Capstead Mortgage (CMO) 10-Q 6 May 16 2016 Q1 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	3 Months Ended
	Mar. 31, 2016	May. 06, 2016
Document and Entity Information [Abstract]
Entity Registrant Name	CAPSTEAD MORTGAGE CORP
Entity Central Index Key	766,701
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	Yes
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Filer Category	Large Accelerated Filer
Entity Common Stock, Shares Outstanding		95,947,090
Document Fiscal Year Focus	2,016
Document Fiscal Period Focus	Q1
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Mar. 31, 2016

CONSOLIDATED BALANCE SHEETS (UN

CONSOLIDATED BALANCE SHEETS (UNAUDITED) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Assets
Residential mortgage investments ($13.29 and $13.54 billion pledged at March 31, 2016 and December 31, 2015, respectively)	$ 13,835,131	$ 14,154,737
Cash collateral receivable from interest rate swap counterparties	72,037	50,193
Interest rate swap agreements at fair value	802	7,720
Cash and cash equivalents	52,054	54,185
Receivables and other assets	149,915	179,531
Total assets	14,109,939	14,446,366
Liabilities
Secured borrowings	12,623,699	12,958,394
Interest rate swap agreements at fair value	46,309	26,061
Unsecured borrowings	98,014	97,986
Common stock dividend payable	25,592	25,979
Accounts payable and accrued expenses	32,932	39,622
Total liabilities	12,826,546	13,148,042
Stockholders' equity
Common stock - $0.01 par value; 250,000 shares authorized: 95,947 and 95,825 shares issued and outstanding at March 31, 2016 and December 31, 2015, respectively	959	958
Paid-in capital	1,309,723	1,310,563
Accumulated deficit	(346,464)	(346,464)
Accumulated other comprehensive income	121,805	136,095
Total stockholders' equity	1,283,393	1,298,324
Total liabilities and equity	14,109,939	14,446,366
Redeemable Preferred Stock [Member] | Cumulative Redeemable Preferred Stock, Series E [Member]
Stockholders' equity
Cumulative preferred stock	$ 197,370	$ 197,172

CONSOLIDATED BALANCE SHEETS (U3

CONSOLIDATED BALANCE SHEETS (UNAUDITED) (Parenthetical) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Assets
Residential mortgage investments	$ 13,290,000	$ 13,540,000
Stockholders' equity
Preferred stock, par value (in dollars per share)	$ 0.10	$ 0.10
Preferred stock, shares authorized (in shares)	100,000	100,000
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized (in shares)	250,000	250,000
Common stock, shares issued (in shares)	95,947	95,825
Common stock, shares outstanding (in shares)	95,947	95,825
Redeemable Preferred Stock [Member] | Cumulative Redeemable Preferred Stock, Series E [Member]
Stockholders' equity
Preferred stock, shares issued (in shares)	8,164	8,156
Preferred stock, shares outstanding (in shares)	8,164	8,156
Preferred stock, dividend rate	7.50%	7.50%
Preferred stock, aggregate liquidation preference	$ 204,109	$ 203,902

CONSOLIDATED STATEMENTS OF INCO

CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Interest income:
Residential mortgage investments	$ 59,500	$ 58,645
Other	192	94
Interest income	59,692	58,739
Interest expense:
Secured borrowings	(26,582)	(19,214)
Unsecured borrowings	(1,977)	(2,123)
Interest expense	(28,559)	(21,337)
Net interest income (expense)	31,133	37,402
Other revenue (expense):
Salaries and benefits	(1,157)	(1,049)
Short-term incentive compensation	(1,422)	(692)
Long term incentive compensation	(645)	(608)
Other general and administrative expense	(1,169)	(1,149)
Miscellaneous other revenue	613	53
Operating expenses	(3,780)	(3,445)
Net income	27,353	33,957
Net income available to common stockholders:
Net income	27,353	33,957
Less preferred stock dividends	(3,826)	(3,742)
Net income available to common stockholders	$ 23,527	$ 30,215
Net income per common share:
Basic and diluted (in dollars per share)	$ 0.25	$ 0.32
Weighted average common shares outstanding:
Basic (in shares)	95,614	95,469
Diluted (in shares)	95,745	95,674
Cash dividends declared per share:
Common (in dollars per share)	$ 0.26	$ 0.31
Series E Preferred [Member]
Cash dividends declared per share:
Series E Preferred (in dollars per share)	$ 0.47	$ 0.47

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED) [Abstract]
Net income	$ 27,353	$ 33,957
Amounts related to available-for-sale securities:
Change in net unrealized gains	12,483	6,107
Amounts related to cash flow hedges:
Change in net unrealized losses	(32,127)	(18,391)
Reclassification adjustment for amounts included in net income	5,354	6,448
Other comprehensive income (loss)	(14,290)	(5,836)
Comprehensive income	$ 13,063	$ 28,121

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Operating activities :
Net income	$ 27,353	$ 33,957
Noncash items:
Amortization of investment premiums	26,011	25,078
Amortization of equity-based awards	745	724
Other depreciation and amortization	32	33
Change in measurable hedge ineffectiveness related to interest rate swap agreements designated as cash flow hedges	393	185
Net change in receivables, other assets, accounts payable and accrued expenses	(5,740)	(1,131)
Net cash provided by operating activities	48,794	58,846
Investing activities:
Purchases of residential mortgage investments	(462,759)	(959,548)
Interest receivable acquired with the purchase of residential mortgage investments	(696)	(1,534)
Principal collections on residential mortgage investments, including changes in mortgage securities principal remittance receivable	768,187	703,688
Redemption of Federal Home Loan Bank stock	30,000	0
Net cash provided by (used in) investing activities	334,732	(257,394)
Financing activities:
Proceeds from repurchase arrangements and similar borrowings	29,191,066	29,887,321
Principal payments on repurchase arrangements and similar borrowings	(27,400,760)	(29,755,657)
Proceeds from other secured borrowings	1,175,000	0
Principal payments on other secured borrowings	(3,300,000)	0
Increase in cash collateral receivable from interest rate swap counterparties	(21,844)	(8,530)
Proceeds from issuance of preferred shares	200	10,651
Other capital stock transactions	(57)	(429)
Dividends paid	(29,262)	(36,719)
Net cash (used in) provided by financing activities	(385,657)	96,637
Net change in cash and cash equivalents	(2,131)	(101,911)
Cash and cash equivalents at beginning of period	54,185	307,526
Cash and cash equivalents at end of period	$ 52,054	$ 205,615

BUSINESS

BUSINESS	3 Months Ended
	Mar. 31, 2016
BUSINESS [Abstract]
BUSINESS	NOTE 1 ¾ Capstead Mortgage Corporation operates as a self-managed real estate investment trust for federal income tax purposes (a “REIT”) and is based in Dallas, Texas. Unless the context otherwise indicates, Capstead Mortgage Corporation, together with its subsidiaries, is referred to as “Capstead” or the “Company.” Capstead earns income from investing in a leveraged portfolio of residential mortgage pass-through securities consisting almost exclusively of adjustable-rate mortgage (“ARM”) securities issued and guaranteed by government-sponsored enterprises, either Fannie Mae, Freddie Mac, or by an agency of the federal government, Ginnie Mae. Residential mortgage pass-through securities guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae are referred to as “Agency Securities” and are considered to have limited, if any, credit risk.

BASIS OF PRESENTATION

BASIS OF PRESENTATION	3 Months Ended
	Mar. 31, 2016
BASIS OF PRESENTATION [Abstract]
BASIS OF PRESENTATION	NOTE 2 ¾ Interim Financial Reporting The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the quarter ended March 31, 2016 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2016. For further information refer to the audited consolidated financial statements and footnotes thereto included in the Company’s annual report on Form 10-K for the year ended December 31, 2015. Recent Accounting Pronouncements In November 2014 the Financial Accounting Standards Board issued ASU 2014-16, Derivatives and Hedging (Topic 815): Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share is More Akin to Debt or to Equity (“ASU 2014-16”). ASU 2014-16 provides guidance in evaluating whether the nature of the host contract is more debt-like or equity-like when determining whether derivative financial instruments embedded in the hybrid financial instrument, such as call rights and conversion features, should be bifurcated and accounted for separately. The Company adopted ASU 2014-16 on January 1, 2016. The provisions of this ASU had no effect on the Company’s results of operations, financial condition, or cash flows.

NET INCOME PER COMMON SHARE

NET INCOME PER COMMON SHARE	3 Months Ended
	Mar. 31, 2016
NET INCOME PER COMMON SHARE [Abstract]
NET INCOME PER COMMON SHARE	NOTE 3 ¾ Basic net income per common share is computed by dividing net income, after deducting dividends paid or accrued on preferred stock and allocating earnings to equity awards deemed to be participating securities pursuant to the two-class method, by the average number of shares of common stock outstanding, calculated excluding unvested stock awards. Participating securities include unvested equity awards that contain non-forfeitable rights to dividends prior to vesting. Diluted net income per common share is computed by dividing the numerator used to compute basic net income per common share by the denominator used to compute basic net income per common share, further adjusted for the dilutive effect, if any, of equity awards and shares of preferred stock when and if convertible into shares of common stock. Shares of the Company’s 7.50% Series E Cumulative Redeemable Preferred Stock are contingently convertible into shares of common stock only upon the occurrence of a change in control and therefore are not considered dilutive securities absent such an occurrence. Any unvested equity awards that are deemed participating securities are included in the calculation of diluted net income per common share, if dilutive, under either the two-class method or the treasury stock method, depending upon which method produces the more dilutive result. Components of the computation of basic and diluted net income per common share were as follows for the indicated periods (dollars in thousands, except per share amounts) Quarter Ended March 31 2016 2015 Basic net income per common share Numerator for basic net income per common share: Net income $ 27,353 $ 33,957 Preferred stock dividends (3,826 ) (3,742 ) Earnings participation of unvested equity awards (44 ) (34 ) $ 23,483 $ 30,181 Denominator for basic net income per common share: Average number of shares of common stock outstanding 95,913 95,825 Average unvested stock awards outstanding (299 ) (356 ) 95,614 95,469 $ 0.25 $ 0.32 Diluted net income per common share Numerator for diluted net income per common share: Numerator for basic net income per common share $ 23,483 $ 30,181 Denominator for diluted net income per common share: Denominator for basic net income per common share 95,614 95,469 Net effect of dilutive equity awards 131 205 95,745 95,674 $ 0.25 $ 0.32

RESIDENTIAL MORTGAGE INVESTMENT

RESIDENTIAL MORTGAGE INVESTMENTS	3 Months Ended
	Mar. 31, 2016
RESIDENTIAL MORTGAGE INVESTMENTS [Abstract]
RESIDENTIAL MORTGAGE INVESTMENTS	NOTE 4 ¾ Residential mortgage investments Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (b ) March 31, 2016 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 599 $ 2 $ 601 $ 601 6.62 % 5.82 % ARMs 9,815,446 311,049 10,126,495 10,285,165 2.60 1.78 Ginnie Mae ARMs 3,421,518 114,475 3,535,993 3,544,335 2.59 1.55 13,237,563 425,526 13,663,089 13,830,101 2.60 1.72 Residential mortgage loans: Fixed-rate 857 1 858 858 6.77 3.42 ARMs 2,322 10 2,332 2,332 3.81 3.21 3,179 11 3,190 3,190 4.60 3.27 Collateral for structured financings 1,811 29 1,840 1,840 8.12 7.94 $ 13,242,553 $ 425,566 $ 13,668,119 $ 13,835,131 2.60 1.72 December 31, 2015 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 796 $ 2 $ 798 $ 799 6.61 % 6.17 % ARMs 10,014,401 317,545 10,331,946 10,487,785 2.55 1.68 Ginnie Mae ARMs 3,542,541 119,225 3,661,766 3,660,455 2.61 1.49 13,557,738 436,772 13,994,510 14,149,039 2.57 1.63 Residential mortgage loans: Fixed-rate 1,155 1 1,156 1,156 6.76 5.02 ARMs 2,650 11 2,661 2,661 3.73 3.15 3,805 12 3,817 3,817 4.65 3.71 Collateral for structured financings 1,850 31 1,881 1,881 8.12 7.82 $ 13,563,393 $ 436,815 $ 14,000,208 $ 14,154,737 2.57 1.63 (a) Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale. (b) Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date. Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments. Average yield is presented for the quarter then ended, and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments. Agency Securities are considered to have limited, if any, credit risk because the timely payment of principal and interest is guaranteed by Fannie Mae and Freddie Mac, which are federally chartered corporations, or Ginnie Mae, which is an agency of the federal government. Residential mortgage loans held by Capstead were originated prior to 1995 when the Company operated a mortgage conduit and the related credit risk is borne by the Company. Collateral for structured financings consists of private residential mortgage securities that are backed by loans obtained through this mortgage conduit and are pledged to secure repayment of related structured financings. Credit risk for these securities is borne by the related bondholders. The maturity of Residential mortgage investments Fixed-rate investments consist of residential mortgage loans and Agency Securities backed by residential mortgage loans with fixed rates of interest. Adjustable-rate investments generally are ARM Agency Securities backed by residential mortgage loans that have coupon interest rates that adjust at least annually to more current interest rates or begin doing so after an initial fixed-rate period. After the initial fixed-rate period, if applicable, mortgage loans underlying ARM securities typically either (i) adjust annually based on specified margins over the one-year London interbank offered rate (“LIBOR”) or the one-year Constant Maturity U.S. Treasury Note Rate (“CMT”), (ii) adjust semiannually based on specified margins over six-month LIBOR, or (iii) adjust monthly based on specified margins over indices such as one-month LIBOR, the Eleventh District Federal Reserve Bank Cost of Funds Index, or over a rolling twelve month average of the one-year CMT index, usually subject to periodic and lifetime limits, or caps, on the amount of such adjustments during any single interest rate adjustment period and over the contractual term of the underlying loans. Capstead classifies its ARM investments based on average number of months until coupon reset (“months to roll”). Months to roll is an indicator of asset duration which is a measure of market price sensitivity to interest rate movements. A shorter duration generally indicates less interest rate risk. Current-reset ARM investments have months to roll of less than 18 months while longer-to-reset ARM investments have months to roll of 18 months or greater. As of March 31, 2016, the average months to roll for the Company’s $7.89 billion (amortized cost basis) in current-reset ARM investments was 6.2 months while the average months to roll for the Company’s $5.77 billion (amortized cost basis) in longer-to-reset ARM investments was 41.8 months.

SECURED BORROWINGS

SECURED BORROWINGS	3 Months Ended
	Mar. 31, 2016
SECURED BORROWINGS [Abstract]
SECURED BORROWINGS	NOTE 5 ¾ Capstead pledges its Residential mortgage investments as collateral for secured borrowings primarily in the form of repurchase arrangements with commercial banks and other financial institutions. In August 2015 the Company began supplementing its borrowings under repurchase arrangements with advances from the Federal Home Loan Bank (“FHLB”) of Cincinnati (collectively referred to as “counterparties” or “lending counterparties”). Repurchase arrangements entered into by the Company involve the sale and a simultaneous agreement to repurchase the transferred assets at a future date and are accounted for as financings transferring ownership of the pledged collateral to the bank and simultaneously agreeing to repurchase the transferred assets at a future date. On January 12, 2016 the FHLB system regulator finalized rules originally proposed in 2014 that generally preclude captive insurers from remaining members beyond February 19, 2017 with transition rules that require outstanding advances to be repaid upon maturity or by that date. In response to this action, the Company has reduced outstanding FHLB advances to $750 million as of March 31, 2016 and anticipates migrating remaining balances away from the FHLB by November 2016. FHLB stock held by the Company in connection with advance activity was reduced by $30.0 million during the quarter ended March 31, 2016 and the remaining $30.0 million held at March 31, 2016 is expected to be redeemed by December 31, 2016. The terms and conditions of secured borrowings are negotiated on a transaction-by-transaction basis when each such borrowing is initiated or renewed. pledged, as determined by the lending counterparty, less an agreed-upon discount, referred to as a “haircut.” Interest rates are generally fixed None of the Company’s lending counterparties are obligated to renew or otherwise enter into new borrowings at the conclusion of existing borrowings. Secured borrowings Collateral Type Collateral Carrying Amount Accrued Interest Receivable Borrowings Outstanding Average Borrowing Rates March 31, 2016 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 10,815,418 $ 22,692 $ 10,267,015 0.66 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 500,212 1,150 461,665 0.67 Agency Securities (greater than 90 days) 1,200,086 2,819 1,143,179 0.79 Similar borrowings: Collateral for structured financings 1,840 – 1,840 8.12 12,517,556 26,661 11,873,699 FHLB advances 768,513 3,152 750,000 0.64 $ 13,286,069 $ 29,813 $ 12,623,699 0.67 Quarter-end borrowing rates adjusted for effects of related derivative financial instruments (Derivatives) held as cash flow hedges 0.84 December 31, 2015 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 9,080,363 $ 18,504 $ 8,585,336 0.67 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 423,710 861 346,177 0.63 Agency Securities (greater than 90 days) 1,073,254 2,519 1,150,000 0.75 Similar borrowings: Collateral for structured financings 1,881 – 1,881 8.12 10,579,208 21,884 10,083,394 FHLB advances 2,956,908 11,422 2,875,000 0.43 $ 13,536,116 $ 33,306 $ 12,958,394 0.62 Year-end borrowing rates adjusted for effects of related Derivatives held as cash flow hedges 0.85 Average secured borrowings outstanding during the indicated periods differed from respective ending balances primarily due to changes in portfolio levels and differences in the timing of portfolio acquisitions relative to portfolio runoff as illustrated below (dollars in thousands): Quarter Ended March 31, 2016 December 31, 2015 Average Borrowings Average Rate Average Borrowings Average Rate Average borrowings and rates adjusted for the effects of related Derivatives held as cash flow hedges for the indicated periods $ 13,042,541 0.82 % $ 13,160,703 0.73 %

USE OF DERIVATIVES, OFFSETTING

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT	3 Months Ended
	Mar. 31, 2016
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT [Abstract]
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT	NOTE 6 ¾ In addition to entering into longer-maturity secured borrowings when available at attractive rates and terms, Capstead attempts to mitigate exposure to higher interest rates by entering into currently-paying and forward-starting, one-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements that require interest payments generally for two-year terms. These Derivatives are designated as cash flow hedges of the variability of the underlying benchmark interest rate of current and forecasted 30- to 90-day secured borrowings. This hedge relationship establishes a relatively stable fixed rate on related borrowings because the variable-rate payments received on the swap agreements offset a significant portion of the interest accruing on the designated borrowings, leaving the fixed-rate swap payments as the Company’s effective borrowing rate, subject to certain adjustments. These adjustments include differences between variable-rate payments received on the swap agreements and related unhedged borrowing rates as well as the effects of measured hedge ineffectiveness. Additionally, changes in fair value of these Derivatives tend to partially offset opposing changes in fair value of the Company’s residential mortgage investments that can occur in response to changes in market interest rates. During the quarter ended March 31, 2016 Capstead entered into swap agreements with notional amounts of $1.50 billion requiring fixed-rate interest payments averaging 0.73% for two-year periods commencing on various dates between January 2016 and April 2016. Also during the quarter ended March 31, 2016, $1.70 billion notional amount of swaps requiring fixed-rate interest payments averaging 0.51% matured, while $300 million notional amount of forward-starting swaps requiring fixed-rate interest payments averaging 0.92% moved into current-pay status. At March 31, 2016, the Company’s financing-related swap positions had the following characteristics (dollars in thousands): Period of Contract Expiration Notional Amount Average Fixed-Rate Payment Requirement Currently-paying contracts: Second quarter 2016 (expired April 1, 2016) $ 1,100,000 0.47 % Third quarter 2016 700,000 0.56 Fourth quarter 2016 800,000 0.66 First quarter 2017 1,000,000 0.72 Second quarter 2017 900,000 0.74 Third quarter 2017 400,000 0.74 Fourth quarter 2017 1,500,000 0.79 First quarter 2018 1,700,000 0.76 8,100,000 Forward-starting contracts: Second quarter 2018 100,000 0.77 $ 8,200,000 In 2010 the Company entered into forward-starting, three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements with notional amounts totaling $100 million and average fixed rates of 4.09% with 20-year payment terms coinciding with the floating-rate terms of the Company’s Unsecured borrowings Interest rate swap agreements are measured at fair value on a recurring basis primarily using Level Two Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820) Balance Sheet March 31 December 31 Location 2016 2015 Balance sheet-related Swap agreements in a gain position (an asset) related to Secured borrowings (a) $ 802 $ 7,720 Swap agreements in a loss position (a liability) related to: Secured borrowings (a) (11,296 ) (1,051 ) Unsecured borrowings (a) (35,013 ) (25,010 ) Related net interest payable (b) (10,734 ) (10,942 ) $ (56,241 ) $ (29,283 ) (a) The fair value of Derivatives with unrealized gains are aggregated and recorded as an asset on the face of the Balance Sheets separately from the fair value of Derivatives with unrealized losses that are recorded as a liability. The amount of net unrealized losses scheduled to be recognized in the Statements of Income over the next twelve months primarily in the form of fixed-rate swap payments in excess of current market rates totaled $13.5 million at March 31, 2016. (b) Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets. Location of Gain or (Loss) Recognized in Quarter Ended March 31 Net Income 2016 2015 Income statement-related Components of effect on interest expense: Amount of loss reclassified from Accumulated other comprehensive income $ (5,354 ) $ (6,448 ) Amount of loss recognized (ineffective portion) (648 ) (309 ) Increase in interest expense and decrease in Net income * $ (6,002 ) $ (6,757 ) Other comprehensive income-related Amount of recognized in Other $ (32,127 ) $ (18,391 ) * Included in “Interest expense: Secured borrowings” on the face of the Statements of Income. Capstead’s swap agreements and borrowings under repurchase arrangements are subject to master netting arrangements in the event of default on, or termination of, any one contract. See NOTE 5 for more information on the Company’s use of secured borrowings. The following tables provide disclosures concerning offsetting of financial liabilities and Derivatives as of the indicated dates (in thousands): Offsetting of Derivative Assets Gross Gross Amounts Net Amounts of Assets Gross Amounts Not Offset in the Balance Sheet (a) Amounts of Recognized Assets Offset in the Balance Sheet Presented in the Balance Sheet Financial Instruments Cash Collateral Received Net Amount March 31, 2016 Counterparty 4 $ 464 $ 338 $ 802 $ (802 ) $ – $ – December 31, 2015 Counterparty 2 $ – $ 23 $ 23 $ (23 ) $ – $ – Counterparty 4 4,758 2,939 7,697 (7,697 ) – – $ 4,758 $ 2,962 $ 7,720 $ (7,720 ) $ – $ – Offsetting of Financial Liabilities and Derivative Liabilities Gross Gross Amounts Net Amounts of Liabilities Gross Amounts Not Offset in the Balance Sheet (c) Amounts of Recognized Liabilities (b) Offset in the Balance Sheet Presented in the Balance Sheet (a) Financial Instruments Cash Collateral Pledged Net Amount March 31, 2016 Derivatives by counterparty: Counterparty 1 $ 36,041 $ – $ 36,041 $ – $ (36,041 ) $ – Counterparty 2 747 – 747 – (500 ) 247 Counterparty 4 19,917 338 20,255 (802 ) (19,453 ) – 56,705 338 57,043 (802 ) (55,994 ) 247 Borrowings under repurchase arrangements 11,880,016 – 11,880,016 (11,880,016 ) – – $ 11,936,721 $ 338 $ 11,937,059 $ (11,880,818 ) $ (55,994 ) $ 247 December 31, 2015 Derivatives by counterparty: Counterparty 1 $ 26,311 $ – $ 26,311 $ – $ (26,311 ) $ – Counterparty 2 776 23 799 (23 ) (776 ) – Counterparty 4 6,954 2,939 9,893 (7,697 ) (2,196 ) – 34,041 2,962 37,003 (7,720 ) (29,283 ) – Borrowings under repurchase arrangements 10,090,846 – 10,090,846 (10,090,846 ) – – $ 10,124,887 $ 2,962 $ 10,127,849 $ (10,098,566 ) $ (29,283 ) $ – (a) Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. (b) Amounts include accrued interest of $10.7 million and $10.9 million on interest rate swap agreements and $8.2 million and $9.3 million on borrowings under repurchase arrangements, included in “Accounts payable and accrued expenses” on the face of the Balance Sheets as of March 31, 2016 and December 31, 2015, respectively. (c) Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. Changes in Accumulated other comprehensive income Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at December 31, 2015 $ (18,434 ) $ 154,529 $ 136,095 Activity for the quarter ended March 31, 2016: Other comprehensive income (loss) before reclassifications (32,127 ) 12,483 (19,644 ) Amounts reclassified from accumulated other comprehensive income 5,354 – 5,354 Other comprehensive income (loss) (26,773 ) 12,483 (14,290 ) Balance at March 31, 2016 $ (45,207 ) $ 167,012 $ 121,805

UNSECURED BORROWINGS

UNSECURED BORROWINGS	3 Months Ended
	Mar. 31, 2016
UNSECURED BORROWINGS [Abstract]
UNSECURED BORROWINGS	NOTE 7 ¾ Unsecured borrowings consist of 30-year junior subordinated notes issued in 2005 and 2006 and maturing in 2035 and 2036, for a total face amount of $100 million. In 2015 the Company retrospectively adopted ASU 2015-03, which requires debt issuance costs to be recorded as direct deductions from the carrying amounts of the related liabilities, consistent with debt discounts. Note balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and ) as of March 31, 2016 and December 31, 2015 were as follows (dollars in thousands): March 31, 2016 December 31, 2015 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,247 7.92 % $ 34,234 7.91 % December 2035 ($40,000 face amount) 39,253 7.68 39,244 7.68 September 2036 ($25,000 face amount) 24,514 8.95 24,508 8.96 $ 98,014 8.08 $ 97,986 8.08 * The average borrowing rate for total unsecured borrowings, adjusted for the effects of related Derivatives held for hedging purposes, will decline to 7.77% effective September 15, 2016, coinciding with the 20-year floating rate period of the September 2036 notes. The notes maturing in October 2035 and December 2035 are currently redeemable, in whole or in part, without penalty, at the Company’s option. The notes maturing in September 2036 are redeemable, in whole or in part, without penalty, at the Company’s option anytime on or after September 15, 2016.

CAPITAL TRANSACTIONS

CAPITAL TRANSACTIONS	3 Months Ended
	Mar. 31, 2016
CAPITAL TRANSACTIONS [Abstract]
CAPITAL TRANSACTIONS	NOTE 8 ¾ During the quarter ended March 31, 2016, Capstead issued an additional 8,000 shares of its 7.50% Series E Cumulative Redeemable Preferred Stock through an at-the-market continuous offering program at an average price of $23.93, net of underwriting fees and other costs, for net proceeds of $198,000.

DISCLOSURES REGARDING FAIR VALU

DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS	3 Months Ended
	Mar. 31, 2016
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS [Abstract]
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS	NOTE 9 ¾ This note provides fair value-related disclosures as of the indicated balance sheet dates for Capstead’s financial assets and liabilities, most of which are influenced by changes in, and market expectations for changes in, interest rates and market liquidity conditions, as well as other factors beyond the control of management. With the exception of the fair value of lending counterparty investments, all fair values were determined using Level 2 Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820) Residential mortgage investments , nearly all of which are mortgage securities classified as available-for-sale, are measured at fair value on a recurring basis. In determining fair value estimates the Company considers recent trading activity for similar investments and pricing levels indicated by lenders in connection with designating collateral for secured borrowings, provided such pricing levels are considered indicative of actual market clearing transactions. In determining fair value estimates for Secured borrowings with initial terms of greater than 120 days, the Company considers pricing levels indicated by lenders for entering into new transactions using similar pledged collateral with terms equal to the remaining terms of the these borrowings. Unsecured borrowings Excluded from these disclosures are financial instruments for which cost basis is deemed to approximate fair value due primarily to the short duration of these instruments, which are valued using primarily Level 1 measurements, including Cash and cash equivalents , Cash collateral receivable from, or payable to, interest rate swap counterparties , receivables, payables and secured borrowings with initial terms of 120 days or less. See NOTE 6 for information relative to the valuation of interest rate swap agreements Fair value-related disclosures for financial instruments other than debt securities were as follows as of the indicated dates (in thousands): March 31, 2016 December 31, 2015 Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Residential mortgage loans $ 3,190 $ 3,200 $ 3,817 $ 3,900 Lending counterparty investments 35,002 35,002 65,002 65,002 Portfolio-related interest rate swap agreements 802 802 7,720 7,720 Financial liabilities: Secured borrowings with initial terms of greater than 120 days 2,243,179 2,243,800 3,246,177 3,245,000 Unsecured borrowings 98,014 73,100 97,986 77,200 Interest rate swap agreements: Portfolio-related 11,296 11,296 1,051 1,051 Unsecured borrowings-related 35,013 35,013 25,010 25,010 Fair value-related disclosures for debt securities were as follows as of the indicated dates (in thousands): Amortized Gross Unrealized Cost Basis Gains Losses Fair Value March 31, 2016 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 10,126,512 $ 161,157 $ 2,487 $ 10,285,182 Ginnie Mae 3,535,993 15,295 6,953 3,544,335 Residential mortgage securities classified as held-to-maturity 2,425 31 – 2,456 December 31, 2015 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac 10,331,965 166,794 10,954 10,487,805 Ginnie Mae 3,661,766 11,705 13,016 3,660,455 Residential mortgage securities classified as held-to-maturity 2,660 44 – 2,704 March 31, 2016 December 31, 2015 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position: One year or greater $ 590,795 $ 3,779 $ 597,652 $ 4,259 Less than one year 1,818,868 5,661 4,468,844 19,711 $ 2,409,663 $ 9,440 $ 5,066,496 $ 23,970 Capstead’s investment strategy involves managing a leveraged portfolio of relatively short-duration ARM Agency Securities and management expects these securities will be held until payoff absent a major shift in strategy or a severe contraction in the Company’s ability to obtain financing to support its portfolio. Declines in fair value caused by increases in interest rates are typically modest for investments in short-duration ARM Agency Securities compared to investments in longer-duration ARM or fixed-rate assets. These declines are generally recoverable in a relatively short period of time as coupon interest rates on the underlying mortgage loans reset to rates more reflective of the then-current interest rate environment. From a credit risk perspective, federal government support for helps ensure that fluctuations in value due to credit risk associated with these securities will be limited. Given that (a) any existing unrealized losses on mortgage securities held by the Company are not attributable to credit risk and declines in fair value of ARM securities due to changes in interest rates are generally recoverable in a relatively short period of time, (b) the Company typically holds its investments to maturity, and (c) it is more likely than not that the Company will not be required to sell any of its investments given the resiliency of the financing market for Agency Securities, none of these investments were considered other-than-temporarily impaired at March 31, 2016.

COMPENSATION PROGRAMS

COMPENSATION PROGRAMS	3 Months Ended
	Mar. 31, 2016
COMPENSATION PROGRAMS [Abstract]
COMPENSATION PROGRAMS	NOTE 10 ¾ The compensation committee of Capstead’s board of directors (the “Committee”) is responsible for establishing, implementing, and monitoring the Company’s compensation programs and practices. Incentive compensation programs adopted by the Committee for key executives are largely nondiscretionary, formulaic and target-based utilizing multiple pre-established performance goals (referred to as “metrics”) and defined threshold, target and maximum award amounts determined by reference to established percentages of base salaries. Prior to granting awards, the Committee reviews the Company’s programs, implementing any desired changes in performance metrics and the composition of mortgage REIT industry peer groups used for relative performance metric measurement purposes, as well as establishing each executive’s targeted award opportunity. Equity-based awards and other long-term incentive awards are made pursuant to the Company’s Amended and Restated 2014 Flexible Incentive Plan, approved by stockholders in May 2014. At March 31, 2016, this plan had 3,730,422 shares of common stock remaining available for future issuances. Short-term Incentive Compensation Programs Under the provisions of Capstead’s annual incentive compensation program, each participating executive has an overall target award opportunity equal to 125% of base salary. Awards are earned based on (a) relative and absolute economic return (change in book value per share of common stock plus common stock dividends divided by beginning book value per share), (b) relative operating cost efficiency (operating expenses divided by Unsecured borrowings and Stockholders’ equity ), and (c) attainment of individual goals and objectives. Each performance metric is assigned a weighting and performance relative to each metric is calculated separately. No awards can be earned for performance below defined threshold return levels and awards are capped for performance above defined maximum return levels. Accounts payable and accrued expenses participating Short-term incentive compensation The Committee administers an additional performance-based short-term incentive compensation program for key executives that provides for quarterly cash payments equal to per share dividends declared on Capstead’s common stock multiplied by a notional amount of non-vesting shares of common stock (“Dividend Equivalent Rights” or “DERs”). DERs only represent the right to receive the same cash distributions that the Company’s common stockholders are entitled to receive during the term of the grants, subject to certain conditions, including continuous service. Included in Accounts payable and accrued expenses are first quarter 2016 DERs distribution amounts totaling $170,000 that were paid in April 2016. In February 2016 the Committee modified the relative weightings of the various metrics in the annual incentive compensation program for 2016 primarily to place more emphasis on absolute economic return at adjusted threshold, target and maximum return levels, while decreasing other relative weightings. Additionally, maximum payout percentage opportunities related to achieving or exceeding individual goals and objectives were increased and the term of outstanding DERs was extended to December 31, 2016. Long-term Equity-based Awards – Performance-based RSUs Capstead’s performance-based long-term incentive compensation program for key executives provides for the grant of performance-based RSUs that are convertible into shares of common stock following three-year performance periods, contingent upon whether, and to what extent, defined performance levels established for certain relative and absolute return performance metrics are met or exceeded. The relative return metrics measure the Company’s performance on the basis of relative economic return and relative total stockholder return (change in stock price plus reinvested dividends). The absolute economic return metric measures performance against defined return levels. For conversion purposes, each performance metric is assigned a weighting and the Company’s performance relative to each metric is calculated separately. The actual number of shares of common stock the units can convert into for each of the metrics, if any, can range from one-half of a share per unit if that metric’s threshold level of performance is met, to two shares per unit if the related maximum level of performance is met or exceeded, adjusted for the weighting assigned to the metric. If a metric’s threshold performance level is not met, no shares are issuable under that metric. Dividends accrue from the date of grant and will be paid in cash when the units convert into shares of common stock based on the number of shares ultimately issued, if any. Pursuant to this program, in February 2016, January 2015 and December 2013 the Committee granted 269,354, 247,512 and 242,505 RSUs with three-year performance periods ending December 31, 2018, 2017 and 2016, respectively. Initial grant date fair values developed for compensation cost purposes of $8.03, $8.83 and $12.45 were assigned to the units of each grant, respectively. With the 2015 departure of a participating executive, 37,199 and 36,467 RSUs issued in 2015 and 2013, respectively, were forfeited. Recognized in Long-term incentive compensation are $433,000 and $328,000 related to outstanding RSUs for the quarters ended March 31, 2016 and 2015, respectively. Included in Common Stock dividends payable at March 31, 2016 are estimated dividends payable pertaining to these awards of $394,000. Long-term Equity-based Awards – Stock Awards Under a performance-based stock award program last utilized in 2012, the Committee granted common stock awards to all employees with staggered three-year vesting periods. These awards vest if annualized returns in excess of established return levels are generated during three-year measurement periods, with certain deferred vesting provisions that extend to include the seventh calendar year after the year of grant. Program grants for 118,784 shares with an average grant date fair value of $12.17 vested in January 2016 pertaining to the measurement period ending December 31, 2015. The last shares granted under this program totaling 62,137 shares with a grant date fair value of $11.67 are scheduled to vest in February 2017, assuming performance criteria and service conditions are met. In February 2016 the Committee granted service-based stock awards for 67,337 shares of common stock with a grant date fair value of $9.32 per share to key executives. These awards vest in February 2019 assuming service conditions are met. In January 2016 and December of 2014 and 2013, respectively, the Committee granted service-based stock awards for 61,272, 37,237 and 35,703 shares of common stock with grant date fair values of $7.87, $12.47 and $12.34 per share to employees not awarded RSUs. These awards vest in January of 2019, 2018 and 2017, respectively, assuming service conditions are met. As a component of the Company’s director compensation program, directors are granted common stock awards annually upon election or re-election to the board of directors that vest approximately one year from issuance. In July 2015, director common stock awards for a total of 35,000 shares with a grant date fair value of $11.41 per share were granted that will vest on July 15, 2016. Performance-based and service-based stock award activity for the quarter ended March 31, 2016 is summarized below: Number of Shares Weighted Average Grant Date Fair Value Unvested stock awards outstanding at December 31, 2015 288,861 $ 11.98 Grants 128,609 8.63 Vestings ( 118,784 ) 12.17 Unvested stock awards outstanding at March 31, 2016 298,686 10.46 During the quarters ended March 31, 2016 and 2015, the Company recognized in Long-term incentive compensation Common Stock dividends payable Other general and administrative expense Service-based stock awards issued to employees not awarded RSUs and to directors receive dividends on a current basis without risk of forfeiture if the related awards do not vest. Outstanding performance-based stock awards and stock awards issued to key executives defer the payment of dividends accruing between the grant dates and the end of related performance or service periods. If these awards do not vest, the related accrued dividends will be forfeited. Long-term Equity-based Awards – Option Awards At March 31, 2016 option awards for 40,000 shares of common stock were outstanding with a weighted average strike price of $11.86. These awards are currently exercisable, have aggregate intrinsic value and have a weighted average remaining contractual term of 2.2 years. No option award activity occurred during the quarter ended March 31, 2016. All outstanding option awards were granted prior to 2010, have ten-year contractual terms and were issued with strike prices equal to the closing market price of Capstead’s common stock on the dates of grant. The fair value of these awards was estimated at that time using a Black-Scholes option pricing model and was expensed over the related vesting periods. Other Benefit Programs Capstead sponsors a qualified defined contribution retirement plan for all employees and a nonqualified deferred compensation plan for certain of its executives. In general the Company matches up to 50% of a participant’s voluntary contribution up to a maximum of 6% of a participant’s base salary and annual incentive compensation payments. The Company also makes discretionary contributions of up to another 3% of such compensation regardless of participation in the plans. Company contributions are subject to certain vesting requirements that have been met by nearly all of Capstead’s current employees. During the quarters ended March 31, 2016 and 2015, the Company recognized in Salaries and benefits

NET INCOME PER COMMON SHARE (Ta

NET INCOME PER COMMON SHARE (Tables)	3 Months Ended
	Mar. 31, 2016
NET INCOME PER COMMON SHARE [Abstract]
Components of Computation of Basic and Diluted Net Income per Common Share	Components of the computation of basic and diluted net income per common share were as follows for the indicated periods (dollars in thousands, except per share amounts): Quarter Ended March 31 2016 2015 Basic net income per common share Numerator for basic net income per common share: Net income $ 27,353 $ 33,957 Preferred stock dividends (3,826 ) (3,742 ) Earnings participation of unvested equity awards (44 ) (34 ) $ 23,483 $ 30,181 Denominator for basic net income per common share: Average number of shares of common stock outstanding 95,913 95,825 Average unvested stock awards outstanding (299 ) (356 ) 95,614 95,469 $ 0.25 $ 0.32 Diluted net income per common share Numerator for diluted net income per common share: Numerator for basic net income per common share $ 23,483 $ 30,181 Denominator for diluted net income per common share: Denominator for basic net income per common share 95,614 95,469 Net effect of dilutive equity awards 131 205 95,745 95,674 $ 0.25 $ 0.32

RESIDENTIAL MORTGAGE INVESTME18

RESIDENTIAL MORTGAGE INVESTMENTS (Tables)	3 Months Ended
	Mar. 31, 2016
RESIDENTIAL MORTGAGE INVESTMENTS [Abstract]
Schedule of Residential Mortgage Investments	Residential mortgage investments Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (b ) March 31, 2016 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 599 $ 2 $ 601 $ 601 6.62 % 5.82 % ARMs 9,815,446 311,049 10,126,495 10,285,165 2.60 1.78 Ginnie Mae ARMs 3,421,518 114,475 3,535,993 3,544,335 2.59 1.55 13,237,563 425,526 13,663,089 13,830,101 2.60 1.72 Residential mortgage loans: Fixed-rate 857 1 858 858 6.77 3.42 ARMs 2,322 10 2,332 2,332 3.81 3.21 3,179 11 3,190 3,190 4.60 3.27 Collateral for structured financings 1,811 29 1,840 1,840 8.12 7.94 $ 13,242,553 $ 425,566 $ 13,668,119 $ 13,835,131 2.60 1.72 December 31, 2015 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 796 $ 2 $ 798 $ 799 6.61 % 6.17 % ARMs 10,014,401 317,545 10,331,946 10,487,785 2.55 1.68 Ginnie Mae ARMs 3,542,541 119,225 3,661,766 3,660,455 2.61 1.49 13,557,738 436,772 13,994,510 14,149,039 2.57 1.63 Residential mortgage loans: Fixed-rate 1,155 1 1,156 1,156 6.76 5.02 ARMs 2,650 11 2,661 2,661 3.73 3.15 3,805 12 3,817 3,817 4.65 3.71 Collateral for structured financings 1,850 31 1,881 1,881 8.12 7.82 $ 13,563,393 $ 436,815 $ 14,000,208 $ 14,154,737 2.57 1.63 (a) Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale. (b) Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date. Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments. Average yield is presented for the quarter then ended, and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments.

SECURED BORROWINGS (Tables)

SECURED BORROWINGS (Tables)	3 Months Ended
	Mar. 31, 2016
SECURED BORROWINGS [Abstract]
Schedule of Secured Borrowings	Secured borrowings Collateral Type Collateral Carrying Amount Accrued Interest Receivable Borrowings Outstanding Average Borrowing Rates March 31, 2016 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 10,815,418 $ 22,692 $ 10,267,015 0.66 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 500,212 1,150 461,665 0.67 Agency Securities (greater than 90 days) 1,200,086 2,819 1,143,179 0.79 Similar borrowings: Collateral for structured financings 1,840 – 1,840 8.12 12,517,556 26,661 11,873,699 FHLB advances 768,513 3,152 750,000 0.64 $ 13,286,069 $ 29,813 $ 12,623,699 0.67 Quarter-end borrowing rates adjusted for effects of related derivative financial instruments (Derivatives) held as cash flow hedges 0.84 December 31, 2015 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 9,080,363 $ 18,504 $ 8,585,336 0.67 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 423,710 861 346,177 0.63 Agency Securities (greater than 90 days) 1,073,254 2,519 1,150,000 0.75 Similar borrowings: Collateral for structured financings 1,881 – 1,881 8.12 10,579,208 21,884 10,083,394 FHLB advances 2,956,908 11,422 2,875,000 0.43 $ 13,536,116 $ 33,306 $ 12,958,394 0.62 Year-end borrowing rates adjusted for effects of related Derivatives held as cash flow hedges 0.85
Schedule of Average Borrowings Outstanding	Average secured borrowings outstanding during the indicated periods differed from respective ending balances primarily due to changes in portfolio levels and differences in the timing of portfolio acquisitions relative to portfolio runoff as illustrated below (dollars in thousands): Quarter Ended March 31, 2016 December 31, 2015 Average Borrowings Average Rate Average Borrowings Average Rate Average borrowings and rates adjusted for the effects of related Derivatives held as cash flow hedges for the indicated periods $ 13,042,541 0.82 % $ 13,160,703 0.73 %

USE OF DERIVATIVES, OFFSETTIN20

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables)	3 Months Ended
	Mar. 31, 2016
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT [Abstract]
Schedule of Swap Agreements Expiration Period and Characteristics	At March 31, 2016, the Company’s financing-related swap positions had the following characteristics (dollars in thousands): Period of Contract Expiration Notional Amount Average Fixed-Rate Payment Requirement Currently-paying contracts: Second quarter 2016 (expired April 1, 2016) $ 1,100,000 0.47 % Third quarter 2016 700,000 0.56 Fourth quarter 2016 800,000 0.66 First quarter 2017 1,000,000 0.72 Second quarter 2017 900,000 0.74 Third quarter 2017 400,000 0.74 Fourth quarter 2017 1,500,000 0.79 First quarter 2018 1,700,000 0.76 8,100,000 Forward-starting contracts: Second quarter 2018 100,000 0.77 $ 8,200,000
Impact of Derivative Instruments on Statements of Financial Performance and Financial Position	The following tables include fair value and other related disclosures regarding all Derivatives held as of and for the indicated periods (in thousands): Balance Sheet March 31 December 31 Location 2016 2015 Balance sheet-related Swap agreements in a gain position (an asset) related to Secured borrowings (a) $ 802 $ 7,720 Swap agreements in a loss position (a liability) related to: Secured borrowings (a) (11,296 ) (1,051 ) Unsecured borrowings (a) (35,013 ) (25,010 ) Related net interest payable (b) (10,734 ) (10,942 ) $ (56,241 ) $ (29,283 ) (a) The fair value of Derivatives with unrealized gains are aggregated and recorded as an asset on the face of the Balance Sheets separately from the fair value of Derivatives with unrealized losses that are recorded as a liability. The amount of net unrealized losses scheduled to be recognized in the Statements of Income over the next twelve months primarily in the form of fixed-rate swap payments in excess of current market rates totaled $13.5 million at March 31, 2016. (b) Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets. Location of Gain or (Loss) Recognized in Quarter Ended March 31 Net Income 2016 2015 Income statement-related Components of effect on interest expense: Amount of loss reclassified from Accumulated other comprehensive income $ (5,354 ) $ (6,448 ) Amount of loss recognized (ineffective portion) (648 ) (309 ) Increase in interest expense and decrease in Net income * $ (6,002 ) $ (6,757 ) Other comprehensive income-related Amount of recognized in Other $ (32,127 ) $ (18,391 ) * Included in “Interest expense: Secured borrowings” on the face of the Statements of Income.
Schedule of Offsetting Disclosures for Asset Derivatives Held and Repurchase Arrangements and Similar Borrowings Outstanding	The following tables provide disclosures concerning offsetting of financial liabilities and Derivatives as of the indicated dates (in thousands): Offsetting of Derivative Assets Gross Gross Amounts Net Amounts of Assets Gross Amounts Not Offset in the Balance Sheet (a) Amounts of Recognized Assets Offset in the Balance Sheet Presented in the Balance Sheet Financial Instruments Cash Collateral Received Net Amount March 31, 2016 Counterparty 4 $ 464 $ 338 $ 802 $ (802 ) $ – $ – December 31, 2015 Counterparty 2 $ – $ 23 $ 23 $ (23 ) $ – $ – Counterparty 4 4,758 2,939 7,697 (7,697 ) – – $ 4,758 $ 2,962 $ 7,720 $ (7,720 ) $ – $ –
Schedule of Offsetting Disclosures for Liability Derivatives Held and Repurchase Arrangements and Similar Borrowings Outstanding	Offsetting of Financial Liabilities and Derivative Liabilities Gross Gross Amounts Net Amounts of Liabilities Gross Amounts Not Offset in the Balance Sheet (c) Amounts of Recognized Liabilities (b) Offset in the Balance Sheet Presented in the Balance Sheet (a) Financial Instruments Cash Collateral Pledged Net Amount March 31, 2016 Derivatives by counterparty: Counterparty 1 $ 36,041 $ – $ 36,041 $ – $ (36,041 ) $ – Counterparty 2 747 – 747 – (500 ) 247 Counterparty 4 19,917 338 20,255 (802 ) (19,453 ) – 56,705 338 57,043 (802 ) (55,994 ) 247 Borrowings under repurchase arrangements 11,880,016 – 11,880,016 (11,880,016 ) – – $ 11,936,721 $ 338 $ 11,937,059 $ (11,880,818 ) $ (55,994 ) $ 247 December 31, 2015 Derivatives by counterparty: Counterparty 1 $ 26,311 $ – $ 26,311 $ – $ (26,311 ) $ – Counterparty 2 776 23 799 (23 ) (776 ) – Counterparty 4 6,954 2,939 9,893 (7,697 ) (2,196 ) – 34,041 2,962 37,003 (7,720 ) (29,283 ) – Borrowings under repurchase arrangements 10,090,846 – 10,090,846 (10,090,846 ) – – $ 10,124,887 $ 2,962 $ 10,127,849 $ (10,098,566 ) $ (29,283 ) $ – (a) Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. (b) Amounts include accrued interest of $10.7 million and $10.9 million on interest rate swap agreements and $8.2 million and $9.3 million on borrowings under repurchase arrangements, included in “Accounts payable and accrued expenses” on the face of the Balance Sheets as of March 31, 2016 and December 31, 2015, respectively. (c) Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
Changes in Accumulated Other Comprehensive Income	Changes in Accumulated other comprehensive income Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at December 31, 2015 $ (18,434 ) $ 154,529 $ 136,095 Activity for the quarter ended March 31, 2016: Other comprehensive income (loss) before reclassifications (32,127 ) 12,483 (19,644 ) Amounts reclassified from accumulated other comprehensive income 5,354 – 5,354 Other comprehensive income (loss) (26,773 ) 12,483 (14,290 ) Balance at March 31, 2016 $ (45,207 ) $ 167,012 $ 121,805

UNSECURED BORROWINGS (Tables)

UNSECURED BORROWINGS (Tables)	3 Months Ended
	Mar. 31, 2016
UNSECURED BORROWINGS [Abstract]
Schedule of Subordinated Note Balances and Related Weighted Average Interest Rates	Note balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for effects of related currently-paying Derivatives held as cash flow hedges ) as of March 31, 2016 and December 31, 2015 were as follows (dollars in thousands): March 31, 2016 December 31, 2015 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,247 7.92 % $ 34,234 7.91 % December 2035 ($40,000 face amount) 39,253 7.68 39,244 7.68 September 2036 ($25,000 face amount) 24,514 8.95 24,508 8.96 $ 98,014 8.08 $ 97,986 8.08 * The average borrowing rate for total unsecured borrowings, adjusted for the effects of related Derivatives held for hedging purposes, will decline to 7.77% effective September 15, 2016, coinciding with the 20-year floating rate period of the September 2036 notes.

DISCLOSURES REGARDING FAIR VA22

DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS (Tables)	3 Months Ended
	Mar. 31, 2016
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS [Abstract]
Financial Instruments Other than Debt Securities	Fair value-related disclosures for financial instruments other than debt securities were as follows as of the indicated dates (in thousands): March 31, 2016 December 31, 2015 Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Residential mortgage loans $ 3,190 $ 3,200 $ 3,817 $ 3,900 Lending counterparty investments 35,002 35,002 65,002 65,002 Portfolio-related interest rate swap agreements 802 802 7,720 7,720 Financial liabilities: Secured borrowings with initial terms of greater than 120 days 2,243,179 2,243,800 3,246,177 3,245,000 Unsecured borrowings 98,014 73,100 97,986 77,200 Interest rate swap agreements: Portfolio-related 11,296 11,296 1,051 1,051 Unsecured borrowings-related 35,013 35,013 25,010 25,010
Fair Value and Related Disclosures for Debt Securities	Fair value-related disclosures for debt securities were as follows as of the indicated dates (in thousands): Amortized Gross Unrealized Cost Basis Gains Losses Fair Value March 31, 2016 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 10,126,512 $ 161,157 $ 2,487 $ 10,285,182 Ginnie Mae 3,535,993 15,295 6,953 3,544,335 Residential mortgage securities classified as held-to-maturity 2,425 31 – 2,456 December 31, 2015 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac 10,331,965 166,794 10,954 10,487,805 Ginnie Mae 3,661,766 11,705 13,016 3,660,455 Residential mortgage securities classified as held-to-maturity 2,660 44 – 2,704
Securities in Unrealized Loss Position	March 31, 2016 December 31, 2015 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position: One year or greater $ 590,795 $ 3,779 $ 597,652 $ 4,259 Less than one year 1,818,868 5,661 4,468,844 19,711 $ 2,409,663 $ 9,440 $ 5,066,496 $ 23,970

COMPENSATION PROGRAMS (Tables)

COMPENSATION PROGRAMS (Tables)	3 Months Ended
	Mar. 31, 2016
COMPENSATION PROGRAMS [Abstract]
Schedule of Performance and Service-Based Stock Award Activity	Performance-based and service-based stock award activity for the quarter ended March 31, 2016 is summarized below: Number of Shares Weighted Average Grant Date Fair Value Unvested stock awards outstanding at December 31, 2015 288,861 $ 11.98 Grants 128,609 8.63 Vestings ( 118,784 ) 12.17 Unvested stock awards outstanding at March 31, 2016 298,686 10.46

NET INCOME PER COMMON SHARE (De

NET INCOME PER COMMON SHARE (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015
Numerator for basic net income per common share [Abstract]
Net income	$ 27,353	$ 33,957
Preferred stock dividends	(3,826)	(3,742)
Earnings participation of unvested equity awards	(44)	(34)
Numerator for basic net income per common share	$ 23,483	$ 30,181
Denominator for basic net income per common share [Abstract]
Average number of shares of common stock outstanding (in shares)	95,913	95,825
Average unvested stock awards outstanding (in shares)	(299)	(356)
Denominator for basic net income per common share (in shares)	95,614	95,469
Basic net income per common share (in dollars per share)	$ 0.25	$ 0.32
Numerator for diluted net income per common share [Abstract]
Numerator for basic net income per common share	$ 23,483	$ 30,181
Denominator for diluted net income per common share [Abstract]
Denominator for basic net income per common share (in shares)	95,614	95,469
Net effect of dilutive equity awards (in shares)	131	205
Denominator for diluted net income per common share (in shares)	95,745	95,674
Diluted net income per common share (in dollars per share)	$ 0.25	$ 0.32
Redeemable Preferred Stock [Member] | Cumulative Redeemable Preferred Stock, Series E [Member]
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items]
Preferred stock, dividend rate	7.50%		7.50%

RESIDENTIAL MORTGAGE INVESTME25

RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - USD ($) $ in Thousands		3 Months Ended	12 Months Ended
		Mar. 31, 2016	Dec. 31, 2015
Schedule of Residential Mortgage Investments [Line Items]
Unpaid Principal Balance		$ 13,242,553	$ 13,563,393
Investment Premiums		425,566	436,815
Amortized Cost Basis		13,668,119	14,000,208
Carrying Amount	[1]	$ 13,835,131	$ 14,154,737
Net WAC	[2]	2.60%	2.57%
Average Yield	[2]	1.72%	1.63%
Agency Securities [Member]
Schedule of Residential Mortgage Investments [Line Items]
Unpaid Principal Balance		$ 13,237,563	$ 13,557,738
Investment Premiums		425,526	436,772
Amortized Cost Basis		13,663,089	13,994,510
Carrying Amount	[1]	$ 13,830,101	$ 14,149,039
Net WAC	[2]	2.60%	2.57%
Average Yield	[2]	1.72%	1.63%
Agency Securities [Member] | Fixed-Rate [Member]
Schedule of Residential Mortgage Investments [Line Items]
Unpaid Principal Balance		$ 599	$ 796
Investment Premiums		2	2
Amortized Cost Basis		601	798
Carrying Amount	[1]	$ 601	$ 799
Net WAC	[2]	6.62%	6.61%
Average Yield	[2]	5.82%	6.17%
Agency Securities [Member] | ARMs [Member]
Schedule of Residential Mortgage Investments [Line Items]
Unpaid Principal Balance		$ 9,815,446	$ 10,014,401
Investment Premiums		311,049	317,545
Amortized Cost Basis		10,126,495	10,331,946
Carrying Amount	[1]	$ 10,285,165	$ 10,487,785
Net WAC	[2]	2.60%	2.55%
Average Yield	[2]	1.78%	1.68%
Agency Securities [Member] | Ginnie Mae ARMs [Member]
Schedule of Residential Mortgage Investments [Line Items]
Unpaid Principal Balance		$ 3,421,518	$ 3,542,541
Investment Premiums		114,475	119,225
Amortized Cost Basis		3,535,993	3,661,766
Carrying Amount	[1]	$ 3,544,335	$ 3,660,455
Net WAC	[2]	2.59%	2.61%
Average Yield	[2]	1.55%	1.49%
Residential Mortgage Loans [Member]
Schedule of Residential Mortgage Investments [Line Items]
Unpaid Principal Balance		$ 3,179	$ 3,805
Investment Premiums		11	12
Amortized Cost Basis		3,190	3,817
Carrying Amount	[1]	$ 3,190	$ 3,817
Net WAC	[2]	4.60%	4.65%
Average Yield	[2]	3.27%	3.71%
Residential Mortgage Loans [Member] | Fixed-Rate [Member]
Schedule of Residential Mortgage Investments [Line Items]
Unpaid Principal Balance		$ 857	$ 1,155
Investment Premiums		1	1
Amortized Cost Basis		858	1,156
Carrying Amount	[1]	$ 858	$ 1,156
Net WAC	[2]	6.77%	6.76%
Average Yield	[2]	3.42%	5.02%
Residential Mortgage Loans [Member] | ARMs [Member]
Schedule of Residential Mortgage Investments [Line Items]
Unpaid Principal Balance		$ 2,322	$ 2,650
Investment Premiums		10	11
Amortized Cost Basis		2,332	2,661
Carrying Amount	[1]	$ 2,332	$ 2,661
Net WAC	[2]	3.81%	3.73%
Average Yield	[2]	3.21%	3.15%
Collateral for Structured Financings [Member]
Schedule of Residential Mortgage Investments [Line Items]
Unpaid Principal Balance		$ 1,811	$ 1,850
Investment Premiums		29	31
Amortized Cost Basis		1,840	1,881
Carrying Amount	[1]	$ 1,840	$ 1,881
Net WAC	[2]	8.12%	8.12%
Average Yield	[2]	7.94%	7.82%
[1]	Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale.
[2]	Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date. Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments. Average yield is presented for the quarter then ended, and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the "cash yield") less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments.

RESIDENTIAL MORTGAGE INVESTME26

RESIDENTIAL MORTGAGE INVESTMENTS (Details) $ in Millions	3 Months Ended
	Mar. 31, 2016USD ($)
Schedule of Residential Mortgage Investments [Line Items]
Mortgage securities weighted average contractual maturity, months	290 months
Available for sale ARM securities, current-reset	$ 7,890
Available for sale ARM securities, longer-to-reset	$ 5,770
Current-Reset ARMs [Member]
Schedule of Residential Mortgage Investments [Line Items]
Agency securities average months to roll, months	6 months 6 days
Current-Reset ARMs [Member] | Maximum [Member]
Schedule of Residential Mortgage Investments [Line Items]
Agency securities months to roll	18 months
Longer-To-Reset ARMs [Member]
Schedule of Residential Mortgage Investments [Line Items]
Agency securities average months to roll, months	41 months 24 days
Longer-To-Reset ARMs [Member] | Minimum [Member]
Schedule of Residential Mortgage Investments [Line Items]
Agency securities months to roll	18 months

SECURED BORROWINGS (Details)

SECURED BORROWINGS (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Proceeds from sale of federal home loan bank stock	$ 30,000		$ 0
Total collateral carrying amount	13,290,000	$ 13,540,000
Average borrowings for the effects of related derivatives held as cash flow hedges	$ 13,042,541	$ 13,160,703
Effective borrowing rate considering cash flow hedges	0.82%	0.73%
Quarter-end borrowing rates adjusted for effects of related derivative financial instruments ("Derivatives") held as cash flow hedges [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Average borrowing rates	0.84%
Year-End Borrowing Rates Adjusted for Effects of Related Derivatives Held as Cash Flow Hedges [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Average borrowing rates		0.85%
FHLB Advances [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Investment in federal home loan bank stock	$ 30,000
Proceeds from sale of federal home loan bank stock	30,000
Collateral carrying amount for FHLB advances	768,513	$ 2,956,908
Accrued interest receivable	3,152	11,422
Borrowings outstanding for FHLB advance	$ 750,000	$ 2,875,000
Average borrowing rates	0.64%	0.43%
Agency Securities [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Collateral carrying amount	$ 12,517,556	$ 10,579,208
Accrued interest receivable	26,661	21,884
Borrowings outstanding	11,873,699	10,083,394
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Collateral carrying amount	10,815,418	9,080,363
Accrued interest receivable	22,692	18,504
Borrowings outstanding	$ 10,267,015	$ 8,585,336
Average borrowing rates	0.66%	0.67%
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Collateral carrying amount	$ 500,212	$ 423,710
Accrued interest receivable	1,150	861
Borrowings outstanding	$ 461,665	$ 346,177
Average borrowing rates	0.67%	0.63%
Agency Securities [Member] | Borrowings with Maturities Greater than 90 Days [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Collateral carrying amount	$ 1,200,086	$ 1,073,254
Accrued interest receivable	2,819	2,519
Borrowings outstanding	$ 1,143,179	$ 1,150,000
Average borrowing rates	0.79%	0.75%
Agency Securities [Member] | Similar Borrowings [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Collateral carrying amount	$ 1,840	$ 1,881
Accrued interest receivable	0	0
Borrowings outstanding	$ 1,840	$ 1,881
Average borrowing rates	8.12%	8.12%
Agency Securities [Member] | FHLB Advances [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Total collateral carrying amount	$ 13,286,069	$ 13,536,116
Accrued interest receivable	29,813	33,306
Borrowings outstanding	$ 12,623,699	$ 12,958,394
Average borrowing rates	0.67%	0.62%

USE OF DERIVATIVES, OFFSETTIN28

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT- Schedule of Swap Agreements (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2010	Dec. 31, 2015
Notional Disclosures [Abstract]
Notional amount	$ 8,200,000
Derivative instruments unrealized losses to be recognized	13,500
Interest Rate SWAP Currently-Paying Contracts [Member]
Notional Disclosures [Abstract]
Notional amount	8,100,000
Interest Rate SWAP Currently-Paying Contracts [Member] | Second Quarter 2016 (expired April 1, 2016)
Notional Disclosures [Abstract]
Notional amount	$ 1,100,000
Average-fixed rate payment requirement	0.47%
Interest Rate SWAP Currently-Paying Contracts [Member] | Third Quarter 2016 [Member]
Notional Disclosures [Abstract]
Notional amount	$ 700,000
Average-fixed rate payment requirement	0.56%
Interest Rate SWAP Currently-Paying Contracts [Member] | Fourth Quarter 2016 [Member]
Notional Disclosures [Abstract]
Notional amount	$ 800,000
Average-fixed rate payment requirement	0.66%
Interest Rate SWAP Currently-Paying Contracts [Member] | First Quarter 2017 [Member]
Notional Disclosures [Abstract]
Notional amount	$ 1,000,000
Average-fixed rate payment requirement	0.72%
Interest Rate SWAP Currently-Paying Contracts [Member] | Second Quarter 2017 [Member]
Notional Disclosures [Abstract]
Notional amount	$ 900,000
Average-fixed rate payment requirement	0.74%
Interest Rate SWAP Currently-Paying Contracts [Member] | Third Quarter 2017 [Member]
Notional Disclosures [Abstract]
Notional amount	$ 400,000
Average-fixed rate payment requirement	0.74%
Interest Rate SWAP Currently-Paying Contracts [Member] | Fourth Quarter 2017 [Member]
Notional Disclosures [Abstract]
Notional amount	$ 1,500,000
Average-fixed rate payment requirement	0.79%
Interest Rate SWAP Currently-Paying Contracts [Member] | First Quarter 2018 [Member]
Notional Disclosures [Abstract]
Notional amount	$ 1,700,000
Average-fixed rate payment requirement	0.76%
Interest Rate SWAP Forward-Starting Contracts [Member]
Derivative Instruments And Hedging Activities [Line Items]
Swap agreement notional amount expiring during period	$ 300,000
SWAP agreement average interest rate expiring during period	0.92%
Interest Rate SWAP Forward-Starting Contracts [Member] | Second Quarter 2018 [Member]
Notional Disclosures [Abstract]
Notional amount	$ 100,000
Average-fixed rate payment requirement	0.77%
Interest Rate Swap Agreements [Member]
Derivative Instruments And Hedging Activities [Line Items]
SWAP agreement notional amount during period	$ 1,500,000	$ 100,000
SWAP agreement average interest rate during period	0.73%	4.09%
Swap agreement notional amount expiring during period	$ 1,700,000
SWAP agreement average interest rate expiring during period	0.51%
Notional Disclosures [Abstract]
Payment term of LIBOR interest rate agreement	2 years	20 years
Accrued interest	$ 10,700		$ 10,900
Portfolio-Related Secured Borrowings [Member]
Notional Disclosures [Abstract]
Accrued interest	$ 8,200		$ 9,300

USE OF DERIVATIVES, OFFSETTIN29

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT- Balance Sheet and Income Statement Location (Details) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015
Balance sheet-related [Abstract]
Interest rate swap agreements at fair value, net assets (liability)		$ (56,241)		$ (29,283)
Income statement-related [Abstract]
Amount of loss reclassified from Accumulated other comprehensive income related to the effective portion of active positions		5,354	$ 6,448
Other Comprehensive Income (Loss) [Member]
Other comprehensive income related [Abstract]
Amount of gain loss recognized in Other comprehensive income (loss) (effective portion)		(32,127)	(18,391)
Interest Expense [Member]
Income statement-related [Abstract]
Amount of loss reclassified from Accumulated other comprehensive income related to the effective portion of active positions		(5,354)	(6,448)
Amount of gain loss recognized (ineffective portion)		(648)	(309)
Increase in interest expense and decrease in Net income as a result of the use of Derivatives	[1]	(6,002)	$ (6,757)
Other Liabilities [Member]
Balance sheet-related [Abstract]
Related net interest payable	[2]	(10,734)		(10,942)
Secured Borrowings [Member] | Other Assets [Member]
Balance sheet-related [Abstract]
Swap agreements in a gain position (an asset) related to borrowings	[3]	802		7,720
Secured Borrowings [Member] | Other Liabilities [Member]
Balance sheet-related [Abstract]
Swap agreements in a loss position (a liability) related to borrowings	[3]	(11,296)		(1,051)
Unsecured Borrowings [Member] | Other Liabilities [Member]
Balance sheet-related [Abstract]
Swap agreements in a loss position (a liability) related to borrowings	[3]	$ (35,013)		$ (25,010)
[1]	Included in "Interest expense: Secured borrowings" on the face of the Statements of Income.
[2]	Included in "Accounts payable and accrued expenses" on the face of the Balance Sheets.
[3]	The fair value of Derivatives with unrealized gains are aggregated and recorded as an asset on the face of the Balance Sheets separately from the fair value of Derivatives with unrealized losses that are recorded as a liability. The amount of net unrealized losses scheduled to be recognized in the Statements of Income over the next twelve months primarily in the form of fixed-rate swap payments in excess of current market rates totaled $13.5 million at March 31, 2016.

USE OF DERIVATIVES, OFFSETTIN30

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT- Offsetting Assets (Details) - USD ($) $ in Thousands		Mar. 31, 2016	Dec. 31, 2015
Offsetting of derivative assets [Abstract]
Gross Amounts of Recognized Assets		$ 802	$ 7,720
Net Amounts of Assets Presented in the Balance Sheet		56,241	29,283
Cash Collateral Received		(72,037)	(50,193)
Offsetting Derivatives Assets [Member]
Offsetting of derivative assets [Abstract]
Gross Amounts of Recognized Assets		464	4,758
Gross Amounts Offset in the Balance Sheet		338	2,962
Net Amounts of Assets Presented in the Balance Sheet		802	7,720
Financial Instruments	[1]	(802)	(7,720)
Cash Collateral Received	[1]	0	0
Net Amount		0	0
Offsetting Derivatives Assets [Member] | Counterparty 2 [Member]
Offsetting of derivative assets [Abstract]
Gross Amounts of Recognized Assets			0
Gross Amounts Offset in the Balance Sheet			23
Net Amounts of Assets Presented in the Balance Sheet			23
Financial Instruments	[1]		(23)
Cash Collateral Received	[1]		0
Net Amount			0
Offsetting Derivatives Assets [Member] | Counterparty 4 [Member]
Offsetting of derivative assets [Abstract]
Gross Amounts of Recognized Assets		464	4,758
Gross Amounts Offset in the Balance Sheet		338	2,939
Net Amounts of Assets Presented in the Balance Sheet		802	7,697
Financial Instruments	[1]	(802)	(7,697)
Cash Collateral Received	[1]	0	0
Net Amount		$ 0	$ 0
[1]	Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.

USE OF DERIVATIVES, OFFSETTIN31

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT- Offsetting Liabilities (Details) - USD ($) $ in Thousands		Mar. 31, 2016	Dec. 31, 2015
Offsetting of financial liabilities and derivative liabilities [Abstract]
Gross Amounts of Recognized Liabilities		$ 46,309	$ 26,061
Offsetting Financial Liabilities and Derivative Liabilities [Member]
Offsetting of financial liabilities and derivative liabilities [Abstract]
Gross Amounts of Recognized Liabilities	[1]	11,936,721	10,124,887
Gross Amounts Offset in the Balance Sheet		338	2,962
Net Amounts of Liabilities Presented in the Balance Sheet	[2]	11,937,059	10,127,849
Financial Instruments	[3]	(11,880,818)	(10,098,566)
Cash Collateral Pledged	[3]	(55,994)	(29,283)
Net Amount		247	0
Offsetting Financial Liabilities and Derivative Liabilities [Member] | Counterparty 1 [Member]
Offsetting of financial liabilities and derivative liabilities [Abstract]
Gross Amounts of Recognized Liabilities	[1]	36,041	26,311
Gross Amounts Offset in the Balance Sheet		0	0
Net Amounts of Liabilities Presented in the Balance Sheet	[2]	36,041	26,311
Financial Instruments	[3]	0	0
Cash Collateral Pledged	[3]	(36,041)	(26,311)
Net Amount		0	0
Offsetting Financial Liabilities and Derivative Liabilities [Member] | Counterparty 2 [Member]
Offsetting of financial liabilities and derivative liabilities [Abstract]
Gross Amounts of Recognized Liabilities	[1]	747	776
Gross Amounts Offset in the Balance Sheet		0	23
Net Amounts of Liabilities Presented in the Balance Sheet	[2]	747	799
Financial Instruments	[3]	0	(23)
Cash Collateral Pledged	[3]	(500)	(776)
Net Amount		247	0
Offsetting Financial Liabilities and Derivative Liabilities [Member] | Counterparty 4 [Member]
Offsetting of financial liabilities and derivative liabilities [Abstract]
Gross Amounts of Recognized Liabilities	[1]	19,917	6,954
Gross Amounts Offset in the Balance Sheet		338	2,939
Net Amounts of Liabilities Presented in the Balance Sheet	[2]	20,255	9,893
Financial Instruments	[3]	(802)	(7,697)
Cash Collateral Pledged	[3]	(19,453)	(2,196)
Net Amount		0	0
Offsetting Financial Liabilities and Derivative Liabilities [Member] | Derivative Counterparties [Member]
Offsetting of financial liabilities and derivative liabilities [Abstract]
Gross Amounts of Recognized Liabilities	[1]	56,705	34,041
Gross Amounts Offset in the Balance Sheet		338	2,962
Net Amounts of Liabilities Presented in the Balance Sheet	[2]	57,043	37,003
Financial Instruments	[3]	(802)	(7,720)
Cash Collateral Pledged	[3]	(55,994)	(29,283)
Net Amount		247	0
Borrowings under Repurchase Arrangements [Member] | Offsetting Financial Liabilities and Derivative Liabilities [Member]
Offsetting of financial liabilities and derivative liabilities [Abstract]
Gross Amounts of Recognized Liabilities	[1]	11,880,016	10,090,846
Gross Amounts Offset in the Balance Sheet		0	0
Net Amounts of Liabilities Presented in the Balance Sheet	[2]	11,880,016	10,090,846
Financial Instruments	[3]	(11,880,016)	(10,090,846)
Cash Collateral Pledged	[3]	0	0
Net Amount		$ 0	$ 0
[1]	Amounts include accrued interest of $10.7 million and $10.9 million on interest rate swap agreements and $8.2 million and $9.3 million on borrowings under repurchase arrangements, included in " Accounts payable and accrued expenses " on the face of the Balance Sheets as of March 31, 2016 and December 31, 2015, respectively.
[2]	Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
[3]	Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.

USE OF DERIVATIVES, OFFSETTIN32

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT- Changes in AOCI (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Accumulated other comprehensive income (loss) [Line Items]
Beginning Balance	$ 136,095
Other comprehensive income (loss) before reclassifications	(19,644)
Amounts reclassified from accumulated other comprehensive income	5,354
Other comprehensive income (loss)	(14,290)	$ (5,836)
Ending Balance	121,805
Gains and Losses on Cash Flow Hedges [Member]
Accumulated other comprehensive income (loss) [Line Items]
Beginning Balance	(18,434)
Other comprehensive income (loss) before reclassifications	(32,127)
Amounts reclassified from accumulated other comprehensive income	5,354
Other comprehensive income (loss)	(26,773)
Ending Balance	(45,207)
Unrealized Gains and Losses on Available-for-sale Securities [Member]
Accumulated other comprehensive income (loss) [Line Items]
Beginning Balance	154,529
Other comprehensive income (loss) before reclassifications	12,483
Amounts reclassified from accumulated other comprehensive income	0
Other comprehensive income (loss)	12,483
Ending Balance	$ 167,012

UNSECURED BORROWINGS (Details)

UNSECURED BORROWINGS (Details) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2016	Sep. 15, 2016	Dec. 31, 2015
Debt Instrument [Line Items]
Junior subordinated notes maturity term		30 years
Face amount of junior subordinated notes		$ 100,000
Borrowings Outstanding		$ 98,014		$ 97,986
Effective interest rate	[1]	8.08%		8.08%
October 2035 [Member]
Debt Instrument [Line Items]
Face amount of junior subordinated notes		$ 35,000
Junior subordinated notes, maturity period		Oct. 31, 2035
Borrowings Outstanding		$ 34,247		$ 34,234
Effective interest rate	[1]	7.92%		7.91%
December 2035 [Member]
Debt Instrument [Line Items]
Face amount of junior subordinated notes		$ 40,000
Junior subordinated notes, maturity period		Dec. 31, 2035
Borrowings Outstanding		$ 39,253		$ 39,244
Effective interest rate	[1]	7.68%		7.68%
September 2036 [Member]
Debt Instrument [Line Items]
Face amount of junior subordinated notes		$ 25,000
Junior subordinated notes, maturity period		Sep. 30, 2036
Borrowings Outstanding		$ 24,514		$ 24,508
Effective interest rate	[1]	8.95%		8.96%
20 Year Floating Rate [Member]
Debt Instrument [Line Items]
Junior subordinated notes, earliest redemption option exercise date		Sep. 15, 2016
Effective interest rate			7.77%
[1]	The average borrowing rate for total unsecured borrowings, adjusted for the effects of related Derivatives held for hedging purposes, will decline to 7.77% effective September 15, 2016, coinciding with the 20-year floating rate period of the September 2036 notes.

CAPITAL TRANSACTIONS (Details)

CAPITAL TRANSACTIONS (Details) - Redeemable Preferred Stock [Member] - Cumulative Redeemable Preferred Stock, Series E [Member] - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Class of Stock [Line Items]
Additional shares issued (in shares)	8,000
Preferred stock, dividend rate	7.50%	7.50%
Average cost per share (in dollars per share)	$ 23.93
Proceeds from issuance of redeemable preferred stock	$ 198,000

DISCLOSURES REGARDING FAIR VA35

DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS - Balance Sheet Location (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Financial assets [Abstract]
Residential mortgage loans	$ 13,835,131	$ 14,154,737
Carrying Amount [Member]
Financial assets [Abstract]
Residential mortgage loans	3,190	3,817
Lending counterparty investments	35,002	65,002
Portfolio-related interest rate swap agreements	802	7,720
Financial liabilities [Abstract]
Secured borrowings with initial terms of greater than 120 days	2,243,179	3,246,177
Unsecured borrowings	98,014	97,986
Interest rate swap agreements [Abstract]
Portfolio-related	11,296	1,051
Unsecured borrowings-related	35,013	25,010
Fair Value [Member]
Financial assets [Abstract]
Residential mortgage loans	3,200	3,900
Lending counterparty investments	35,002	65,002
Portfolio-related interest rate swap agreements	802	7,720
Financial liabilities [Abstract]
Secured borrowings with initial terms of greater than 120 days	2,243,800	3,245,000
Unsecured borrowings	73,100	77,200
Interest rate swap agreements [Abstract]
Portfolio-related	11,296	1,051
Unsecured borrowings-related	$ 35,013	$ 25,010
Maximum [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase arrangements with initial terms	120 days

DISCLOSURES REGARDING FAIR VA36

DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS - Fair Value and Related Disclosures for Debt Securities (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Agency Securities Classified as Available-for-sale [Member] | Fannie Mae/Freddie Mac [Member]
Available-for-sale securities disclosure Items [Abstract]
Available-for-sale securities, Amortized Cost Basis	$ 10,126,512	$ 10,331,965
Available-for-sale securities, Gross Unrealized Gains	161,157	166,794
Available-for-sale securities, Gross Unrealized Losses	2,487	10,954
Available-for-sale securities, Fair Value	10,285,182	10,487,805
Agency Securities Classified as Available-for-sale [Member] | Ginnie Mae [Member]
Available-for-sale securities disclosure Items [Abstract]
Available-for-sale securities, Amortized Cost Basis	3,535,993	3,661,766
Available-for-sale securities, Gross Unrealized Gains	15,295	11,705
Available-for-sale securities, Gross Unrealized Losses	6,953	13,016
Available-for-sale securities, Fair Value	3,544,335	3,660,455
Residential Mortgage Securities Classified as Held-to-Maturity [Member]
Held-to-maturity securities disclosure [Abstract]
Held-to-maturities, Amortized Cost Basis	2,425	2,660
Held-to-maturities, Gross Unrealized Gains	31	44
Held-to-maturities, Gross Unrealized Losses	0	0
Held-to-maturities, Fair Value	$ 2,456	$ 2,704

DISCLOSURES REGARDING FAIR VA37

DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS - Securities in Unrealized Loss Position (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Securities in an unrealized loss position, fair value [Abstract]
One year or greater	$ 590,795	$ 597,652
Less than one year	1,818,868	4,468,844
Fair Value, Total	2,409,663	5,066,496
Securities in an unrealized loss position, aggregate loss [Abstract]
One year or greater	3,779	4,259
Less than one year	5,661	19,711
Unrealized Losses, Total	$ 9,440	$ 23,970

COMPENSATION PROGRAMS - Other C

COMPENSATION PROGRAMS - Other Compensation Programs (Details)	3 Months Ended
	Mar. 31, 2016USD ($)shares
Share Based Compensation Programs [Line Items]
Short-term incentive compensation program accruals	$ 597,000
Annual incentive compensation expense	655,000
DER expense for the period	$ 170,000
Targeted award opportunity on base salary	125.00%
Long-Term Equity-Based Awards [Member]
Share Based Compensation Programs [Line Items]
Common shares available for future issuances (in shares) | shares	3,730,422
Share awards vesting period	3 years

COMPENSATION PROGRAMS - Schedul

COMPENSATION PROGRAMS - Schedule of Restricted Stock Awards (Details) - USD ($)	Feb. 29, 2016	Jan. 31, 2016	Jul. 31, 2015	Jan. 31, 2015	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2014	Dec. 31, 2013	Dec. 31, 2015
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Grant date fair value per share (in dollars per share)			$ 11.41		$ 8.63
Total original grants (in shares)			35,000		128,609
Equity instruments other than options, nonvested, number of shares [Roll Forward]
Unvested stock awards outstanding at beginning of period (in shares)					288,861
Grants (in shares)			35,000		128,609
Vestings (in shares)					(118,784)
Unvested stock awards outstanding at end of period (in shares)					298,686
Equity instruments other than options, nonvested, weighted average grant date fair value [Abstract]
Unvested stock awards outstanding at beginning of period (in dollars per share)					$ 11.98
Grants (in dollars per share)			$ 11.41		8.63
Vestings (in dollars per share)					12.17
Unvested stock awards outstanding at end of period (in dollars per share)					$ 10.46
Common stock dividend payable					$ 25,592,000				$ 25,979,000
Long-term Equity Based Awards [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Grant date fair value per share (in dollars per share)	$ 8.03			$ 8.83	$ 5.66			$ 12.45
Total original grants (in shares)	269,354			247,512				242,505
Equity instruments other than options, nonvested, number of shares [Roll Forward]
Grants (in shares)	269,354			247,512				242,505
Equity instruments other than options, nonvested, weighted average grant date fair value [Abstract]
Grants (in dollars per share)	$ 8.03			$ 8.83	$ 5.66			$ 12.45
Long term incentive compensation expense					$ 433,000	$ 328,000
Common stock dividend payable					$ 394,000
Long-term Equity Based Awards [Member] | December 2013 [Member]
Equity instruments other than options, nonvested, number of shares [Roll Forward]
Forfeitures (in shares)					(36,467)
Long-term Equity Based Awards [Member] | December 2015 [Member]
Equity instruments other than options, nonvested, number of shares [Roll Forward]
Forfeitures (in shares)					(37,199)
Service-Based Stock Awards [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Grant date fair value per share (in dollars per share)	$ 9.32	$ 7.87					$ 12.47	$ 12.34
Total original grants (in shares)	67,337	61,272					37,237	35,703
Equity instruments other than options, nonvested, number of shares [Roll Forward]
Grants (in shares)	67,337	61,272					37,237	35,703
Equity instruments other than options, nonvested, weighted average grant date fair value [Abstract]
Grants (in dollars per share)	$ 9.32	$ 7.87					$ 12.47	$ 12.34
Stock Awards Activity [Member]
Equity instruments other than options, nonvested, weighted average grant date fair value [Abstract]
Long term incentive compensation expense					$ 212,000	280,000
Other general and administrative expense					100,000	$ 115,000
Total of unrecognized compensation expense for unvested stock award					$ 1,800,000
Compensation cost not yet recognized, period for recognition					1 year 7 months 6 days
Common stock dividend payable					$ 285,000
Stock Awards Activity [Member] | February 2017 [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Grant date fair value per share (in dollars per share)					$ 11.67
Total original grants (in shares)					62,137
Equity instruments other than options, nonvested, number of shares [Roll Forward]
Grants (in shares)					62,137
Equity instruments other than options, nonvested, weighted average grant date fair value [Abstract]
Grants (in dollars per share)					$ 11.67
Stock Awards Activity [Member] | January 2016 [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Grant date fair value per share (in dollars per share)					$ 12.17
Total original grants (in shares)					118,784
Equity instruments other than options, nonvested, number of shares [Roll Forward]
Grants (in shares)					118,784
Equity instruments other than options, nonvested, weighted average grant date fair value [Abstract]
Grants (in dollars per share)					$ 12.17

COMPENSATION PROGRAMS - Sched40

COMPENSATION PROGRAMS - Schedule of Stock Option Award Activity (Details) - Employee Stock Option [Member]	3 Months Ended
	Mar. 31, 2016USD ($)$ / sharesshares
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Exercisable option awards outstanding (in shares) | shares	40,000
Weighted average strike price (in dollars per share) | $ / shares	$ 11.86
Exercisable, weighted average remaining contractual term	2 years 2 months 12 days
Exercisable, intrinsic value | $	$ 0
Share awards contractual term	10 years

COMPENSATION PROGRAMS - Defined

COMPENSATION PROGRAMS - Defined Contribution Plans (Details) - USD ($)	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Defined Contribution Plan Disclosure [Abstract]
Defined contribution plan voluntary contribution based on compensation	50.00%
Defined contribution plan, maximum annual contributions per employee	6.00%
Defined contribution plan, employer matching contribution	3.00%
Defined contribution plan, cost recognized	$ 109,000	$ 75,000