Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2017 | Nov. 03, 2017 | |
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 | 96,104,662 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q3 | |
Trading Symbol | CMO | |
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2017 |
CONSOLIDATED BALANCE SHEETS (UN
CONSOLIDATED BALANCE SHEETS (UNAUDITED) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Assets | ||
Residential mortgage investments ($13.13 and $12.81 billion pledged at September 30, 2017 and December 31, 2016, respectively) | $ 13,605,583 | $ 13,316,282 |
Cash collateral receivable from interest rate swap counterparties | 47,250 | 29,660 |
Interest rate swap agreements at fair value | 2,022 | 24,709 |
Cash and cash equivalents | 93,454 | 56,732 |
Receivables and other assets | 153,339 | 149,493 |
Total assets | 13,901,648 | 13,576,876 |
Liabilities | ||
Secured borrowings | 12,467,387 | 12,145,346 |
Interest rate swap agreements at fair value | 24,759 | 24,417 |
Unsecured borrowings | 98,166 | 98,090 |
Common stock dividend payable | 18,688 | 22,634 |
Accounts payable and accrued expenses | 19,245 | 38,702 |
Total liabilities | 12,628,245 | 12,329,189 |
Stockholders’ equity | ||
Preferred stock - $0.10 par value; 100,000 shares authorized: 7.50% Cumulative Redeemable Preferred Stock, Series E, 10,329 and 8,234 shares issued and outstanding ($258,226 and $205,849 aggregate liquidation preferences) at September 30, 2017 and December 31, 2016, respectively | 250,946 | 199,059 |
Common stock - $0.01 par value; 250,000 shares authorized: 96,105 and 95,989 shares issued and outstanding at September 30, 2017 and December 31, 2016, respectively | 961 | 960 |
Paid-in capital | 1,275,442 | 1,288,346 |
Accumulated deficit | (346,570) | (346,464) |
Accumulated other comprehensive income | 92,624 | 105,786 |
Total stockholders' equity | 1,273,403 | 1,247,687 |
Total liabilities and equity | $ 13,901,648 | $ 13,576,876 |
CONSOLIDATED BALANCE SHEETS (U3
CONSOLIDATED BALANCE SHEETS (UNAUDITED) (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Assets | ||
Residential mortgage investments pledged | $ 13,130,000 | $ 12,810,000 |
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) | 96,105 | 95,989 |
Common stock, shares outstanding (in shares) | 96,105 | 95,989 |
Cumulative Redeemable Preferred Stock, Series E [Member] | ||
Stockholders’ equity | ||
Preferred stock, shares issued (in shares) | 10,329 | 8,234 |
Preferred stock, shares outstanding (in shares) | 10,329 | 8,234 |
Preferred stock, dividend rate | 7.50% | 7.50% |
Preferred stock, aggregate liquidation preference | $ 258,226 | $ 205,849 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Interest income: | ||||
Residential mortgage investments | $ 57,073 | $ 49,845 | $ 168,017 | $ 162,654 |
Other | 366 | 174 | 757 | 494 |
Interest income | 57,439 | 50,019 | 168,774 | 163,148 |
Interest expense: | ||||
Secured borrowings | (36,655) | (26,636) | (98,745) | (80,232) |
Unsecured borrowings | (1,910) | (1,970) | (5,701) | (5,923) |
Interest expense | (38,565) | (28,606) | (104,446) | (86,155) |
Net interest income (expense) | 18,874 | 21,413 | 64,328 | 76,993 |
Other revenue (expense): | ||||
Compensation-related expense | (1,073) | (4,039) | (4,021) | (9,305) |
Other general and administrative expense | (1,097) | (1,239) | (3,435) | (3,565) |
Miscellaneous other revenue | 48 | 305 | 130 | 1,300 |
Operating expenses | (2,122) | (4,973) | (7,326) | (11,570) |
Net income | 16,752 | 16,440 | 57,002 | 65,423 |
Net income available to common stockholders: | ||||
Net income | 16,752 | 16,440 | 57,002 | 65,423 |
Less preferred stock dividends | (4,718) | (3,846) | (12,600) | (11,515) |
Net income available to common stockholders | $ 12,034 | $ 12,594 | $ 44,402 | $ 53,908 |
Net income per common share: | ||||
Basic and diluted net income per common share | $ 0.13 | $ 0.13 | $ 0.46 | $ 0.56 |
Weighted average common shares outstanding: | ||||
Basic (in shares) | 95,792 | 95,678 | 95,768 | 95,647 |
Diluted (in shares) | 95,923 | 95,866 | 95,905 | 95,799 |
Cash dividends declared per share: | ||||
Common (in dollars per share) | $ 0.19 | $ 0.23 | $ 0.61 | $ 0.72 |
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 (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Statement Of Income And Comprehensive Income [Abstract] | ||||
Net income | $ 16,752 | $ 16,440 | $ 57,002 | $ 65,423 |
Amounts related to available-for-sale securities: | ||||
Change in net unrealized gains | (7,072) | (19,155) | (14,496) | 10,245 |
Amounts related to cash flow hedges: | ||||
Change in net unrealized gains (losses) | 1,827 | 12,558 | 3,541 | (41,714) |
Reclassification adjustment for amounts included in net income | (3,213) | 4,927 | (2,207) | 16,107 |
Other comprehensive income (loss) | (8,458) | (1,670) | (13,162) | (15,362) |
Comprehensive income | $ 8,294 | $ 14,770 | $ 43,840 | $ 50,061 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Operating activities: | ||
Net income | $ 57,002 | $ 65,423 |
Noncash items: | ||
Amortization of investment premiums | 98,996 | 95,139 |
Amortization of equity-based awards | 1,671 | 1,241 |
Other depreciation and amortization | 89 | 97 |
Change in recorded measureable hedge ineffectiveness on interest rate swap agreements designated as cash flow hedges | 36 | 506 |
Net change in receivables, other assets, accounts payable and accrued expenses | 1,877 | (953) |
Net cash provided by operating activities | 159,671 | 161,453 |
Investing activities: | ||
Purchases of residential mortgage investments | (3,380,199) | (2,319,819) |
Interest receivable acquired with the purchase of residential mortgage investments | (5,410) | (3,139) |
Principal collections on residential mortgage investments, including changes in mortgage securities principal remittance receivable | 2,972,002 | 2,773,344 |
Redemptions of lending counterparty investments | 50,000 | |
Net cash (used in) provided by investing activities | (413,607) | 500,386 |
Financing activities: | ||
Proceeds from repurchase arrangements and similar borrowings | 126,991,975 | 94,430,910 |
Principal payments on repurchase arrangements and similar borrowings | (126,669,933) | (92,332,463) |
Proceeds from other secured borrowings | 1,175,000 | |
Principal payments on other secured borrowings | (3,800,000) | |
Increase in cash collateral receivable from interest rate swap counterparties | (17,590) | (22,998) |
Net proceeds from interest rate swap settlements | 8,842 | |
Proceeds from issuance of preferred shares | 52,051 | 1,167 |
Other capital stock transactions | (261) | (57) |
Dividends paid | (74,426) | (83,886) |
Net cash provided by (used in) financing activities | 290,658 | (632,327) |
Net change in cash and cash equivalents | 36,722 | 29,512 |
Cash and cash equivalents at beginning of period | 56,732 | 54,185 |
Cash and cash equivalents at end of period | $ 93,454 | $ 83,697 |
BUSINESS
BUSINESS | 9 Months Ended |
Sep. 30, 2017 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
BUSINESS | NOTE 1 — 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, 2017 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
BASIS OF PRESENTATION | NOTE 2 — 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, 2017 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2017. 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, 2016. Recent Accounting Pronouncements In March 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2016-09, Compensation–Stock Compensation: Improvements to Employee Share-Based Payment Accounting (“ASU 2016-09”) with the objective of simplifying accounting for these transactions, including income tax effects, statutory withholding requirements, forfeitures and classification on the statement of cash flows. ASU 2016-09 is effective for public companies for fiscal years beginning after December 15, 2016, and interim periods within those fiscal years. The Company adopted ASU 2016-09 on January 1, 2017, which had no effect on its results of operations, financial condition or cash flows. In August 2017, the FASB issued ASU No. 2017-12, Derivatives and Hedging: Targeted Improvements to Accounting for Hedging Activities (“ASU 2017-12”) with the objective of improving the financial reporting of hedging relationships by, among other things, eliminating the requirement to separately measure and record hedge ineffectiveness. ASU 2017-12 is effective for public companies for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Early application is permitted using a modified retrospective method effective as of the beginning of the fiscal year. The Company elected to early-adopt ASU 2017-12 on August 31, 2017 and, as a result, $863,000 of expense related to hedge ineffectiveness recognized in Interest expense during the six months ended June 30, 2017 on designated swaps outstanding on August 31, 2017 was reversed. Additionally, $105,000 of ineffectiveness income recognized prior to 2017 for these swaps was reclassified to Accumulated deficit from Accumulated other comprehensive income effective January 1, 2017. Reclassification Included in Compensation-related expense for the quarter and nine months ended September 30, 2016 is $2.7 million previously classified as a separation of service charge related to the July 2016 resignation of the Company’s former chief executive officer (“CEO”). |
NET INCOME PER COMMON SHARE
NET INCOME PER COMMON SHARE | 9 Months Ended |
Sep. 30, 2017 | |
Earnings Per Share [Abstract] | |
NET INCOME PER COMMON SHARE | NOTE 3 — 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 Nine Months Ended September 30 September 30 2017 2016 2017 2016 Basic net income per common share Numerator for basic net income per common share: Net income $ 16,752 $ 16,440 $ 57,002 $ 65,423 Preferred stock dividends (4,718 ) (3,846 ) (12,600 ) (11,515 ) Earnings participation of unvested equity awards (36 ) (40 ) (116 ) (123 ) $ 11,998 $ 12,554 $ 44,286 $ 53,785 Denominator for basic net income per common share: Average number of shares of common stock outstanding 96,094 95,978 96,073 95,946 Average unvested stock awards outstanding (302 ) (300 ) (305 ) (299 ) 95,792 95,678 95,768 95,647 $ 0.13 $ 0.13 $ 0.46 $ 0.56 Diluted net income per common share Numerator for diluted net income per common share: Numerator for basic net income per common share $ 11,998 $ 12,554 $ 44,286 $ 53,785 Denominator for diluted net income per common share: Denominator for basic net income per common share 95,792 95,678 95,768 95,647 Net effect of dilutive equity awards 131 188 137 152 95,923 95,866 95,905 95,799 $ 0.13 $ 0.13 $ 0.46 $ 0.56 |
RESIDENTIAL MORTGAGE INVESTMENT
RESIDENTIAL MORTGAGE INVESTMENTS | 9 Months Ended |
Sep. 30, 2017 | |
Residential Mortgage [Member] | |
RESIDENTIAL MORTGAGE INVESTMENTS | NOTE 4 — Residential mortgage investments classified by collateral type and interest rate characteristics as of the indicated dates were as follows (dollars in thousands): Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (b) September 30, 2017 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 294 $ – $ 294 $ 294 6.52 % 6.27 % ARMs 10,358,892 322,475 10,681,367 10,771,142 2.94 1.72 Ginnie Mae ARMs 2,743,838 85,219 2,829,057 2,830,421 2.68 1.57 13,103,024 407,694 13,510,718 13,601,857 2.88 1.69 Residential mortgage loans: Fixed-rate 667 1 668 668 6.73 4.38 ARMs 1,507 8 1,515 1,515 3.85 3.49 2,174 9 2,183 2,183 4.73 3.76 Collateral for structured financings 1,518 25 1,543 1,543 7.99 7.89 $ 13,106,716 $ 407,728 $ 13,514,444 $ 13,605,583 2.88 1.69 December 31, 2016 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 385 $ 1 $ 386 $ 386 6.65 % 6.44 % ARMs 10,057,761 314,799 10,372,560 10,483,367 2.74 1.60 Ginnie Mae ARMs 2,743,160 90,300 2,833,460 2,828,288 2.51 1.14 12,801,306 405,100 13,206,406 13,312,041 2.69 1.50 Residential mortgage loans: Fixed-rate 735 1 736 736 6.72 4.01 ARMs 1,839 9 1,848 1,848 3.80 2.96 2,574 10 2,584 2,584 4.63 3.26 Collateral for structured financings 1,630 27 1,657 1,657 7.98 7.91 $ 12,805,510 $ 405,137 $ 13,210,647 $ 13,316,282 2.69 1.50 (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, 2017, the average months to roll for the Company’s $6.93 billion (amortized cost basis) in current-reset ARM investments was 6.5 months while the average months to roll for the Company’s $6.58 billion (amortized cost basis) in longer-to-reset ARM investments was 42.9 months. |
SECURED BORROWINGS
SECURED BORROWINGS | 9 Months Ended |
Sep. 30, 2017 | |
Disclosure Of Repurchase Agreements [Abstract] | |
SECURED BORROWINGS | NOTE 5 — Capstead pledges its Residential mortgage investments In August 2015 the Company began supplementing its borrowings under repurchase arrangements with advances from the Federal Home Loan Bank (“FHLB”) of Cincinnati. FHLB advances differ from repurchase arrangements in that Capstead pledged collateral to the bank to secure each such advance rather than transferring ownership of the pledged collateral to the bank and simultaneously agreeing to repurchase the transferred assets at a future date. In January 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 repaid all outstanding FHLB advances by November 2016 and all of the FHLB stock held by the Company in connection with advance activity was 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. The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an agreed-upon discount, referred to as a “haircut.” Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings. Interest may be paid monthly or at the termination of a borrowing at which time the Secured borrowings (and related pledged collateral, including accrued interest receivable), classified by collateral type and remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands): Collateral Type Collateral Carrying Amount Accrued Interest Receivable Borrowings Outstanding Average Borrowing Rates September 30, 2017 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 13,091,941 $ 30,246 $ 12,432,771 1.33 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (greater than 90 days) 36,309 132 33,073 1.53 Similar borrowings: Collateral for structured financings 1,543 – 1,543 7.99 $ 13,129,793 $ 30,378 $ 12,467,387 1.33 Quarter-end borrowing rates adjusted for effects of related derivative financial instruments (Derivatives) held as cash flow hedges 1.21 December 31, 2016 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 12,643,359 $ 27,889 $ 11,991,532 0.96 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 162,551 351 152,157 0.93 Similar borrowings: Collateral for structured financings 1,657 – 1,657 7.98 $ 12,807,567 $ 28,240 $ 12,145,346 0.96 Year-end borrowing rates adjusted for effects of related Derivatives held as cash flow hedges 1.04 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, 2017 December 31, 2016 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 $ 12,549,893 1.17 % $ 12,380,375 0.89 % |
USE OF DERIVATIVES, OFFSETTING
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT | NOTE 6 — 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 one- and three-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 any 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, 2017 Capstead entered into swap agreements with notional amounts of $650 million and $3.00 billion requiring fixed-rate interest payments each averaging 1.58% for two and three-year periods commencing on various dates between January and September 2017. Also during the quarter and nine months ended September 30, 2017, $400 Period of Contract Expiration Notional Amount Average Fixed-Rate Payment Requirement 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 Fourth quarter 2018 800,000 1.15 First quarter 2019 950,000 1.58 Second quarter 2019 1,650,000 1.33 Third quarter 2019 550,000 1.40 Fourth quarter 2019 300,000 1.55 First quarter 2020 200,000 1.75 Third quarter 2020 200,000 1.64 $ 8,850,000 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) In accordance with recent legal interpretations, exchange-traded swap agreements are now deemed to be settled daily. As a result, beginning in 2017, the fair value of exchange-traded swap agreements held as cash flow hedges of Secured borrowings Unsecured borrowings Cash collateral receivable from interest rate swap counterparties Accounts payable and accrued expenses 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 2017 2016 Balance sheet-related Swap agreements in a gain position (an asset) related to: Secured borrowings (a) $ 2,022 $ 24,709 Swap agreements in a loss position (a liability) related to: Secured borrowings (a) – (222 ) Unsecured borrowings (a) (24,759 ) (24,195 ) Related net interest payable (b) (1,015 ) (11,989 ) $ (23,752 ) $ (11,697 ) (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 unrealized gains, net of unrealized losses, scheduled to be recognized in the Statements of Income over the next twelve months primarily in the form of current market rates in excess of fixed-rate swap payments totaled $12.3 million at September 30, 2017. (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 2017 2016 2017 2016 Income statement-related Components of Secured borrowings-related effects on interest expense: Amount of gain (loss) reclassified from Accumulated other comprehensive income $ 3,912 $ (4,261 ) $ 4,412 $ (14,134 ) Amount of gain (loss) recognized in income 1,141 (323 ) (360 ) (1,210 ) (a) 5,053 (4,584 ) 4,052 (15,344 ) Component of Unsecured borrowings-related effects on interest expense: Amount of loss reclassified from Accumulated other comprehensive income (b) (699 ) (666 ) (2,205 ) (1,973 ) Decrease (increase) in interest expense and increase (decrease) in Net income of Derivatives $ 4,354 $ (5,250 ) $ 1,847 $ (17,317 ) Other comprehensive income-related Amount of gain (loss) recognized in Other comprehensive income $ 1,827 $ 12,558 $ 3,541 $ (41,714 ) (a) Included in “Interest expense: Secured borrowings” on the face of the Statements of Income. (b) Included in “Interest expense: Unsecured borrowings” on the face of the Statements of Income. Capstead’s swap agreements and borrowings under repurchase arrangements are subject to master netting arrangements in the event of default on, or termination of, any one contract. See NOTE 5 for more information on the Company’s use of secured borrowings. The following tables provide disclosures concerning offsetting of financial liabilities and Derivatives as of the indicated dates (in thousands): Offsetting of Derivative Assets Gross Net Amounts Gross Amounts Not Offset Gross Amounts of Assets in the Balance Sheet (d) Amounts of Offset in Presented in Cash Recognized the Balance the Balance Financial Collateral Net Assets (c) Sheet (c) Sheet Instruments Received Amount September 30, 2017 Counterparty 4 $ 16,461 $ (14,439 ) $ 2,022 $ – $ – $ 2,022 December 31, 2016 Counterparty 4 $ 18,100 $ 6,609 $ 24,709 $ (11,681 ) $ – $ 13,028 (c) Included in gross amounts of recognized assets at September 30, 2017 is the fair value of exchange-traded swap agreements, calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with these swaps at September 30, 2017. (d) 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. 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 Cash Recognized the Balance the Balance Financial Collateral Net Liabilities (a) Sheet (a) Sheet (b) Instruments Pledged Amount September 30, 2017 Derivatives by counterparty: Counterparty 1 $ 25,774 $ – $ 25,774 $ – $ (25,774 ) $ – Counterparty 4 5,597 (5,597 ) – – – – 31,371 (5,597 ) 25,774 – (25,774 ) – Borrowings under repurchase arrangements (d) 12,470,704 – 12,470,704 (12,470,704 ) – – $ 12,502,075 $ (5,597 ) $ 12,496,478 $ (12,470,704 ) $ (25,774 ) $ – December 31, 2016 Derivatives by counterparty: Counterparty 1 $ 24,725 $ – $ 24,725 $ – $ (24,725 ) $ – Counterparty 4 5,072 6,609 11,681 (11,681 ) – – 29,797 6,609 36,406 (11,681 ) (24,725 ) – Borrowings under repurchase arrangements (d) 12,151,122 – 12,151,122 (12,151,122 ) – – $ 12,180,919 $ 6,609 $ 12,187,528 $ (12,162,803 ) $ (24,725 ) $ – (a) Included in gross amounts of recognized liabilities at September 30, 2017 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at September 30, 2017. (b) 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. (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. (d) Amounts include accrued interest payable of $4.9 million and $7.4 million on borrowings under repurchase arrangements as of September 30, 2017 and December 31, 2016, respectively. Changes in Accumulated other comprehensive income Unrealized Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at June 30, 2017 $ 2,871 $ 98,211 $ 101,082 Activity for the quarter ended September 30, 2017: Other comprehensive income (loss) before reclassifications 1,827 (7,072 ) (5,245 ) Amounts reclassified from accumulated other comprehensive income (3,213 ) – (3,213 ) Other comprehensive income (loss) (1,386 ) (7,072 ) (8,458 ) Balance at September 30, 2017 $ 1,485 $ 91,139 $ 92,624 Balance at December 31, 2016 $ 151 $ 105,635 $ 105,786 Activity for the nine months ended September 30, 2017: Other comprehensive income (loss) before reclassifications 3,541 (14,496 ) (10,955 ) Amounts reclassified from accumulated other comprehensive income (2,207 ) – (2,207 ) Other comprehensive income (loss) 1,334 (14,496 ) (13,162 ) Balance at September 30, 2017 $ 1,485 $ 91,139 $ 92,624 |
UNSECURED BORROWINGS
UNSECURED BORROWINGS | 9 Months Ended |
Sep. 30, 2017 | |
Debt Disclosure [Abstract] | |
UNSECURED BORROWINGS | NOTE 7 — 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. Note balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for effects of related Derivatives held as cash flow hedges) were as follows (dollars in thousands): September 30, 2017 December 31, 2016 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,305 7.90 % $ 34,276 7.91 % December 2035 ($40,000 face amount) 39,311 7.66 39,282 7.67 September 2036 ($25,000 face amount) 24,550 7.70 24,532 7.71 $ 98,166 7.75 $ 98,090 7.77 |
CAPITAL TRANSACTIONS
CAPITAL TRANSACTIONS | 9 Months Ended |
Sep. 30, 2017 | |
Equity Abstract | |
CAPITAL TRANSACTIONS | NOTE 8 — During the quarter and nine months ended September 30, 2017, Capstead issued an additional 1.7 million and 2.1 million shares of its 7.50% Series E Cumulative Redeemable Preferred Stock through an at-the-market continuous offering program at average prices of $24.79 and $24.77, net of underwriting fees and other costs, for net proceeds of $42.1 million and $51.9 million, respectively. No additional preferred shares were issued subsequent to quarter-end through November 3, 2017. |
DISCLOSURES REGARDING FAIR VALU
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS | NOTE 9 — 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). Lending counterparty investments are nonmarketable securities classified as assets for which Level 3 Inputs are used to determine fair value. These assets are considered strategic investments that are carried at cost and periodically valued and evaluated for impairment. No impairment charges have been recorded relative to these investments and the Company’s cost basis is deemed to approximate fair value. 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 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. The Company currently bases fair value for on discounted cash flows using Company estimates for market yields. 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 , , receivables, payables and secured borrowings with initial terms of 120 days or less. See NOTE 6 for information relative to the valuation of interest rate swap agreements. Fair value-related disclosures for financial instruments other than debt securities were as follows as of the indicated dates (in thousands): September 30, 2017 December 31, 2016 Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Residential mortgage loans $ 2,183 $ 2,200 $ 2,584 $ 2,600 Lending counterparty investments 5,002 5,002 5,002 5,002 Secured borrowings-related interest rate swap agreements 2,022 2,022 24,709 24,709 Financial liabilities: Secured borrowings with initial terms of greater than 120 days 33,073 33,100 139,101 139,100 Unsecured borrowings 98,166 71,600 98,090 68,800 Interest rate swap agreements: Secured borrowings-related – – 222 222 Unsecured borrowings-related 24,759 24,759 24,195 24,195 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, 2017 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 10,681,367 $ 102,336 $ 12,561 $ 10,771,142 Ginnie Mae 2,829,057 10,234 8,870 2,830,421 Residential mortgage securities classified as held-to-maturity 1,837 19 – 1,856 December 31, 2016 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac 10,372,566 134,797 23,990 10,483,373 Ginnie Mae 2,833,460 10,141 15,313 2,828,288 Residential mortgage securities classified as held-to-maturity 2,037 24 – 2,061 September 30, 2017 December 31, 2016 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position: One year or greater $ 1,220,505 $ 9,584 $ 1,050,221 $ 8,418 Less than one year 3,544,982 11,847 4,418,674 30,885 $ 4,765,487 $ 21,431 $ 5,468,895 $ 39,303 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 Fannie Mae and Freddie Mac 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, 2017. |
COMPENSATION PROGRAMS
COMPENSATION PROGRAMS | 9 Months Ended |
Sep. 30, 2017 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
COMPENSATION PROGRAMS | NOTE 10 — 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 that was approved by stockholders in May 2014. At September 30, 2017, this plan had 3,684,662 shares of common stock remaining available for future issuances. Short-term Incentive Compensation Programs Under the provisions of Capstead’s annual incentive compensation program, participating executives have overall target award opportunities ranging from 75% 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 Stockholders’ equity Accounts payable and accrued expenses 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 are third quarter 2017 DERs distribution amounts totaling $100,000 that were paid in October 2017. Recognized in Compensation-related expense In January 2017 the Committee adjusted the annual incentive compensation program for 2017 to lower the absolute return threshold and target performance levels to reflect current market conditions. In addition, the Committee re-authorized the DERs program with the same terms and conditions, with adjustments made to the amount of individual grants in recognition of current executive responsibilities. 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 performance 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 to the extent the units convert into shares of common stock following completion of related performance periods. Pursuant to this program, in January 2017, February 2016, January 2015 and December 2013 the Committee granted 148,894, 269,354, 247,512 and 242,505 RSUs with three-year performance periods ending December 31, 2019, 2018, 2017 and 2016, respectively. Initial grant date fair values developed for compensation cost purposes of $10.52, $8.03, $8.83 and $12.45 were assigned to the units of each grant, respectively. RSUs granted to the Company’s former CEO totaling 99,257 granted in 2016 and 93,058 granted in 2015 were forfeited subsequent to year-end in accordance with the terms of his 2016 separation agreement with the resulting reversal of compensation cost included in earnings in 2016. RSUs granted to a departed executive totaling 37,199 in 2015 and 36,467 in 2013 were forfeited in 2015. The December 2013 RSUs did not meet the criteria for conversion into shares of common stock pursuant to the applicable performance criteria and, accordingly, remaining awards under this grant were forfeited in the first quarter 2017. The Company recognized $73,000 and $696,000 in Compensation-related expense Common stock dividend payable 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 with vesting subject to the Company generating returns in excess of established return levels. The last awards granted under this program totaling 62,137 shares with a grant date fair value of $11.67 vested in January 2017, together with related deferred dividends. In January 2017 and February 2016, respectively, the Committee granted three-year service-based stock awards for 74,446 and 67,337 shares of common stock with grant date fair values of $10.41 and $9.32 per share to executives awarded RSUs. Stock awards granted in 2016 to the Company’s former CEO totaling 24,881 shares were forfeited subsequent to year-end in accordance with the terms of his 2016 separation agreement with the resulting reversal of compensation cost included in earnings in 2016. Remaining awards and related deferred dividends are scheduled to vest in January 2020 and February 2019 assuming service conditions are met. Included in Common stock dividend payable at September 30, 2017 are dividends payable pertaining to these awards of $114,000. In January of 2017 and 2016 and December of 2014, respectively, the Committee granted three-year service-based stock awards for 49,416, 61,272 and 37,237 shares of common stock with grant date fair values of $10.41, $7.87 and $12.47 per share to employees not awarded RSUs. These awards vest in January of 2020, 2019 and 2018 assuming service conditions are met. Similar stock awards granted in December 2013 for a total of 35,703 shares of common stock vested January 3, 2017. As a component of the Company’s director compensation program, directors are granted service-based stock awards annually upon election or re-election to the board of directors that vest approximately one year from issuance. In July 2017, director common stock awards for a total of 41,881 shares granted in July 2016 with a grant date fair value of $10.03 per share vested on July 15, 2017 and new awards, for a total of 41,797 shares, with a grant date fair value of $10.05 per share were granted that will vest on July 25, 2018. Performance-based and service-based stock award activity for the nine months ended September 30, 2017 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested stock awards outstanding at December 31, 2016 305,567 $ 10.29 Grants 165,659 10.32 Forfeitures (24,881 ) 9.32 Vestings (139,721 ) 11.35 Unvested stock awards outstanding at September 30, 2017 306,624 9.90 During the quarter and nine months ended September 30, 2017, the Company recognized in Compensation-related expense 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. Stock awards issued to executives awarded RSUs defer the payment of dividends accruing between the grant dates and the end of related 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, 2017 option awards for 30,000 shares of common stock were outstanding with a weighted average strike price of $12.28. These awards are currently exercisable, have no 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, 2017, the Company recognized in Compensation-related expense |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 9 Months Ended |
Sep. 30, 2017 | |
Organization Consolidation And Presentation Of Financial Statements [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, 2017 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2017. 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, 2016. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements In March 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2016-09, Compensation–Stock Compensation: Improvements to Employee Share-Based Payment Accounting (“ASU 2016-09”) with the objective of simplifying accounting for these transactions, including income tax effects, statutory withholding requirements, forfeitures and classification on the statement of cash flows. ASU 2016-09 is effective for public companies for fiscal years beginning after December 15, 2016, and interim periods within those fiscal years. The Company adopted ASU 2016-09 on January 1, 2017, which had no effect on its results of operations, financial condition or cash flows. In August 2017, the FASB issued ASU No. 2017-12, Derivatives and Hedging: Targeted Improvements to Accounting for Hedging Activities (“ASU 2017-12”) with the objective of improving the financial reporting of hedging relationships by, among other things, eliminating the requirement to separately measure and record hedge ineffectiveness. ASU 2017-12 is effective for public companies for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Early application is permitted using a modified retrospective method effective as of the beginning of the fiscal year. The Company elected to early-adopt ASU 2017-12 on August 31, 2017 and, as a result, $863,000 of expense related to hedge ineffectiveness recognized in Interest expense during the six months ended June 30, 2017 on designated swaps outstanding on August 31, 2017 was reversed. Additionally, $105,000 of ineffectiveness income recognized prior to 2017 for these swaps was reclassified to Accumulated deficit from Accumulated other comprehensive income effective January 1, 2017. |
Reclassification | Reclassification Included in Compensation-related expense for the quarter and nine months ended September 30, 2016 is $2.7 million previously classified as a separation of service charge related to the July 2016 resignation of the Company’s former chief executive officer (“CEO”). |
NET INCOME PER COMMON SHARE (Ta
NET INCOME PER COMMON SHARE (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Earnings Per 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 Nine Months Ended September 30 September 30 2017 2016 2017 2016 Basic net income per common share Numerator for basic net income per common share: Net income $ 16,752 $ 16,440 $ 57,002 $ 65,423 Preferred stock dividends (4,718 ) (3,846 ) (12,600 ) (11,515 ) Earnings participation of unvested equity awards (36 ) (40 ) (116 ) (123 ) $ 11,998 $ 12,554 $ 44,286 $ 53,785 Denominator for basic net income per common share: Average number of shares of common stock outstanding 96,094 95,978 96,073 95,946 Average unvested stock awards outstanding (302 ) (300 ) (305 ) (299 ) 95,792 95,678 95,768 95,647 $ 0.13 $ 0.13 $ 0.46 $ 0.56 Diluted net income per common share Numerator for diluted net income per common share: Numerator for basic net income per common share $ 11,998 $ 12,554 $ 44,286 $ 53,785 Denominator for diluted net income per common share: Denominator for basic net income per common share 95,792 95,678 95,768 95,647 Net effect of dilutive equity awards 131 188 137 152 95,923 95,866 95,905 95,799 $ 0.13 $ 0.13 $ 0.46 $ 0.56 |
RESIDENTIAL MORTGAGE INVESTME19
RESIDENTIAL MORTGAGE INVESTMENTS (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Investments Debt And Equity Securities [Abstract] | |
Schedule of Residential Mortgage Investments | Residential mortgage investments classified by collateral type and interest rate characteristics as of the indicated dates were as follows (dollars in thousands): Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (b) September 30, 2017 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 294 $ – $ 294 $ 294 6.52 % 6.27 % ARMs 10,358,892 322,475 10,681,367 10,771,142 2.94 1.72 Ginnie Mae ARMs 2,743,838 85,219 2,829,057 2,830,421 2.68 1.57 13,103,024 407,694 13,510,718 13,601,857 2.88 1.69 Residential mortgage loans: Fixed-rate 667 1 668 668 6.73 4.38 ARMs 1,507 8 1,515 1,515 3.85 3.49 2,174 9 2,183 2,183 4.73 3.76 Collateral for structured financings 1,518 25 1,543 1,543 7.99 7.89 $ 13,106,716 $ 407,728 $ 13,514,444 $ 13,605,583 2.88 1.69 December 31, 2016 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 385 $ 1 $ 386 $ 386 6.65 % 6.44 % ARMs 10,057,761 314,799 10,372,560 10,483,367 2.74 1.60 Ginnie Mae ARMs 2,743,160 90,300 2,833,460 2,828,288 2.51 1.14 12,801,306 405,100 13,206,406 13,312,041 2.69 1.50 Residential mortgage loans: Fixed-rate 735 1 736 736 6.72 4.01 ARMs 1,839 9 1,848 1,848 3.80 2.96 2,574 10 2,584 2,584 4.63 3.26 Collateral for structured financings 1,630 27 1,657 1,657 7.98 7.91 $ 12,805,510 $ 405,137 $ 13,210,647 $ 13,316,282 2.69 1.50 (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, 2017 | |
Disclosure Of Repurchase Agreements [Abstract] | |
Schedule of Secured Borrowings | Secured borrowings (and related pledged collateral, including accrued interest receivable), classified by collateral type and remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands): Collateral Type Collateral Carrying Amount Accrued Interest Receivable Borrowings Outstanding Average Borrowing Rates September 30, 2017 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 13,091,941 $ 30,246 $ 12,432,771 1.33 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (greater than 90 days) 36,309 132 33,073 1.53 Similar borrowings: Collateral for structured financings 1,543 – 1,543 7.99 $ 13,129,793 $ 30,378 $ 12,467,387 1.33 Quarter-end borrowing rates adjusted for effects of related derivative financial instruments (Derivatives) held as cash flow hedges 1.21 December 31, 2016 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 12,643,359 $ 27,889 $ 11,991,532 0.96 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 162,551 351 152,157 0.93 Similar borrowings: Collateral for structured financings 1,657 – 1,657 7.98 $ 12,807,567 $ 28,240 $ 12,145,346 0.96 Year-end borrowing rates adjusted for effects of related Derivatives held as cash flow hedges 1.04 |
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, 2017 December 31, 2016 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 $ 12,549,893 1.17 % $ 12,380,375 0.89 % |
USE OF DERIVATIVES, OFFSETTIN21
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Schedule of Swap Agreements Expiration Period and Characteristics | At September 30, 2017, 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 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 Fourth quarter 2018 800,000 1.15 First quarter 2019 950,000 1.58 Second quarter 2019 1,650,000 1.33 Third quarter 2019 550,000 1.40 Fourth quarter 2019 300,000 1.55 First quarter 2020 200,000 1.75 Third quarter 2020 200,000 1.64 $ 8,850,000 |
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 2017 2016 Balance sheet-related Swap agreements in a gain position (an asset) related to: Secured borrowings (a) $ 2,022 $ 24,709 Swap agreements in a loss position (a liability) related to: Secured borrowings (a) – (222 ) Unsecured borrowings (a) (24,759 ) (24,195 ) Related net interest payable (b) (1,015 ) (11,989 ) $ (23,752 ) $ (11,697 ) (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 unrealized gains, net of unrealized losses, scheduled to be recognized in the Statements of Income over the next twelve months primarily in the form of current market rates in excess of fixed-rate swap payments totaled $12.3 million at September 30, 2017. (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 2017 2016 2017 2016 Income statement-related Components of Secured borrowings-related effects on interest expense: Amount of gain (loss) reclassified from Accumulated other comprehensive income $ 3,912 $ (4,261 ) $ 4,412 $ (14,134 ) Amount of gain (loss) recognized in income 1,141 (323 ) (360 ) (1,210 ) (a) 5,053 (4,584 ) 4,052 (15,344 ) Component of Unsecured borrowings-related effects on interest expense: Amount of loss reclassified from Accumulated other comprehensive income (b) (699 ) (666 ) (2,205 ) (1,973 ) Decrease (increase) in interest expense and increase (decrease) in Net income of Derivatives $ 4,354 $ (5,250 ) $ 1,847 $ (17,317 ) Other comprehensive income-related Amount of gain (loss) recognized in Other comprehensive income $ 1,827 $ 12,558 $ 3,541 $ (41,714 ) (a) Included in “Interest expense: Secured borrowings” on the face of the Statements of Income. (b) Included in “Interest expense: Unsecured 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 (d) Amounts of Offset in Presented in Cash Recognized the Balance the Balance Financial Collateral Net Assets (c) Sheet (c) Sheet Instruments Received Amount September 30, 2017 Counterparty 4 $ 16,461 $ (14,439 ) $ 2,022 $ – $ – $ 2,022 December 31, 2016 Counterparty 4 $ 18,100 $ 6,609 $ 24,709 $ (11,681 ) $ – $ 13,028 (c) Included in gross amounts of recognized assets at September 30, 2017 is the fair value of exchange-traded swap agreements, calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with these swaps at September 30, 2017. (d) 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. |
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 Cash Recognized the Balance the Balance Financial Collateral Net Liabilities (a) Sheet (a) Sheet (b) Instruments Pledged Amount September 30, 2017 Derivatives by counterparty: Counterparty 1 $ 25,774 $ – $ 25,774 $ – $ (25,774 ) $ – Counterparty 4 5,597 (5,597 ) – – – – 31,371 (5,597 ) 25,774 – (25,774 ) – Borrowings under repurchase arrangements (d) 12,470,704 – 12,470,704 (12,470,704 ) – – $ 12,502,075 $ (5,597 ) $ 12,496,478 $ (12,470,704 ) $ (25,774 ) $ – December 31, 2016 Derivatives by counterparty: Counterparty 1 $ 24,725 $ – $ 24,725 $ – $ (24,725 ) $ – Counterparty 4 5,072 6,609 11,681 (11,681 ) – – 29,797 6,609 36,406 (11,681 ) (24,725 ) – Borrowings under repurchase arrangements (d) 12,151,122 – 12,151,122 (12,151,122 ) – – $ 12,180,919 $ 6,609 $ 12,187,528 $ (12,162,803 ) $ (24,725 ) $ – (a) Included in gross amounts of recognized liabilities at September 30, 2017 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at September 30, 2017. (b) 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. (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. (d) Amounts include accrued interest payable of $4.9 million and $7.4 million on borrowings under repurchase arrangements as of September 30, 2017 and December 31, 2016, respectively. |
Changes in Accumulated Other Comprehensive Income | Changes in Accumulated other comprehensive income Unrealized Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at June 30, 2017 $ 2,871 $ 98,211 $ 101,082 Activity for the quarter ended September 30, 2017: Other comprehensive income (loss) before reclassifications 1,827 (7,072 ) (5,245 ) Amounts reclassified from accumulated other comprehensive income (3,213 ) – (3,213 ) Other comprehensive income (loss) (1,386 ) (7,072 ) (8,458 ) Balance at September 30, 2017 $ 1,485 $ 91,139 $ 92,624 Balance at December 31, 2016 $ 151 $ 105,635 $ 105,786 Activity for the nine months ended September 30, 2017: Other comprehensive income (loss) before reclassifications 3,541 (14,496 ) (10,955 ) Amounts reclassified from accumulated other comprehensive income (2,207 ) – (2,207 ) Other comprehensive income (loss) 1,334 (14,496 ) (13,162 ) Balance at September 30, 2017 $ 1,485 $ 91,139 $ 92,624 |
UNSECURED BORROWINGS (Tables)
UNSECURED BORROWINGS (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Debt Disclosure [Abstract] | |
Schedule of Subordinated Note Balances and Related Weighted Average Interest Rates | September 30, 2017 December 31, 2016 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,305 7.90 % $ 34,276 7.91 % December 2035 ($40,000 face amount) 39,311 7.66 39,282 7.67 September 2036 ($25,000 face amount) 24,550 7.70 24,532 7.71 $ 98,166 7.75 $ 98,090 7.77 |
DISCLOSURES REGARDING FAIR VA23
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [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, 2017 December 31, 2016 Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Residential mortgage loans $ 2,183 $ 2,200 $ 2,584 $ 2,600 Lending counterparty investments 5,002 5,002 5,002 5,002 Secured borrowings-related interest rate swap agreements 2,022 2,022 24,709 24,709 Financial liabilities: Secured borrowings with initial terms of greater than 120 days 33,073 33,100 139,101 139,100 Unsecured borrowings 98,166 71,600 98,090 68,800 Interest rate swap agreements: Secured borrowings-related – – 222 222 Unsecured borrowings-related 24,759 24,759 24,195 24,195 |
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, 2017 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 10,681,367 $ 102,336 $ 12,561 $ 10,771,142 Ginnie Mae 2,829,057 10,234 8,870 2,830,421 Residential mortgage securities classified as held-to-maturity 1,837 19 – 1,856 December 31, 2016 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac 10,372,566 134,797 23,990 10,483,373 Ginnie Mae 2,833,460 10,141 15,313 2,828,288 Residential mortgage securities classified as held-to-maturity 2,037 24 – 2,061 |
Securities in Unrealized Loss Position | September 30, 2017 December 31, 2016 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position: One year or greater $ 1,220,505 $ 9,584 $ 1,050,221 $ 8,418 Less than one year 3,544,982 11,847 4,418,674 30,885 $ 4,765,487 $ 21,431 $ 5,468,895 $ 39,303 |
COMPENSATION PROGRAMS (Tables)
COMPENSATION PROGRAMS (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Schedule of Performance-Based and Service-Based Stock Award Activity | Performance-based and service-based stock award activity for the nine months ended September 30, 2017 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested stock awards outstanding at December 31, 2016 305,567 $ 10.29 Grants 165,659 10.32 Forfeitures (24,881 ) 9.32 Vestings (139,721 ) 11.35 Unvested stock awards outstanding at September 30, 2017 306,624 9.90 |
BASIS OF PRESENTATION - Additio
BASIS OF PRESENTATION - Additional Information (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Compensation-Related Expense [Member] | |||
Basis Of Presentation [Line Items] | |||
Reclassification of separation of service charge to compensation-related expense | $ 2,700,000 | $ 2,700,000 | |
ASU 2017-12 [Member] | Interest Expense [Member] | |||
Basis Of Presentation [Line Items] | |||
Reversal of expense related to hedge ineffectiveness on designated swaps | $ 863,000 | ||
ASU 2017-12 [Member] | Accumulated Deficit [Member] | |||
Basis Of Presentation [Line Items] | |||
Reclassification of ineffectiveness income on designated swaps to accumulated deficit | $ 105,000 |
NET INCOME PER COMMON SHARE - A
NET INCOME PER COMMON SHARE - Additional Information (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
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% |
NET INCOME PER COMMON SHARE - C
NET INCOME PER COMMON SHARE - Components of Computation of Basic and Diluted Net Income per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Numerator for basic net income per common share [Abstract] | ||||
Net income | $ 16,752 | $ 16,440 | $ 57,002 | $ 65,423 |
Preferred stock dividends | (4,718) | (3,846) | (12,600) | (11,515) |
Earnings participation of unvested equity awards | (36) | (40) | (116) | (123) |
Numerator for basic net income per common share | $ 11,998 | $ 12,554 | $ 44,286 | $ 53,785 |
Denominator for basic net income per common share [Abstract] | ||||
Average number of shares of common stock outstanding (in shares) | 96,094 | 95,978 | 96,073 | 95,946 |
Average unvested stock awards outstanding (in shares) | (302) | (300) | (305) | (299) |
Denominator for basic net income per common share (in shares) | 95,792 | 95,678 | 95,768 | 95,647 |
Basic net income per common share (in dollars per share) | $ 0.13 | $ 0.13 | $ 0.46 | $ 0.56 |
Numerator for diluted net income per common share [Abstract] | ||||
Numerator for basic net income per common share | $ 11,998 | $ 12,554 | $ 44,286 | $ 53,785 |
Denominator for diluted net income per common share [Abstract] | ||||
Denominator for basic net income per common share (in shares) | 95,792 | 95,678 | 95,768 | 95,647 |
Net effect of dilutive equity awards (in shares) | 131 | 188 | 137 | 152 |
Denominator for diluted net income per common share (in shares) | 95,923 | 95,866 | 95,905 | 95,799 |
Diluted net income per common share (in dollars per share) | $ 0.13 | $ 0.13 | $ 0.46 | $ 0.56 |
RESIDENTIAL MORTGAGE INVESTME28
RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2016 | ||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 13,106,716 | $ 12,805,510 | |
Investment Premiums | 407,728 | 405,137 | |
Amortized Cost Basis | 13,514,444 | 13,210,647 | |
Carrying Amount | [1] | $ 13,605,583 | $ 13,316,282 |
Net WAC | [2] | 2.88% | 2.69% |
Average Yield | [2] | 1.69% | 1.50% |
Agency Securities [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 13,103,024 | $ 12,801,306 | |
Investment Premiums | 407,694 | 405,100 | |
Amortized Cost Basis | 13,510,718 | 13,206,406 | |
Carrying Amount | [1] | $ 13,601,857 | $ 13,312,041 |
Net WAC | [2] | 2.88% | 2.69% |
Average Yield | [2] | 1.69% | 1.50% |
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | Fixed-Rate [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 294 | $ 385 | |
Investment Premiums | 1 | ||
Amortized Cost Basis | 294 | 386 | |
Carrying Amount | [1] | $ 294 | $ 386 |
Net WAC | [2] | 6.52% | 6.65% |
Average Yield | [2] | 6.27% | 6.44% |
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 10,358,892 | $ 10,057,761 | |
Investment Premiums | 322,475 | 314,799 | |
Amortized Cost Basis | 10,681,367 | 10,372,560 | |
Carrying Amount | [1] | $ 10,771,142 | $ 10,483,367 |
Net WAC | [2] | 2.94% | 2.74% |
Average Yield | [2] | 1.72% | 1.60% |
Agency Securities [Member] | Ginnie Mae [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 2,743,838 | $ 2,743,160 | |
Investment Premiums | 85,219 | 90,300 | |
Amortized Cost Basis | 2,829,057 | 2,833,460 | |
Carrying Amount | [1] | $ 2,830,421 | $ 2,828,288 |
Net WAC | [2] | 2.68% | 2.51% |
Average Yield | [2] | 1.57% | 1.14% |
Residential Mortgage Loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 2,174 | $ 2,574 | |
Investment Premiums | 9 | 10 | |
Amortized Cost Basis | 2,183 | 2,584 | |
Carrying Amount | [1] | $ 2,183 | $ 2,584 |
Net WAC | [2] | 4.73% | 4.63% |
Average Yield | [2] | 3.76% | 3.26% |
Residential Mortgage Loans [Member] | Fixed-Rate [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 667 | $ 735 | |
Investment Premiums | 1 | 1 | |
Amortized Cost Basis | 668 | 736 | |
Carrying Amount | [1] | $ 668 | $ 736 |
Net WAC | [2] | 6.73% | 6.72% |
Average Yield | [2] | 4.38% | 4.01% |
Residential Mortgage Loans [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 1,507 | $ 1,839 | |
Investment Premiums | 8 | 9 | |
Amortized Cost Basis | 1,515 | 1,848 | |
Carrying Amount | [1] | $ 1,515 | $ 1,848 |
Net WAC | [2] | 3.85% | 3.80% |
Average Yield | [2] | 3.49% | 2.96% |
Collateral for Structured Financings [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 1,518 | $ 1,630 | |
Investment Premiums | 25 | 27 | |
Amortized Cost Basis | 1,543 | 1,657 | |
Carrying Amount | [1] | $ 1,543 | $ 1,657 |
Net WAC | [2] | 7.99% | 7.98% |
Average Yield | [2] | 7.89% | 7.91% |
[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 - Additional Information (Details) $ in Millions | 9 Months Ended |
Sep. 30, 2017USD ($) | |
Financing Receivable, Recorded Investment [Line Items] | |
Mortgage securities weighted average contractual maturity | 290 months |
Available for sale ARM securities, current-reset | $ 6,930 |
Available for sale ARM securities, longer-to-reset | $ 6,580 |
Current-Reset ARMs [Member] | |
Financing Receivable, Recorded Investment [Line Items] | |
Agency securities average months to roll | 6 months 16 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 28 days |
Longer-To-Reset ARMs [Member] | Minimum [Member] | |
Financing Receivable, Recorded Investment [Line Items] | |
Agency securities months to roll | 18 months |
SECURED BORROWINGS - Schedule o
SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Borrowings outstanding | [1],[2] | $ 12,470,704 | $ 12,151,122 |
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 | 1.21% | ||
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 | 1.04% | ||
Agency Securities [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 13,129,793 | $ 12,807,567 | |
Accrued interest receivable | 30,378 | 28,240 | |
Borrowings outstanding | $ 12,467,387 | $ 12,145,346 | |
Average borrowing rates | 1.33% | 0.96% | |
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 13,091,941 | $ 12,643,359 | |
Accrued interest receivable | 30,246 | 27,889 | |
Borrowings outstanding | $ 12,432,771 | $ 11,991,532 | |
Average borrowing rates | 1.33% | 0.96% | |
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 162,551 | ||
Accrued interest receivable | 351 | ||
Borrowings outstanding | $ 152,157 | ||
Average borrowing rates | 0.93% | ||
Agency Securities [Member] | Borrowings with Maturities Greater than 90 Days [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 36,309 | ||
Accrued interest receivable | 132 | ||
Borrowings outstanding | $ 33,073 | ||
Average borrowing rates | 1.53% | ||
Agency Securities [Member] | Similar Borrowings [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 1,543 | $ 1,657 | |
Borrowings outstanding | $ 1,543 | $ 1,657 | |
Average borrowing rates | 7.99% | 7.98% | |
[1] | Amounts include accrued interest payable of $4.9 million and $7.4 million on borrowings under repurchase arrangements as of September 30, 2017 and December 31, 2016, respectively. | ||
[2] | Included in gross amounts of recognized liabilities at September 30, 2017 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at September 30, 2017. |
SECURED BORROWINGS - Schedule31
SECURED BORROWINGS - Schedule of Average Borrowings Outstanding (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2016 | |
Disclosure Of Repurchase Agreements [Abstract] | ||
Average borrowings for the effects of related derivatives held as cash flow hedges | $ 12,549,893 | $ 12,380,375 |
Effective borrowing rate considering cash flow hedges | 1.17% | 0.89% |
USE OF DERIVATIVES, OFFSETTIN32
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Additional Information (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Sep. 30, 2017 | Dec. 31, 2010 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
SWAP agreement notional amount during period | $ 650 | $ 3,000 | $ 100 |
SWAP agreement average interest rate during period | 1.58% | 1.58% | 4.09% |
Swap agreement notional amount expiring during period | $ 400 | $ 2,300 | |
SWAP agreement average interest rate expiring during period | 0.74% | 0.73% | |
Interest Rate Swap Agreements [Member] | |||
Notional Disclosures [Abstract] | |||
Payment term of LIBOR interest rate agreement | 20 years |
USE OF DERIVATIVES, OFFSETTIN33
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Swap Agreements Expiration Period and Characteristics (Details) $ in Thousands | Jun. 30, 2017USD ($) |
Notional Disclosures [Abstract] | |
Notional Amount | $ 8,850,000 |
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2017 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 1,500,000 |
Average Fixed-Rate Payment Requirement | 0.79% |
Interest Rate SWAP Currently-Paying Contracts Expiring First Quarter 2018 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 1,700,000 |
Average Fixed-Rate Payment Requirement | 0.76% |
Interest Rate SWAP Currently-Paying Contracts Expiring Second Quarter 2018 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 600,000 |
Average Fixed-Rate Payment Requirement | 0.79% |
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2018 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 400,000 |
Average Fixed-Rate Payment Requirement | 0.88% |
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2018 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 800,000 |
Average Fixed-Rate Payment Requirement | 1.15% |
Interest Rate SWAP Currently-Paying Contracts Expiring First Quarter 2019 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 950,000 |
Average Fixed-Rate Payment Requirement | 1.58% |
Interest Rate SWAP Currently-Paying Contracts Expiring Second Quarter 2019 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 1,650,000 |
Average Fixed-Rate Payment Requirement | 1.33% |
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2019 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 550,000 |
Average Fixed-Rate Payment Requirement | 1.40% |
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2019 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 300,000 |
Average Fixed-Rate Payment Requirement | 1.55% |
Interest Rate SWAP Currently-Paying Contracts Expiring First Quarter 2020 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 200,000 |
Average Fixed-Rate Payment Requirement | 1.75% |
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2020 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 200,000 |
Average Fixed-Rate Payment Requirement | 1.64% |
USE OF DERIVATIVES, OFFSETTIN34
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Components of Balance Sheet and Income Statement Location (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | ||
Balance sheet-related [Abstract] | ||||||
Swap agreements in a gain position (an asset) related to borrowings | $ 2,022 | $ 2,022 | $ 24,709 | |||
Swap agreements in a loss position (a liability) related to borrowings | (24,759) | (24,759) | (24,417) | |||
Interest rate swap agreements at fair value, net assets (liability) | (23,752) | (23,752) | (11,697) | |||
Income statement-related [Abstract] | ||||||
Amount of gain (loss) reclassified from Accumulated other comprehensive income | (3,213) | $ 4,927 | (2,207) | $ 16,107 | ||
Other comprehensive income (loss)-related [Abstract] | ||||||
Amount of gain (loss) recognized in Other comprehensive income | 1,827 | 12,558 | 3,541 | (41,714) | ||
Interest Expense [Member] | ||||||
Income statement-related [Abstract] | ||||||
Decrease (increase) in interest expense and increase(decrease) in Net income as a result of the use of Derivatives | 4,354 | (5,250) | 1,847 | (17,317) | ||
Secured Borrowings [Member] | Interest Expense [Member] | ||||||
Income statement-related [Abstract] | ||||||
Amount of gain (loss) reclassified from Accumulated other comprehensive income | 3,912 | (4,261) | 4,412 | (14,134) | ||
Amount of gain (loss) recognized in income | 1,141 | (323) | (360) | (1,210) | ||
Decrease (increase) in interest expense and increase(decrease) in Net income as a result of the use of Derivatives | [1] | 5,053 | (4,584) | 4,052 | (15,344) | |
Unsecured Borrowings [Member] | Interest Expense [Member] | ||||||
Income statement-related [Abstract] | ||||||
Amount of gain (loss) reclassified from Accumulated other comprehensive income | [2] | (699) | $ (666) | (2,205) | $ (1,973) | |
Receivable and 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 | [3] | 2,022 | 2,022 | 24,709 | ||
Interest Rate Swap Agreements at Fair Value [Member] | Secured Borrowings [Member] | ||||||
Balance sheet-related [Abstract] | ||||||
Swap agreements in a loss position (a liability) related to borrowings | [3] | (222) | ||||
Interest Rate Swap Agreements at Fair Value [Member] | Unsecured Borrowings [Member] | ||||||
Balance sheet-related [Abstract] | ||||||
Swap agreements in a loss position (a liability) related to borrowings | [3] | (24,759) | (24,759) | (24,195) | ||
Accounts Payable and Accrued Liabilities [Member] | ||||||
Balance sheet-related [Abstract] | ||||||
Related net interest payable | [4] | $ (1,015) | $ (1,015) | $ (11,989) | ||
[1] | Included in “Interest expense: Secured borrowings” on the face of the Statements of Income. | |||||
[2] | Included in “Interest expense: Unsecured borrowings” on the face of the Statements of Income | |||||
[3] | The fair value of Derivatives with unrealized gains are aggregated and recorded as an asset on the face of the Balance Sheets separately from the fair value of Derivatives with unrealized losses that are recorded as a liability. The amount of unrealized gains, net of unrealized losses, scheduled to be recognized in the Statements of Income over the next twelve months primarily in the form of current market rates in excess of fixed-rate swap payments totaled $12.3 million at September 30, 2017. | |||||
[4] | Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets. |
USE OF DERIVATIVES, OFFSETTIN35
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Components Balance Sheet and Income Statement Location (Parenthetical) (Details) $ in Millions | 9 Months Ended |
Sep. 30, 2017USD ($) | |
Notional Disclosures [Abstract] | |
Derivative instruments unrealized gains to be recognized | $ 12.3 |
USE OF DERIVATIVES, OFFSETTIN36
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Offsetting of derivative assets [Abstract] | |||
Gross Amounts of Recognized Assets | $ 2,022 | $ 24,709 | |
Net Amounts of Assets Presented in the Balance Sheet | 23,752 | 11,697 | |
Offsetting Derivatives Assets [Member] | Counterparty 4 [Member] | |||
Offsetting of derivative assets [Abstract] | |||
Gross Amounts of Recognized Assets | [1] | 16,461 | 18,100 |
Gross Amounts Offset in the Balance Sheet | [1] | (14,439) | 6,609 |
Net Amounts of Assets Presented in the Balance Sheet | 2,022 | 24,709 | |
Financial Instruments | [2] | 0 | (11,681) |
Cash Collateral Received | [2] | 0 | 0 |
Net Amount | $ 2,022 | $ 13,028 | |
[1] | Included in gross amounts of recognized assets at September 30, 2017 is the fair value of exchange-traded swap agreements, calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with these swaps at September 30, 2017. | ||
[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. |
USE OF DERIVATIVES, OFFSETTIN37
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Financial Liabilities and Derivative Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities (Derivatives) | $ 24,759 | $ 24,417 | |
Cash Collateral Pledged (Derivatives) | (47,250) | (29,660) | |
Gross Amounts of Recognized Liabilities (Repurchase Arrangements) | [1],[2] | 12,470,704 | 12,151,122 |
Gross Amounts Offset in the Balance Sheet (Repurchase Arrangements) | [1],[2] | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheet (Repurchase Arrangements) | [1],[3] | 12,470,704 | 12,151,122 |
Financial Instruments (Repurchase Arrangements) | [1],[4] | (12,470,704) | (12,151,122) |
Cash Collateral Pledged (Repurchase Arrangements) | [1],[4] | 0 | 0 |
Net Amount (Repurchase Arrangements) | [1] | 0 | 0 |
Gross Amounts of Recognized Liabilities (Financial Liabilities Total) | [2] | 12,502,075 | 12,180,919 |
Gross Amounts Offset in the Balance Sheet (Financial Liabilities Total) | [2] | (5,597) | 6,609 |
Net Amounts of Liabilities Presented in the Balance Sheet (Financial Liabilities Total) | [3] | 12,496,478 | 12,187,528 |
Financial Instruments (Financial Liabilities Total) | [4] | (12,470,704) | (12,162,803) |
Cash Collateral Pledged (Financial Liabilities Total) | [4] | (25,774) | (24,725) |
Net Amount (Financial Liabilities Total) | 0 | 0 | |
Counterparty 1 [Member] | |||
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities (Derivatives) | [2] | 25,774 | 24,725 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 25,774 | 24,725 |
Financial Instruments (Derivatives) | [4] | 0 | 0 |
Cash Collateral Pledged (Derivatives) | [4] | (25,774) | (24,725) |
Net Amount (Derivatives) | 0 | 0 | |
Counterparty 4 [Member] | |||
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities (Derivatives) | [2] | 5,597 | 5,072 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | (5,597) | 6,609 |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 0 | 11,681 |
Financial Instruments (Derivatives) | [4] | 0 | (11,681) |
Cash Collateral Pledged (Derivatives) | [4] | 0 | 0 |
Net Amount (Derivatives) | 0 | 0 | |
Derivative Counterparties [Member] | |||
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities (Derivatives) | [2] | 31,371 | 29,797 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | (5,597) | 6,609 |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 25,774 | 36,406 |
Financial Instruments (Derivatives) | [4] | 0 | (11,681) |
Cash Collateral Pledged (Derivatives) | [4] | (25,774) | (24,725) |
Net Amount (Derivatives) | $ 0 | $ 0 | |
[1] | Amounts include accrued interest payable of $4.9 million and $7.4 million on borrowings under repurchase arrangements as of September 30, 2017 and December 31, 2016, respectively. | ||
[2] | Included in gross amounts of recognized liabilities at September 30, 2017 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at September 30, 2017. | ||
[3] | Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. | ||
[4] | Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. |
USE OF DERIVATIVES, OFFSETTIN38
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Financial Liabilities and Derivative Liabilities (Parenthetical) (Details) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 |
Portfolio-Related Secured Borrowings [Member] | ||
Notional Disclosures [Abstract] | ||
Accrued interest payable | $ 4.9 | $ 7.4 |
USE OF DERIVATIVES, OFFSETTIN39
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Changes in Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Accumulated Other Comprehensive Income Loss [Line Items] | ||||
Beginning Balance | $ 1,247,687 | |||
Other comprehensive income (loss) before reclassifications | $ (5,245) | (10,955) | ||
Amounts reclassified from accumulated other comprehensive income | (3,213) | (2,207) | ||
Other comprehensive income (loss) | (8,458) | $ (1,670) | (13,162) | $ (15,362) |
Ending Balance | 1,273,403 | 1,273,403 | ||
Unrealized Gains and Losses on Cash Flow Hedges [Member] | ||||
Accumulated Other Comprehensive Income Loss [Line Items] | ||||
Beginning Balance | 2,871 | 151 | ||
Other comprehensive income (loss) before reclassifications | 1,827 | 3,541 | ||
Amounts reclassified from accumulated other comprehensive income | (3,213) | (2,207) | ||
Other comprehensive income (loss) | (1,386) | 1,334 | ||
Ending Balance | 1,485 | 1,485 | ||
Unrealized Gains and Losses on Available-for-sale Securities [Member] | ||||
Accumulated Other Comprehensive Income Loss [Line Items] | ||||
Beginning Balance | 98,211 | 105,635 | ||
Other comprehensive income (loss) before reclassifications | (7,072) | (14,496) | ||
Amounts reclassified from accumulated other comprehensive income | 0 | 0 | ||
Other comprehensive income (loss) | (7,072) | (14,496) | ||
Ending Balance | 91,139 | 91,139 | ||
Accumulated Other Comprehensive Income [Member] | ||||
Accumulated Other Comprehensive Income Loss [Line Items] | ||||
Beginning Balance | 101,082 | 105,786 | ||
Ending Balance | $ 92,624 | $ 92,624 |
UNSECURED BORROWINGS - Addition
UNSECURED BORROWINGS - Additional Information (Details) - Junior Subordinated Debt [Member] $ in Millions | 9 Months Ended |
Sep. 30, 2017USD ($) | |
Debt Instrument [Line Items] | |
Junior subordinated notes maturity term | 30 years |
Face amount of junior subordinated notes | $ 100 |
UNSECURED BORROWINGS - Schedule
UNSECURED BORROWINGS - Schedule of Subordinated Note Balances and Related Weighted Average Interest Rates (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2016 | |
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 98,166 | $ 98,090 |
Effective interest rate | 7.75% | 7.77% |
October 2035 [Member] | ||
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 34,305 | $ 34,276 |
Effective interest rate | 7.90% | 7.91% |
Junior subordinated notes, maturity period | Oct. 31, 2035 | |
Face amount of junior subordinated notes | $ 35,000 | |
December 2035 [Member] | ||
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 39,311 | $ 39,282 |
Effective interest rate | 7.66% | 7.67% |
Junior subordinated notes, maturity period | Dec. 31, 2035 | |
Face amount of junior subordinated notes | $ 40,000 | |
September 2036 [Member] | ||
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 24,550 | $ 24,532 |
Effective interest rate | 7.70% | 7.71% |
Junior subordinated notes, maturity period | Sep. 30, 2036 | |
Face amount of junior subordinated notes | $ 25,000 |
CAPITAL TRANSACTIONS - Addition
CAPITAL TRANSACTIONS - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | |
Nov. 03, 2017 | Sep. 30, 2017 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Class of Stock [Line Items] | |||||
Net proceeds from issuance of redeemable preferred stock | $ 52,051 | $ 1,167 | |||
Cumulative Redeemable Preferred Stock, Series E [Member] | |||||
Class of Stock [Line Items] | |||||
Additional shares issued (in shares) | 1,700,000 | 2,100,000 | |||
Preferred stock, dividend rate | 7.50% | 7.50% | |||
Average price per share, net (in dollars per share) | $ 24.79 | $ 24.77 | |||
Net proceeds from issuance of redeemable preferred stock | $ 42,100 | $ 51,900 | |||
Cumulative Redeemable Preferred Stock, Series E [Member] | Subsequent Event [Member] | |||||
Class of Stock [Line Items] | |||||
Additional shares issued (in shares) | 0 |
DISCLOSURES REGARDING FAIR VA43
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS - Additional Information (Details) | 9 Months Ended |
Sep. 30, 2017 | |
Maximum [Member] | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Repurchase arrangements, initial term | 120 days |
DISCLOSURES REGARDING FAIR VA44
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS - Financial Instruments Other than Debt Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Financial assets [Abstract] | ||
Residential mortgage loans | $ 13,605,583 | $ 13,316,282 |
Carrying Amount [Member] | ||
Financial assets [Abstract] | ||
Residential mortgage loans | 2,183 | 2,584 |
Lending counterparty investments | 5,002 | 5,002 |
Financial liabilities [Abstract] | ||
Secured borrowings with initial terms of greater than 120 days | 33,073 | 139,101 |
Unsecured borrowings | 98,166 | 98,090 |
Fair Value [Member] | ||
Financial assets [Abstract] | ||
Residential mortgage loans | 2,200 | 2,600 |
Lending counterparty investments | 5,002 | 5,002 |
Financial liabilities [Abstract] | ||
Secured borrowings with initial terms of greater than 120 days | 33,100 | 139,100 |
Unsecured borrowings | 71,600 | 68,800 |
Interest Rate Swap Agreements [Member] | Carrying Amount [Member] | Secured Borrowings [Member] | ||
Financial assets [Abstract] | ||
Secured borrowings-related interest rate swap agreements | 2,022 | 24,709 |
Financial liabilities [Abstract] | ||
Interest rate swap agreements | 222 | |
Interest Rate Swap Agreements [Member] | Carrying Amount [Member] | Unsecured Borrowings-Related [Member] | ||
Financial liabilities [Abstract] | ||
Interest rate swap agreements | 24,759 | 24,195 |
Interest Rate Swap Agreements [Member] | Fair Value [Member] | Secured Borrowings [Member] | ||
Financial assets [Abstract] | ||
Secured borrowings-related interest rate swap agreements | 2,022 | 24,709 |
Financial liabilities [Abstract] | ||
Interest rate swap agreements | 222 | |
Interest Rate Swap Agreements [Member] | Fair Value [Member] | Unsecured Borrowings-Related [Member] | ||
Financial liabilities [Abstract] | ||
Interest rate swap agreements | $ 24,759 | $ 24,195 |
DISCLOSURES REGARDING FAIR VA45
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS - Fair Value and Related Disclosures for Debt Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Residential Mortgage Securities Classified as Held-to-Maturity [Member] | ||
Held-to-maturity securities disclosure [Abstract] | ||
Held-to-maturities, Amortized Cost Basis | $ 1,837 | $ 2,037 |
Held-to-maturities, Gross Unrealized Gains | 19 | 24 |
Held-to-maturities, Fair Value | 1,856 | 2,061 |
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 | 10,681,367 | 10,372,566 |
Available-for-sale securities, Gross Unrealized Gains | 102,336 | 134,797 |
Available-for-sale securities, Gross Unrealized Losses | 12,561 | 23,990 |
Available-for-sale securities, Fair Value | 10,771,142 | 10,483,373 |
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 | 2,829,057 | 2,833,460 |
Available-for-sale securities, Gross Unrealized Gains | 10,234 | 10,141 |
Available-for-sale securities, Gross Unrealized Losses | 8,870 | 15,313 |
Available-for-sale securities, Fair Value | $ 2,830,421 | $ 2,828,288 |
DISCLOSURES REGARDING FAIR VA46
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS - Securities in Unrealized Loss Position (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Securities in an unrealized loss position, fair value [Abstract] | ||
One year or greater | $ 1,220,505 | $ 1,050,221 |
Less than one year | 3,544,982 | 4,418,674 |
Fair Value, Total | 4,765,487 | 5,468,895 |
Securities in an unrealized loss position, aggregate loss [Abstract] | ||
One year or greater | 9,584 | 8,418 |
Less than one year | 11,847 | 30,885 |
Unrealized Losses, Total | $ 21,431 | $ 39,303 |
COMPENSATION PROGRAMS - Additio
COMPENSATION PROGRAMS - Additional Information (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||||
Jan. 31, 2017 | Jul. 31, 2016 | Feb. 29, 2016 | Jan. 31, 2016 | Jan. 31, 2015 | Dec. 31, 2013 | Sep. 30, 2017 | Mar. 31, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Short-term incentive compensation program accruals | $ 694,000 | $ 694,000 | |||||||||||||
Annual incentive compensation expense | 1,073,000 | $ 4,039,000 | 4,021,000 | $ 9,305,000 | |||||||||||
Adjustment of short-term incentive compensation program accruals | $ 938,000 | ||||||||||||||
Dividend equivalent rights payable | 18,688,000 | $ 18,688,000 | $ 22,634,000 | ||||||||||||
Total original grants (in shares) | 165,659 | ||||||||||||||
Grant date fair value per share (in dollars per share) | $ 10.32 | ||||||||||||||
Forfeitures (in shares) | (24,881) | ||||||||||||||
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 | $ 31,000 | $ 119,000 | |||||||||||||
Minimum [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Targeted award opportunity on base salary | 75.00% | ||||||||||||||
Maximum [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Targeted award opportunity on base salary | 125.00% | ||||||||||||||
Defined Contribution Plan Disclosure [Abstract] | |||||||||||||||
Defined contribution plan, annual contributions per employee | 6.00% | ||||||||||||||
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) | 3,684,662 | 3,684,662 | |||||||||||||
2017 Annual Incentive Compensation [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Annual incentive compensation expense | $ (124,000) | $ 694,000 | |||||||||||||
Dividend Equivalent Rights Program [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Annual incentive compensation expense | 100,000 | 320,000 | |||||||||||||
Dividend Equivalent Rights Program [Member] | Accounts Payable and Accrued Liabilities [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Dividend equivalent rights payable | 100,000 | 100,000 | |||||||||||||
Performance-based RSUs [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Dividend equivalent rights payable | 339,000 | $ 339,000 | |||||||||||||
Share awards performance period | 3 years | ||||||||||||||
Total original grants (in shares) | 148,894 | 269,354 | 247,512 | 242,505 | |||||||||||
Grant date fair value per share (in dollars per share) | $ 10.52 | $ 8.03 | $ 8.83 | $ 12.45 | |||||||||||
Long term incentive compensation expense | 73,000 | $ 696,000 | |||||||||||||
Performance-based RSUs [Member] | December 2016 [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Forfeitures (in shares) | (99,257) | ||||||||||||||
Performance-based RSUs [Member] | December 2015 [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Forfeitures (in shares) | (93,058) | (37,199) | |||||||||||||
Performance-based RSUs [Member] | December 2013 [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Forfeitures (in shares) | (36,467) | ||||||||||||||
Stock Awards Activity [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Long term incentive compensation expense | 220,000 | $ 660,000 | |||||||||||||
Other general and administrative expense | 106,000 | 316,000 | |||||||||||||
Total of unrecognized compensation expense for unvested stock award | 1,800,000 | $ 1,800,000 | |||||||||||||
Compensation cost not yet recognized, period for recognition | 1 year 4 months 25 days | ||||||||||||||
Stock Awards Activity [Member] | January 2017 [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Total original grants (in shares) | 62,137 | ||||||||||||||
Grant date fair value per share (in dollars per share) | $ 11.67 | ||||||||||||||
Service-Based Stock Awards [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Total original grants (in shares) | 41,881 | 41,797 | |||||||||||||
Grant date fair value per share (in dollars per share) | $ 10.03 | $ 10.05 | |||||||||||||
Forfeitures (in shares) | (24,881) | ||||||||||||||
Service-based stock awards issuance period | 1 year | ||||||||||||||
Grant date | Jul. 15, 2017 | Jul. 31, 2016 | |||||||||||||
Service-Based Stock Awards [Member] | Management [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Dividend equivalent rights payable | $ 114,000 | $ 114,000 | |||||||||||||
Total original grants (in shares) | 74,446 | 67,337 | |||||||||||||
Grant date fair value per share (in dollars per share) | $ 10.41 | $ 9.32 | |||||||||||||
Service-based stock awards issuance period | 3 years | ||||||||||||||
Share-based compensation arrangement by share-based payment award vesting period | 2020-01 | 2019-02 | |||||||||||||
Service-Based Stock Awards [Member] | Employee [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Total original grants (in shares) | 49,416 | 61,272 | 37,237 | 35,703 | |||||||||||
Grant date fair value per share (in dollars per share) | $ 10.41 | $ 7.87 | $ 12.47 | ||||||||||||
Service-based stock awards issuance period | 3 years | ||||||||||||||
Share-based compensation arrangement by share-based payment award vesting period | 2020-01 | 2019-01 | 2018-01 | ||||||||||||
Share-based compensation arrangement by share-based payment award vesting date | Jan. 3, 2017 | ||||||||||||||
Stock Option [Member] | |||||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||||
Exercisable option awards outstanding (in shares) | 30,000 | 30,000 | |||||||||||||
Weighted average strike price (in dollars per share) | $ 12.28 | $ 12.28 | |||||||||||||
Aggregate intrinsic value | $ 0 | $ 0 | |||||||||||||
Exercisable, weighted average remaining contractual term | 1 year 3 months 19 days | ||||||||||||||
Exercisable, intrinsic value | $ 0 | $ 0 | |||||||||||||
Share awards contractual term | 10 years |
COMPENSATION PROGRAMS - Schedul
COMPENSATION PROGRAMS - Schedule of Performance-Based and Service-Based Stock Award Activity (Details) | 9 Months Ended |
Sep. 30, 2017$ / sharesshares | |
Equity instruments other than options, nonvested, number of shares [Roll Forward] | |
Unvested stock awards outstanding at beginning of period (in shares) | shares | 305,567 |
Grants (in shares) | shares | 165,659 |
Forfeitures (in shares) | shares | (24,881) |
Vestings (in shares) | shares | (139,721) |
Unvested stock awards outstanding at end of period (in shares) | shares | 306,624 |
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) | $ / shares | $ 10.29 |
Grants (in dollars per share) | $ / shares | 10.32 |
Forfeitures (in dollars per share) | $ / shares | 9.32 |
Vestings (in dollars per share) | $ / shares | 11.35 |
Unvested stock awards outstanding at end of period (in dollars per share) | $ / shares | $ 9.90 |