Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2016 | Nov. 04, 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 | 95,988,971 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q3 | |
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2016 |
CONSOLIDATED BALANCE SHEETS (UN
CONSOLIDATED BALANCE SHEETS (UNAUDITED) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Assets | ||
Residential mortgage investments ($13.09 and $13.54 billion pledged at September 30, 2016 and December 31, 2015, respectively) | $ 13,582,323 | $ 14,154,737 |
Cash collateral receivable from interest rate swap counterparties | 73,191 | 50,193 |
Interest rate swap agreements at fair value | 2,501 | 7,720 |
Cash and cash equivalents | 83,697 | 54,185 |
Receivables and other assets | 164,102 | 179,531 |
Total assets | 13,905,814 | 14,446,366 |
Liabilities | ||
Secured borrowings | 12,431,839 | 12,958,394 |
Interest rate swap agreements at fair value | 46,954 | 26,061 |
Unsecured borrowings | 98,065 | 97,986 |
Common stock dividend payable | 22,687 | 25,979 |
Accounts payable and accrued expenses | 36,159 | 39,622 |
Total liabilities | 12,635,704 | 13,148,042 |
Stockholders' equity | ||
Common stock - $0.01 par value; 250,000 shares authorized: 95,989 and 95,825 shares issued and outstanding at September 30, 2016 and December 31, 2015, respectively | 960 | 958 |
Paid-in capital | 1,296,550 | 1,310,563 |
Accumulated deficit | (346,464) | (346,464) |
Accumulated other comprehensive income | 120,733 | 136,095 |
Total stockholders' equity | 1,270,110 | 1,298,324 |
Total liabilities and equity | 13,905,814 | 14,446,366 |
Cumulative Redeemable Preferred Stock, Series E [Member] | ||
Stockholders' equity | ||
Preferred stock - $0.10 par value; 100,000 shares authorized: 7.50% Cumulative Redeemable Preferred Stock, Series E, 8,204 and 8,156 shares issued and outstanding ($205,107 and $203,902 aggregate liquidation preferences) at September 30, 2016 and December 31, 2015, respectively | $ 198,331 | $ 197,172 |
CONSOLIDATED BALANCE SHEETS (U3
CONSOLIDATED BALANCE SHEETS (UNAUDITED) (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Assets | ||
Residential mortgage investments pledged | $ 13,090,000 | $ 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) | 95,989 | 95,825 |
Common stock, shares outstanding (in shares) | 95,989 | 95,825 |
Cumulative Redeemable Preferred Stock, Series E [Member] | ||
Stockholders' equity | ||
Preferred stock, shares issued (in shares) | 8,204 | 8,156 |
Preferred stock, shares outstanding (in shares) | 8,204 | 8,156 |
Preferred stock, dividend rate | 7.50% | 7.50% |
Preferred stock, aggregate liquidation preference | $ 205,107 | $ 203,902 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Interest income: | ||||
Residential mortgage investments | $ 49,845 | $ 49,485 | $ 162,654 | $ 158,471 |
Other | 174 | 88 | 494 | 281 |
Interest income | 50,019 | 49,573 | 163,148 | 158,752 |
Interest expense: | ||||
Secured borrowings | (26,636) | (22,272) | (80,232) | (61,584) |
Unsecured borrowings | (1,970) | (2,122) | (5,923) | (6,367) |
Interest expense | (28,606) | (24,394) | (86,155) | (67,951) |
Net interest income (expense) | 21,413 | 25,179 | 76,993 | 90,801 |
Other revenue (expense): | ||||
Compensation-related expense | (1,299) | (3,064) | (6,565) | (7,573) |
Separation of service charge | (2,740) | 0 | (2,740) | 0 |
Other general and administrative expense | (1,239) | (1,309) | (3,565) | (3,628) |
Miscellaneous other revenue | 305 | 261 | 1,300 | 368 |
Operating expenses | (4,973) | (4,112) | (11,570) | (10,833) |
Net income | 16,440 | 21,067 | 65,423 | 79,968 |
Net income available to common stockholders: | ||||
Net income | 16,440 | 21,067 | 65,423 | 79,968 |
Less preferred stock dividends | (3,846) | (3,809) | (11,515) | (11,339) |
Net income available to common stockholders | $ 12,594 | $ 17,258 | $ 53,908 | $ 68,629 |
Net income per common share: | ||||
Basic and diluted (in dollars per share) | $ 0.13 | $ 0.18 | $ 0.56 | $ 0.72 |
Weighted average common shares outstanding: | ||||
Basic (in shares) | 95,678 | 95,530 | 95,647 | 95,500 |
Diluted (in shares) | 95,866 | 95,721 | 95,799 | 95,695 |
Cash dividends declared per share: | ||||
Common (in dollars per share) | $ 0.23 | $ 0.26 | $ 0.72 | $ 0.88 |
Series E Preferred [Member] | ||||
Cash dividends declared per share: | ||||
Series E preferred (in dollars per share) | $ 0.47 | $ 0.47 | $ 1.41 | $ 1.41 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (UNAUDITED) [Abstract] | ||||
Net income | $ 16,440 | $ 21,067 | $ 65,423 | $ 79,968 |
Amounts related to available-for-sale securities: | ||||
Change in net unrealized gains | (19,155) | (11,130) | 10,245 | (23,770) |
Amounts related to cash flow hedges: | ||||
Change in net unrealized losses | 12,558 | (21,235) | (41,714) | (36,226) |
Reclassification adjustment for amounts included in net income | 4,927 | 7,183 | 16,107 | 20,494 |
Other comprehensive income (loss) | (1,670) | (25,182) | (15,362) | (39,502) |
Comprehensive income (loss) | $ 14,770 | $ (4,115) | $ 50,061 | $ 40,466 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2015 | |
Operating activities : | ||
Net income | $ 65,423 | $ 79,968 |
Noncash items: | ||
Amortization of investment premiums | 95,139 | 92,458 |
Amortization of equity-based awards | 1,241 | 1,708 |
Other depreciation and amortization | 97 | 100 |
Change in measureable hedge ineffectiveness related to interest rate swap agreements designated as cash flow hedges | 506 | 130 |
Net change in receivables, other assets, accounts payable and accrued expenses | (953) | 6,389 |
Net cash provided by operating activities | 161,453 | 180,753 |
Investing activities: | ||
Purchases of residential mortgage investments | (2,319,819) | (2,757,199) |
Interest receivable acquired with the purchase of residential mortgage investments | (3,139) | (4,202) |
Principal collections on residential mortgage investments, including changes in mortgage securities principal remittance receivable | 2,773,344 | 2,577,985 |
Decrease (increase) in lending counterparty investments | 50,000 | (46,002) |
Net cash provided by (used in) investing activities | 500,386 | (229,418) |
Financing activities: | ||
Proceeds from repurchase arrangements and similar borrowings | 94,430,910 | 84,927,006 |
Principal payments on repurchase arrangements and similar borrowings | (92,332,463) | (87,281,325) |
Proceeds from other secured borrowings | 1,175,000 | 2,450,000 |
Principal payments on other secured borrowings | (3,800,000) | (150,000) |
Increase in cash collateral receivable from interest rate swap counterparties | (22,998) | (12,729) |
Proceeds from issuance of preferred shares | 1,167 | 12,679 |
Other capital stock transactions | (57) | (429) |
Dividends paid | (83,886) | (103,561) |
Net cash used in financing activities | (632,327) | (158,359) |
Net change in cash and cash equivalents | 29,512 | (207,024) |
Cash and cash equivalents at beginning of period | 54,185 | 307,526 |
Cash and cash equivalents at end of period | $ 83,697 | $ 100,502 |
BUSINESS
BUSINESS | 9 Months Ended |
Sep. 30, 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 | 9 Months Ended |
Sep. 30, 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 and nine months ended September 30, 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. |
SEPARATION OF SERVICE CHARGE
SEPARATION OF SERVICE CHARGE | 9 Months Ended |
Sep. 30, 2016 | |
SEPARATION OF SERVICE CHARGE [Abstract] | |
SEPARATION OF SERVICE CHARGE | NOTE 3 ¾ Effective July 14, 2016, Mr. Andrew F. Jacobs resigned as a director of Capstead and from his positions as President and Chief Executive Officer (“CEO”). Pursuant to an agreement entered into with Mr. Jacobs, he is entitled to payments aggregating $2.3 million in addition to continuing to participate in the Company’s short- and long-term incentive compensation and employee benefit programs through year-end. Currently estimated costs associated with Mr. Jacobs’ resignation, net of equity award cost accrual reversals, are recorded in Separation of service charge Accounts payable and accrued expenses |
NET INCOME PER COMMON SHARE
NET INCOME PER COMMON SHARE | 9 Months Ended |
Sep. 30, 2016 | |
NET INCOME PER COMMON SHARE [Abstract] | |
NET INCOME PER COMMON SHARE | NOTE 4 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 September 30 Nine Months Ended September 30 2016 2015 2016 2015 Basic net income per common share Numerator for basic net income per common share: Net income $ 16,440 $ 21,067 $ 65,423 $ 79,968 Preferred stock dividends (3,846 ) (3,809 ) (11,515 ) (11,339 ) Earnings participation of unvested equity awards (40 ) (28 ) (123 ) (95 ) $ 12,554 $ 17,230 $ 53,785 $ 68,534 Denominator for basic net income per common share: Average number of shares of common stock outstanding 95,978 95,814 95,946 95,814 Average unvested stock awards outstanding (300 ) (284 ) (299 ) (314 ) 95,678 95,530 95,647 95,500 $ 0.13 $ 0.18 $ 0.56 $ 0.72 Diluted net income per common share Numerator for diluted net income per common share: Numerator for basic net income per common share $ 12,554 $ 17,230 $ 53,785 $ 68,534 Denominator for diluted net income per common share: Denominator for basic net income per common share 95,678 95,530 95,647 95,500 Net effect of dilutive equity awards 188 191 152 195 95,866 95,721 95,799 95,695 $ 0.13 $ 0.18 $ 0.56 $ 0.72 |
RESIDENTIAL MORTGAGE INVESTMENT
RESIDENTIAL MORTGAGE INVESTMENTS | 9 Months Ended |
Sep. 30, 2016 | |
RESIDENTIAL MORTGAGE INVESTMENTS [Abstract] | |
RESIDENTIAL MORTGAGE INVESTMENTS | NOTE 5 ¾ Residential mortgage investments Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (b ) September 30, 2016 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 416 $ 1 $ 417 $ 417 6.68 % 6.50 % ARMs 10,030,859 319,319 10,350,178 10,506,371 2.69 1.56 Ginnie Mae ARMs 2,964,263 98,330 3,062,593 3,071,174 2.55 1.16 12,995,538 417,650 13,413,188 13,577,962 2.66 1.46 Residential mortgage loans: Fixed-rate 761 – 761 761 6.73 4.09 ARMs 1,904 9 1,913 1,913 3.80 2.97 2,665 9 2,674 2,674 4.63 3.29 Collateral for structured financings 1,659 28 1,687 1,687 8.16 7.59 $ 12,999,862 $ 417,687 $ 13,417,549 $ 13,582,323 2.66 1.46 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 September 30, 2016, the average months to roll for the Company’s $7.63 billion (amortized cost basis) in current-reset ARM investments was 6.2 months while the average months to roll for the Company’s $5.78 billion (amortized cost basis) in longer-to-reset ARM investments was 42.1 months. |
SECURED BORROWINGS
SECURED BORROWINGS | 9 Months Ended |
Sep. 30, 2016 | |
SECURED BORROWINGS [Abstract] | |
SECURED BORROWINGS | NOTE 6 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 $250 million as of September 30, 2016 and anticipates migrating remaining balances away from the FHLB in November 2016. FHLB stock held by the Company in connection with advance activity was reduced by $20.0 million and $50.0 million during the quarter and nine months ended September 30, 2016, respectively, with the remaining $10.0 million held at September 30, 2016 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 September 30, 2016 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 11,302,826 $ 24,045 $ 10,741,746 0.71 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 1,365,926 2,881 1,299,305 0.72 Agency Securities (greater than 90 days) 160,250 1,003 139,101 0.92 Similar borrowings: Collateral for structured financings 1,687 – 1,687 8.16 12,830,689 27,929 12,181,839 FHLB advances 259,367 1,039 250,000 0.71 $ 13,090,056 $ 28,968 $ 12,431,839 0.72 Quarter-end borrowing rates adjusted for effects of related derivative financial instruments (Derivatives) held as cash flow hedges 0.86 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 September 30, 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 $ 12,731,035 0.84 % $ 13,160,703 0.73 % |
USE OF DERIVATIVES, OFFSETTING
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT | 9 Months Ended |
Sep. 30, 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 7 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. 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 and nine months ended September 30, 2016 Capstead entered into swap agreements with notional amounts of $500 million and $2.95 billion requiring fixed-rate interest payments averaging 0.84% and 0.76% for two and three-year periods commencing on various dates between January and September 2016. Also during the quarter and nine months ended September 30, 2016, $700 million and $3.50 billion notional amount of swaps requiring fixed-rate interest payments averaging 0.56% and 0.51% matured. At September 30, 2016, the Company’s portfolio financing-related swap positions had the following characteristics (dollars in thousands): Period of Contract Expiration Notional Amount Average Fixed-Rate Payment Requirement Fourth quarter 2016 (expired October 1, 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 Second quarter 2018 600,000 0.79 Third quarter 2018 400,000 0.88 Second quarter 2019 450,000 0.77 Third quarter 2019 100,000 0.68 $ 7,850,000 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 September 30 December 31 Location 2016 2015 Balance sheet-related Swap agreements in a gain position (an asset) related to Secured borrowings (a) $ 2,501 $ 7,720 Swap agreements in a loss position (a liability) related to: Secured borrowings (a) (5,981 ) (1,051 ) Unsecured borrowings (a) (40,973 ) (25,010 ) Related net interest payable (b) (11,727 ) (10,942 ) $ (56,180 ) $ (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 $8.8 million at September 30, 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 September 30 Nine Months Ended September 30 Net Income 2016 2015 2016 2015 Income statement-related Components of effect on interest expense: Amount of loss reclassified from Accumulated other comprehensive income related to $ (4,927 ) $ (7,183 ) $ (16,107 ) $ (20,494 ) Amount of gain (loss) recognized (323 ) (336 ) (1,210 ) (642 ) Increase in interest expense and decrease in Net * $ (5,250 ) $ (7,519 ) $ (17,317 ) $ (21,136 ) Other comprehensive income-related Amount of gain (loss) recognized in Other (loss) $ 12,558 $ (21,235 ) $ (41,714 ) $ (36,226 ) * 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 6 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 Net Amounts Gross Amounts Not Offset Gross Amounts of Assets in the Balance Sheet (a) Amounts of Offset in Presented in Financial Cash Net Assets Sheet Sheet Instruments Received Amount September 30, 2016 Counterparty 4 $ 1,126 $ 1,375 $ 2,501 $ (2,501 ) $ – $ – 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 Net Amounts Gross Amounts Not Offset Gross Amounts of Liabilities in the Balance Sheet (c) Amounts of Offset in Presented in Financial Cash Net Liabilities (b) Sheet Sheet (a) Instruments Pledged Amount September 30, 2016 Derivatives by counterparty: Counterparty 1 $ 42,029 $ – $ 42,029 $ – $ (42,029 ) $ – Counterparty 4 15,277 1,375 16,652 (2,501 ) (14,151 ) – 57,306 1,375 58,681 (2,501 ) (56,180 ) – Borrowings under repurchase arrangements 12,186,583 – 12,186,583 (12,186,583 ) – – $ 12,243,889 $ 1,375 $ 12,245,264 $ (12,189,084 ) $ (56,180 ) $ – 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 $11.7 million and $10.9 million on interest rate swap agreements and $6.4 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 September 30, 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 June 30, 2016 $ (61,526 ) $ 183,929 $ 122,403 Activity for the quarter ended September 30, 2016: Other comprehensive income (loss) before 12,558 (19,155 ) (6,597 ) Amounts reclassified from accumulated 4,927 – 4,927 Other comprehensive income (loss) 17,485 (19,155 ) (1,670 ) Balance at September 30, 2016 $ (44,041 ) $ 164,774 $ 120,733 Balance at December 31, 2015 $ (18,434 ) $ 154,529 $ 136,095 Activity for the nine months ended September 30, 2016: Other comprehensive income (loss) before (41,714 ) 10,245 (31,469 ) Amounts reclassified from accumulated 16,107 – 16,107 Other comprehensive income (loss) (25,607 ) 10,245 (15,362 ) Balance at September 30, 2016 $ (44,041 ) $ 164,774 $ 120,733 |
UNSECURED BORROWINGS
UNSECURED BORROWINGS | 9 Months Ended |
Sep. 30, 2016 | |
UNSECURED BORROWINGS [Abstract] | |
UNSECURED BORROWINGS | NOTE 8 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. The notes are currently redeemable, in whole or in part, without penalty, at the Company’s option. 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 debt issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and ) as of September 30, 2016 and December 31, 2015 were as follows (dollars in thousands): September 30, 2016 December 31, 2015 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,267 7.92 % $ 34,234 7.91 % December 2035 ($40,000 face amount) 39,272 7.68 39,244 7.68 September 2036 ($25,000 face amount) 24,526 7.72 24,508 8.96 $ 98,065 7.77 $ 97,986 8.08 |
CAPITAL TRANSACTIONS
CAPITAL TRANSACTIONS | 9 Months Ended |
Sep. 30, 2016 | |
CAPITAL TRANSACTIONS [Abstract] | |
CAPITAL TRANSACTIONS | NOTE 9 ¾ During the nine months ended September 30, 2016, Capstead issued an additional 48,000 shares of its 7.50% Series E Cumulative Redeemable Preferred Stock through an at-the-market continuous offering program at an average price of $24.05, net of underwriting fees and other costs, for net proceeds of $1.2 million. While no shares were issued under this program during the quarter ended September 30, 2016, a modest amount of shares were issued subsequent to quarter-end through November 4, 2016. |
DISCLOSURES REGARDING FAIR VALU
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS | 9 Months Ended |
Sep. 30, 2016 | |
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS [Abstract] | |
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS | NOTE 10 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 7 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): September 30, 2016 December 31, 2015 Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Residential mortgage loans $ 2,674 $ 2,700 $ 3,817 $ 3,900 Lending counterparty investments 15,002 15,002 65,002 65,002 Portfolio-related interest rate swap agreements 2,501 2,501 7,720 7,720 Financial liabilities: Secured borrowings with initial terms of greater than 120 days 839,101 839,300 3,246,177 3,245,000 Unsecured borrowings 98,065 59,100 97,986 77,200 Interest rate swap agreements: Portfolio-related 5,981 5,981 1,051 1,051 Unsecured borrowings-related 40,973 40,973 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 September 30, 2016 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 10,350,186 $ 157,460 $ 1,267 $ 10,506,379 Ginnie Mae 3,062,593 14,795 6,214 3,071,174 Residential mortgage securities classified as 2,096 25 – 2,121 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 September 30, 2016 December 31, 2015 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position: One year or greater $ 813,179 $ 4,923 $ 597,652 $ 4,259 Less than one year 1,114,807 2,558 4,468,844 19,711 $ 1,927,986 $ 7,481 $ 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 September 30, 2016. |
COMPENSATION PROGRAMS
COMPENSATION PROGRAMS | 9 Months Ended |
Sep. 30, 2016 | |
COMPENSATION PROGRAMS [Abstract] | |
COMPENSATION PROGRAMS | NOTE 11 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 September 30, 2016, this plan had 3,688,541 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 other than Compensation-related expense Compensation-related expense 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 and recognized in Compensation-related expense are third quarter 2016 DERs distribution amounts totaling $100,000 that were paid in October 2016 to executives other than the former CEO. For the nine months ended September 30, 2016, $420,000 was recognized in Compensation-related expense related to the DERs program. 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 April 2015 resignation of a participating executive, 37,199 and 36,467 RSUs issued in 2015 and 2013, respectively, were forfeited. With the July 2016 resignation of the former CEO, 99,527 and 93,058 RSUs issued in 2016 and 2015, respectively, are expected to be forfeited by year-end. Recognized in Compensation-related expense are $237,000 and $786,000 related to outstanding RSUs for the quarter and nine months ended September 30, 2016, respectively. Included in Common stock dividends payable at September 30, 2016 are estimated dividends payable pertaining to these awards of $308,000. 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 that are scheduled to vest in February 2019 assuming service conditions are met. With the July 2016 resignation of the former CEO, stock awards for 24,881 shares are expected to be forfeited by year-end. 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 2016, director common stock awards for a total of 35,000 shares granted in July 2015 with a grant date fair value of $11.41 per share vested and new awards, for a total of 41,881 shares, with a grant date fair value of $10.03 per share were granted that will vest on July 15, 2017. Performance-based and service-based stock award activity for the nine months ended September 30, 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 170,490 8.97 Vestings ( 153,784 ) 12.00 Unvested stock awards outstanding at September 30, 2016 305,567 10.29 During the quarter and nine months ended September 30, 2016, the Company recognized in Compensation-related expense Common Stock dividends payable Other general and administrative expense Service-based stock awards issued to directors and to employees not awarded RSUs 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 September 30, 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 1.7 years. No option award activity occurred during the quarter and nine months ended September 30, 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 quarter and nine months ended September 30, 2016, the Company recognized in Compensation-related expense |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 9 Months Ended |
Sep. 30, 2016 | |
BASIS OF PRESENTATION [Abstract] | |
Interim Financial Reporting | 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 and nine months ended September 30, 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 | 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 (Ta
NET INCOME PER COMMON SHARE (Tables) | 9 Months Ended |
Sep. 30, 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 September 30 Nine Months Ended September 30 2016 2015 2016 2015 Basic net income per common share Numerator for basic net income per common share: Net income $ 16,440 $ 21,067 $ 65,423 $ 79,968 Preferred stock dividends (3,846 ) (3,809 ) (11,515 ) (11,339 ) Earnings participation of unvested equity awards (40 ) (28 ) (123 ) (95 ) $ 12,554 $ 17,230 $ 53,785 $ 68,534 Denominator for basic net income per common share: Average number of shares of common stock outstanding 95,978 95,814 95,946 95,814 Average unvested stock awards outstanding (300 ) (284 ) (299 ) (314 ) 95,678 95,530 95,647 95,500 $ 0.13 $ 0.18 $ 0.56 $ 0.72 Diluted net income per common share Numerator for diluted net income per common share: Numerator for basic net income per common share $ 12,554 $ 17,230 $ 53,785 $ 68,534 Denominator for diluted net income per common share: Denominator for basic net income per common share 95,678 95,530 95,647 95,500 Net effect of dilutive equity awards 188 191 152 195 95,866 95,721 95,799 95,695 $ 0.13 $ 0.18 $ 0.56 $ 0.72 |
RESIDENTIAL MORTGAGE INVESTME20
RESIDENTIAL MORTGAGE INVESTMENTS (Tables) | 9 Months Ended |
Sep. 30, 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 ) September 30, 2016 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 416 $ 1 $ 417 $ 417 6.68 % 6.50 % ARMs 10,030,859 319,319 10,350,178 10,506,371 2.69 1.56 Ginnie Mae ARMs 2,964,263 98,330 3,062,593 3,071,174 2.55 1.16 12,995,538 417,650 13,413,188 13,577,962 2.66 1.46 Residential mortgage loans: Fixed-rate 761 – 761 761 6.73 4.09 ARMs 1,904 9 1,913 1,913 3.80 2.97 2,665 9 2,674 2,674 4.63 3.29 Collateral for structured financings 1,659 28 1,687 1,687 8.16 7.59 $ 12,999,862 $ 417,687 $ 13,417,549 $ 13,582,323 2.66 1.46 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) | 9 Months Ended |
Sep. 30, 2016 | |
SECURED BORROWINGS [Abstract] | |
Schedule of Secured Borrowings | Secured borrowings Collateral Type Collateral Carrying Amount Accrued Interest Receivable Borrowings Outstanding Average Borrowing Rates September 30, 2016 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 11,302,826 $ 24,045 $ 10,741,746 0.71 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 1,365,926 2,881 1,299,305 0.72 Agency Securities (greater than 90 days) 160,250 1,003 139,101 0.92 Similar borrowings: Collateral for structured financings 1,687 – 1,687 8.16 12,830,689 27,929 12,181,839 FHLB advances 259,367 1,039 250,000 0.71 $ 13,090,056 $ 28,968 $ 12,431,839 0.72 Quarter-end borrowing rates adjusted for effects of related derivative financial instruments (Derivatives) held as cash flow hedges 0.86 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 September 30, 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 $ 12,731,035 0.84 % $ 13,160,703 0.73 % |
USE OF DERIVATIVES, OFFSETTIN22
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT [Abstract] | |
Schedule of Swap Agreements Expiration Period and Characteristics | At September 30, 2016, the Company’s portfolio financing-related swap positions had the following characteristics (dollars in thousands): Period of Contract Expiration Notional Amount Average Fixed-Rate Payment Requirement Fourth quarter 2016 (expired October 1, 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 Second quarter 2018 600,000 0.79 Third quarter 2018 400,000 0.88 Second quarter 2019 450,000 0.77 Third quarter 2019 100,000 0.68 $ 7,850,000 |
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 September 30 December 31 Location 2016 2015 Balance sheet-related Swap agreements in a gain position (an asset) related to Secured borrowings (a) $ 2,501 $ 7,720 Swap agreements in a loss position (a liability) related to: Secured borrowings (a) (5,981 ) (1,051 ) Unsecured borrowings (a) (40,973 ) (25,010 ) Related net interest payable (b) (11,727 ) (10,942 ) $ (56,180 ) $ (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 $8.8 million at September 30, 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 September 30 Nine Months Ended September 30 Net Income 2016 2015 2016 2015 Income statement-related Components of effect on interest expense: Amount of loss reclassified from Accumulated other comprehensive income related to $ (4,927 ) $ (7,183 ) $ (16,107 ) $ (20,494 ) Amount of gain (loss) recognized (323 ) (336 ) (1,210 ) (642 ) Increase in interest expense and decrease in Net * $ (5,250 ) $ (7,519 ) $ (17,317 ) $ (21,136 ) Other comprehensive income-related Amount of gain (loss) recognized in Other (loss) $ 12,558 $ (21,235 ) $ (41,714 ) $ (36,226 ) * 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 Net Amounts Gross Amounts Not Offset Gross Amounts of Assets in the Balance Sheet (a) Amounts of Offset in Presented in Financial Cash Net Assets Sheet Sheet Instruments Received Amount September 30, 2016 Counterparty 4 $ 1,126 $ 1,375 $ 2,501 $ (2,501 ) $ – $ – 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 Net Amounts Gross Amounts Not Offset Gross Amounts of Liabilities in the Balance Sheet (c) Amounts of Offset in Presented in Financial Cash Net Liabilities (b) Sheet Sheet (a) Instruments Pledged Amount September 30, 2016 Derivatives by counterparty: Counterparty 1 $ 42,029 $ – $ 42,029 $ – $ (42,029 ) $ – Counterparty 4 15,277 1,375 16,652 (2,501 ) (14,151 ) – 57,306 1,375 58,681 (2,501 ) (56,180 ) – Borrowings under repurchase arrangements 12,186,583 – 12,186,583 (12,186,583 ) – – $ 12,243,889 $ 1,375 $ 12,245,264 $ (12,189,084 ) $ (56,180 ) $ – 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 $11.7 million and $10.9 million on interest rate swap agreements and $6.4 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 September 30, 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 June 30, 2016 $ (61,526 ) $ 183,929 $ 122,403 Activity for the quarter ended September 30, 2016: Other comprehensive income (loss) before 12,558 (19,155 ) (6,597 ) Amounts reclassified from accumulated 4,927 – 4,927 Other comprehensive income (loss) 17,485 (19,155 ) (1,670 ) Balance at September 30, 2016 $ (44,041 ) $ 164,774 $ 120,733 Balance at December 31, 2015 $ (18,434 ) $ 154,529 $ 136,095 Activity for the nine months ended September 30, 2016: Other comprehensive income (loss) before (41,714 ) 10,245 (31,469 ) Amounts reclassified from accumulated 16,107 – 16,107 Other comprehensive income (loss) (25,607 ) 10,245 (15,362 ) Balance at September 30, 2016 $ (44,041 ) $ 164,774 $ 120,733 |
UNSECURED BORROWINGS (Tables)
UNSECURED BORROWINGS (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
UNSECURED BORROWINGS [Abstract] | |
Schedule of Subordinated Note Balances and Related Weighted Average Interest Rates | Note balances net of debt issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for effects of related Derivatives held as cash flow hedges ) as of September 30, 2016 and December 31, 2015 were as follows (dollars in thousands): September 30, 2016 December 31, 2015 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,267 7.92 % $ 34,234 7.91 % December 2035 ($40,000 face amount) 39,272 7.68 39,244 7.68 September 2036 ($25,000 face amount) 24,526 7.72 24,508 8.96 $ 98,065 7.77 $ 97,986 8.08 |
DISCLOSURES REGARDING FAIR VA24
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS (Tables) | 9 Months Ended |
Sep. 30, 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): September 30, 2016 December 31, 2015 Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Residential mortgage loans $ 2,674 $ 2,700 $ 3,817 $ 3,900 Lending counterparty investments 15,002 15,002 65,002 65,002 Portfolio-related interest rate swap agreements 2,501 2,501 7,720 7,720 Financial liabilities: Secured borrowings with initial terms of greater than 120 days 839,101 839,300 3,246,177 3,245,000 Unsecured borrowings 98,065 59,100 97,986 77,200 Interest rate swap agreements: Portfolio-related 5,981 5,981 1,051 1,051 Unsecured borrowings-related 40,973 40,973 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 September 30, 2016 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 10,350,186 $ 157,460 $ 1,267 $ 10,506,379 Ginnie Mae 3,062,593 14,795 6,214 3,071,174 Residential mortgage securities classified as 2,096 25 – 2,121 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 | September 30, 2016 December 31, 2015 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position: One year or greater $ 813,179 $ 4,923 $ 597,652 $ 4,259 Less than one year 1,114,807 2,558 4,468,844 19,711 $ 1,927,986 $ 7,481 $ 5,066,496 $ 23,970 |
COMPENSATION PROGRAMS (Tables)
COMPENSATION PROGRAMS (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
COMPENSATION PROGRAMS [Abstract] | |
Schedule of Performance and Service-Based Stock Award Activity | Performance-based and service-based stock award activity for the nine months ended September 30, 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 170,490 8.97 Vestings ( 153,784 ) 12.00 Unvested stock awards outstanding at September 30, 2016 305,567 10.29 |
SEPARATION OF SERVICE CHARGE (D
SEPARATION OF SERVICE CHARGE (Details) - Former President and Chief Executive Officer [Member] $ in Millions | Sep. 30, 2016USD ($) |
Related Party Transaction [Line Items] | |
Aggregate payment of incentive compensation and employee benefit | $ 2.3 |
Estimated amount payable | $ 2.8 |
NET INCOME PER COMMON SHARE (De
NET INCOME PER COMMON SHARE (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Numerator for basic net income per common share [Abstract] | |||||
Net income | $ 16,440 | $ 21,067 | $ 65,423 | $ 79,968 | |
Preferred stock dividends | (3,846) | (3,809) | (11,515) | (11,339) | |
Earnings participation of unvested equity awards | (40) | (28) | (123) | (95) | |
Numerator for basic net income per common share | $ 12,554 | $ 17,230 | $ 53,785 | $ 68,534 | |
Denominator for basic net income per common share [Abstract] | |||||
Average number of shares of common stock outstanding (in shares) | 95,978 | 95,814 | 95,946 | 95,814 | |
Average unvested stock awards outstanding (in shares) | (300) | (284) | (299) | (314) | |
Denominator for basic net income per common share (in shares) | 95,678 | 95,530 | 95,647 | 95,500 | |
Basic net income per common share (in dollars per share) | $ 0.13 | $ 0.18 | $ 0.56 | $ 0.72 | |
Numerator for diluted net income per common share [Abstract] | |||||
Numerator for basic net income per common share | $ 12,554 | $ 17,230 | $ 53,785 | $ 68,534 | |
Denominator for diluted net income per common share [Abstract] | |||||
Denominator for basic net income per common share (in shares) | 95,678 | 95,530 | 95,647 | 95,500 | |
Net effect of dilutive equity awards (in shares) | 188 | 191 | 152 | 195 | |
Denominator for diluted net income per common share (in shares) | 95,866 | 95,721 | 95,799 | 95,695 | |
Diluted net income per common share (in dollars per share) | $ 0.13 | $ 0.18 | $ 0.56 | $ 0.72 | |
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 INVESTME28
RESIDENTIAL MORTGAGE INVESTMENTS, Schedule of Residential Mortgage Investments (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | ||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 12,999,862 | $ 13,563,393 | |
Investment Premiums | 417,687 | 436,815 | |
Amortized Cost Basis | 13,417,549 | 14,000,208 | |
Carrying Amount | [1] | $ 13,582,323 | $ 14,154,737 |
Net WAC | [2] | 2.66% | 2.57% |
Average Yield | [2] | 1.46% | 1.63% |
Agency Securities [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 12,995,538 | $ 13,557,738 | |
Investment Premiums | 417,650 | 436,772 | |
Amortized Cost Basis | 13,413,188 | 13,994,510 | |
Carrying Amount | [1] | $ 13,577,962 | $ 14,149,039 |
Net WAC | [2] | 2.66% | 2.57% |
Average Yield | [2] | 1.46% | 1.63% |
Fannie Mae/Freddie Mac [Member] | Fixed-Rate [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 416 | $ 796 | |
Investment Premiums | 1 | 2 | |
Amortized Cost Basis | 417 | 798 | |
Carrying Amount | [1] | $ 417 | $ 799 |
Net WAC | [2] | 6.68% | 6.61% |
Average Yield | [2] | 6.50% | 6.17% |
Fannie Mae/Freddie Mac [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 10,030,859 | $ 10,014,401 | |
Investment Premiums | 319,319 | 317,545 | |
Amortized Cost Basis | 10,350,178 | 10,331,946 | |
Carrying Amount | [1] | $ 10,506,371 | $ 10,487,785 |
Net WAC | [2] | 2.69% | 2.55% |
Average Yield | [2] | 1.56% | 1.68% |
Ginnie Mae [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 2,964,263 | $ 3,542,541 | |
Investment Premiums | 98,330 | 119,225 | |
Amortized Cost Basis | 3,062,593 | 3,661,766 | |
Carrying Amount | [1] | $ 3,071,174 | $ 3,660,455 |
Net WAC | [2] | 2.55% | 2.61% |
Average Yield | [2] | 1.16% | 1.49% |
Residential Mortgage Loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 2,665 | $ 3,805 | |
Investment Premiums | 9 | 12 | |
Amortized Cost Basis | 2,674 | 3,817 | |
Carrying Amount | [1] | $ 2,674 | $ 3,817 |
Net WAC | [2] | 4.63% | 4.65% |
Average Yield | [2] | 3.29% | 3.71% |
Residential Mortgage Loans [Member] | Fixed-Rate [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 761 | $ 1,155 | |
Investment Premiums | 0 | 1 | |
Amortized Cost Basis | 761 | 1,156 | |
Carrying Amount | [1] | $ 761 | $ 1,156 |
Net WAC | [2] | 6.73% | 6.76% |
Average Yield | [2] | 4.09% | 5.02% |
Residential Mortgage Loans [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 1,904 | $ 2,650 | |
Investment Premiums | 9 | 11 | |
Amortized Cost Basis | 1,913 | 2,661 | |
Carrying Amount | [1] | $ 1,913 | $ 2,661 |
Net WAC | [2] | 3.80% | 3.73% |
Average Yield | [2] | 2.97% | 3.15% |
Collateral for Structured Financings [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 1,659 | $ 1,850 | |
Investment Premiums | 28 | 31 | |
Amortized Cost Basis | 1,687 | 1,881 | |
Carrying Amount | [1] | $ 1,687 | $ 1,881 |
Net WAC | [2] | 8.16% | 8.12% |
Average Yield | [2] | 7.59% | 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 INVESTME29
RESIDENTIAL MORTGAGE INVESTMENTS (Details) $ in Millions | 9 Months Ended |
Sep. 30, 2016USD ($) | |
Financing Receivable, Recorded Investment [Line Items] | |
Mortgage securities weighted average contractual maturity | 288 months |
Available for sale ARM securities, current-reset | $ 7,630 |
Available for sale ARM securities, longer-to-reset | $ 5,780 |
Current-Reset ARMs [Member] | |
Financing Receivable, Recorded Investment [Line Items] | |
Agency securities average months to roll | 6 months 6 days |
Current-Reset ARMs [Member] | Maximum [Member] | |
Financing Receivable, Recorded Investment [Line Items] | |
Agency securities months to roll | 18 months |
Longer-To-Reset ARMs [Member] | |
Financing Receivable, Recorded Investment [Line Items] | |
Agency securities average months to roll | 42 months 3 days |
Longer-To-Reset ARMs [Member] | Minimum [Member] | |
Financing Receivable, Recorded Investment [Line Items] | |
Agency securities months to roll | 18 months |
SECURED BORROWINGS (Details)
SECURED BORROWINGS (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2016 | |
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Total collateral carrying amount | $ 13,090,000 | $ 13,540,000 | $ 13,090,000 |
Total borrowings outstanding | 12,431,839 | 12,958,394 | $ 12,431,839 |
Average borrowings for the effects of related derivatives held as cash flow hedges | $ 12,731,035 | $ 13,160,703 | |
Effective borrowing rate considering cash flow hedges | 0.84% | 0.73% | 0.84% |
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 | 0.86% | 0.86% | |
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] | |||
Proceeds from sale of federal home loan bank stock | $ 20,000 | $ 50,000 | |
Investment in federal home loan bank stock | 10,000 | 10,000 | |
Collateral carrying amount for FHLB advances | 259,367 | $ 2,956,908 | 259,367 |
Accrued interest receivable | 1,039 | 11,422 | 1,039 |
Borrowings outstanding for FHLB advance | $ 250,000 | $ 2,875,000 | $ 250,000 |
Average borrowing rates | 0.71% | 0.43% | 0.71% |
Agency Securities [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 12,830,689 | $ 10,579,208 | $ 12,830,689 |
Accrued interest receivable | 27,929 | 21,884 | 27,929 |
Borrowings outstanding | 12,181,839 | 10,083,394 | 12,181,839 |
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | 11,302,826 | 9,080,363 | 11,302,826 |
Accrued interest receivable | 24,045 | 18,504 | 24,045 |
Borrowings outstanding | $ 10,741,746 | $ 8,585,336 | $ 10,741,746 |
Average borrowing rates | 0.71% | 0.67% | 0.71% |
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 1,365,926 | $ 423,710 | $ 1,365,926 |
Accrued interest receivable | 2,881 | 861 | 2,881 |
Borrowings outstanding | $ 1,299,305 | $ 346,177 | $ 1,299,305 |
Average borrowing rates | 0.72% | 0.63% | 0.72% |
Agency Securities [Member] | Borrowings with Maturities Greater than 90 Days [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 160,250 | $ 1,073,254 | $ 160,250 |
Accrued interest receivable | 1,003 | 2,519 | 1,003 |
Borrowings outstanding | $ 139,101 | $ 1,150,000 | $ 139,101 |
Average borrowing rates | 0.92% | 0.75% | 0.92% |
Agency Securities [Member] | Similar Borrowings [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 1,687 | $ 1,881 | $ 1,687 |
Accrued interest receivable | 0 | 0 | 0 |
Borrowings outstanding | $ 1,687 | $ 1,881 | $ 1,687 |
Average borrowing rates | 8.16% | 8.12% | 8.16% |
Agency Securities [Member] | FHLB Advances [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Total collateral carrying amount | $ 13,090,056 | $ 13,536,116 | $ 13,090,056 |
Accrued interest receivable | 28,968 | 33,306 | 28,968 |
Total borrowings outstanding | $ 12,431,839 | $ 12,958,394 | $ 12,431,839 |
Average borrowing rates | 0.72% | 0.62% | 0.72% |
USE OF DERIVATIVES, OFFSETTIN31
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT, Schedule of Swap Agreements (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2016 | Dec. 31, 2010 | Dec. 31, 2015 | |
Notional Disclosures [Abstract] | ||||
Notional amount | $ 7,850,000 | $ 7,850,000 | ||
Derivative instruments unrealized losses to be recognized | 8,800 | |||
Interest Rate SWAP Currently-Paying Contracts [Member] | Fourth Quarter 2016 (Expired October 1, 2016) [Member] | ||||
Notional Disclosures [Abstract] | ||||
Notional amount | $ 800,000 | $ 800,000 | ||
Average fixed-rate payment requirement | 0.66% | 0.66% | ||
Interest Rate SWAP Currently-Paying Contracts [Member] | First Quarter 2017 [Member] | ||||
Notional Disclosures [Abstract] | ||||
Notional amount | $ 1,000,000 | $ 1,000,000 | ||
Average fixed-rate payment requirement | 0.72% | 0.72% | ||
Interest Rate SWAP Currently-Paying Contracts [Member] | Second Quarter 2017 [Member] | ||||
Notional Disclosures [Abstract] | ||||
Notional amount | $ 900,000 | $ 900,000 | ||
Average fixed-rate payment requirement | 0.74% | 0.74% | ||
Interest Rate SWAP Currently-Paying Contracts [Member] | Third Quarter 2017 [Member] | ||||
Notional Disclosures [Abstract] | ||||
Notional amount | $ 400,000 | $ 400,000 | ||
Average fixed-rate payment requirement | 0.74% | 0.74% | ||
Interest Rate SWAP Currently-Paying Contracts [Member] | Fourth Quarter 2017 [Member] | ||||
Notional Disclosures [Abstract] | ||||
Notional amount | $ 1,500,000 | $ 1,500,000 | ||
Average fixed-rate payment requirement | 0.79% | 0.79% | ||
Interest Rate SWAP Currently-Paying Contracts [Member] | First Quarter 2018 [Member] | ||||
Notional Disclosures [Abstract] | ||||
Notional amount | $ 1,700,000 | $ 1,700,000 | ||
Average fixed-rate payment requirement | 0.76% | 0.76% | ||
Interest Rate SWAP Currently-Paying Contracts [Member] | Second Quarter 2018 [Member] | ||||
Notional Disclosures [Abstract] | ||||
Notional amount | $ 600,000 | $ 600,000 | ||
Average fixed-rate payment requirement | 0.79% | 0.79% | ||
Interest Rate SWAP Currently-Paying Contracts [Member] | Third Quarter 2018 [Member] | ||||
Notional Disclosures [Abstract] | ||||
Notional amount | $ 400,000 | $ 400,000 | ||
Average fixed-rate payment requirement | 0.88% | 0.88% | ||
Interest Rate SWAP Currently-Paying Contracts [Member] | Second Quarter 2019 [Member] | ||||
Notional Disclosures [Abstract] | ||||
Notional amount | $ 450,000 | $ 450,000 | ||
Average fixed-rate payment requirement | 0.77% | 0.77% | ||
Interest Rate SWAP Currently-Paying Contracts [Member] | Third Quarter 2019 [Member] | ||||
Notional Disclosures [Abstract] | ||||
Notional amount | $ 100,000 | $ 100,000 | ||
Average fixed-rate payment requirement | 0.68% | 0.68% | ||
Interest Rate Swap Agreements [Member] | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
SWAP agreement notional amount during period | $ 500,000 | $ 2,950,000 | $ 100,000 | |
SWAP agreement average interest rate during period | 0.84% | 0.76% | 4.09% | |
Swap agreement notional amount expiring during period | $ 700,000 | $ 3,500,000 | ||
SWAP agreement average interest rate expiring during period | 0.56% | 0.51% | ||
Notional Disclosures [Abstract] | ||||
Payment term of LIBOR interest rate agreement | 2 years | 3 years | 20 years | |
Accrued interest | $ 11,700 | $ 11,700 | $ 10,900 | |
Portfolio-Related Secured Borrowings [Member] | ||||
Notional Disclosures [Abstract] | ||||
Accrued interest | $ 6,400 | $ 6,400 | $ 9,300 |
USE OF DERIVATIVES, OFFSETTIN32
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 | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | ||
Balance sheet-related [Abstract] | ||||||
Swap agreements in a gain position (an asset) related to borrowings | $ 2,501 | $ 2,501 | $ 7,720 | |||
Swap agreements in a loss position (a liability) related to borrowings | (46,954) | (46,954) | (26,061) | |||
Interest rate swap agreements at fair value, net assets (liability) | (56,180) | (56,180) | (29,283) | |||
Income statement-related [Abstract] | ||||||
Amount of loss reclassified from Accumulated other comprehensive income related to the effective portion of active positions | 4,927 | $ 7,183 | 16,107 | $ 20,494 | ||
Other Comprehensive Income (Loss) [Member] | ||||||
Other comprehensive income related [Abstract] | ||||||
Amount of gain (loss) recognized in Other comprehensive income (loss) (effective portion) | 12,558 | (21,235) | (41,714) | (36,226) | ||
Interest Expense [Member] | ||||||
Income statement-related [Abstract] | ||||||
Amount of loss reclassified from Accumulated other comprehensive income related to the effective portion of active positions | (4,927) | (7,183) | (16,107) | (20,494) | ||
Amount of gain (loss) recognized (ineffective portion) | (323) | (336) | (1,210) | (642) | ||
Increase in interest expense and decrease in Net income as a result of the use of Derivatives | [1] | (5,250) | $ (7,519) | (17,317) | $ (21,136) | |
Other Assets [Member] | Interest Rate Swap Agreements [Member] | Secured Borrowings [Member] | ||||||
Balance sheet-related [Abstract] | ||||||
Swap agreements in a gain position (an asset) related to borrowings | [2] | 2,501 | 2,501 | 7,720 | ||
Other Liabilities [Member] | ||||||
Balance sheet-related [Abstract] | ||||||
Related net interest payable | [3] | (11,727) | (11,727) | (10,942) | ||
Other Liabilities [Member] | Interest Rate Swap Agreements [Member] | Secured Borrowings [Member] | ||||||
Balance sheet-related [Abstract] | ||||||
Swap agreements in a loss position (a liability) related to borrowings | [2] | (5,981) | (5,981) | (1,051) | ||
Other Liabilities [Member] | Interest Rate Swap Agreements [Member] | Unsecured Borrowings [Member] | ||||||
Balance sheet-related [Abstract] | ||||||
Swap agreements in a loss position (a liability) related to borrowings | [2] | $ (40,973) | $ (40,973) | $ (25,010) | ||
[1] | Included in "Interest expense: Secured borrowings" on the face of the Statements of Income. | |||||
[2] | 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 $8.8 million at September 30, 2016. | |||||
[3] | Included in "Accounts payable and accrued expenses" on the face of the Balance Sheets. |
USE OF DERIVATIVES, OFFSETTIN33
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT, Offsetting Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Offsetting of derivative assets [Abstract] | |||
Gross Amounts of Recognized Assets | $ 2,501 | $ 7,720 | |
Net Amounts of Assets Presented in the Balance Sheet | 56,180 | 29,283 | |
Cash Collateral Received | (73,191) | (50,193) | |
Offsetting Derivatives Assets [Member] | |||
Offsetting of derivative assets [Abstract] | |||
Gross Amounts of Recognized Assets | 1,126 | 4,758 | |
Gross Amounts Offset in the Balance Sheet | 1,375 | 2,962 | |
Net Amounts of Assets Presented in the Balance Sheet | 2,501 | 7,720 | |
Financial Instruments | [1] | (2,501) | (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 | 1,126 | 4,758 | |
Gross Amounts Offset in the Balance Sheet | 1,375 | 2,939 | |
Net Amounts of Assets Presented in the Balance Sheet | 2,501 | 7,697 | |
Financial Instruments | [1] | (2,501) | (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, OFFSETTIN34
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT, Offsetting Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities | $ 46,954 | $ 26,061 | |
Offsetting Financial Liabilities and Derivative Liabilities [Member] | |||
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities | [1] | 12,243,889 | 10,124,887 |
Gross Amounts Offset in the Balance Sheet | 1,375 | 2,962 | |
Net Amounts of Liabilities Presented in the Balance Sheet | [2] | 12,245,264 | 10,127,849 |
Financial Instruments | [3] | (12,189,084) | (10,098,566) |
Cash Collateral Pledged | [3] | (56,180) | (29,283) |
Net Amount | 0 | 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] | 42,029 | 26,311 |
Gross Amounts Offset in the Balance Sheet | 0 | 0 | |
Net Amounts of Liabilities Presented in the Balance Sheet | [2] | 42,029 | 26,311 |
Financial Instruments | [3] | 0 | 0 |
Cash Collateral Pledged | [3] | (42,029) | (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] | 776 | |
Gross Amounts Offset in the Balance Sheet | 23 | ||
Net Amounts of Liabilities Presented in the Balance Sheet | [2] | 799 | |
Financial Instruments | [3] | (23) | |
Cash Collateral Pledged | [3] | (776) | |
Net Amount | 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] | 15,277 | 6,954 |
Gross Amounts Offset in the Balance Sheet | 1,375 | 2,939 | |
Net Amounts of Liabilities Presented in the Balance Sheet | [2] | 16,652 | 9,893 |
Financial Instruments | [3] | (2,501) | (7,697) |
Cash Collateral Pledged | [3] | (14,151) | (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] | 57,306 | 34,041 |
Gross Amounts Offset in the Balance Sheet | 1,375 | 2,962 | |
Net Amounts of Liabilities Presented in the Balance Sheet | [2] | 58,681 | 37,003 |
Financial Instruments | [3] | (2,501) | (7,720) |
Cash Collateral Pledged | [3] | (56,180) | (29,283) |
Net Amount | 0 | 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] | 12,186,583 | 10,090,846 |
Gross Amounts Offset in the Balance Sheet | 0 | 0 | |
Net Amounts of Liabilities Presented in the Balance Sheet | [2] | 12,186,583 | 10,090,846 |
Financial Instruments | [3] | (12,186,583) | (10,090,846) |
Cash Collateral Pledged | [3] | 0 | 0 |
Net Amount | $ 0 | $ 0 | |
[1] | Amounts include accrued interest of $11.7 million and $10.9 million on interest rate swap agreements and $6.4 million and $9.3 million on borrowings under repurchase arrangements, included in "Accounts payable and accrued expenses" on the face of the Balance Sheets as of September 30, 2016 and December 31, 2015, respectively. | ||
[2] | Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. | ||
[3] | Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. |
USE OF DERIVATIVES, OFFSETTIN35
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT, Changes in AOCI (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Beginning Balance | $ 1,298,324 | |||
Other comprehensive income (loss) before reclassifications | $ (6,597) | (31,469) | ||
Amounts reclassified from accumulated other comprehensive income | 4,927 | 16,107 | ||
Other comprehensive income (loss) | (1,670) | $ (25,182) | (15,362) | $ (39,502) |
Ending Balance | 1,270,110 | 1,270,110 | ||
Accumulated Other Comprehensive Income [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Beginning Balance | 122,403 | 136,095 | ||
Ending Balance | 120,733 | 120,733 | ||
Gains and Losses on Cash Flow Hedges [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Beginning Balance | (61,526) | (18,434) | ||
Other comprehensive income (loss) before reclassifications | 12,558 | (41,714) | ||
Amounts reclassified from accumulated other comprehensive income | 4,927 | 16,107 | ||
Other comprehensive income (loss) | 17,485 | (25,607) | ||
Ending Balance | (44,041) | (44,041) | ||
Unrealized Gains and Losses on Available-for-sale Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Beginning Balance | 183,929 | 154,529 | ||
Other comprehensive income (loss) before reclassifications | (19,155) | 10,245 | ||
Amounts reclassified from accumulated other comprehensive income | 0 | 0 | ||
Other comprehensive income (loss) | (19,155) | 10,245 | ||
Ending Balance | $ 164,774 | $ 164,774 |
UNSECURED BORROWINGS (Details)
UNSECURED BORROWINGS (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 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 | $ 98,065 | $ 97,986 |
Effective interest rate | 7.77% | 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 | $ 34,267 | $ 34,234 |
Effective interest rate | 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 | $ 39,272 | $ 39,244 |
Effective interest rate | 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 | $ 24,526 | $ 24,508 |
Effective interest rate | 7.72% | 8.96% |
CAPITAL TRANSACTIONS (Details)
CAPITAL TRANSACTIONS (Details) - Cumulative Redeemable Preferred Stock, Series E [Member] - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Sep. 30, 2016 | Dec. 31, 2015 | |
Class of Stock [Line Items] | |||
Additional shares issued (in shares) | 0 | 48,000 | |
Preferred stock, dividend rate | 7.50% | 7.50% | |
Average cost per share (in dollars per share) | $ 24.05 | ||
Proceeds from issuance of redeemable preferred stock | $ 1.2 |
DISCLOSURES REGARDING FAIR VA38
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS, Balance Sheet Location (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
Financial assets [Abstract] | ||
Residential mortgage loans | $ 13,582,323 | $ 14,154,737 |
Maximum [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase arrangements, initial term | 120 days | |
Carrying Amount [Member] | ||
Financial assets [Abstract] | ||
Residential mortgage loans | $ 2,674 | 3,817 |
Lending counterparty investments | 15,002 | 65,002 |
Financial liabilities [Abstract] | ||
Secured borrowings with initial terms of greater than 120 days | 839,101 | 3,246,177 |
Unsecured borrowings | 98,065 | 97,986 |
Carrying Amount [Member] | Interest Rate Swap Agreements [Member] | Portfolio-Related [Member] | ||
Financial assets [Abstract] | ||
Portfolio-related interest rate swap agreements | 2,501 | 7,720 |
Financial liabilities [Abstract] | ||
Interest rate swap agreements | 5,981 | 1,051 |
Carrying Amount [Member] | Interest Rate Swap Agreements [Member] | Unsecured Borrowings-Related [Member] | ||
Financial liabilities [Abstract] | ||
Interest rate swap agreements | 40,973 | 25,010 |
Fair Value [Member] | ||
Financial assets [Abstract] | ||
Residential mortgage loans | 2,700 | 3,900 |
Lending counterparty investments | 15,002 | 65,002 |
Financial liabilities [Abstract] | ||
Secured borrowings with initial terms of greater than 120 days | 839,300 | 3,245,000 |
Unsecured borrowings | 59,100 | 77,200 |
Fair Value [Member] | Interest Rate Swap Agreements [Member] | Portfolio-Related [Member] | ||
Financial assets [Abstract] | ||
Portfolio-related interest rate swap agreements | 2,501 | 7,720 |
Financial liabilities [Abstract] | ||
Interest rate swap agreements | 5,981 | 1,051 |
Fair Value [Member] | Interest Rate Swap Agreements [Member] | Unsecured Borrowings-Related [Member] | ||
Financial liabilities [Abstract] | ||
Interest rate swap agreements | $ 40,973 | $ 25,010 |
DISCLOSURES REGARDING FAIR VA39
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS, Fair Value and Related Disclosures for Debt Securities (Details) - USD ($) $ in Thousands | Sep. 30, 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 | $ 10,350,186 | $ 10,331,965 |
Available-for-sale securities, Gross Unrealized Gains | 157,460 | 166,794 |
Available-for-sale securities, Gross Unrealized Losses | 1,267 | 10,954 |
Available-for-sale securities, Fair Value | 10,506,379 | 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 | 3,062,593 | 3,661,766 |
Available-for-sale securities, Gross Unrealized Gains | 14,795 | 11,705 |
Available-for-sale securities, Gross Unrealized Losses | 6,214 | 13,016 |
Available-for-sale securities, Fair Value | 3,071,174 | 3,660,455 |
Residential Mortgage Securities Classified as Held-to-Maturity [Member] | ||
Held-to-maturity securities disclosure [Abstract] | ||
Held-to-maturities, Amortized Cost Basis | 2,096 | 2,660 |
Held-to-maturities, Gross Unrealized Gains | 25 | 44 |
Held-to-maturities, Gross Unrealized Losses | 0 | 0 |
Held-to-maturities, Fair Value | $ 2,121 | $ 2,704 |
DISCLOSURES REGARDING FAIR VA40
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS, Securities in Unrealized Loss Position (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Securities in an unrealized loss position, fair value [Abstract] | ||
One year or greater | $ 813,179 | $ 597,652 |
Less than one year | 1,114,807 | 4,468,844 |
Fair Value, Total | 1,927,986 | 5,066,496 |
Securities in an unrealized loss position, aggregate loss [Abstract] | ||
One year or greater | 4,923 | 4,259 |
Less than one year | 2,558 | 19,711 |
Unrealized Losses, Total | $ 7,481 | $ 23,970 |
COMPENSATION PROGRAMS, Other Co
COMPENSATION PROGRAMS, Other Compensation Programs (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2016 | Mar. 31, 2016 | Sep. 30, 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Short-term incentive compensation program accruals | $ 1,100,000 | $ 1,100,000 | |
Annual incentive compensation expense | 292,000 | $ 655,000 | 1,100,000 |
Dividend Equivalent Rights Payable | $ 100,000 | 100,000 | |
DER expense for the period | $ 420,000 | ||
Targeted award opportunity on base salary | 125.00% | ||
Long-Term Equity-Based Awards [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Common shares available for future issuances (in shares) | 3,688,541 | 3,688,541 | |
Share awards vesting period | 3 years |
COMPENSATION PROGRAMS, Schedule
COMPENSATION PROGRAMS, Schedule of Restricted Stock Awards (Details) - USD ($) | Jul. 31, 2016 | Feb. 29, 2016 | Jan. 31, 2016 | Jul. 31, 2015 | Jan. 31, 2015 | Sep. 30, 2016 | Sep. 30, 2016 | 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) | $ 10.03 | $ 11.41 | $ 8.97 | |||||||
Total original grants (in shares) | 41,881 | 35,000 | 170,490 | |||||||
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) | 41,881 | 35,000 | 170,490 | |||||||
Vestings (in shares) | (153,784) | |||||||||
Unvested stock awards outstanding at end of period (in shares) | 305,567 | 305,567 | ||||||||
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) | $ 10.03 | $ 11.41 | 8.97 | |||||||
Vestings (in dollars per share) | 12 | |||||||||
Unvested stock awards outstanding at end of period (in dollars per share) | $ 10.29 | $ 10.29 | ||||||||
Common stock dividend payable | $ 22,687,000 | $ 22,687,000 | $ 25,979,000 | |||||||
Performance-based RSUs [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Share awards performance period | 3 years | |||||||||
Grant date fair value per share (in dollars per share) | $ 8.03 | $ 8.83 | $ 3.81 | $ 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 | $ 3.81 | $ 12.45 | ||||||
Long term incentive compensation expense | 237,000 | $ 786,000 | ||||||||
Common stock dividend payable | 308,000 | $ 308,000 | ||||||||
Performance-based RSUs [Member] | Minimum [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Number of shares to be issued in conversion per unit (in shares) | 1.5 | |||||||||
Performance-based RSUs [Member] | Maximum [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Number of shares to be issued in conversion per unit (in shares) | 2 | |||||||||
Performance-based RSUs [Member] | December 2013 [Member] | ||||||||||
Equity instruments other than options, nonvested, number of shares [Roll Forward] | ||||||||||
Forfeitures (in shares) | (36,467) | |||||||||
Performance-based RSUs [Member] | December 2015 [Member] | ||||||||||
Equity instruments other than options, nonvested, number of shares [Roll Forward] | ||||||||||
Forfeitures (in shares) | (37,199) | |||||||||
Equity instruments other than options, nonvested, weighted average grant date fair value [Abstract] | ||||||||||
Share expected to be forfeited (in shares) | (93,058) | |||||||||
Performance-based RSUs [Member] | December 2016 [Member] | ||||||||||
Equity instruments other than options, nonvested, weighted average grant date fair value [Abstract] | ||||||||||
Share expected to be forfeited (in shares) | (99,527) | |||||||||
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 | ||||||
Share expected to be forfeited (in shares) | (24,881) | |||||||||
Stock Awards Activity [Member] | ||||||||||
Equity instruments other than options, nonvested, weighted average grant date fair value [Abstract] | ||||||||||
Long term incentive compensation expense | 189,000 | $ 630,000 | ||||||||
Other general and administrative expense | 104,000 | 304,000 | ||||||||
Total of unrecognized compensation expense for unvested stock award | 1,300,000 | $ 1,300,000 | ||||||||
Compensation cost not yet recognized, period for recognition | 1 year 3 months 18 days | |||||||||
Common stock dividend payable | $ 332,000 | $ 332,000 | ||||||||
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, Schedu43
COMPENSATION PROGRAMS, Schedule of Stock Option Award Activity (Details) - Stock Option [Member] | 9 Months Ended |
Sep. 30, 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 | 1 year 8 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 | 9 Months Ended |
Sep. 30, 2016 | Sep. 30, 2016 | |
Defined Contribution Plan Disclosure [Abstract] | ||
Defined contribution plan, voluntary contribution based on compensation | 50.00% | |
Defined contribution plan, employer matching contribution | 3.00% | |
Defined contribution plan, cost recognized | $ 33,000 | $ 220,000 |
Maximum [Member] | ||
Defined Contribution Plan Disclosure [Abstract] | ||
Defined contribution plan, annual contributions per employee | 6.00% |