gain (loss) and net interest income (loss) from Linked Transactions — 10,330 (3,352 ) Balance, end of period $ — $ 2,532 $ 16,322 Gain (loss) on Linked Transactions $ — $ 10,330 $ (3,352 ) |
Range of Estimates of Cumulative Default and Loss Severities and Discount Rates | The following tables present the range of our estimates of cumulative default and loss severities, together with the discount rates implicit in our Level 3 Non-Agency Security fair values at December 31, 2015 and December 31, 2014 (inclusive of Non-Agency Securities underlying Linked Transactions), respectively. See Note 8 , “ Linked Transactions ” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions through December 31, 2014. December 31, 2015 Unobservable Level 3 Input Minimum Weighted Average Maximum Cumulative default 0.00 % 16.80 % 62.10 % Loss severity (life) 0.00 % 39.78 % 77.00 % Discount rate 3.50 % 5.09 % 5.57 % Delinquency (life) 0.00 % 20.23 % 53.10 % Voluntary prepayments (life) 0.80 % 7.28 % 16.80 % December 31, 2014 Unobservable Level 3 Input Minimum Weighted Average Maximum Cumulative default 0.00 % 14.98 % 47.89 % Loss severity (life) 18.80 % 57.15 % 100.00 % Discount rate 4.60 % 5.44 % 6.50 % Delinquency (life) 0.00 % 13.51 % 46.30 % Voluntary prepayments (life) 5.20 % 9.02 % 15.50 % |
Agency Securities, Available 29
Agency Securities, Available for Sale (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Available-for-sale Securities | At December 31, 2015 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2015 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.29% at December 31, 2015 . December 31, 2015 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae Multi-Family MBS $ 131,071 $ (493 ) $ 896 $ 131,474 21.51 % 10 Year Fixed 2,071 — — 2,071 0.34 15 Year Fixed 306,354 (216 ) 355 306,493 50.14 20 Year Fixed 25,761 (776 ) — 24,985 4.09 30 Year Fixed 26,347 (325 ) — 26,022 4.26 Total Fannie Mae $ 491,604 $ (1,810 ) $ 1,251 $ 491,045 80.34 % Freddie Mac 30 Year Fixed $ 123,209 $ (2,995 ) $ — $ 120,214 19.66 % Total Freddie Mac $ 123,209 $ (2,995 ) $ — $ 120,214 19.66 % Total Agency Securities $ 614,813 $ (4,805 ) $ 1,251 $ 611,259 100.00 % At December 31, 2014 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2014 are also presented below. All of our Agency Securities were fixed rate securities with a weighted average coupon of 3.25% at December 31, 2014 . December 31, 2014 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae Multi-Family MBS $ 230,799 $ — $ 2,903 $ 233,702 21.73 % 15 Year Fixed 790,238 (26 ) 6,031 796,243 74.03 20 Year Fixed 45,881 (652 ) 347 45,576 4.24 Total Fannie Mae $ 1,066,918 $ (678 ) $ 9,281 $ 1,075,521 100.00 % Total Agency Securities $ 1,066,918 $ (678 ) $ 9,281 $ 1,075,521 |
Schedule of Available-for-sale Securities [Line Items] | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2015 and December 31, 2014 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total As of Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2015 $ 342,561 $ (4,029 ) $ 24,985 $ (776 ) $ 367,546 $ (4,805 ) December 31, 2014 $ 58,363 $ (26 ) $ 27,640 $ (652 ) $ 86,003 $ (678 ) |
Agency Securities | |
Schedule of Available-for-sale Securities [Line Items] | |
Investments Classified by Contractual Maturity Date | The following table summarizes the weighted average lives of our Agency Securities at December 31, 2015 and December 31, 2014 . December 31, 2015 December 31, 2014 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ — $ — $ — $ — Greater than or equal to one year and less than three years — — — — Greater than or equal to three years and less than five years 308,565 308,425 702,485 697,385 Greater than or equal to five years 302,694 306,388 373,036 369,533 Total Agency Securities $ 611,259 $ 614,813 $ 1,075,521 $ 1,066,918 |
Non-Agency Securities, Trading
Non-Agency Securities, Trading (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Trading Securities | The components of the carrying value of our Non-Agency Securities at December 31, 2014 are presented in the table below. Non-Agency Securities December 31, 2014 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Prime Fixed $ 41,288 $ 40,894 $ 47,806 5.43 % Prime Hybrid 15,592 13,982 18,565 2.29 % Prime Floater 18,625 19,380 19,750 4.22 % Alt-A Fixed 75,072 70,986 88,965 5.99 % Alt-A Hybrid 8,354 7,972 9,998 2.50 % Total Non-Agency Securities $ 158,931 $ 153,214 $ 185,084 5.09 % The components of the carrying value of our Non-Agency Securities at December 31, 2015 are presented in the table below. Non-Agency Securities December 31, 2015 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Prime Fixed $ 36,784 $ 34,991 $ 40,923 5.30 % Prime Hybrid 14,137 12,752 16,243 2.35 % Prime Floater 33,612 33,789 34,750 4.59 % Alt-A Fixed 72,123 68,062 87,910 5.88 % Alt-A Hybrid 6,999 6,578 8,342 2.61 % Non Performing Loans 71,145 72,198 72,361 3.44 % Total Non-Agency Securities $ 234,800 $ 228,370 $ 260,529 4.56 % |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | The following table presents the unrealized losses and estimated fair value of our Non-Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2015 and December 31, 2014 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total As of Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2015 $ 83,806 $ (1,172 ) $ 4,388 $ (247 ) $ 88,194 $ (1,419 ) December 31, 2014 $ 19,166 $ (1,029 ) $ 5,893 $ (296 ) $ 25,059 $ (1,325 ) |
Non-Agency Securities | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Investments Classified by Contractual Maturity Date | The following table summarizes the weighted average lives of our Non-Agency Securities at December 31, 2015 and December 31, 2014 . December 31, 2015 December 31, 2014 Weighted Average Life of all Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ 15,394 $ 15,552 $ — $ — Greater than or equal to one year and less than three years 67,170 68,171 — — Greater than or equal to three years and less than five years 17,684 16,848 20,045 19,866 Greater than or equal to five years 134,552 127,799 138,886 133,348 Total Non-Agency Securities $ 234,800 $ 228,370 $ 158,931 $ 153,214 |
Linked Transactions (Tables)
Linked Transactions (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Linked Transactions Disclosure [Abstract] | |
Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions | The following tables present information about our Non-Agency Securities and repurchase agreements underlying our Linked Transactions at December 31, 2014 . Our Non-Agency Securities underlying our Linked Transactions represented approximately 0.72% of our overall investment in MBS at December 31, 2014 . December 31, 2014 Linked Repurchase Agreements Linked Non-Agency Securities Maturity or Repricing Balance Weighted Average Interest Rate Non-Agency MBS Fair Value Amortized Cost Par/Current Face Weighted Average Coupon Rate Within 30 days $ 676 1.51 % Prime $ — $ — $ — 0.00 % 31 days to 60 days — 0.00 % Alt-A 8,940 8,854 12,199 6.22 % 61 days to 90 days 5,708 2.01 % Total $ 8,940 $ 8,854 $ 12,199 6.22 % Greater than 90 days — 0.00 % Total $ 6,384 1.95 % |
Schedule of Other Nonoperating Income (Expense) | The following table presents certain information about the components of the unrealized net gains and (losses) and net interest income (loss) from Linked Transactions included in our consolidated statements of operations for the years ended December 31, 2015 , December 31, 2014 and December 31, 2013 . Unrealized Net Gain (Loss) and Net Interest Income (Loss) from Linked Transactions December 31, 2015 December 31, 2014 December 31, 2013 Interest income attributable to MBS underlying Linked Transactions $ — $ 4,671 $ 2,334 Interest expense attributable to linked repurchase agreements underlying Linked Transactions — (768 ) (534 ) Gain on sale of Linked Transactions — 2,971 — Change in fair value of Linked Transactions included in earnings — 3,456 (5,152 ) Unrealized net gain (loss) and net interest income (loss) from Linked Transactions $ — $ 10,330 $ (3,352 ) |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements | The following tables represent the contractual repricing and other information regarding our repurchase agreements to finance our MBS purchases at December 31, 2015 and December 31, 2014 . December 31, 2015 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 589,680 0.59 % 20 4.92 % Non-Agency Securities 129,413 2.02 % 48 22.93 % U.S. Treasury Securities 32,831 0.18 % 0 0.00 % Total or Weighted Average $ 751,924 0.81 % 24 8.68 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. December 31, 2014 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 1,020,916 0.37 % 39 4.87 % Non-Agency Securities 70,697 1.74 % 43 25.44 % U.S. Treasury Securities 42,774 0.19 % 2 0.00 % Total or Weighted Average $ 1,134,387 0.45 % 38 7.56 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. Maturing or Repricing December 31, 2015 Weighted Average Contractual Rate December 31, 2014 Weighted Average Contractual Rate Within 30 days $ 565,110 0.68 % $ 522,855 0.44 % 31 days to 60 days 162,882 1.09 289,819 0.41 61 days to 90 days 23,932 2.15 321,713 0.49 Total or Weighted Average $ 751,924 0.81 % $ 1,134,387 0.45 % |
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 5 Percent of Stockholders' Equity | The table below represents information about repurchase agreement counterparties that the amount at risk exceeds 5% of our stockholders' equity at December 31, 2015 and December 31, 2014 . December 31, 2015 December 31, 2014 Repurchase Agreement Counterparty Amount at Risk Weighted Average Maturity of Repurchase Agreements in days Amount at Risk Weighted Average Maturity of Repurchase Agreements in days Bank of America-Merrill Lynch $ 6,572 27 $ 7,238 42 BNP Paribas Securities Corp. (2) — 0 7,289 14 Credit Suisse First Boston 9,798 35 (2) 2,729 67 Royal Bank of Canada (1) 14,415 43 11,018 42 UBS AG (1) 19,375 250 (1) 19,194 615 Wells Fargo Securities 6,021 28 (2) 3,501 20 Total $ 56,181 $ 50,969 (1) Amount at risk exceeds 10% of stockholders' equity. (2) Amount less than 5%. |
Derivatives (Tables)
Derivatives (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Derivative [Line Items] | |
Schedule of Derivative Instruments | The following tables present information about our derivatives at December 31, 2015 and December 31, 2014 . We did not have any TBA Agency Securities outstanding at December 31, 2014 . December 31, 2015 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount (2) Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 13-24 Months 22 0.55 % $ 50,000 $ 228 $ — Interest rate swap contracts 25-36 Months 29 0.92 % 50,000 — (137 ) Interest rate swap contract 37-48 Months 46 1.59 % 60,000 — (855 ) Interest rate swap contracts 61-72 Months 66 1.95 % 100,000 — (1,722 ) Interest rate swap contracts 85-96 Months 91 2.04 % 111,250 — (2,959 ) Interest rate swap contracts 121-132 Months 123 2.07 % 200,000 — (2,485 ) TBA Agency Securities — 0 — 40,000 169 — Total or Weighted Average $ 611,250 $ 397 $ (8,158 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. (2) Notional amount includes $300,000 of forward starting interest rate swap contracts which become effective within 6 months . December 31, 2014 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 25-36 Months 34 0.55 % $ 50,000 $ 611 $ — Interest rate swap contracts 37-48 Months 41 0.92 % 50,000 241 — Interest rate swap contracts 49-60 Months 58 1.59 % 60,000 — (306 ) Interest rate swap contracts 85-96 Months 93 1.50 % 175,000 4,178 — Interest rate swap contracts 97-108 Months 100 1.91 % 526,250 2,291 (2,297 ) Total or Weighted Average 89 1.67 % $ 861,250 $ 7,321 $ (2,603 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. |
Offsetting Liabilities | December 31, 2014 Gross Amounts Not Offset in the Consolidated Balance Sheet Liabilities Gross Amounts of Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Posted Net Amount Interest rate swap contracts $ (2,603 ) $ 2,603 $ — $ — Totals $ (2,603 ) $ 2,603 $ — $ — |
Derivative Instruments, Gain (Loss) | The following table represents the location and information regarding our derivatives which are included in total Other Income (Loss) in the accompanying consolidated statements of operations for the years ended December 31, 2015 , December 31, 2014 and December 31, 2013 . Income (Loss) Recognized For the Year Ended Derivatives Location on consolidated statements of operations December 31, 2015 December 31, 2014 December 31, 2013 Interest rate swap contracts: Realized gain Realized loss on derivatives $ (462 ) $ — $ — Interest income Realized loss on derivatives 682 1,060 787 Interest expense Realized loss on derivatives (6,578 ) (13,646 ) (9,457 ) Changes in fair value Unrealized gain (loss) on derivatives (16,933 ) (47,987 ) 57,738 $ (23,291 ) $ (60,573 ) $ 49,068 Interest rate swaptions: Realized gain Realized loss on derivatives — — 5,875 Changes in fair value Unrealized gain (loss) on derivatives — (6,884 ) 10 $ — $ (6,884 ) $ 5,885 TBA Agency Securities Realized gain Realized loss on derivatives 425 — — Changes in fair value Unrealized gain (loss) on derivatives 169 — — $ 594 $ — $ — Totals $ (22,697 ) $ (67,457 ) $ 54,953 |
Derivative | |
Derivative [Line Items] | |
Offsetting Assets | The following tables present information about interest rate swap contracts and TBA Agency Securities and the potential effects of the master netting arrangements if we were to offset the assets and liabilities of these financial instruments on the accompanying consolidated balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives at fair value on the accompanying consolidated balance sheets at December 31, 2015 . December 31, 2015 Gross Amounts Not Offset in the Consolidated Balance Sheet Assets Gross Amounts of Assets Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Held Net Amount Interest rate swap contracts $ 228 $ (8,158 ) $ 9,539 $ 1,609 TBA Agency Securities 169 — — 169 Totals $ 397 $ (8,158 ) $ 9,539 $ 1,778 The following tables present information about interest rate swap contracts and the potential effects of the master netting arrangements if we were to offset the assets and liabilities of these financial instruments on the accompanying consolidated balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives at fair value on the accompanying consolidated balance sheets at December 31, 2014 . December 31, 2014 Gross Amounts Not Offset in the Consolidated Balance Sheet Assets Gross Amounts of Assets Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Held Net Amount Interest rate swap contracts $ 7,321 $ (2,603 ) $ 333 $ 5,051 Totals $ 7,321 $ (2,603 ) $ 333 $ 5,051 |
Offsetting Liabilities | December 31, 2015 Gross Amounts Not Offset in the Consolidated Balance Sheet Liabilities Gross Amounts of Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Posted Net Amount Interest rate swap contracts $ (8,158 ) $ 8,158 $ — $ — Totals $ (8,158 ) $ 8,158 $ — $ — |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Dividends Transactions | The following table presents our common stock dividend transactions for the year ended December 31, 2015 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2015 January 27, 2015 $0.12 $ 1,438 February 13, 2015 February 27, 2015 $0.12 1,438 March 13, 2015 March 27, 2015 $0.12 1,438 April 15, 2015 April 27, 2015 $0.09 1,079 May 15, 2015 May 27, 2015 $0.09 1,076 June 15, 2015 June 29, 2015 $0.09 1,072 July 15, 2015 July 27, 2015 $0.09 1,073 August 17, 2015 August 27, 2015 $0.09 1,073 September 15, 2015 September 28, 2015 $0.09 1,073 October 15, 2015 October 27, 2015 $0.09 1,073 November 16, 2015 November 27, 2015 $0.09 1,073 December 16, 2015 December 30, 2015 $0.09 1,073 Total dividends paid $ 13,979 The following table presents our common stock dividend transactions for the year ended December 31, 2014 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2014 January 30, 2014 $0.15 $ 1,799 February 14, 2014 February 27, 2014 $0.15 1,799 March 17, 2014 March 28, 2014 $0.15 1,799 April 15, 2014 April 29, 2014 $0.15 1,799 May 15, 2014 May 29, 2014 $0.15 1,799 June 16, 2014 June 27, 2014 $0.15 1,800 July 15, 2014 July 30, 2014 $0.15 1,800 August 15, 2014 August 29, 2014 $0.15 1,800 September 15, 2014 September 29, 2014 $0.15 1,800 October 15, 2014 October 30, 2014 $0.15 1,800 November 17, 2014 November 26, 2014 $0.15 1,800 December 15, 2014 December 30, 2014 $0.15 1,805 Total dividends paid $ 21,600 The following table presents our common stock dividend transactions for the year ended December 31, 2013 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2013 January 30, 2013 $0.23 $ 1,725 February 15, 2013 February 27, 2013 $0.23 1,725 March 15, 2013 March 27, 2013 $0.23 1,725 April 15, 2013 April 29, 2013 $0.23 1,725 May 15, 2013 May 30, 2013 $0.23 3,105 June 14, 2013 June 27, 2013 $0.23 3,105 July 15, 2013 July 30, 2013 $0.23 3,105 August 15, 2013 August 29, 2013 $0.23 3,105 September 16, 2013 September 27, 2013 $0.23 3,105 October 15, 2013 October 28, 2013 $0.15 2,025 November 15, 2013 November 27, 2013 $0.15 2,025 December 16, 2013 December 27, 2013 $0.15 1,939 Total dividends paid $ 28,414 |
Schedule of Stockholders Equity | The following table presents our equity transactions for the year ended December 31, 2015 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds Dividend Reinvestment Plan January 27, 2015 to November 27, 2015 1 $ 7.57 $ 8 (1) Weighted average price. The following table presents our equity transactions for the year ended December 31, 2014 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds Dividend Reinvestment Plan Shares July 25, 2014 to December 30, 2014 NM $ 12.48 NM Common equity distribution agreements November 25, 2014 to December 5, 2014 32 $ 12.61 358 (1) Weighted average price. NM - Not meaningful The following table presents our equity transactions for the year ended December 31, 2013 . Transaction Type Completion Date Number of Shares Per Share price Net Proceeds Common stock follow-on public offering May 13, 2013 6,000 $ 18.93 $ 113,163 (1) Weighted average price. Common Stock Repurchases The following table presents our common stock repurchases for the year ended December 31, 2015 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Cost Repurchased shares May 7, 2015 to December 18, 2015 145 $ 6.97 $ (1,009 ) (1) Weighted average price. The following table presents our common stock repurchases for the year ended December 31, 2014 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Cost Repurchased shares December 23, 2014 to December 30, 2014 54 $ 10.95 $ (591 ) (1) Weighted average price. The following table presents our common stock repurchases for the year ended December 31, 2013 . Transaction Type Completion Date Number of Shares Per Share price (1) Net Cost Repurchased shares November 26, 2013 to December 30, 2013 1,507 $ 12.72 $ (19,201 ) (1) Weighted average price. |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | |
Schedule of Effective Income Tax Rate Reconciliation | The following table reconciles our GAAP net income (loss) to estimated REIT taxable income for the years ended December 31, 2015 , December 31, 2014 and December 31, 2013 . For the Years Ended December 31, 2015 December 31, 2014 December 31, 2013 GAAP Net loss $ (290 ) $ (21,759 ) $ (43,774 ) Book to tax differences: Net book to tax differences on Non-Agency Securities and Linked Transactions though December 31, 2014 917 (6,143 ) 8,006 Net capital losses carried forward — — 80,509 Gain on sale of Agency Securities (5,106 ) (8,254 ) — Other than temporary impairment of Agency Securities — — 44,278 Amortization of deferred hedging gains (costs) (1,025 ) 229 (57,879 ) Net premium amortization differences — (809 ) — Changes in interest rate contracts 16,801 54,871 (5,875 ) Other 3 3 3 Estimated taxable income $ 11,300 $ 18,138 $ 25,268 |
Quarterly Financial Data (una36
Quarterly Financial Data (unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of Quarterly Financial Information | The following tables are a comparative breakdown of our unaudited quarterly financial results for the immediately preceding eight quarters. Quarters Ended March 31, June 30, September 30, December 31, Interest income: Agency Securities, net of amortization of premium $ 5,304 $ 5,172 $ 4,626 $ 4,365 Non-Agency Securities, including discount accretion 2,697 3,021 3,389 3,271 Total Interest Income $ 8,001 $ 8,193 $ 8,015 $ 7,636 Interest expense (1,430 ) (1,530 ) (1,749 ) (1,748 ) Net Interest Income $ 6,571 $ 6,663 $ 6,266 $ 5,888 Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss) 4,271 (3 ) 797 41 Gain (loss) on Non-Agency Securities 2,606 669 (2,127 ) (2,142 ) Realized loss on derivatives (1) (2,263 ) (1,104 ) (703 ) (1,863 ) Unrealized gain (loss) on derivatives (15,633 ) 12,755 (18,925 ) 5,039 Expenses (1,737 ) (1,751 ) (1,836 ) (1,769 ) Net Income (Loss) $ (6,185 ) $ 17,229 $ (16,528 ) $ 5,194 Net income (loss) per common share $ (0.52 ) $ 1.44 $ (1.39 ) $ 0.44 Weighted average common shares outstanding 11,985 11,956 11,917 11,913 Common stock dividends declared $ 4,315 $ 3,227 $ 3,217 $ 3,220 Common stock dividends declared per share $ 0.36 $ 0.27 $ 0.27 $ 0.27 Common Shares of record end of period 11,991 11,917 11,924 11,866 (1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the consolidated statements of operations. Quarters Ended March 31, June 30, September 30, December 31, Interest income: Agency Securities, net of amortization of premium $ 8,445 $ 8,031 $ 7,246 $ 6,819 Non-Agency Securities, including discount accretion 2,308 2,410 2,478 2,592 Total Interest Income $ 10,753 $ 10,441 $ 9,724 $ 9,411 Interest expense (1,448 ) (1,769 ) (1,698 ) (1,638 ) Net Interest Income $ 9,305 $ 8,672 $ 8,026 $ 7,773 Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss) 8,810 (34 ) (845 ) 323 Gain (loss) on Non-Agency Securities 833 288 1,571 (2,133 ) Unrealized net gain and net interest income from Linked Transactions 4,427 2,950 1,145 1,726 Realized loss on derivatives (1) (3,106 ) (3,097 ) (3,131 ) (3,252 ) Unrealized gain (loss) on derivatives (20,029 ) (15,703 ) 1,293 (20,432 ) Expenses (2,103 ) (1,852 ) (1,487 ) (1,697 ) Net Income (Loss) $ (1,863 ) $ (8,776 ) $ 6,572 $ (17,692 ) Net income (loss) per common share $ (0.16 ) $ (0.73 ) $ 0.55 $ (1.47 ) Weighted average common shares outstanding 11,993 11,996 11,999 12,010 Common stock dividends declared $ 5,397 $ 5,398 $ 5,400 $ 5,406 Common stock dividends declared per share $ 0.45 $ 0.45 $ 0.45 $ 0.45 Common Shares of record end of period 11,996 11,999 12,003 11,985 (1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the consolidated statements of operations. |
Fair Value of Financial Instr37
Fair Value of Financial Instruments (Details) - Additional Information | 12 Months Ended |
Dec. 31, 2015dealer | |
Fair Value Disclosures [Abstract] | |
Number of dealers received quotes from | 3 |
Fair Value of Financial Instr38
Fair Value of Financial Instruments (Details) - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Assets at Fair Value: | |||
Agency Securities, available for sale | $ 611,259 | $ 1,075,521 | $ 744,600 |
Non-Agency Securities, trading | 234,800 | 158,931 | |
Linked Transactions, net | 0 | 2,532 | |
Derivative Asset | 397 | 7,321 | |
Liabilities at Fair Value: | |||
Derivatives | 8,158 | 2,603 | |
Fair Value, Measurements, Recurring | |||
Assets at Fair Value: | |||
Agency Securities, available for sale | 611,259 | 1,075,521 | |
Non-Agency Securities, trading | 234,800 | 158,931 | |
Linked Transactions, net | 2,532 | ||
Derivative Asset | 397 | 7,231 | |
Liabilities at Fair Value: | |||
Derivatives | 8,158 | 2,603 | |
Fair Value, Measurements, Recurring | Significant Observable Inputs (Level 2) | |||
Assets at Fair Value: | |||
Agency Securities, available for sale | 611,259 | 1,075,521 | |
Derivative Asset | 397 | 7,231 | |
Liabilities at Fair Value: | |||
Derivatives | 8,158 | 2,603 | |
Fair Value, Measurements, Recurring | Significant Unobservable Inputs (Level 3) | |||
Assets at Fair Value: | |||
Non-Agency Securities, trading | $ 234,800 | 158,931 | |
Linked Transactions, net | $ 2,532 |
Fair Value of Financial Instr39
Fair Value of Financial Instruments (Details) - Carrying Values and Fair Values of Financial Assets and Liabilities - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Financial Assets: | ||
Cash | $ 15,945 | $ 29,882 |
Significant Observable Inputs (Level 2) | ||
Financial Assets: | ||
Cash collateral posted to counterparties | 9,539 | 3,209 |
Accrued interest receivable | 1,628 | 2,792 |
Financial Liabilities: | ||
Repurchase agreements | 751,924 | 1,134,387 |
Cash collateral posted by counterparties | 2,876 | |
Accrued interest payable | 810 | 696 |
Carrying Value | ||
Financial Assets: | ||
Cash | 15,945 | 29,882 |
Cash collateral posted to counterparties | 9,539 | 3,209 |
Accrued interest receivable | 1,628 | 2,792 |
Financial Liabilities: | ||
Repurchase agreements | 751,924 | 1,134,387 |
Cash collateral posted by counterparties | 2,876 | |
Accrued interest payable | 810 | 696 |
Fair Value | ||
Financial Assets: | ||
Cash | 15,945 | 29,882 |
Cash collateral posted to counterparties | 9,539 | 3,209 |
Accrued interest receivable | 1,628 | 2,792 |
Financial Liabilities: | ||
Repurchase agreements | 751,924 | 1,134,387 |
Cash collateral posted by counterparties | 2,876 | |
Accrued interest payable | $ 810 | $ 696 |
Fair Value of Financial Instr40
Fair Value of Financial Instruments (Details) - Changes in Level 3 Assets Measured at Fair Value on a Recurring Basis, Trading Securities - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||||||||||
Gain (loss) on Non-Agency Securities | $ (2,142) | $ (2,127) | $ 669 | $ 2,606 | $ (2,133) | $ 1,571 | $ 288 | $ 833 | $ (994) | $ 559 | $ (977) |
Non-Agency Securities | Significant Unobservable Inputs (Level 3) | |||||||||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||||||||||
Balance, beginning of period | $ 158,931 | $ 143,399 | 158,931 | 143,399 | 129,946 | ||||||
Purchases of Non-Agency Securities, at cost | 97,027 | 32,397 | 38,332 | ||||||||
Principal repayments of Non-Agency Securities | (29,581) | (15,494) | (21,788) | ||||||||
Proceeds from the sale of Non-Agency Securities | 0 | (9,757) | (1,352) | ||||||||
Gain (loss) on Non-Agency Securities | (994) | 559 | (977) | ||||||||
Linked Transactions Value of Purchased Non-Agency Securities | 2,532 | 7,281 | 0 | ||||||||
Linked Transaction Liabilities Recognized | 6,408 | 0 | 0 | ||||||||
Discount accretion | 477 | 546 | (762) | ||||||||
Balance, end of period | $ 234,800 | $ 158,931 | 234,800 | 158,931 | 143,399 | ||||||
Gain (loss) on Non-Agency Securities | $ (994) | $ 559 | $ (977) |
Fair Value of Financial Instr41
Fair Value of Financial Instruments (Details) - Changes in Level 3 Assets Measured at Fair Value on a Recurring Basis, Linked Transactions - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||
Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||||||
Gain (loss) on Linked Transactions | $ 1,726 | $ 1,145 | $ 2,950 | $ 4,427 | $ 0 | $ 10,330 | $ (3,352) |
Linked Transactions | Significant Unobservable Inputs (Level 3) | |||||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||||||
Balance, beginning of period | $ 16,322 | 2,532 | 16,322 | ||||
Linked Transaction value of purchased Non-Agency Securities | (2,532) | (7,281) | $ 0 | ||||
Cash (receipts) disbursements on Linked Transactions | 0 | (16,839) | 19,674 | ||||
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | 0 | 10,330 | (3,352) | ||||
Balance, end of period | $ 2,532 | 0 | 2,532 | 16,322 | |||
Gain (loss) on Linked Transactions | $ 0 | $ 10,330 | $ (3,352) |
Fair Value of Financial Instr42
Fair Value of Financial Instruments - Range of Estimates of Cumulative Default and Loss Severities and Discount Rates (Detail) - Significant Unobservable Inputs (Level 3) | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Cumulative default | 0.00% | 0.00% |
Loss severity (life) | 0.00% | 18.80% |
Discount rate | 3.50% | 4.60% |
Delinquency (life) | 0.00% | 0.00% |
Voluntary prepayments (life) | 0.80% | 5.20% |
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Cumulative default | 16.80% | 14.98% |
Loss severity (life) | 39.78% | 57.15% |
Discount rate | 5.09% | 5.44% |
Delinquency (life) | 20.23% | 13.51% |
Voluntary prepayments (life) | 7.28% | 9.02% |
Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Cumulative default | 62.10% | 47.89% |
Loss severity (life) | 77.00% | 100.00% |
Discount rate | 5.57% | 6.50% |
Delinquency (life) | 53.10% | 46.30% |
Voluntary prepayments (life) | 16.80% | 15.50% |
Agency Securities, Available 43
Agency Securities, Available for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | |||||||||||
Other than temporary impairment of Agency Securities | $ 0 | $ 0 | $ (44,278) | ||||||||
Agency Securities, available for sale | $ 611,259 | $ 1,075,521 | $ 611,259 | $ 1,075,521 | 744,600 | ||||||
Weighted average coupon rate | 3.29% | 3.25% | 3.29% | 3.25% | |||||||
Gross realized gains (losses) from sale proceeds | $ 560,255 | $ 1,028,849 | |||||||||
Realized gain (loss) on sale of Agency Securities | $ 41 | $ 797 | $ (3) | $ 4,271 | $ 323 | $ (845) | $ (34) | $ 8,810 | $ 5,106 | $ 8,254 | $ (81,045) |
Market Based Securities Including Trading Securities Underlying Linked Transactions | Portfolio Concentration Risk | |||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||
Percentage of portfolio invested | 86.50% | ||||||||||
Agency Securities | Market Based Securities | Portfolio Concentration Risk | |||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||
Percentage of portfolio invested | 72.25% | 87.13% |
Agency Securities, Available 44
Agency Securities, Available for Sale (Details) - Unrealized Gain or Loss Position and Components of Carrying Value of Available for Sale Agency Securities (June 30, 2013) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | $ 614,813 | $ 1,066,918 | |
Gross Unrealized Loss | (4,805) | (678) | |
Gross Unrealized Gain | 1,251 | 9,281 | |
Fair Value | $ 611,259 | 1,075,521 | $ 744,600 |
Portfolio Concentration Risk | Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Percentage of concentration risk | 100.00% | ||
Fannie Mae | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | $ 491,604 | 1,066,918 | |
Gross Unrealized Loss | (1,810) | (678) | |
Gross Unrealized Gain | 1,251 | 9,281 | |
Fair Value | $ 491,045 | $ 1,075,521 | |
Fannie Mae | Portfolio Concentration Risk | Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Percentage of concentration risk | 80.34% | 100.00% | |
Fannie Mae | Multi-Family MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | $ 131,071 | $ 230,799 | |
Gross Unrealized Loss | (493) | 0 | |
Gross Unrealized Gain | 896 | 2,903 | |
Fair Value | $ 131,474 | $ 233,702 | |
Fannie Mae | Multi-Family MBS | Portfolio Concentration Risk | Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Percentage of concentration risk | 21.51% | 21.73% | |
Fannie Mae | 10 Year Fixed | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | $ 2,071 | ||
Gross Unrealized Loss | 0 | ||
Gross Unrealized Gain | 0 | ||
Fair Value | $ 2,071 | ||
Fannie Mae | 10 Year Fixed | Portfolio Concentration Risk | Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Percentage of concentration risk | 0.34% | ||
Fannie Mae | 15 Year Fixed | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | $ 306,354 | $ 790,238 | |
Gross Unrealized Loss | (216) | (26) | |
Gross Unrealized Gain | 355 | 6,031 | |
Fair Value | $ 306,493 | $ 796,243 | |
Fannie Mae | 15 Year Fixed | Portfolio Concentration Risk | Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Percentage of concentration risk | 50.14% | 74.03% | |
Fannie Mae | 20 Year Fixed | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | $ 25,761 | $ 45,881 | |
Gross Unrealized Loss | (776) | (652) | |
Gross Unrealized Gain | 0 | 347 | |
Fair Value | $ 24,985 | $ 45,576 | |
Fannie Mae | 20 Year Fixed | Portfolio Concentration Risk | Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Percentage of concentration risk | 4.09% | 4.24% | |
Fannie Mae | 30 Year Fixed | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | $ 26,347 | ||
Gross Unrealized Loss | (325) | ||
Gross Unrealized Gain | 0 | ||
Fair Value | $ 26,022 | ||
Fannie Mae | 30 Year Fixed | Portfolio Concentration Risk | Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Percentage of concentration risk | 4.26% | ||
Freddie Mac | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | $ 123,209 | ||
Gross Unrealized Loss | (2,995) | ||
Gross Unrealized Gain | 0 | ||
Fair Value | $ 120,214 | ||
Freddie Mac | Portfolio Concentration Risk | Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Percentage of concentration risk | 19.66% | ||
Freddie Mac | 30 Year Fixed | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | $ 123,209 | ||
Gross Unrealized Loss | (2,995) | ||
Gross Unrealized Gain | 0 | ||
Fair Value | $ 120,214 | ||
Freddie Mac | 30 Year Fixed | Portfolio Concentration Risk | Agency Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Percentage of concentration risk | 19.66% |
Agency Securities, Available 45
Agency Securities, Available for Sale (Details) - Summary of Weighted Average Lives of Agency Securities - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Fair Value | |||
Less than one year | $ 0 | $ 0 | |
Greater than or equal to one year and less than three years | 0 | 0 | |
Greater than or equal to three years and less than five years | 308,565 | 702,485 | |
Greater than or equal to five years | 302,694 | 373,036 | |
Total Agency Securities | 611,259 | 1,075,521 | $ 744,600 |
Amortized Cost | |||
Less than one year | 0 | 0 | |
Greater than or equal to one year and less than three years | 0 | 0 | |
Greater than or equal to three years and less than five years | 308,425 | 697,385 | |
Greater than or equal to five years | 306,388 | 369,533 | |
Amortized Cost | $ 614,813 | $ 1,066,918 |
Agency Securities, Available 46
Agency Securities, Available for Sale (Details) - Gross Unrealized Losses and Estimated Fair Value of Agency Securities - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Fair Value | ||
Less than 12 Months | $ 342,561 | $ 58,363 |
12 Months or More | 24,985 | 27,640 |
Total | 367,546 | 86,003 |
Unrealized Losses | ||
Less than 12 Months | (4,029) | (26) |
12 Months or More | (776) | (652) |
Total | $ (4,805) | $ (678) |
Non-Agency Securities, Tradin47
Non-Agency Securities, Trading (Detail) - USD ($) $ in Thousands | 1 Months Ended | 12 Months Ended | |
Apr. 30, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | |
Concentration Risk [Line Items] | |||
Trading securities purchased previously treated as linked transactions | $ 8,940 | ||
Repayment at maturity of linked transactions transferred to trading securities | $ 6,408 | ||
US treasury securities received in year one and two | $ 50,000 | ||
US treasury securities received in year three | $ 30,000 | ||
Non-Agency Securities | Market Based Securities | Portfolio Concentration Risk | |||
Concentration Risk [Line Items] | |||
Percentage of concentration risk | 27.75% | 12.87% | |
Non-Agency Securities | Market Based Securities Inclusive of Linked Transactions, Forward Contracts | Portfolio Concentration Risk | |||
Concentration Risk [Line Items] | |||
Percentage of concentration risk | 13.50% |
Non-Agency Securities, Tradin48
Non-Agency Securities, Trading - Summary of Non-Agency Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 234,800 | $ 158,931 |
Amortized Cost | 228,370 | 153,214 |
Principal Amount | $ 260,529 | $ 185,084 |
Weighted Average Coupon | 4.56% | 5.09% |
Prime Fixed | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 36,784 | $ 41,288 |
Amortized Cost | 34,991 | 40,894 |
Principal Amount | $ 40,923 | $ 47,806 |
Weighted Average Coupon | 5.30% | 5.43% |
Prime Hybrid | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 14,137 | $ 15,592 |
Amortized Cost | 12,752 | 13,982 |
Principal Amount | $ 16,243 | $ 18,565 |
Weighted Average Coupon | 2.35% | 2.29% |
Prime Floater | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 33,612 | $ 18,625 |
Amortized Cost | 33,789 | 19,380 |
Principal Amount | $ 34,750 | $ 19,750 |
Weighted Average Coupon | 4.59% | 4.22% |
Alt-A Fixed | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 72,123 | $ 75,072 |
Amortized Cost | 68,062 | 70,986 |
Principal Amount | $ 87,910 | $ 88,965 |
Weighted Average Coupon | 5.88% | 5.99% |
Alt-A Hybrid | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 6,999 | $ 8,354 |
Amortized Cost | 6,578 | 7,972 |
Principal Amount | $ 8,342 | $ 9,998 |
Weighted Average Coupon | 2.61% | 2.50% |
Non Performing Loans | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 71,145 | |
Amortized Cost | 72,198 | |
Principal Amount | $ 72,361 | |
Weighted Average Coupon | 3.44% |
Non-Agency Securities, Tradin49
Non-Agency Securities, Trading - Summary of Weighted Average Lives of Agency Securities (Detail) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Fair Value | ||
Less than one year | $ 15,394 | $ 0 |
Greater than or equal to one year and less than three years | 67,170 | 0 |
Greater than or equal to three years and less than five years | 17,684 | 20,045 |
Greater than or equal to five years | 134,552 | 138,886 |
Total Non-Agency Securities | 234,800 | 158,931 |
Amortized Cost | ||
Less than one year | 15,552 | 0 |
Greater than or equal to one year and less than three years | 68,171 | 0 |
Greater than or equal to three years and less than five years | 16,848 | 19,866 |
Greater than or equal to five years | 127,799 | 133,348 |
Total Non-Agency Securities | $ 228,370 | $ 153,214 |
Non-Agency Securities, Tradin50
Non-Agency Securities, Trading - Unrealized Losses and Estimated Fair Value of Non-Agency Securities (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Fair Value | ||
Less than 12 Months | $ 83,806 | $ 19,166 |
12 Months or More | 4,388 | 5,893 |
Total | 88,194 | 25,059 |
Unrealized Losses | ||
Less than 12 Months | (1,172) | (1,029) |
12 Months or More | (247) | (296) |
Total | $ (1,419) | $ (1,325) |
Linked Transactions (Details)
Linked Transactions (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2015 | |
Concentration Risk [Line Items] | ||
Accrued interest payable | $ 696 | $ 810 |
Linked Transactions, Forward Contracts | ||
Concentration Risk [Line Items] | ||
Accrued interest payable | $ 24 | |
Linked Transactions, Forward Contracts | Market Based Securities | Portfolio Concentration Risk | ||
Concentration Risk [Line Items] | ||
Percentage of concentration risk | 0.72% |
Linked Transactions - Non-Agenc
Linked Transactions - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 751,924 | $ 1,134,387 |
Weighted Average Interest Rate | 0.81% | 0.45% |
Fair Value | $ 234,800 | $ 158,931 |
Amortized Cost | 228,370 | 153,214 |
Par/Current Face | $ 260,529 | $ 185,084 |
Weighted Average Coupon Rate | 4.56% | 5.09% |
Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Weighted Average Interest Rate | 0.68% | 0.44% |
31 days to 60 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Weighted Average Interest Rate | 1.09% | 0.41% |
61 days to 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Weighted Average Interest Rate | 2.15% | 0.49% |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 6,384 | |
Weighted Average Interest Rate | 1.95% | |
Fair Value | $ 8,940 | |
Amortized Cost | 8,854 | |
Par/Current Face | $ 12,199 | |
Weighted Average Coupon Rate | 6.22% | |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | Prime | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value | $ 0 | |
Amortized Cost | 0 | |
Par/Current Face | $ 0 | |
Weighted Average Coupon Rate | 0.00% | |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | Alt-A | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value | $ 8,940 | |
Amortized Cost | 8,854 | |
Par/Current Face | $ 12,199 | |
Weighted Average Coupon Rate | 6.22% | |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 676 | |
Weighted Average Interest Rate | 1.51% | |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | 31 days to 60 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 0 | |
Weighted Average Interest Rate | 0.00% | |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | 61 days to 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 5,708 | |
Weighted Average Interest Rate | 2.01% | |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | Greater than 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 0 | |
Weighted Average Interest Rate | 0.00% |
Linked Transactions - Unrealize
Linked Transactions - Unrealized Net Gain (Loss) and Net Interest Income from Linked Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||
Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Linked Transactions Disclosure [Abstract] | |||||||
Interest income attributable to MBS underlying Linked Transactions | $ 0 | $ 4,671 | $ 2,334 | ||||
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | 0 | (768) | (534) | ||||
Gain on sale of Linked Transactions | 0 | 2,971 | 0 | ||||
Change in fair value of Linked Transactions included in earnings | 0 | 3,456 | (5,152) | ||||
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | $ 1,726 | $ 1,145 | $ 2,950 | $ 4,427 | $ 0 | $ 10,330 | $ (3,352) |
Repurchase Agreements (Details)
Repurchase Agreements (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015USD ($)counterparty | Dec. 31, 2014USD ($)counterparty | |
Concentration Risk [Line Items] | ||
Number of counterparties with master repurchase agreements | 30 | 30 |
Repurchase agreements | $ | $ 751,924 | $ 1,134,387 |
Number of counterparties with outstanding borrowings | 18 | 20 |
Counterparty Concentration Risk | Borrowings | ||
Concentration Risk [Line Items] | ||
Number of counterparties | 8 | 9 |
Percentage of concentration risk | 79.02% | 68.89% |
Counterparty Concentration Risk | Borrowings | Minimum | ||
Concentration Risk [Line Items] | ||
Percentage of concentration risk | 5.00% | 5.00% |
Counterparty Concentration Risk | Borrowings | Maximum | ||
Concentration Risk [Line Items] | ||
Percentage of concentration risk | 10.00% | 10.00% |
Repurchase Agreements (Detail55
Repurchase Agreements (Details) - Summary of Repurchase Agreements (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 751,924 | $ 1,134,387 |
Weighted Average Contractual Rate | 0.81% | 0.45% |
Weighted Average Maturity in days | 24 days | 38 days |
Haircut on Repurchase Agreements | 8.68% | 7.56% |
Agency Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 589,680 | $ 1,020,916 |
Weighted Average Contractual Rate | 0.59% | 0.37% |
Weighted Average Maturity in days | 20 days | 39 days |
Haircut on Repurchase Agreements | 4.92% | 4.87% |
Non-Agency Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 129,413 | $ 70,697 |
Weighted Average Contractual Rate | 2.02% | 1.74% |
Weighted Average Maturity in days | 48 days | 43 days |
Haircut on Repurchase Agreements | 22.93% | 25.44% |
U.S. Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 32,831 | $ 42,774 |
Weighted Average Contractual Rate | 0.18% | 0.19% |
Weighted Average Maturity in days | 0 days | 2 days |
Haircut on Repurchase Agreements | 0.00% | 0.00% |
Repurchase Agreements (Detail56
Repurchase Agreements (Details) - Contractual Repricing, Master Repurchase Agreement and Other Information Regarding Repurchase Agreements - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 751,924 | $ 1,134,387 |
Weighted Average Contractual Rate | 0.81% | 0.45% |
Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 565,110 | $ 522,855 |
Weighted Average Contractual Rate | 0.68% | 0.44% |
31 days to 60 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 162,882 | $ 289,819 |
Weighted Average Contractual Rate | 1.09% | 0.41% |
61 days to 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 23,932 | $ 321,713 |
Weighted Average Contractual Rate | 2.15% | 0.49% |
Repurchase Agreements (Detail57
Repurchase Agreements (Details) - Agreements Exceed 5 Percent of Stockholders Equity (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 56,181 | $ 50,969 |
Weighted Average Maturity in days | 24 days | 38 days |
Bank of America-Merrill Lynch | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 6,572 | $ 7,238 |
Weighted Average Maturity in days | 27 days | 42 days |
BNP Paribas Securities Corp. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 0 | $ 7,289 |
Weighted Average Maturity in days | 0 days | 14 days |
Credit Suisse First Boston | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 9,798 | $ 2,729 |
Weighted Average Maturity in days | 35 days | 67 days |
Royal Bank of Canada | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 14,415 | $ 11,018 |
Weighted Average Maturity in days | 43 days | 42 days |
UBS AG | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 19,375 | $ 19,194 |
Weighted Average Maturity in days | 250 days | 615 days |
Wells Fargo Securities | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $ 6,021 | $ 3,501 |
Weighted Average Maturity in days | 28 days | 20 days |
Derivatives (Details) - Interes
Derivatives (Details) - Interest Rate Swap Contracts, Swaptions and Futures Contracts - USD ($) | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 89 months | |
Weighted Average Rate | 1.67% | |
Notional Amount | $ 611,250,000 | $ 861,250,000 |
Asset Fair Value | 397,000 | 7,321,000 |
Liability Fair Value | $ (8,158,000) | $ (2,603,000) |
Interest Rate Swap 13-24 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 13 months | |
Remaining / Underlying Term-Maximum | 24 months | |
Weighted Average Remaining Swap / Option Term (Months) | 22 months | |
Weighted Average Rate | 0.55% | |
Notional Amount | $ 50,000,000 | |
Asset Fair Value | 228,000 | |
Liability Fair Value | $ 0 | |
Interest Rate Swap 25-36 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 25 months | 25 months |
Remaining / Underlying Term-Maximum | 36 months | 36 months |
Weighted Average Remaining Swap / Option Term (Months) | 29 months | 34 months |
Weighted Average Rate | 0.92% | 0.55% |
Notional Amount | $ 50,000,000 | $ 50,000,000 |
Asset Fair Value | 0 | 611,000 |
Liability Fair Value | $ (137,000) | $ 0 |
Interest Rate Swap 37-48 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 37 months | 37 months |
Remaining / Underlying Term-Maximum | 48 months | 48 months |
Weighted Average Remaining Swap / Option Term (Months) | 46 months | 41 months |
Weighted Average Rate | 1.59% | 0.92% |
Notional Amount | $ 60,000,000 | $ 50,000,000 |
Asset Fair Value | 0 | 241,000 |
Liability Fair Value | $ (855,000) | $ 0 |
Interest Rate Swap 49-60 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 49 months | |
Remaining / Underlying Term-Maximum | 60 months | |
Weighted Average Remaining Swap / Option Term (Months) | 58 months | |
Weighted Average Rate | 1.59% | |
Notional Amount | $ 60,000,000 | |
Asset Fair Value | 0 | |
Liability Fair Value | $ (306,000) | |
Interest Rate Swap 61-72 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 61 months | |
Remaining / Underlying Term-Maximum | 72 months | |
Weighted Average Remaining Swap / Option Term (Months) | 66 months | |
Weighted Average Rate | 1.95% | |
Notional Amount | $ 100,000,000 | |
Asset Fair Value | 0 | |
Liability Fair Value | $ (1,722,000) | |
Interest Rate Swap 85-96 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 85 months | 85 months |
Remaining / Underlying Term-Maximum | 96 months | 96 months |
Weighted Average Remaining Swap / Option Term (Months) | 91 months | 93 months |
Weighted Average Rate | 2.04% | 1.50% |
Notional Amount | $ 111,250,000 | $ 175,000,000 |
Asset Fair Value | 0 | 4,178,000 |
Liability Fair Value | $ (2,959,000) | $ 0 |
Interest Rate Swap 97-108 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 97 months | |
Remaining / Underlying Term-Maximum | 108 months | |
Weighted Average Remaining Swap / Option Term (Months) | 100 months | |
Weighted Average Rate | 1.91% | |
Notional Amount | $ 526,250,000 | |
Asset Fair Value | 2,291,000 | |
Liability Fair Value | (2,297,000) | |
Interest Rate Swap 121-132 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 121 months | |
Remaining / Underlying Term-Maximum | 132 months | |
Weighted Average Remaining Swap / Option Term (Months) | 123 months | |
Weighted Average Rate | 2.07% | |
Notional Amount | $ 200,000,000 | |
Asset Fair Value | 0 | |
Liability Fair Value | $ (2,485,000) | |
TBA Agency Securities | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 0 months | |
Weighted Average Rate | 0.00% | |
Notional Amount | $ 40,000,000 | |
Asset Fair Value | 169,000 | |
Liability Fair Value | 0 | |
Interest rate swap contracts | ||
Derivative [Line Items] | ||
Asset Fair Value | 228,000 | 7,321,000 |
Liability Fair Value | (8,158,000) | $ (2,603,000) |
Notional amount of derivatives becoming effective in the next six months | $ 300,000,000 |
Derivatives (Details) - Offsett
Derivatives (Details) - Offsetting Assets - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Offsetting Assets [Line Items] | ||
Gross Derivative Asset | $ 397 | $ 7,321 |
Derivative Asset | 397 | 7,321 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | (8,158) | (2,603) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Held | 9,539 | 333 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount | 1,778 | 5,051 |
Interest rate swap contracts | ||
Offsetting Assets [Line Items] | ||
Gross Derivative Asset | 228 | 7,321 |
Derivative Asset | 228 | 7,321 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | (8,158) | (2,603) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Held | 9,539 | 333 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount | 1,609 | $ 5,051 |
TBA Agency Securities | ||
Offsetting Assets [Line Items] | ||
Gross Derivative Asset | 169 | |
Derivative Asset | 169 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | 0 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Held | 0 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount | $ 169 |
Derivatives (Details) - Offse60
Derivatives (Details) - Offsetting Liabilities - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Offsetting Liabilities [Line Items] | ||
Gross Derivative Liability | $ (8,158) | $ (2,603) |
Derivative Liability | (8,158) | (2,603) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | 8,158 | 2,603 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount | 0 | 0 |
Interest rate swap contracts | ||
Offsetting Liabilities [Line Items] | ||
Gross Derivative Liability | (8,158) | (2,603) |
Derivative Liability | (8,158) | (2,603) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | 8,158 | 2,603 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount | $ 0 | $ 0 |
Derivatives (Details) - Locatio
Derivatives (Details) - Location and Information of Derivatives - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Realized gain (loss) on derivatives | $ (1,863) | $ (703) | $ (1,104) | $ (2,263) | $ (3,252) | $ (3,131) | $ (3,097) | $ (3,106) | $ (5,933) | [1] | $ (12,586) | [1] | $ (2,795) | [1] |
Unrealized gain (loss) on derivatives | $ 5,039 | $ (18,925) | $ 12,755 | $ (15,633) | $ (20,432) | $ 1,293 | $ (15,703) | $ (20,029) | (16,764) | (54,871) | 57,748 | |||
Total | (22,697) | (67,457) | 54,953 | |||||||||||
Interest rate swap contracts | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Total | (23,291) | (60,573) | 49,068 | |||||||||||
Interest rate swap contracts | Realized loss on derivatives | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Realized gain (loss) on derivatives | (462) | 0 | 0 | |||||||||||
Interest income | 682 | 1,060 | 787 | |||||||||||
Interest expense | (6,578) | (13,646) | (9,457) | |||||||||||
Interest rate swap contracts | Unrealized gain (loss) on derivatives | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Unrealized gain (loss) on derivatives | (16,933) | (47,987) | 57,738 | |||||||||||
Interest rate swaptions | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Total | 0 | (6,884) | 5,885 | |||||||||||
Interest rate swaptions | Realized loss on derivatives | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Realized gain (loss) on derivatives | 0 | 0 | 5,875 | |||||||||||
Interest rate swaptions | Unrealized gain (loss) on derivatives | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Unrealized gain (loss) on derivatives | 0 | (6,884) | 10 | |||||||||||
TBA Agency Securities | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Total | 594 | 0 | 0 | |||||||||||
TBA Agency Securities | Realized loss on derivatives | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Realized gain (loss) on derivatives | 425 | 0 | 0 | |||||||||||
TBA Agency Securities | Unrealized gain (loss) on derivatives | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Unrealized gain (loss) on derivatives | $ 169 | $ 0 | $ 0 | |||||||||||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized losses on derivatives on the statements of operations. For additional information see Note 10 to the consolidated financial statements. |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Other Commitments [Line Items] | |||
Monthly percentage of effective management fee percentage | 8.33% | ||
ACM | |||
Other Commitments [Line Items] | |||
Percentage of gross equity raised used in calculation of management fee up to 1 Billion | 1.50% | ||
Percentage of gross equity raised used in calculation of management fee in excess of 1 Billion | 1.00% | ||
Gross equity raised | $ 238,483 | $ 243,101 | $ 244,410 |
Stock-Based Compensation (Detai
Stock-Based Compensation (Detail) - 2012 Stock Incentive Plan shares in Thousands | 12 Months Ended |
Dec. 31, 2015shares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of shares available for grant (in shares) | 356 |
Common Stock | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Maximum number of common shares reserved for grant of awards as percentage of total common shares issued and outstanding | 3.00% |
Stockholders' Equity Stockholde
Stockholders' Equity Stockholders' Equity (Details) - $ / shares | Dec. 31, 2015 | Dec. 14, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Mar. 05, 2014 |
Equity [Abstract] | ||||||||||
Preferred stock, shares authorized (in shares) | 25,000,000 | 25,000,000 | ||||||||
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 | ||||||||
Common stock, shares authorized (in shares) | 250,000,000 | 250,000,000 | ||||||||
Common stock, par value (in dollars per share) | $ 0.001 | $ 0.001 | ||||||||
Common stock, shares issued (in shares) | 11,866,000 | 11,924,000 | 11,917,000 | 11,991,000 | 11,985,000 | 12,003,000 | 11,999,000 | 11,996,000 | ||
Common stock, shares outstanding (in shares) | 11,866,000 | 11,985,000 | ||||||||
Stock repurchase program, shares authorized (in shares) | 2,000,000 | 3,000,000 | ||||||||
Stock repurchase program, remaining authorized (in shares) | 1,936,000 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - Dividend Transactions - USD ($) $ / shares in Units, $ in Thousands | Dec. 30, 2015 | Dec. 16, 2015 | Nov. 27, 2015 | Nov. 16, 2015 | Oct. 27, 2015 | Oct. 15, 2015 | Sep. 28, 2015 | Sep. 15, 2015 | Aug. 27, 2015 | Aug. 17, 2015 | Jul. 27, 2015 | Jul. 15, 2015 | Jun. 29, 2015 | Jun. 15, 2015 | May. 27, 2015 | May. 15, 2015 | Apr. 27, 2015 | Apr. 15, 2015 | Mar. 27, 2015 | Mar. 13, 2015 | Feb. 27, 2015 | Feb. 13, 2015 | Jan. 27, 2015 | Jan. 15, 2015 | Dec. 30, 2014 | Dec. 15, 2014 | Nov. 26, 2014 | Nov. 17, 2014 | Oct. 30, 2014 | Oct. 15, 2014 | Sep. 29, 2014 | Sep. 15, 2014 | Aug. 29, 2014 | Aug. 15, 2014 | Jul. 30, 2014 | Jul. 15, 2014 | Jun. 27, 2014 | Jun. 16, 2014 | May. 29, 2014 | May. 15, 2014 | Apr. 29, 2014 | Apr. 15, 2014 | Mar. 28, 2014 | Mar. 17, 2014 | Feb. 27, 2014 | Feb. 14, 2014 | Jan. 30, 2014 | Jan. 15, 2014 | Dec. 27, 2013 | Dec. 16, 2013 | Nov. 27, 2013 | Nov. 15, 2013 | Oct. 28, 2013 | Oct. 15, 2013 | Sep. 27, 2013 | Sep. 16, 2013 | Aug. 29, 2013 | Aug. 15, 2013 | Jul. 30, 2013 | Jul. 15, 2013 | Jun. 27, 2013 | Jun. 14, 2013 | May. 30, 2013 | May. 15, 2013 | Apr. 29, 2013 | Apr. 15, 2013 | Mar. 27, 2013 | Mar. 15, 2013 | Feb. 27, 2013 | Feb. 15, 2013 | Jan. 30, 2013 | Jan. 15, 2013 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends declared per common share (in dollars per share) | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.12 | $ 0.12 | $ 0.12 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.27 | $ 0.27 | $ 0.27 | $ 0.36 | $ 0.45 | $ 0.45 | $ 0.45 | $ 0.45 | |||||||||||||||||||||||||||||||||||||||
Rate per common share (in dollars per share) | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.12 | $ 0.12 | $ 0.12 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | |||||||||||||||||||||||||||||||||||||||||||||||
Aggregate amount paid to holders of record (in dollars) | $ 1,073 | $ 1,073 | $ 1,073 | $ 1,073 | $ 1,073 | $ 1,073 | $ 1,072 | $ 1,076 | $ 1,079 | $ 1,438 | $ 1,438 | $ 1,438 | $ 1,805 | $ 1,800 | $ 1,800 | $ 1,800 | $ 1,800 | $ 1,800 | $ 1,800 | $ 1,799 | $ 1,799 | $ 1,799 | $ 1,799 | $ 1,799 | $ 1,939 | $ 2,025 | $ 2,025 | $ 3,105 | $ 3,105 | $ 3,105 | $ 3,105 | $ 3,105 | $ 1,725 | $ 1,725 | $ 1,725 | $ 1,725 | $ 13,979 | $ 21,600 | $ 28,414 |
Stockholders' Equity (Details66
Stockholders' Equity (Details) - Equity Transactions - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | Dec. 05, 2014 | May. 13, 2013 | Nov. 27, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 30, 2014 |
Sale of Stock [Line Items] | |||||||
Number of shares reinvested | 1 | ||||||
Net proceeds reinvested | $ 8 | $ 8 | $ 358 | $ 113,163 | |||
Common stock follow-on public offering | |||||||
Sale of Stock [Line Items] | |||||||
Number of Shares | 6,000 | ||||||
Per share price (in dollars per share) | $ 18.93 | ||||||
Net Proceeds | $ 113,163 | ||||||
Common Stock | |||||||
Sale of Stock [Line Items] | |||||||
Number of shares reinvested | 1 | 32 | 6,000 | ||||
Net proceeds reinvested | $ 6 | ||||||
Common Stock | Common equity distribution agreements | |||||||
Sale of Stock [Line Items] | |||||||
Number of Shares | 32 | ||||||
Net Proceeds | $ 358 | ||||||
Weighted Average | Common Stock | |||||||
Sale of Stock [Line Items] | |||||||
Per share price reinvested (in dollars per share) | $ 7.57 | $ 12.48 | |||||
Weighted Average | Common Stock | Common equity distribution agreements | |||||||
Sale of Stock [Line Items] | |||||||
Per share price (in dollars per share) | $ 12.61 |
Stockholders' Equity (Details67
Stockholders' Equity (Details) - Common Stock Repurchased (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | Dec. 30, 2014 | Dec. 30, 2013 | Dec. 18, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Equity [Abstract] | ||||||
Number of Shares | 54 | 1,507 | 145 | |||
Per Share price | $ 10.95 | $ 12.72 | $ 6.97 | |||
Net Cost | $ (591) | $ (19,201) | $ (1,009) | $ (1,009) | $ (591) | $ (19,201) |
Net Loss per Common Share (Deta
Net Loss per Common Share (Detail) - $ / shares shares in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Earnings Per Share [Abstract] | |||||||||||
Net loss per common share (in dollars per share) | $ 0.44 | $ (1.39) | $ 1.44 | $ (0.52) | $ (1.47) | $ 0.55 | $ (0.73) | $ (0.16) | $ (0.02) | $ (1.81) | $ (3.89) |
Weighted average common shares outstanding (in shares) | 11,913 | 11,917 | 11,956 | 11,985 | 12,010 | 11,999 | 11,996 | 11,993 | 11,943 | 12,000 | 11,257 |
Income Taxes (Details) - Reconc
Income Taxes (Details) - Reconciliation of GAAP Net Income to Estimated REIT Taxable Income - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Income Tax Disclosure [Abstract] | |||||||||||
GAAP Net loss | $ 5,194 | $ (16,528) | $ 17,229 | $ (6,185) | $ (17,692) | $ 6,572 | $ (8,776) | $ (1,863) | $ (290) | $ (21,759) | $ (43,774) |
Book to tax differences: | |||||||||||
Net book to tax differences on Non-Agency Securities and Linked Transactions though December 31, 2014 | 917 | (6,143) | 8,006 | ||||||||
Net capital losses carried forward | 0 | 0 | 80,509 | ||||||||
Gain on sale of Agency Securities | (5,106) | (8,254) | 0 | ||||||||
Other than temporary impairment of Agency Securities | 0 | 0 | 44,278 | ||||||||
Amortization of deferred hedging gains (costs) | (1,025) | 229 | (57,879) | ||||||||
Net premium amortization differences | 0 | (809) | 0 | ||||||||
Changes in interest rate contracts | 16,801 | 54,871 | (5,875) | ||||||||
Other | 3 | 3 | 3 | ||||||||
Estimated taxable income | $ 11,300 | $ 18,138 | $ 25,268 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | Dec. 30, 2015 | Nov. 27, 2015 | Oct. 27, 2015 | Sep. 28, 2015 | Aug. 27, 2015 | Jul. 27, 2015 | Jun. 29, 2015 | May. 27, 2015 | Apr. 27, 2015 | Mar. 27, 2015 | Feb. 27, 2015 | Jan. 27, 2015 | Dec. 30, 2014 | Nov. 26, 2014 | Oct. 30, 2014 | Sep. 29, 2014 | Aug. 29, 2014 | Jul. 30, 2014 | Jun. 27, 2014 | May. 29, 2014 | Apr. 29, 2014 | Mar. 28, 2014 | Feb. 27, 2014 | Jan. 30, 2014 | Dec. 27, 2013 | Nov. 27, 2013 | Oct. 28, 2013 | Sep. 27, 2013 | Aug. 29, 2013 | Jul. 30, 2013 | Jun. 27, 2013 | May. 30, 2013 | Apr. 29, 2013 | Mar. 27, 2013 | Feb. 27, 2013 | Jan. 30, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Tax Credit Carryforward [Line Items] | |||||||||||||||||||||||||||||||||||||||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities | $ 15,603 | ||||||||||||||||||||||||||||||||||||||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities (in dollars per share) | $ 1.31 | ||||||||||||||||||||||||||||||||||||||
Common stock, shares outstanding (in shares) | 11,866 | 11,985 | |||||||||||||||||||||||||||||||||||||
Common stock dividends paid | $ 1,073 | $ 1,073 | $ 1,073 | $ 1,073 | $ 1,073 | $ 1,073 | $ 1,072 | $ 1,076 | $ 1,079 | $ 1,438 | $ 1,438 | $ 1,438 | $ 1,805 | $ 1,800 | $ 1,800 | $ 1,800 | $ 1,800 | $ 1,800 | $ 1,800 | $ 1,799 | $ 1,799 | $ 1,799 | $ 1,799 | $ 1,799 | $ 1,939 | $ 2,025 | $ 2,025 | $ 3,105 | $ 3,105 | $ 3,105 | $ 3,105 | $ 3,105 | $ 1,725 | $ 1,725 | $ 1,725 | $ 1,725 | $ 13,979 | $ 21,600 | $ 28,414 |
Estimated REIT Taxable Income | $ 11,300 | $ 18,138 | $ 25,268 | ||||||||||||||||||||||||||||||||||||
Percent of dividends that represent nontaxable return of capital | 19.15% | 16.03% | 4.27% | ||||||||||||||||||||||||||||||||||||
Capital Loss Carryforward | |||||||||||||||||||||||||||||||||||||||
Tax Credit Carryforward [Line Items] | |||||||||||||||||||||||||||||||||||||||
Tax credit carryforward | $ (33,335) | $ (80,509) |
Related Party Transactions (Det
Related Party Transactions (Details) - ACM - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Related Party Transaction [Line Items] | |||
Automatic renewal period of management agreement | 1 year | ||
Period of written notice of termination | 180 days | ||
Management Fee | |||
Related Party Transaction [Line Items] | |||
Management fee | $ 3,546 | $ 3,658 | $ 3,315 |
Reimbursement | |||
Related Party Transaction [Line Items] | |||
Management fee | $ 235 | $ 353 | $ 147 |
Subsequent Events (Detail)
Subsequent Events (Detail) - USD ($) | Mar. 01, 2016 | Feb. 26, 2016 | Jan. 27, 2016 | Dec. 30, 2015 | Dec. 16, 2015 | Nov. 27, 2015 | Nov. 16, 2015 | Oct. 27, 2015 | Oct. 15, 2015 | Sep. 28, 2015 | Sep. 15, 2015 | Aug. 27, 2015 | Aug. 17, 2015 | Jul. 27, 2015 | Jul. 15, 2015 | Jun. 29, 2015 | Jun. 15, 2015 | May. 27, 2015 | May. 15, 2015 | Apr. 27, 2015 | Apr. 15, 2015 | Mar. 27, 2015 | Mar. 13, 2015 | Feb. 27, 2015 | Feb. 13, 2015 | Jan. 27, 2015 | Jan. 15, 2015 | Dec. 30, 2014 | Dec. 15, 2014 | Nov. 26, 2014 | Nov. 17, 2014 | Oct. 30, 2014 | Oct. 15, 2014 | Sep. 29, 2014 | Sep. 15, 2014 | Aug. 29, 2014 | Aug. 15, 2014 | Jul. 30, 2014 | Jul. 15, 2014 | Jun. 27, 2014 | Jun. 16, 2014 | May. 29, 2014 | May. 15, 2014 | Apr. 29, 2014 | Apr. 15, 2014 | Mar. 28, 2014 | Mar. 17, 2014 | Feb. 27, 2014 | Feb. 14, 2014 | Jan. 30, 2014 | Jan. 15, 2014 | Dec. 27, 2013 | Dec. 16, 2013 | Nov. 27, 2013 | Nov. 15, 2013 | Oct. 28, 2013 | Oct. 15, 2013 | Sep. 27, 2013 | Sep. 16, 2013 | Aug. 29, 2013 | Aug. 15, 2013 | Jul. 30, 2013 | Jul. 15, 2013 | Jun. 27, 2013 | Jun. 14, 2013 | May. 30, 2013 | May. 15, 2013 | Apr. 29, 2013 | Apr. 15, 2013 | Mar. 27, 2013 | Mar. 15, 2013 | Feb. 27, 2013 | Feb. 15, 2013 | Jan. 30, 2013 | Jan. 15, 2013 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate per common share (in dollars per share) | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.12 | $ 0.12 | $ 0.12 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Aggregate amount paid to holders of record (in dollars) | $ 1,073,000 | $ 1,073,000 | $ 1,073,000 | $ 1,073,000 | $ 1,073,000 | $ 1,073,000 | $ 1,072,000 | $ 1,076,000 | $ 1,079,000 | $ 1,438,000 | $ 1,438,000 | $ 1,438,000 | $ 1,805,000 | $ 1,800,000 | $ 1,800,000 | $ 1,800,000 | $ 1,800,000 | $ 1,800,000 | $ 1,800,000 | $ 1,799,000 | $ 1,799,000 | $ 1,799,000 | $ 1,799,000 | $ 1,799,000 | $ 1,939,000 | $ 2,025,000 | $ 2,025,000 | $ 3,105,000 | $ 3,105,000 | $ 3,105,000 | $ 3,105,000 | $ 3,105,000 | $ 1,725,000 | $ 1,725,000 | $ 1,725,000 | $ 1,725,000 | $ 13,979,000 | $ 21,600,000 | $ 28,414,000 | |||||||||||||||||||||||||||||||||||||||||||||||
Dividends declared per common share (in dollars per share) | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.12 | $ 0.12 | $ 0.12 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.27 | $ 0.27 | $ 0.27 | $ 0.36 | $ 0.45 | $ 0.45 | $ 0.45 | $ 0.45 | ||||||||||||||||||||||||||||||||||||||||||
Subsequent Event | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate per common share (in dollars per share) | $ 0.09 | $ 0.09 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Aggregate amount paid to holders of record (in dollars) | $ 1,068,000 | $ 1,068,000 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends declared per common share (in dollars per share) | $ 0.09 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Javelin Mortgage Investment Corp. | Subsequent Event | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses to be reimbursed if agreement if terminated (up to) | $ 2,000,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
JMI Acquisition Corp. | Javelin Mortgage Investment Corp. | Subsequent Event | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Percentage of acquiree value | 87.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reduction in transaction expense | $ 1,000,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of days prior to offer expiration that tender offer price will be set (in days) | 10 days | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Percent of outstanding shares converted to rights | 50.00% |
Quarterly Financial Data (una73
Quarterly Financial Data (unaudited) - Unaudited Quarterly Financial Results (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | Dec. 16, 2015 | Nov. 16, 2015 | Oct. 15, 2015 | Sep. 15, 2015 | Aug. 17, 2015 | Jul. 15, 2015 | Jun. 15, 2015 | May. 15, 2015 | Apr. 15, 2015 | Mar. 13, 2015 | Feb. 13, 2015 | Jan. 15, 2015 | Dec. 15, 2014 | Nov. 17, 2014 | Oct. 15, 2014 | Sep. 15, 2014 | Aug. 15, 2014 | Jul. 15, 2014 | Jun. 16, 2014 | May. 15, 2014 | Apr. 15, 2014 | Mar. 17, 2014 | Feb. 14, 2014 | Jan. 15, 2014 | Dec. 16, 2013 | Nov. 15, 2013 | Oct. 15, 2013 | Sep. 16, 2013 | Aug. 15, 2013 | Jul. 15, 2013 | Jun. 14, 2013 | May. 15, 2013 | Apr. 15, 2013 | Mar. 15, 2013 | Feb. 15, 2013 | Jan. 15, 2013 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||
Interest Income: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Agency Securities, net of amortization of premium | $ 4,365 | $ 4,626 | $ 5,172 | $ 5,304 | $ 6,819 | $ 7,246 | $ 8,031 | $ 8,445 | $ 19,467 | $ 30,541 | $ 35,081 | |||||||||||||||||||||||||||||||||||||||
Non-Agency Securities, including discount accretion | 3,271 | 3,389 | 3,021 | 2,697 | 2,592 | 2,478 | 2,410 | 2,308 | 12,378 | 9,782 | 7,975 | |||||||||||||||||||||||||||||||||||||||
Total Interest Income | 7,636 | 8,015 | 8,193 | 8,001 | 9,411 | 9,724 | 10,441 | 10,753 | 31,845 | 40,323 | 43,056 | |||||||||||||||||||||||||||||||||||||||
Interest expense | (1,748) | (1,749) | (1,530) | (1,430) | (1,638) | (1,698) | (1,769) | (1,448) | (6,457) | (6,635) | (7,332) | |||||||||||||||||||||||||||||||||||||||
Net Interest Income | 5,888 | 6,266 | 6,663 | 6,571 | 7,773 | 8,026 | 8,672 | 9,305 | 25,388 | 33,688 | 35,724 | |||||||||||||||||||||||||||||||||||||||
Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss)) | 41 | 797 | (3) | 4,271 | 323 | (845) | (34) | 8,810 | 5,106 | 8,254 | (81,045) | |||||||||||||||||||||||||||||||||||||||
Gain (loss) on Non-Agency Securities | (2,142) | (2,127) | 669 | 2,606 | (2,133) | 1,571 | 288 | 833 | (994) | 559 | (977) | |||||||||||||||||||||||||||||||||||||||
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | 1,726 | 1,145 | 2,950 | 4,427 | 0 | 10,330 | (3,352) | |||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) on derivatives | (1,863) | (703) | (1,104) | (2,263) | (3,252) | (3,131) | (3,097) | (3,106) | (5,933) | [1] | (12,586) | [1] | (2,795) | [1] | ||||||||||||||||||||||||||||||||||||
Unrealized gain (loss) on derivatives | 5,039 | (18,925) | 12,755 | (15,633) | (20,432) | 1,293 | (15,703) | (20,029) | (16,764) | (54,871) | 57,748 | |||||||||||||||||||||||||||||||||||||||
Expenses | (1,769) | (1,836) | (1,751) | (1,737) | (1,697) | (1,487) | (1,852) | (2,103) | (7,093) | (7,133) | (5,430) | |||||||||||||||||||||||||||||||||||||||
Net Income (Loss) | $ 5,194 | $ (16,528) | $ 17,229 | $ (6,185) | $ (17,692) | $ 6,572 | $ (8,776) | $ (1,863) | $ (290) | $ (21,759) | $ (43,774) | |||||||||||||||||||||||||||||||||||||||
Net income (loss) per common share (in dollars per share) | $ 0.44 | $ (1.39) | $ 1.44 | $ (0.52) | $ (1.47) | $ 0.55 | $ (0.73) | $ (0.16) | $ (0.02) | $ (1.81) | $ (3.89) | |||||||||||||||||||||||||||||||||||||||
Weighted average common shares outstanding (in shares) | 11,913 | 11,917 | 11,956 | 11,985 | 12,010 | 11,999 | 11,996 | 11,993 | 11,943 | 12,000 | 11,257 | |||||||||||||||||||||||||||||||||||||||
Common stock dividends declared | $ 3,220 | $ 3,217 | $ 3,227 | $ 4,315 | $ 5,406 | $ 5,400 | $ 5,398 | $ 5,397 | ||||||||||||||||||||||||||||||||||||||||||
Dividends per common share (in dollars per share) | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.09 | $ 0.12 | $ 0.12 | $ 0.12 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.23 | $ 0.27 | $ 0.27 | $ 0.27 | $ 0.36 | $ 0.45 | $ 0.45 | $ 0.45 | $ 0.45 | ||||||
Common Shares of record end of period | 11,866 | 11,924 | 11,917 | 11,991 | 11,985 | 12,003 | 11,999 | 11,996 | 11,866 | 11,985 | ||||||||||||||||||||||||||||||||||||||||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized losses on derivatives on the statements of operations. For additional information see Note 10 to the consolidated financial statements. |