Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Feb. 20, 2018 | Jun. 30, 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 Public Float | $ 990,087,452 | ||
Entity Common Stock, Shares Outstanding | 93,549,047 | ||
Document Fiscal Year Focus | 2,017 | ||
Document Fiscal Period Focus | FY | ||
Trading Symbol | CMO | ||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2017 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Assets | ||
Residential mortgage investments ($12.98 and $12.81 billion pledged at December 31, 2017 and 2016, respectively) | $ 13,454,098 | $ 13,316,282 |
Cash collateral receivable from interest rate swap counterparties | 42,506 | 29,660 |
Interest rate swap agreements at fair value | 24,709 | |
Cash and cash equivalents | 103,907 | 56,732 |
Receivables and other assets | 132,938 | 149,493 |
Total assets | 13,733,449 | 13,576,876 |
Liabilities | ||
Secured borrowings | 12,331,060 | 12,145,346 |
Interest rate swap agreements at fair value | 23,772 | 24,417 |
Unsecured borrowings | 98,191 | 98,090 |
Common stock dividend payable | 18,487 | 22,634 |
Accounts payable and accrued expenses | 23,063 | 38,702 |
Total liabilities | 12,494,573 | 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 December 31, 2017 and 2016, respectively | 250,946 | 199,059 |
Common stock - $0.01 par value; 250,000 shares authorized: 95,698 and 95,989 shares issued and outstanding at December 31, 2017 and 2016, respectively | 957 | 960 |
Paid-in capital | 1,271,425 | 1,288,346 |
Accumulated deficit | (346,570) | (346,464) |
Accumulated other comprehensive income | 62,118 | 105,786 |
Total stockholders' equity | 1,238,876 | 1,247,687 |
Total liabilities and equity | $ 13,733,449 | $ 13,576,876 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Assets | ||
Residential mortgage investments pledged | $ 12,980,000 | $ 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) | 95,698 | 95,989 |
Common stock, shares outstanding (in shares) | 95,698 | 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 - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Interest income | |||
Residential mortgage investments | $ 232,435 | $ 212,694 | $ 215,989 |
Other | 964 | 637 | 341 |
Interest income | 233,399 | 213,331 | 216,330 |
Interest expense | |||
Secured borrowings | (138,757) | (107,653) | (85,521) |
Unsecured borrowings | (7,610) | (7,833) | (8,454) |
Interest expense | (146,367) | (115,486) | (93,975) |
Net interest income (expense) | 87,032 | 97,845 | 122,355 |
Other revenue (expense) | |||
Compensation-related expense | (4,915) | (11,749) | (10,200) |
Other general and administrative expense | (4,689) | (4,682) | (4,798) |
Miscellaneous other revenue (expense) | 2,161 | 1,459 | 968 |
Operating expenses | (7,443) | (14,972) | (14,030) |
Net income | 79,589 | 82,873 | 108,325 |
Net income available to common stockholders | |||
Net income | 79,589 | 82,873 | 108,325 |
Less preferred stock dividends | (17,442) | (15,372) | (15,160) |
Net income available to common stockholders | $ 62,147 | $ 67,501 | $ 93,165 |
Basic and diluted net income per common share | $ 0.65 | $ 0.70 | $ 0.97 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Statement Of Income And Comprehensive Income [Abstract] | |||
Net income | $ 79,589 | $ 82,873 | $ 108,325 |
Amounts related to available-for-sale securities: | |||
Change in net unrealized gains | (60,391) | (48,894) | (98,202) |
Amounts related to cash flow hedges: | |||
Change in net unrealized gains (losses) | 21,426 | (1,370) | (21,675) |
Reclassification adjustment for amounts included in net income | (4,808) | 19,955 | 28,550 |
Other comprehensive income (loss) | (43,773) | (30,309) | (91,327) |
Comprehensive income | $ 35,816 | $ 52,564 | $ 16,998 |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Preferred Stock [Member] | Common Stock [Member] | Paid-in Capital [Member] | Accumulated Deficit [Member] | Accumulated Other Comprehensive Income [Member] |
Beginning Balance at Dec. 31, 2014 | $ 1,390,771 | $ 183,936 | $ 958 | $ 1,325,340 | $ (346,885) | $ 227,422 |
Net income | 108,325 | 108,325 | ||||
Change in unrealized gain on mortgage securities, net | (98,202) | (98,202) | ||||
Amounts related to cash flow hedges, net | 6,875 | 6,875 | ||||
Cash dividends: | ||||||
Common | (109,217) | (16,473) | (92,744) | |||
Preferred | (15,160) | (15,160) | ||||
Issuance of Series E preferred stock | 13,236 | 13,236 | ||||
Other additions to capital | 1,696 | 1,696 | ||||
Ending Balance at Dec. 31, 2015 | 1,298,324 | 197,172 | 958 | 1,310,563 | (346,464) | 136,095 |
Net income | 82,873 | 82,873 | ||||
Change in unrealized gain on mortgage securities, net | (48,894) | (48,894) | ||||
Amounts related to cash flow hedges, net | 18,585 | 18,585 | ||||
Cash dividends: | ||||||
Common | (91,093) | (23,592) | (67,501) | |||
Preferred | (15,372) | (15,372) | ||||
Issuance of Series E preferred stock | 1,887 | 1,887 | ||||
Other additions to capital | 1,377 | 2 | 1,375 | |||
Ending Balance at Dec. 31, 2016 | 1,247,687 | 199,059 | 960 | 1,288,346 | (346,464) | 105,786 |
Cumulative effect adjustment- adoption of ASU 2017-12 | (105) | 105 | ||||
Net income | 79,589 | 79,589 | ||||
Change in unrealized gain on mortgage securities, net | (60,391) | (60,391) | ||||
Amounts related to cash flow hedges, net | 16,618 | 16,618 | ||||
Cash dividends: | ||||||
Common | (76,732) | (14,584) | (62,148) | |||
Preferred | (17,442) | (17,442) | ||||
Issuance of Series E preferred stock | 51,887 | 51,887 | ||||
Common stock repurchases | (3,460) | (4) | (3,456) | |||
Other additions to capital | 1,120 | 1 | 1,119 | |||
Ending Balance at Dec. 31, 2017 | $ 1,238,876 | $ 250,946 | $ 957 | $ 1,271,425 | $ (346,570) | $ 62,118 |
CONSOLIDATED STATEMENTS OF STO7
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Statement Of Stockholders Equity [Abstract] | |||
Common per share (in dollars per share) | $ 0.80 | $ 0.95 | $ 1.14 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Operating activities: | |||
Net income | $ 79,589 | $ 82,873 | $ 108,325 |
Noncash items: | |||
Amortization of investment premiums | 128,769 | 130,084 | 121,190 |
Amortization of equity-based awards | 1,404 | 1,440 | 2,132 |
Other depreciation and amortization | 111 | 124 | 109 |
Change in measureable hedge ineffectiveness related to interest rate swap agreements designated as cash flow hedges | 36 | (47) | (162) |
Net change in receivables, other assets, accounts payable and accrued expenses | 2,167 | 646 | 12,651 |
Net cash provided by operating activities | 212,076 | 215,120 | 244,245 |
Investing activities: | |||
Purchases of residential mortgage investments | (4,224,515) | (3,185,113) | (3,887,051) |
Interest receivable acquired with the purchase of residential mortgage investments | (6,739) | (4,361) | (5,494) |
Principal collections on residential mortgage investments, including changes in mortgage securities principal remittance receivable | 3,914,865 | 3,817,351 | 3,419,867 |
Redemptions (purchases) of lending counterparty investments | 60,000 | (60,002) | |
Net cash (used in) provided by investing activities | (316,389) | 687,877 | (532,680) |
Financing activities: | |||
Proceeds from repurchase arrangements and similar borrowings | 177,916,331 | 127,822,442 | 111,006,967 |
Principal payments on repurchase arrangements and similar borrowings | (177,730,614) | (125,760,487) | (113,730,416) |
Proceeds from other secured borrowings | 1,175,000 | 5,425,000 | |
Principal payments on other secured borrowings | (4,050,000) | (2,550,000) | |
(Increase) decrease in cash collateral receivable from interest rate swap counterparties | (12,846) | 20,533 | 2,946 |
Net proceeds from interest rate swap settlements | 27,793 | ||
Proceeds from issuance of preferred shares | 52,051 | 1,898 | 13,266 |
Common stock repurchases | 3,460 | ||
Other capital stock transactions | (261) | (57) | (429) |
Dividends paid | (97,506) | (109,779) | (132,240) |
Net cash provided by (used in) financing activities | 151,488 | (900,450) | 35,094 |
Net change in cash and cash equivalents | 47,175 | 2,547 | (253,341) |
Cash and cash equivalents at beginning of year | 56,732 | 54,185 | 307,526 |
Cash and cash equivalents at end of year | $ 103,907 | $ 56,732 | $ 54,185 |
BUSINESS
BUSINESS | 12 Months Ended |
Dec. 31, 2017 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
BUSINESS | NOTE 1 — BUSINESS 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. |
ACCOUNTING POLICIES
ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2017 | |
Accounting Policies [Abstract] | |
ACCOUNTING POLICIES | NOTE 2 — ACCOUNTING POLICIES Basis of Presentation The consolidated financial statements include the accounts of Capstead Mortgage Corporation and its wholly-owned and majority-owned subsidiaries over which it exercises control. Pursuant to variable interest entity (“VIE”) accounting principles, Capstead considers for consolidation any VIE in which it holds an interest. The Company’s captive insurance subsidiary is considered a VIE for financial reporting purposes because Capstead has the obligation to absorb its losses and the right to receive its benefits, and, as Capstead is the primary beneficiary, the accounts of the captive insurance subsidiary are consolidated. Intercompany balances and transactions are eliminated. Reclassification Included in Compensation-related expense 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 in 2017 and, as a result, $105,000 of ineffectiveness income recognized prior to 2017 for these swaps was reclassified to Accumulated deficit Accumulated other comprehensive income Use of Estimates Fair values of nearly all financial instruments held by the Company are estimated based on a market approach using available market information and appropriate valuation methodologies (Level Two Inputs); however, judgment is required in interpreting market data to develop these estimates. Fair values fluctuate on a daily basis and are influenced by changes in, and market expectations for changes in, interest rates, market liquidity conditions and levels of mortgage prepayments, as well as other factors. Accordingly, estimates of fair value are as of the balance sheet dates and are not necessarily indicative of the amounts that could be realized in a current market exchange. The use of different market assumptions and estimation methodologies may have a material effect on estimated fair values. Judgment is also exercised in making impairment conclusions and estimating impairment charges. Amortization of investment premiums on financial assets is based in part on estimates of future levels of mortgage prepayments, which are impacted by future changes in interest rates and other factors. Judgment is required in developing these estimates. While the actual level of mortgage prepayments for a given accounting period is the single largest determinant in amortizing investment premiums, if expectations for future levels of mortgage prepayments increase substantially, earnings could be adversely affected. Cash and Cash Equivalents Cash and cash equivalents include unrestricted cash on hand and highly liquid investments with original maturities of three months or less when purchased. Financial Assets Capstead’s financial assets consist almost exclusively of Agency Securities classified as available-for-sale and carried at fair value with unrealized gains and losses reported as a separate component of Accumulated other comprehensive income Other revenue (expense) Other revenue (expense) Other revenue (expense) Other comprehensive income Borrowings Secured borrowings in the form of repurchase arrangements create exposure to the potential for failure on the part of counterparties to honor their commitment to return pledged collateral. In the event of a default by a repurchase arrangement counterparty, the Company may have difficulty recovering its collateral. To mitigate this risk, the Company monitors the creditworthiness of its counterparties and manages its exposure to any single counterparty. Capstead’s borrowings are carried at their principal balances outstanding net of related debt issuance costs and debt discounts, if applicable. Debt issuance costs associated with Unsecured borrowings From August 2015 through January 2016 Capstead received advances from the Federal Home Loan Bank (“FHLB”) of Cincinnati through a wholly-owned captive insurance subsidiary. In response to a regulator-induced moratorium, all such advances were repaid by November 2016. These advances were secured by Agency Securities, and together with repurchase arrangements and similar borrowings, were classified as Secured borrowings Derivative Financial Instruments (“Derivatives”) Derivatives used by Capstead for risk management purposes are carried at fair value as assets or liabilities. The accounting for changes in fair value of Derivatives held depends on whether it has been designated as a hedge for accounting purposes, as well as the type of hedging relationship identified. Capstead will typically designate any Derivatives held as cash flow hedges related to a designated portion of its current and anticipated future borrowings. To qualify as a cash flow hedge, at the inception of the hedge relationship the Company must document that the hedge relationship is anticipated to be highly effective and monitor ongoing effectiveness on at least a quarterly basis. As long as the hedge relationship remains effective, the change in fair value of the Derivatives are recorded in Accumulated other comprehensive income Accumulated other comprehensive income Miscellaneous other revenue (expense) The Company uses interest rate swap agreements in cash flow hedge relationships in order to hedge variability in borrowing rates due to changes in the underlying benchmark interest rate related to a designated portion of its current and anticipated future borrowings. Variable-rate swap payments to be received is recorded in Interest expense Interest expense Derivatives create exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments. In addition, the Company is required to post collateral based on any declines in the market value of the Derivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the Derivatives. To mitigate this risk, the Company uses only well-established commercial banks as counterparties and, pursuant to regulatory changes implemented in 2013, most Derivatives held at December 31, 2017 were entered into through Derivative exchanges established in part to mitigate credit risk. Cash collateral receivable from interest rate swap counterparties , when present, represents cash remitted to swap counterparties to meet initial and ongoing margin requirements that are based on the fair value of these Derivatives, including related interest receivable or payable under the terms of the agreements. The Company may also remit mortgage securities to certain of its swap counterparties to meet ongoing margin requirements. Such mortgage securities, if any, are included in , when present, represents cash received from counterparties to meet margin call requirements. For presentation purposes, the Company does not offset individual counterparty collateral receivables (or payables) with the recorded fair value of related interest rate swap agreements pursuant to master netting arrangements. In addition, gross unrealized gains on Derivatives (recorded as assets) are stated separately from gross unrealized losses (recorded as liabilities) without regard to counterparty. Beginning in 2017, certain cash margins are presented on a net basis against the fair value of related Derivatives pursuant to rule changes by swap counterparty exchanges regarding the legal characteristics of such cash margins. The rule changes did not affect the Company’s financial position. Long-term Incentive Compensation Capstead provides its employees and its directors with long-term incentive compensation in the form of equity-based awards. Equity-based compensation costs are initially measured at the estimated fair value of the awards on the grant date developed using appropriate valuation methodologies. Valuation methodologies used and subsequent expense recognition is dependent upon each award’s service and performance conditions, the latter also referred to as performance metrics. Capstead has elected not to estimate future award forfeitures when valuing equity-based awards and will adjust compensation costs as actual forfeitures occur. Compensation costs for stock awards subject only to service conditions are measured at the closing stock price on the dates of grant and are recognized as expense on a straight-line basis over the requisite service periods for the awards, as adjusted for any forfeitures. Compensation costs for components of stock awards and restricted stock units subject to nonmarket-based performance metrics (i.e. metrics not predicated on changes in the Company’s stock price), are measured at the closing stock price on the dates of grant, adjusted for the probability of achieving benchmarks included in the performance metrics. These initial cost estimates are recognized as expense over the requisite performance periods, adjusted for performance. Compensation costs for components of restricted stock units subject to market-based performance metrics are measured at the dates of grant using Monte Carlo simulations which incorporate into the valuations the inherent uncertainty regarding achieving the market-based performance metrics. These initial valuation amounts are recognized as expense over the requisite performance periods, subject only to adjustments for actual forfeitures. Income Taxes Capstead Mortgage Corporation and its qualified REIT subsidiaries (“Capstead REIT”) have elected to be taxed as a REIT. As a result, Capstead REIT is not taxed on taxable income distributed to stockholders if certain REIT qualification tests are met. Capstead’s policy is to distribute 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Internal Revenue Code (the “Code”), which may extend into the subsequent taxable year. The Company may find it advantageous from time to time to elect taxable REIT subsidiary status for certain of its subsidiaries in which case taxable income of any such subsidiary would be subject to federal and, where applicable, state or local income taxes. Any such income taxes are accounted for using the liability method. Related deferred income tax assets and liabilities are determined based on differences between the financial reporting and tax bases of assets and liabilities and are measured using enacted tax rates and laws that will be in effect when the differences are expected to reverse. The Company has not recognized any liabilities for unrecognized tax benefits using a “more likely than not” threshold for the recognition and measurement of the financial statement effects of tax positions taken on a tax return filing. Should any such liabilities be recognized in future periods, the Company will record related interest and penalties in Other eneral and administrative expense Dividend Classification Capstead records common and preferred stock dividends in the Accumulated deficit Stockholders’ equity Paid-in capital Net income |
NET INCOME PER COMMON SHARE
NET INCOME PER COMMON SHARE | 12 Months Ended |
Dec. 31, 2017 | |
Earnings Per Share [Abstract] | |
NET INCOME PER COMMON SHARE | NOTE 3 — NET INCOME PER COMMON SHARE 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): Year ended December 31 2017 2016 2015 Basic net income per common share Numerator for basic net income per common share: Net income $ 79,589 $ 82,873 $ 108,325 Preferred stock dividends (17,442 ) (15,372 ) (15,160 ) Earnings participation of unvested equity awards (150 ) (140 ) (123 ) $ 61,997 $ 67,361 $ 93,042 Denominator for basic net income per common share: Average number of shares of common stock outstanding 96,023 95,957 95,817 Average unvested stock awards outstanding (305 ) (301 ) (308 ) 95,718 95,656 95,509 $ 0.65 $ 0.70 $ 0.97 Diluted net income per common share Numerator for diluted net income per common share: Numerator for basic net income per common share $ 61,997 $ 67,361 $ 93,042 Denominator for diluted net income per common share: Denominator for basic net income per common share 95,718 95,656 95,509 Net effect of dilutive equity awards 125 163 192 95,843 95,819 95,701 $ 0.65 $ 0.70 $ 0.97 |
RESIDENTIAL MORTGAGE INVESTMENT
RESIDENTIAL MORTGAGE INVESTMENTS | 12 Months Ended |
Dec. 31, 2017 | |
Residential Mortgage [Member] | |
RESIDENTIAL MORTGAGE INVESTMENTS | NOTE 4 — RESIDENTIAL MORTGAGE INVESTMENTS Residential mortgage investments classified by collateral type and interest rate characteristics were as follows as of the indicated dates (dollars in thousands): Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (b) December 31, 2017 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 265 $ 1 $ 266 $ 266 6.51 % 6.31 % ARMs 10,216,099 313,547 10,529,646 10,578,364 2.97 1.78 Ginnie Mae ARMs 2,791,340 84,297 2,875,637 2,872,163 2.78 1.54 13,007,704 397,845 13,405,549 13,450,793 2.93 1.73 Residential mortgage loans: Fixed-rate 645 1 646 646 6.74 4.48 ARMs 1,211 7 1,218 1,218 4.04 3.20 1,856 8 1,864 1,864 4.98 3.59 Collateral for structured financings 1,418 23 1,441 1,441 7.94 7.81 $ 13,010,978 $ 397,876 $ 13,408,854 $ 13,454,098 2.93 1.73 December 31, 2016 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 385 $ 1 $ 386 $ 386 6.65 % 6.07 % ARMs 10,057,761 314,799 10,372,560 10,483,367 2.74 1.64 Ginnie Mae ARMs 2,743,160 90,300 2,833,460 2,828,288 2.51 1.29 12,801,306 405,100 13,206,406 13,312,041 2.69 1.56 Residential mortgage loans: Fixed-rate 735 1 736 736 6.72 3.87 ARMs 1,839 9 1,848 1,848 3.80 3.00 2,574 10 2,584 2,584 4.63 3.24 Collateral for structured financings 1,630 27 1,657 1,657 7.98 7.78 $ 12,805,510 $ 405,137 $ 13,210,647 $ 13,316,282 2.69 1.56 (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 year 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 federal government-sponsored enterprises, 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 December 31, 2017, the average months to roll for the Company’s $6.90 billion (amortized cost basis) in current-reset ARM investments was 6.7 months while the average months to roll for the Company’s $6.51 billion (amortized cost basis) in longer-to-reset ARM investments was 43.2 months. |
SECURED BORROWINGS
SECURED BORROWINGS | 12 Months Ended |
Dec. 31, 2017 | |
Disclosure Of Repurchase Agreements [Abstract] | |
SECURED BORROWINGS | NOTE 5 — SECURED BORROWINGS Capstead pledges its Residential mortgage investments In August 2015 the Company began supplementing its borrowings under repurchase arrangements with advances from the “FHLB” of Cincinnati (collectively referred to as “counterparties” or “lending counterparties”). 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 requiring 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 Company may enter into a new borrowing at prevailing haircuts and rates with the same lending counterparty or repay that counterparty and negotiate financing with a different lending counterparty. None of the Company’s lending counterparties are obligated to renew or otherwise enter into new borrowings at the conclusion of existing borrowings. In response to declines in fair value of pledged securities due to changes in market conditions or the publishing of monthly security pay-down factors, lending counterparties typically require the Company to post additional securities as collateral, pay down borrowings or fund cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements. These actions are referred to as margin calls. Conversely, in response to increases in fair value of pledged securities, the Company routinely margin calls its lending counterparties in order to have previously pledged collateral returned. 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 December 31, 2017 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 12,943,193 $ 30,646 $ 12,296,546 1.60 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 35,568 75 33,073 1.53 Similar borrowings: Collateral for structured financings 1,441 – 1,441 7.94 $ 12,980,202 $ 30,721 $ 12,331,060 1.60 Year-end borrowing rates adjusted for effects of related Derivatives held as cash flow hedges 1.46 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 differed from respective year-end balances during the indicated periods 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): Year ended December 31 2017 2016 Average Borrowings Average Rate Average Borrowings Average Rate Average borrowings and rates adjusted for the cash flow effects of related Derivatives held as cash flow hedges for the indicated years $ 12,388,557 1.12 % $ 12,754,022 0.84 % Interest paid on Secured borrowings |
USE OF DERIVATIVES, OFFSETTING
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT | 12 Months Ended |
Dec. 31, 2017 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT | NOTE 6 — USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT 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 occur in response to changes in market interest rates. During 2017 Capstead entered into swap agreements with notional amounts totaling $3.70 billion requiring fixed-rate interest payments averaging 1.64% for two- and three-year periods commencing on various dates between January 2017 and January 2018. Also during 2017, $3.80 billion notional amount of swaps requiring fixed-rate interest payments averaging 0.75% matured. At December 31, 2017, the Company’s portfolio financing-related swap positions had the following characteristics (dollars in thousands): Period of Contract Expiration Swap Notional Amounts Average Fixed Rates 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 700,000 1.72 First quarter 2020 300,000 1.82 Third quarter 2020 200,000 1.64 Fourth quarter 2020 200,000 2.04 $ 8,050,000 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 December 31 Location 2017 2016 Balance sheet-related Swap agreements in a gain position (an asset) related to Secured borrowings (a) $ – $ 24,709 Swap agreements in a loss position (a liability) related to: Secured borrowings (a) – (222 ) Unsecured borrowings (a) (23,772 ) (24,195 ) Related net interest payable (b) (484 ) (11,989 ) $ (24,256 ) $ (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 $22.4 million at December 31, 2017. (b) Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets. Location of Gain or (Loss) Recognized in Year ended December 31 Net Income 2017 2016 2015 Income statement-related Components of Secured borrowings-related effects on interest expense: Amount of gain (loss) reclassified from Accumulated other comprehensive income $ 7,686 $ (17,180 ) $ (28,266 ) Amount of (loss) recognized in income (360 ) (1,236 ) (924 ) (a) 7,326 (18,416 ) (29,190 ) Component of Unsecured borrowings-related effects on interest expense: Amount of loss reclassified from Accumulated other comprehensive income (b) (2,878 ) (2,775 ) (284 ) Decrease (increase) in interest expense and increase (decrease) in Net income of Derivatives $ 4,448 $ (21,191 ) $ (29,474 ) Other comprehensive income-related Amount of gain (loss) recognized in Other comprehensive income $ 21,531 $ (1,370 ) $ (21,675 ) (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 (b) Amounts of Offset in Presented in Cash Recognized the Balance the Balance Financial Collateral Net Assets (a) Sheet (a) Sheet Instruments Received Amount December 31, 2017 Counterparty 4 $ 30,676 $ (30,676 ) $ – $ – $ – $ – December 31, 2016 Counterparty 4 $ 18,100 $ 6,609 $ 24,709 $ (11,681 ) $ – $ 13,028 (a) Included in gross amounts of recognized assets at December 31, 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 December 31, 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. 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 December 31, 2017 Derivatives by counterparty: Counterparty 1 $ 24,256 $ – $ 24,256 $ – $ (24,256 ) $ – Counterparty 4 3,701 (3,701 ) – – – – 27,957 (3,701 ) 24,256 – (24,256 ) – Borrowings under repurchase arrangements (d) 12,337,299 – 12,337,299 (12,337,299 ) – – $ 12,365,256 $ (3,701 ) $ 12,361,555 $ (12,337,299 ) $ (24,256 ) $ – 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 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 December 31, 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 December 31, 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 $7.7 million and $7.4 million on borrowings under repurchases arrangements as of December 31, 2017 and December 31, 2016, respectively. Changes in Accumulated other comprehensive income Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at December 31, 2014 $ (25,309 ) $ 252,731 $ 227,422 Activity for the year ended December 31, 2015: Other comprehensive income (loss) before reclassifications (21,675 ) (98,202 ) (119,877 ) Amounts reclassified from accumulated other comprehensive income 28,550 – 28,550 Other comprehensive income (loss) 6,875 (98,202 ) (91,327 ) Balance at December 31, 2015 (18,434 ) 154,529 136,095 Activity for the year ended December 31, 2016: Other comprehensive income (loss) before reclassifications (1,370 ) (48,894 ) (50,264 ) Amounts reclassified from accumulated other comprehensive income 19,955 – 19,955 Other comprehensive income (loss) 18,585 (48,894 ) (30,309 ) Balance at December 31, 2016 151 105,635 105,786 Activity for the year ended December 31, 2017: Other comprehensive income (loss) before reclassifications 21,426 (60,391 ) (38,965 ) Amounts reclassified from accumulated other comprehensive income (4,808 ) – (4,808 ) Cumulative effect adjustment 105 – 105 Other comprehensive income (loss) 16,723 (60,391 ) (43,668 ) Balance at December 31, 2017 $ 16,874 $ 45,244 $ 62,118 |
UNSECURED BORROWINGS
UNSECURED BORROWINGS | 12 Months Ended |
Dec. 31, 2017 | |
Debt Disclosure [Abstract] | |
UNSECURED BORROWINGS | NOTE 7 — UNSECURED BORROWINGS 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): December 31, 2017 December 31, 2016 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,315 7.90 % $ 34,276 7.91 % December 2035 ($40,000 face amount) 39,320 7.66 39,282 7.67 September 2036 ($25,000 face amount) 24,556 7.70 24,532 7.71 $ 98,191 7.75 $ 98,090 7.77 The notes are currently redeemable, in whole or in part, without penalty, at the Company’s option. Interest paid on Unsecured borrowings |
DISCLOSURES REGARDING FAIR VALU
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS | 12 Months Ended |
Dec. 31, 2017 | |
Fair Value Disclosures [Abstract] | |
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS | NOTE 8 — DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS This note provides fair value-related disclosures as of the indicated balance sheet dates for Capstead’s financial assets and liabilities, most of which are influenced by changes in, and market expectations for changes in, interest rates and market liquidity conditions, as well as other factors beyond the control of management. With the exception of the fair value of lending counterparty investments, all fair values were determined using Level 2 Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820) Residential mortgage investments , nearly all of which are mortgage securities classified as available-for-sale, are measured at fair value on a recurring basis. In determining fair value estimates the Company considers recent trading activity for similar investments and pricing levels indicated by lenders in connection with designating collateral for secured borrowings, provided such pricing levels are considered indicative of actual market clearing transactions. In determining fair value estimates for 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 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): December 31, 2017 December 31, 2016 Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Residential mortgage loans $ 1,864 $ 1,900 $ 2,584 $ 2,600 Lending counterparty investments 5,002 5,002 5,002 5,002 Portfolio-related interest rate swap agreements – – 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 98,191 74,100 98,090 68,800 Interest rate swap agreements: Portfolio-related – – 222 222 Unsecured borrowings-related 23,772 23,772 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 December 31, 2017 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 10,529,646 $ 85,740 $ 37,022 $ 10,578,364 Ginnie Mae 2,875,637 8,958 12,432 2,872,163 Residential mortgage securities classified as held-to-maturity 1,706 17 – 1,723 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 December 31, 2017 December 31, 2016 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position: One year or greater $ 2,552,668 $ 26,701 $ 1,050,221 $ 8,418 Less than one year 4,665,883 22,752 4,418,674 30,885 $ 7,218,551 $ 49,453 $ 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 December 31, 2017. |
INCOME TAXES
INCOME TAXES | 12 Months Ended |
Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | NOTE 9 — INCOME TAXES Capstead REIT and a subsidiary for which the Company has elected taxable REIT subsidiary status file separate tax returns in U.S. federal and state jurisdictions, where applicable. Provided Capstead REIT remains qualified as a REIT and all its taxable income is distributed to stockholders within allowable time limits, no income taxes are due on this income. Accordingly, no provision has been made for income taxes for Capstead REIT. Taxable income, if any, of the Company’s taxable REIT subsidiary, which is largely dormant, is fully taxable and provision is made for any resulting income taxes. The Company is no longer subject to examination and the related assessment of tax by federal, state, or local tax authorities for years before 2014. On December 22, 2017 the Tax Cuts and Jobs Act (“Tax Act”) was enacted. Among the significant changes to the Internal Revenue Code, the Tax Act reduces the maximum federal corporate tax rate from 35% to 21% for the tax years after 2017. Accordingly, Capstead’s taxable REIT subsidiary has adjusted the balance of its net deferred tax assets and the corresponding valuation allowance. For tax years after 2017, the Tax Act repealed the corporate Alternative Minimum Tax (“AMT”). AMT credit carryforwards became fully utilizable without limitation or, in the absence of regular tax liability, fully refundable over the next four years. Accordingly, in 2017 the Company recognized a tax benefit of $1.9 million as the estimated refund of AMT under the Tax Act in Miscellaneous other revenue (expense) Receivables and other assets The impact of the Tax Act may differ from the above estimate due to, among other things, changes in interpretations of the Tax Act or regulatory guidance that may be issued. The Securities and Exchange Commission (“SEC”) has issued rules that allow for a measurement period of up to one year after the enactment date of the Tax Act to finalize the recording of the related tax impacts and additional impacts from the enactment of the Tax Act will be recorded in future periods as they are identified. The Company’s effective tax rate differs substantially from statutory federal income tax rates primarily due to the benefit of Capstead REIT’s status as a REIT, along with other items affecting the Company’s effective tax rate as illustrated below for the indicated periods (in thousands): Year ended December 31 2017 2016 2015 Income taxes computed at the federal statutory rate $ 27,856 $ 29,005 $ 37,914 Benefit of REIT status (27,854 ) (29,003 ) (37,913 ) Income taxes computed on income of Capstead’s sole taxable REIT subsidiary 2 2 1 Alternative minimum tax credit refund receivable (1,941 ) - - Change in deferred asset balance due to change in corporate tax rate 29 - - Other change in net deferred income tax assets (31 ) (2 ) (1 ) Income tax (benefit) provision recorded in miscellaneous other revenue (expense) $ (1,941 ) $ – $ – No income taxes were paid during 2017, 2016 or 2015. At December 31, 2017 Capstead REIT had $19.8 million in net capital loss carryforwards that expire at the end of 2019. Significant components of the Company’s taxable REIT subsidiary’s deferred income tax assets and liabilities were as follows as of the indicated dates (in thousands): December 31 2017 2016 Deferred income tax assets: Alternative minimum tax credit $ - $ 1,941 Net operating loss carryforwards (a) 32 55 Other 11 20 43 2,016 Deferred income tax liabilities – – Net deferred tax assets $ 43 $ 2,016 Valuation allowance (b) $ 43 $ 2,016 (a) Excludes $3.5 million in remaining net operating loss carryforwards which expire beginning after 2019. Should these carryforwards be utilized, they will be excluded for purposes of calculating the Company’s provision for income taxes. Any such utilization will, however, reduce actual taxes payable. (b) Because this subsidiary is not expected to earn significant amounts of taxable income, related net deferred tax assets are fully reserved at December 31, 2017. |
STOCKHOLDERS' EQUITY
STOCKHOLDERS' EQUITY | 12 Months Ended |
Dec. 31, 2017 | |
Equity [Abstract] | |
STOCKHOLDERS' EQUITY | NOTE 10 — STOCKHOLDERS’ EQUITY On November 1, 2017, Capstead’s Board of Directors authorized the reinstatement of its previously unused $100 million common stock repurchase program. In 2017 the Company repurchased 397,000 shares in the open market for approximately $3.5 million (an average repurchase price, after expenses, of $8.71). An additional 2.3 million shares were repurchased subsequent to year-end through the date of this filing for $20.1 million (an average repurchase price, after expenses, of $8.63), leaving a remaining repurchase program authorization of approximately $77 million. Repurchases made pursuant to the program are made in the open market in accordance with and as permitted by securities laws and other legal requirements. The timing, manner, price and amount of any future repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors including alternative capital investment opportunities. In addition, the Company may enter into Rule 10b5-1 plans under which repurchases can be made. The authorization does not obligate the Company to acquire any particular amount of common stock and repurchases under the program and the program itself may be suspended or discontinued at the Company’s discretion without prior notice. During 2017, 2016 and 2015, additions to common equity capital related to equity-based awards to directors and employees totaled $1.1 million, $1.4 million and $1.7 million, respectively. See NOTE 11 for further information pertaining to long-term equity-based awards. In 2013 Capstead completed a public offering of 6.8 million shares ($170.0 million face amount) of its 7.50% Series E Cumulative Redeemable Preferred Stock, liquidation preference of $25.00 per share. Shares of the Series E preferred stock are redeemable at the Company’s option for $25.00 per share, plus any accumulated and unpaid dividends. Capstead began issuing additional shares of Series E preferred stock through an at-the-market continuous offering program. Shares of Series E preferred stock issued under this program, issue prices and proceeds, both presented net of underwriting fees and other costs, were as follows for the indicated periods: Year Ended December 31, Shares Net Issue Price Net Proceeds 2017 2,095,000 $ 24.77 $ 51,887,000 2016 78,000 24.23 1,887,000 2015 538,000 24.61 13,236,000 |
COMPENSATION PROGRAMS
COMPENSATION PROGRAMS | 12 Months Ended |
Dec. 31, 2017 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
COMPENSATION PROGRAMS | NOTE 11 — COMPENSATION PROGRAMS Capstead’s annual and long-term incentive compensation programs 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. Metrics used include (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 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. Recognized in Compensation-related expense 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 Compensation-related expense Long-term Equity-based Awards – Performance-based Restricted Stock Units (“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, performance metrics are met or exceeded. 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. 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 2018, January 2017, February 2016 and January 2015 the Committee granted 183,137, 148,894, 269,354 and 247,512 RSUs with three-year performance periods ending December 31, 2020, 2019, 2018, and 2017, respectively. Initial grant date fair values developed for compensation cost purposes of $8.71, $10.52, $8.03 and $8.83 were assigned to the units of each grant, respectively. Amounts actually expensed are largely predicated on estimated performance metric attainment. The January 2015 RSUs did not meet the criteria for conversion into shares of common stock pursuant to the applicable performance criteria and, accordingly, outstanding RSUs awarded under these grants totaling 117,255 were forfeited subsequent to year-end. Compensation-related expense Common stock dividends payable RSU activity for the year ended December 31, 2017 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested RSU awards outstanding at December 31, 2016 685,705 $ 9.60 Grants 148,894 10.52 Forfeitures (398,623 ) 10.50 Unvested RSU awards outstanding at December 31, 2017 435,976 9.10 Long-term Equity-based Awards – Stock Awards In January 2018, January 2017 and February 2016, respectively, the Committee granted service-based stock awards for 126,451, 74,446 and 67,337 shares of common stock with grant date fair values of $8.60, $10.41 and $9.32 per share to executives awarded RSUs. Outstanding awards under this program and related deferred dividends are scheduled to vest in January 2021, January 2020 and February 2019, respectively, assuming service conditions are met. In January of 2018, 2017 and 2016 and December of 2014, respectively, the Committee granted service-based stock awards for 57,283, 49,416, 61,272 and 37,237 shares of common stock with grant date fair values of $8.60, $10.41, $7.87 and $12.47 per share to employees not awarded RSUs. These awards vest in January of 2021, 2020, 2019, and 2018 respectively, assuming service conditions are met. 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. Grants under this program for 62,137, 118,784, 125,221 and 114,423 shares vested during 2017, 2016, 2015 and 2014, respectively. Average grant date fair values for these grants were $11.67, $12.17, $12.58 and $13.31, respectively. 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 stock awards for a total of 41,881 shares of common stock granted in July 2016 with a grant date fair value of $10.03 per share vested. Also in July 2017, 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 in July 2018. Stock award activity for the year ended December 31, 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 (34,565 ) 9.48 Vestings (139,721 ) 11.35 Unvested stock awards outstanding at December 31, 2017 296,940 9.90 During 2017, 2016 and 2015, the Company recognized in Compensation-related expense Common stock dividend payable Other general and administrative expense Service-based stock awards issued to directors and to employees not awarded RSUs receive dividends on a current basis without risk of forfeiture if the related awards do not vest. Stock awards issued to executives awarded RSUs defer the payment of dividends accruing between the grant dates and the end of related performance or service periods. If these awards do not vest, the related accrued dividends will be forfeited. Long-term Equity-based Awards – Option Awards At December 31, 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 aggregate intrinsic value and have a weighted average remaining contractual term of 1.1 years. During 2017, 10,000 options with strike price of $10.58 expired. There was no other option activity in 2017. All outstanding option awards were granted prior to 2010, have ten-year contractual terms and were issued with strike prices equal to the closing market price of Capstead’s common stock on the dates of grant. The fair value of these awards was estimated at that time using a Black-Scholes option pricing model and was expensed over the related vesting periods. Other Benefit Programs Capstead sponsors a qualified defined contribution retirement plan for all employees and a nonqualified deferred compensation plan for certain of its executives. 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. During 2017, 2016 and 2015, the Company recognized in Compensation-related expense Accounts payable and accrued expenses |
QUARTERLY RESULTS (UNAUDITED)
QUARTERLY RESULTS (UNAUDITED) | 12 Months Ended |
Dec. 31, 2017 | |
Quarterly Financial Information Disclosure [Abstract] | |
QUARTERLY RESULTS (UNAUDITED) | NOTE 12 — QUARTERLY RESULTS (UNAUDITED) Summarized quarterly results of operations were as follows (in thousands, except per share amounts). First Quarter Second Quarter Third Quarter Fourth Quarter Year Ended December 31, 2017 Interest income on residential mortgage investments ( before investment premium amortization) $ 85,226 $ 89,764 $ 92,023 $ 94,191 Investment premium amortization (30,385 ) (33,661 ) (34,950 ) (29,773 ) Related interest expense (28,240 ) (33,850 ) (36,655 ) (40,012 ) 26,601 22,253 20,418 24,406 Other interest income (expense) * (1,738 ) (1,662 ) (1,544 ) (1,702 ) Other revenue (expense) ** (2,162 ) (3,042 ) (2,122 ) (117 ) Net income $ 22,701 $ 17,549 $ 16,752 $ 22,587 Basic and diluted net income per common share $ 0.20 $ 0.14 $ 0.13 $ 0.19 Year Ended December 31, 2016 Interest income on residential mortgage investments ( before investment premium amortization) $ 85,511 $ 86,361 $ 85,921 $ 84,985 Investment premium amortization (26,011 ) (33,052 ) (36,076 ) (34,945 ) Related interest expense (26,582 ) (27,014 ) (26,636 ) (27,421 ) 32,918 26,295 23,209 22,619 Other interest income (expense) * (1,785 ) (1,848 ) (1,796 ) (1,767 ) Other revenue (expense) ** (3,780 ) (2,817 ) (4,973 ) (3,402 ) Net income $ 27,353 $ 21,630 $ 16,440 $ 17,450 Basic and diluted net income per common share $ 0.25 $ 0.19 $ 0.13 $ 0.14 * Consists principally of interest on unsecured borrowings, overnight investments and cash collateral receivable with interest rate swap counterparties. ** Consists of general and administrative expenses, including compensation-related costs, and miscellaneous other revenue (expense). The fourth quarter of 2017 includes $1.9 million in alternative minimum tax refunds recorded in connection with the enactment of tax reform legislation. The third and fourth quarters of 2016 also include separation of service charges totaling $3.0 million. |
ACCOUNTING POLICIES (Policies)
ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 31, 2017 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements include the accounts of Capstead Mortgage Corporation and its wholly-owned and majority-owned subsidiaries over which it exercises control. Pursuant to variable interest entity (“VIE”) accounting principles, Capstead considers for consolidation any VIE in which it holds an interest. The Company’s captive insurance subsidiary is considered a VIE for financial reporting purposes because Capstead has the obligation to absorb its losses and the right to receive its benefits, and, as Capstead is the primary beneficiary, the accounts of the captive insurance subsidiary are consolidated. Intercompany balances and transactions are eliminated. |
Reclassification | Reclassification Included in Compensation-related expense |
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 in 2017 and, as a result, $105,000 of ineffectiveness income recognized prior to 2017 for these swaps was reclassified to Accumulated deficit Accumulated other comprehensive income |
Use of Estimates | Use of Estimates Fair values of nearly all financial instruments held by the Company are estimated based on a market approach using available market information and appropriate valuation methodologies (Level Two Inputs); however, judgment is required in interpreting market data to develop these estimates. Fair values fluctuate on a daily basis and are influenced by changes in, and market expectations for changes in, interest rates, market liquidity conditions and levels of mortgage prepayments, as well as other factors. Accordingly, estimates of fair value are as of the balance sheet dates and are not necessarily indicative of the amounts that could be realized in a current market exchange. The use of different market assumptions and estimation methodologies may have a material effect on estimated fair values. Judgment is also exercised in making impairment conclusions and estimating impairment charges. Amortization of investment premiums on financial assets is based in part on estimates of future levels of mortgage prepayments, which are impacted by future changes in interest rates and other factors. Judgment is required in developing these estimates. While the actual level of mortgage prepayments for a given accounting period is the single largest determinant in amortizing investment premiums, if expectations for future levels of mortgage prepayments increase substantially, earnings could be adversely affected. |
Cash and Cash Equivalents | Cash and Cash Equivalents Cash and cash equivalents include unrestricted cash on hand and highly liquid investments with original maturities of three months or less when purchased. |
Financial Assets | Financial Assets Capstead’s financial assets consist almost exclusively of Agency Securities classified as available-for-sale and carried at fair value with unrealized gains and losses reported as a separate component of Accumulated other comprehensive income Other revenue (expense) Other revenue (expense) Other revenue (expense) Other comprehensive income |
Borrowings | Borrowings Secured borrowings in the form of repurchase arrangements create exposure to the potential for failure on the part of counterparties to honor their commitment to return pledged collateral. In the event of a default by a repurchase arrangement counterparty, the Company may have difficulty recovering its collateral. To mitigate this risk, the Company monitors the creditworthiness of its counterparties and manages its exposure to any single counterparty. Capstead’s borrowings are carried at their principal balances outstanding net of related debt issuance costs and debt discounts, if applicable. Debt issuance costs associated with Unsecured borrowings From August 2015 through January 2016 Capstead received advances from the Federal Home Loan Bank (“FHLB”) of Cincinnati through a wholly-owned captive insurance subsidiary. In response to a regulator-induced moratorium, all such advances were repaid by November 2016. These advances were secured by Agency Securities, and together with repurchase arrangements and similar borrowings, were classified as Secured borrowings |
Derivative Financial Instruments ("Derivatives") | Derivative Financial Instruments (“Derivatives”) Derivatives used by Capstead for risk management purposes are carried at fair value as assets or liabilities. The accounting for changes in fair value of Derivatives held depends on whether it has been designated as a hedge for accounting purposes, as well as the type of hedging relationship identified. Capstead will typically designate any Derivatives held as cash flow hedges related to a designated portion of its current and anticipated future borrowings. To qualify as a cash flow hedge, at the inception of the hedge relationship the Company must document that the hedge relationship is anticipated to be highly effective and monitor ongoing effectiveness on at least a quarterly basis. As long as the hedge relationship remains effective, the change in fair value of the Derivatives are recorded in Accumulated other comprehensive income Accumulated other comprehensive income Miscellaneous other revenue (expense) The Company uses interest rate swap agreements in cash flow hedge relationships in order to hedge variability in borrowing rates due to changes in the underlying benchmark interest rate related to a designated portion of its current and anticipated future borrowings. Variable-rate swap payments to be received is recorded in Interest expense Interest expense Derivatives create exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments. In addition, the Company is required to post collateral based on any declines in the market value of the Derivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the Derivatives. To mitigate this risk, the Company uses only well-established commercial banks as counterparties and, pursuant to regulatory changes implemented in 2013, most Derivatives held at December 31, 2017 were entered into through Derivative exchanges established in part to mitigate credit risk. Cash collateral receivable from interest rate swap counterparties , when present, represents cash remitted to swap counterparties to meet initial and ongoing margin requirements that are based on the fair value of these Derivatives, including related interest receivable or payable under the terms of the agreements. The Company may also remit mortgage securities to certain of its swap counterparties to meet ongoing margin requirements. Such mortgage securities, if any, are included in , when present, represents cash received from counterparties to meet margin call requirements. For presentation purposes, the Company does not offset individual counterparty collateral receivables (or payables) with the recorded fair value of related interest rate swap agreements pursuant to master netting arrangements. In addition, gross unrealized gains on Derivatives (recorded as assets) are stated separately from gross unrealized losses (recorded as liabilities) without regard to counterparty. Beginning in 2017, certain cash margins are presented on a net basis against the fair value of related Derivatives pursuant to rule changes by swap counterparty exchanges regarding the legal characteristics of such cash margins. The rule changes did not affect the Company’s financial position. |
Long-term Incentive Compensation | Long-term Incentive Compensation Capstead provides its employees and its directors with long-term incentive compensation in the form of equity-based awards. Equity-based compensation costs are initially measured at the estimated fair value of the awards on the grant date developed using appropriate valuation methodologies. Valuation methodologies used and subsequent expense recognition is dependent upon each award’s service and performance conditions, the latter also referred to as performance metrics. Capstead has elected not to estimate future award forfeitures when valuing equity-based awards and will adjust compensation costs as actual forfeitures occur. Compensation costs for stock awards subject only to service conditions are measured at the closing stock price on the dates of grant and are recognized as expense on a straight-line basis over the requisite service periods for the awards, as adjusted for any forfeitures. Compensation costs for components of stock awards and restricted stock units subject to nonmarket-based performance metrics (i.e. metrics not predicated on changes in the Company’s stock price), are measured at the closing stock price on the dates of grant, adjusted for the probability of achieving benchmarks included in the performance metrics. These initial cost estimates are recognized as expense over the requisite performance periods, adjusted for performance. Compensation costs for components of restricted stock units subject to market-based performance metrics are measured at the dates of grant using Monte Carlo simulations which incorporate into the valuations the inherent uncertainty regarding achieving the market-based performance metrics. These initial valuation amounts are recognized as expense over the requisite performance periods, subject only to adjustments for actual forfeitures. |
Income Taxes | Income Taxes Capstead Mortgage Corporation and its qualified REIT subsidiaries (“Capstead REIT”) have elected to be taxed as a REIT. As a result, Capstead REIT is not taxed on taxable income distributed to stockholders if certain REIT qualification tests are met. Capstead’s policy is to distribute 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Internal Revenue Code (the “Code”), which may extend into the subsequent taxable year. The Company may find it advantageous from time to time to elect taxable REIT subsidiary status for certain of its subsidiaries in which case taxable income of any such subsidiary would be subject to federal and, where applicable, state or local income taxes. Any such income taxes are accounted for using the liability method. Related deferred income tax assets and liabilities are determined based on differences between the financial reporting and tax bases of assets and liabilities and are measured using enacted tax rates and laws that will be in effect when the differences are expected to reverse. The Company has not recognized any liabilities for unrecognized tax benefits using a “more likely than not” threshold for the recognition and measurement of the financial statement effects of tax positions taken on a tax return filing. Should any such liabilities be recognized in future periods, the Company will record related interest and penalties in Other eneral and administrative expense |
Dividend Classification | Dividend Classification Capstead records common and preferred stock dividends in the Accumulated deficit Stockholders’ equity Paid-in capital Net income |
NET INCOME PER COMMON SHARE (Ta
NET INCOME PER COMMON SHARE (Tables) | 12 Months Ended |
Dec. 31, 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): Year ended December 31 2017 2016 2015 Basic net income per common share Numerator for basic net income per common share: Net income $ 79,589 $ 82,873 $ 108,325 Preferred stock dividends (17,442 ) (15,372 ) (15,160 ) Earnings participation of unvested equity awards (150 ) (140 ) (123 ) $ 61,997 $ 67,361 $ 93,042 Denominator for basic net income per common share: Average number of shares of common stock outstanding 96,023 95,957 95,817 Average unvested stock awards outstanding (305 ) (301 ) (308 ) 95,718 95,656 95,509 $ 0.65 $ 0.70 $ 0.97 Diluted net income per common share Numerator for diluted net income per common share: Numerator for basic net income per common share $ 61,997 $ 67,361 $ 93,042 Denominator for diluted net income per common share: Denominator for basic net income per common share 95,718 95,656 95,509 Net effect of dilutive equity awards 125 163 192 95,843 95,819 95,701 $ 0.65 $ 0.70 $ 0.97 |
RESIDENTIAL MORTGAGE INVESTME23
RESIDENTIAL MORTGAGE INVESTMENTS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Investments Debt And Equity Securities [Abstract] | |
Schedule of Residential Mortgage Investments | Residential mortgage investments classified by collateral type and interest rate characteristics were as follows as of the indicated dates (dollars in thousands): Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (b) December 31, 2017 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 265 $ 1 $ 266 $ 266 6.51 % 6.31 % ARMs 10,216,099 313,547 10,529,646 10,578,364 2.97 1.78 Ginnie Mae ARMs 2,791,340 84,297 2,875,637 2,872,163 2.78 1.54 13,007,704 397,845 13,405,549 13,450,793 2.93 1.73 Residential mortgage loans: Fixed-rate 645 1 646 646 6.74 4.48 ARMs 1,211 7 1,218 1,218 4.04 3.20 1,856 8 1,864 1,864 4.98 3.59 Collateral for structured financings 1,418 23 1,441 1,441 7.94 7.81 $ 13,010,978 $ 397,876 $ 13,408,854 $ 13,454,098 2.93 1.73 December 31, 2016 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 385 $ 1 $ 386 $ 386 6.65 % 6.07 % ARMs 10,057,761 314,799 10,372,560 10,483,367 2.74 1.64 Ginnie Mae ARMs 2,743,160 90,300 2,833,460 2,828,288 2.51 1.29 12,801,306 405,100 13,206,406 13,312,041 2.69 1.56 Residential mortgage loans: Fixed-rate 735 1 736 736 6.72 3.87 ARMs 1,839 9 1,848 1,848 3.80 3.00 2,574 10 2,584 2,584 4.63 3.24 Collateral for structured financings 1,630 27 1,657 1,657 7.98 7.78 $ 12,805,510 $ 405,137 $ 13,210,647 $ 13,316,282 2.69 1.56 (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 year 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) | 12 Months Ended |
Dec. 31, 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 December 31, 2017 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 12,943,193 $ 30,646 $ 12,296,546 1.60 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 35,568 75 33,073 1.53 Similar borrowings: Collateral for structured financings 1,441 – 1,441 7.94 $ 12,980,202 $ 30,721 $ 12,331,060 1.60 Year-end borrowing rates adjusted for effects of related Derivatives held as cash flow hedges 1.46 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 differed from respective year-end balances during the indicated periods 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): Year ended December 31 2017 2016 Average Borrowings Average Rate Average Borrowings Average Rate Average borrowings and rates adjusted for the cash flow effects of related Derivatives held as cash flow hedges for the indicated years $ 12,388,557 1.12 % $ 12,754,022 0.84 % |
USE OF DERIVATIVES, OFFSETTIN25
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Schedule of Swap Agreements Expiration Period and Characteristics | At December 31, 2017, the Company’s portfolio financing-related swap positions had the following characteristics (dollars in thousands): Period of Contract Expiration Swap Notional Amounts Average Fixed Rates 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 700,000 1.72 First quarter 2020 300,000 1.82 Third quarter 2020 200,000 1.64 Fourth quarter 2020 200,000 2.04 $ 8,050,000 |
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 December 31 Location 2017 2016 Balance sheet-related Swap agreements in a gain position (an asset) related to Secured borrowings (a) $ – $ 24,709 Swap agreements in a loss position (a liability) related to: Secured borrowings (a) – (222 ) Unsecured borrowings (a) (23,772 ) (24,195 ) Related net interest payable (b) (484 ) (11,989 ) $ (24,256 ) $ (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 $22.4 million at December 31, 2017. (b) Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets. Location of Gain or (Loss) Recognized in Year ended December 31 Net Income 2017 2016 2015 Income statement-related Components of Secured borrowings-related effects on interest expense: Amount of gain (loss) reclassified from Accumulated other comprehensive income $ 7,686 $ (17,180 ) $ (28,266 ) Amount of (loss) recognized in income (360 ) (1,236 ) (924 ) (a) 7,326 (18,416 ) (29,190 ) Component of Unsecured borrowings-related effects on interest expense: Amount of loss reclassified from Accumulated other comprehensive income (b) (2,878 ) (2,775 ) (284 ) Decrease (increase) in interest expense and increase (decrease) in Net income of Derivatives $ 4,448 $ (21,191 ) $ (29,474 ) Other comprehensive income-related Amount of gain (loss) recognized in Other comprehensive income $ 21,531 $ (1,370 ) $ (21,675 ) (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 (b) Amounts of Offset in Presented in Cash Recognized the Balance the Balance Financial Collateral Net Assets (a) Sheet (a) Sheet Instruments Received Amount December 31, 2017 Counterparty 4 $ 30,676 $ (30,676 ) $ – $ – $ – $ – December 31, 2016 Counterparty 4 $ 18,100 $ 6,609 $ 24,709 $ (11,681 ) $ – $ 13,028 (a) Included in gross amounts of recognized assets at December 31, 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 December 31, 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. |
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 December 31, 2017 Derivatives by counterparty: Counterparty 1 $ 24,256 $ – $ 24,256 $ – $ (24,256 ) $ – Counterparty 4 3,701 (3,701 ) – – – – 27,957 (3,701 ) 24,256 – (24,256 ) – Borrowings under repurchase arrangements (d) 12,337,299 – 12,337,299 (12,337,299 ) – – $ 12,365,256 $ (3,701 ) $ 12,361,555 $ (12,337,299 ) $ (24,256 ) $ – 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 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 December 31, 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 December 31, 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 $7.7 million and $7.4 million on borrowings under repurchases arrangements as of December 31, 2017 and December 31, 2016, respectively. |
Changes in Accumulated Other Comprehensive Income | Changes in Accumulated other comprehensive income Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at December 31, 2014 $ (25,309 ) $ 252,731 $ 227,422 Activity for the year ended December 31, 2015: Other comprehensive income (loss) before reclassifications (21,675 ) (98,202 ) (119,877 ) Amounts reclassified from accumulated other comprehensive income 28,550 – 28,550 Other comprehensive income (loss) 6,875 (98,202 ) (91,327 ) Balance at December 31, 2015 (18,434 ) 154,529 136,095 Activity for the year ended December 31, 2016: Other comprehensive income (loss) before reclassifications (1,370 ) (48,894 ) (50,264 ) Amounts reclassified from accumulated other comprehensive income 19,955 – 19,955 Other comprehensive income (loss) 18,585 (48,894 ) (30,309 ) Balance at December 31, 2016 151 105,635 105,786 Activity for the year ended December 31, 2017: Other comprehensive income (loss) before reclassifications 21,426 (60,391 ) (38,965 ) Amounts reclassified from accumulated other comprehensive income (4,808 ) – (4,808 ) Cumulative effect adjustment 105 – 105 Other comprehensive income (loss) 16,723 (60,391 ) (43,668 ) Balance at December 31, 2017 $ 16,874 $ 45,244 $ 62,118 |
UNSECURED BORROWINGS (Tables)
UNSECURED BORROWINGS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Debt Disclosure [Abstract] | |
Schedule of Subordinated Note Balances and Related Weighted Average Interest Rates | Note balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for effects of related Derivatives held as cash flow hedges) were as follows (dollars in thousands): December 31, 2017 December 31, 2016 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,315 7.90 % $ 34,276 7.91 % December 2035 ($40,000 face amount) 39,320 7.66 39,282 7.67 September 2036 ($25,000 face amount) 24,556 7.70 24,532 7.71 $ 98,191 7.75 $ 98,090 7.77 |
DISCLOSURES REGARDING FAIR VA27
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS (Tables) | 12 Months Ended |
Dec. 31, 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): December 31, 2017 December 31, 2016 Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Residential mortgage loans $ 1,864 $ 1,900 $ 2,584 $ 2,600 Lending counterparty investments 5,002 5,002 5,002 5,002 Portfolio-related interest rate swap agreements – – 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 98,191 74,100 98,090 68,800 Interest rate swap agreements: Portfolio-related – – 222 222 Unsecured borrowings-related 23,772 23,772 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 December 31, 2017 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 10,529,646 $ 85,740 $ 37,022 $ 10,578,364 Ginnie Mae 2,875,637 8,958 12,432 2,872,163 Residential mortgage securities classified as held-to-maturity 1,706 17 – 1,723 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 | December 31, 2017 December 31, 2016 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position: One year or greater $ 2,552,668 $ 26,701 $ 1,050,221 $ 8,418 Less than one year 4,665,883 22,752 4,418,674 30,885 $ 7,218,551 $ 49,453 $ 5,468,895 $ 39,303 |
INCOME TAXES (Tables)
INCOME TAXES (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |
Schedule of Effective Income Tax Rate Reconciliation | The Company’s effective tax rate differs substantially from statutory federal income tax rates primarily due to the benefit of Capstead REIT’s status as a REIT, along with other items affecting the Company’s effective tax rate as illustrated below for the indicated periods (in thousands): Year ended December 31 2017 2016 2015 Income taxes computed at the federal statutory rate $ 27,856 $ 29,005 $ 37,914 Benefit of REIT status (27,854 ) (29,003 ) (37,913 ) Income taxes computed on income of Capstead’s sole taxable REIT subsidiary 2 2 1 Alternative minimum tax credit refund receivable (1,941 ) - - Change in deferred asset balance due to change in corporate tax rate 29 - - Other change in net deferred income tax assets (31 ) (2 ) (1 ) Income tax (benefit) provision recorded in miscellaneous other revenue (expense) $ (1,941 ) $ – $ – |
Components of Deferred Tax Assets and Liabilities | Significant components of the Company’s taxable REIT subsidiary’s deferred income tax assets and liabilities were as follows as of the indicated dates (in thousands): December 31 2017 2016 Deferred income tax assets: Alternative minimum tax credit $ - $ 1,941 Net operating loss carryforwards (a) 32 55 Other 11 20 43 2,016 Deferred income tax liabilities – – Net deferred tax assets $ 43 $ 2,016 Valuation allowance (b) $ 43 $ 2,016 (a) Excludes $3.5 million in remaining net operating loss carryforwards which expire beginning after 2019. Should these carryforwards be utilized, they will be excluded for purposes of calculating the Company’s provision for income taxes. Any such utilization will, however, reduce actual taxes payable. (b) Because this subsidiary is not expected to earn significant amounts of taxable income, related net deferred tax assets are fully reserved at December 31, 2017. |
STOCKHOLDERS' EQUITY (Tables)
STOCKHOLDERS' EQUITY (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Equity [Abstract] | |
Schedule of Series E Preferred Stock Issued Prices and Proceeds Presented Net of Underwriting Fees and Other Costs | Shares of Series E preferred stock issued under this program, issue prices and proceeds, both presented net of underwriting fees and other costs, were as follows for the indicated periods: Year Ended December 31, Shares Net Issue Price Net Proceeds 2017 2,095,000 $ 24.77 $ 51,887,000 2016 78,000 24.23 1,887,000 2015 538,000 24.61 13,236,000 |
COMPENSATION PROGRAMS (Tables)
COMPENSATION PROGRAMS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Performance-based RSUs [Member] | |
Schedule of Performance-Based and Service-Based Stock Award Activity | RSU activity for the year ended December 31, 2017 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested RSU awards outstanding at December 31, 2016 685,705 $ 9.60 Grants 148,894 10.52 Forfeitures (398,623 ) 10.50 Unvested RSU awards outstanding at December 31, 2017 435,976 9.10 |
Stock Awards Activity [Member] | |
Schedule of Performance-Based and Service-Based Stock Award Activity | Stock award activity for the year ended December 31, 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 (34,565 ) 9.48 Vestings (139,721 ) 11.35 Unvested stock awards outstanding at December 31, 2017 296,940 9.90 |
QUARTERLY RESULTS (Tables)
QUARTERLY RESULTS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Quarterly Financial Information Disclosure [Abstract] | |
Summarized Quarterly Results of Operations | NOTE 12 — QUARTERLY RESULTS (UNAUDITED) Summarized quarterly results of operations were as follows (in thousands, except per share amounts). First Quarter Second Quarter Third Quarter Fourth Quarter Year Ended December 31, 2017 Interest income on residential mortgage investments ( before investment premium amortization) $ 85,226 $ 89,764 $ 92,023 $ 94,191 Investment premium amortization (30,385 ) (33,661 ) (34,950 ) (29,773 ) Related interest expense (28,240 ) (33,850 ) (36,655 ) (40,012 ) 26,601 22,253 20,418 24,406 Other interest income (expense) * (1,738 ) (1,662 ) (1,544 ) (1,702 ) Other revenue (expense) ** (2,162 ) (3,042 ) (2,122 ) (117 ) Net income $ 22,701 $ 17,549 $ 16,752 $ 22,587 Basic and diluted net income per common share $ 0.20 $ 0.14 $ 0.13 $ 0.19 Year Ended December 31, 2016 Interest income on residential mortgage investments ( before investment premium amortization) $ 85,511 $ 86,361 $ 85,921 $ 84,985 Investment premium amortization (26,011 ) (33,052 ) (36,076 ) (34,945 ) Related interest expense (26,582 ) (27,014 ) (26,636 ) (27,421 ) 32,918 26,295 23,209 22,619 Other interest income (expense) * (1,785 ) (1,848 ) (1,796 ) (1,767 ) Other revenue (expense) ** (3,780 ) (2,817 ) (4,973 ) (3,402 ) Net income $ 27,353 $ 21,630 $ 16,440 $ 17,450 Basic and diluted net income per common share $ 0.25 $ 0.19 $ 0.13 $ 0.14 * Consists principally of interest on unsecured borrowings, overnight investments and cash collateral receivable with interest rate swap counterparties. ** Consists of general and administrative expenses, including compensation-related costs, and miscellaneous other revenue (expense). The fourth quarter of 2017 includes $1.9 million in alternative minimum tax refunds recorded in connection with the enactment of tax reform legislation. The third and fourth quarters of 2016 also include separation of service charges totaling $3.0 million. |
ACCOUNTING POLICIES - Additiona
ACCOUNTING POLICIES - Additional Information (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Accounting Policies [Line Items] | ||
Percentage of taxable income to be distributed | 100.00% | |
Minimum [Member] | ||
Accounting Policies [Line Items] | ||
Interest owed on hedged borrowings reset to market rates | 30 days | |
Maximum [Member] | ||
Accounting Policies [Line Items] | ||
Interest owed on hedged borrowings reset to market rates | 90 days | |
ASU 2017-12 [Member] | Accumulated Deficit [Member] | ||
Accounting Policies [Line Items] | ||
Reclassification of ineffectiveness income on designated swaps to accumulated deficit | $ 105,000 | |
Compensation-Related Expense [Member] | ||
Accounting Policies [Line Items] | ||
Reclassification of separation of service charge to compensation-related expense | $ 3,000,000 |
NET INCOME PER COMMON SHARE - A
NET INCOME PER COMMON SHARE - Additional Information (Details) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2013 | |
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% | 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 | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Numerator for basic net income per common share [Abstract] | |||
Net income | $ 79,589 | $ 82,873 | $ 108,325 |
Preferred stock dividends | (17,442) | (15,372) | (15,160) |
Earnings participation of unvested equity awards | (150) | (140) | (123) |
Numerator for basic net income per common share | $ 61,997 | $ 67,361 | $ 93,042 |
Denominator for basic net income per common share [Abstract] | |||
Average number of shares of common stock outstanding (in shares) | 96,023 | 95,957 | 95,817 |
Average unvested stock awards outstanding (in shares) | (305) | (301) | (308) |
Denominator for basic net income per common share (in shares) | 95,718 | 95,656 | 95,509 |
Basic net income per common share (in dollars per share) | $ 0.65 | $ 0.70 | $ 0.97 |
Numerator for diluted net income per common share [Abstract] | |||
Numerator for basic net income per common share | $ 61,997 | $ 67,361 | $ 93,042 |
Denominator for diluted net income per common share [Abstract] | |||
Denominator for basic net income per common share (in shares) | 95,718 | 95,656 | 95,509 |
Net effect of dilutive equity awards (in shares) | 125 | 163 | 192 |
Denominator for diluted net income per common share (in shares) | 95,843 | 95,819 | 95,701 |
Diluted net income per common share (in dollars per share) | $ 0.65 | $ 0.70 | $ 0.97 |
RESIDENTIAL MORTGAGE INVESTME35
RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | ||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 13,010,978 | $ 12,805,510 | |
Investment Premiums | 397,876 | 405,137 | |
Amortized Cost Basis | 13,408,854 | 13,210,647 | |
Carrying Amount | [1] | $ 13,454,098 | $ 13,316,282 |
Net WAC | [2] | 2.93% | 2.69% |
Average Yield | [2] | 1.73% | 1.56% |
Agency Securities [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 13,007,704 | $ 12,801,306 | |
Investment Premiums | 397,845 | 405,100 | |
Amortized Cost Basis | 13,405,549 | 13,206,406 | |
Carrying Amount | [1] | $ 13,450,793 | $ 13,312,041 |
Net WAC | [2] | 2.93% | 2.69% |
Average Yield | [2] | 1.73% | 1.56% |
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | Fixed-Rate [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 265 | $ 385 | |
Investment Premiums | 1 | 1 | |
Amortized Cost Basis | 266 | 386 | |
Carrying Amount | [1] | $ 266 | $ 386 |
Net WAC | [2] | 6.51% | 6.65% |
Average Yield | [2] | 6.31% | 6.07% |
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 10,216,099 | $ 10,057,761 | |
Investment Premiums | 313,547 | 314,799 | |
Amortized Cost Basis | 10,529,646 | 10,372,560 | |
Carrying Amount | [1] | $ 10,578,364 | $ 10,483,367 |
Net WAC | [2] | 2.97% | 2.74% |
Average Yield | [2] | 1.78% | 1.64% |
Agency Securities [Member] | Ginnie Mae [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 2,791,340 | $ 2,743,160 | |
Investment Premiums | 84,297 | 90,300 | |
Amortized Cost Basis | 2,875,637 | 2,833,460 | |
Carrying Amount | [1] | $ 2,872,163 | $ 2,828,288 |
Net WAC | [2] | 2.78% | 2.51% |
Average Yield | [2] | 1.54% | 1.29% |
Residential Mortgage Loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 1,856 | $ 2,574 | |
Investment Premiums | 8 | 10 | |
Amortized Cost Basis | 1,864 | 2,584 | |
Carrying Amount | [1] | $ 1,864 | $ 2,584 |
Net WAC | [2] | 4.98% | 4.63% |
Average Yield | [2] | 3.59% | 3.24% |
Residential Mortgage Loans [Member] | Fixed-Rate [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 645 | $ 735 | |
Investment Premiums | 1 | 1 | |
Amortized Cost Basis | 646 | 736 | |
Carrying Amount | [1] | $ 646 | $ 736 |
Net WAC | [2] | 6.74% | 6.72% |
Average Yield | [2] | 4.48% | 3.87% |
Residential Mortgage Loans [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 1,211 | $ 1,839 | |
Investment Premiums | 7 | 9 | |
Amortized Cost Basis | 1,218 | 1,848 | |
Carrying Amount | [1] | $ 1,218 | $ 1,848 |
Net WAC | [2] | 4.04% | 3.80% |
Average Yield | [2] | 3.20% | 3.00% |
Collateral for Structured Financings [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 1,418 | $ 1,630 | |
Investment Premiums | 23 | 27 | |
Amortized Cost Basis | 1,441 | 1,657 | |
Carrying Amount | [1] | $ 1,441 | $ 1,657 |
Net WAC | [2] | 7.94% | 7.98% |
Average Yield | [2] | 7.81% | 7.78% |
[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 year 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 INVESTME36
RESIDENTIAL MORTGAGE INVESTMENTS - Additional Information (Details) $ in Millions | 12 Months Ended |
Dec. 31, 2017USD ($) | |
Financing Receivable, Recorded Investment [Line Items] | |
Mortgage securities weighted average contractual maturity | 290 months |
Available for sale ARM securities, current-reset | $ 6,900 |
Available for sale ARM securities, longer-to-reset | $ 6,510 |
Current-Reset ARMs [Member] | |
Financing Receivable, Recorded Investment [Line Items] | |
Agency securities average months to roll | 6 months 21 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 | 43 months 6 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 | Dec. 31, 2017 | Dec. 31, 2016 | |
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Borrowings outstanding | [1],[2] | $ 12,337,299 | $ 12,151,122 |
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 | 1.46% | 1.04% | |
Agency Securities [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 12,980,202 | $ 12,807,567 | |
Accrued interest receivable | 30,721 | 28,240 | |
Borrowings outstanding | $ 12,331,060 | $ 12,145,346 | |
Average borrowing rates | 1.60% | 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 | $ 12,943,193 | $ 12,643,359 | |
Accrued interest receivable | 30,646 | 27,889 | |
Borrowings outstanding | $ 12,296,546 | $ 11,991,532 | |
Average borrowing rates | 1.60% | 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 | $ 35,568 | $ 162,551 | |
Accrued interest receivable | 75 | 351 | |
Borrowings outstanding | $ 33,073 | $ 152,157 | |
Average borrowing rates | 1.53% | 0.93% | |
Agency Securities [Member] | Similar Borrowings [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 1,441 | $ 1,657 | |
Borrowings outstanding | $ 1,441 | $ 1,657 | |
Average borrowing rates | 7.94% | 7.98% | |
[1] | Amounts include accrued interest payable of $7.7 million and $7.4 million on borrowings under repurchases arrangements as of December 31, 2017 and December 31, 2016, respectively | ||
[2] | Included in gross amounts of recognized liabilities at December 31, 2017 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at December 31, 2017. |
SECURED BORROWINGS - Schedule38
SECURED BORROWINGS - Schedule of Average Borrowings Outstanding (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Disclosure Of Repurchase Agreements [Abstract] | ||
Average borrowings for the effects of related derivatives held as cash flow hedges | $ 12,388,557 | $ 12,754,022 |
Effective borrowing rate considering cash flow hedges | 1.12% | 0.84% |
SECURED BORROWINGS - Additional
SECURED BORROWINGS - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Disclosure Of Repurchase Agreements [Abstract] | |||
Interest paid on secured borrowings | $ 136.1 | $ 110.8 | $ 79.1 |
USE OF DERIVATIVES, OFFSETTIN40
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2010 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
SWAP agreement notional amount during period | $ 3,700 | $ 100 |
SWAP agreement average interest rate during period | 1.64% | 4.09% |
Swap agreement notional amount expiring during period | $ 3,800 | |
SWAP agreement average interest rate expiring during period | 0.75% | |
Interest Rate Swap Agreements [Member] | ||
Notional Disclosures [Abstract] | ||
Payment term of LIBOR interest rate agreement | 20 years |
USE OF DERIVATIVES, OFFSETTIN41
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Swap Agreements Expiration Period and Characteristics (Details) $ in Thousands | Dec. 31, 2017USD ($) |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 8,050,000 |
Interest Rate SWAP Currently-Paying Contracts Expiring First Quarter 2018 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 1,700,000 |
Average Fixed Rates | 0.76% |
Interest Rate SWAP Currently-Paying Contracts Expiring Second Quarter 2018 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 600,000 |
Average Fixed Rates | 0.79% |
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2018 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 400,000 |
Average Fixed Rates | 0.88% |
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2018 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 800,000 |
Average Fixed Rates | 1.15% |
Interest Rate SWAP Currently-Paying Contracts Expiring First Quarter 2019 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 950,000 |
Average Fixed Rates | 1.58% |
Interest Rate SWAP Currently-Paying Contracts Expiring Second Quarter 2019 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 1,650,000 |
Average Fixed Rates | 1.33% |
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2019 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 550,000 |
Average Fixed Rates | 1.40% |
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2019 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 700,000 |
Average Fixed Rates | 1.72% |
Interest Rate SWAP Currently-Paying Contracts Expiring First Quarter 2020 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 300,000 |
Average Fixed Rates | 1.82% |
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2020 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 200,000 |
Average Fixed Rates | 1.64% |
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2020 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 200,000 |
Average Fixed Rates | 2.04% |
USE OF DERIVATIVES, OFFSETTIN42
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 | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||
Balance sheet-related [Abstract] | ||||
Swap agreements in a gain position (an asset) related to borrowings | $ 24,709 | |||
Swap agreements in a loss position (a liability) related to borrowings | $ (23,772) | (24,417) | ||
Interest rate swap agreements at fair value, net assets (liability) | (24,256) | (11,697) | ||
Income statement-related [Abstract] | ||||
Amount of gain (loss) reclassified from Accumulated other comprehensive income | (4,808) | 19,955 | $ 28,550 | |
Other comprehensive income (loss)-related [Abstract] | ||||
Amount of gain (loss) recognized in Other comprehensive income | 21,531 | (1,370) | (21,675) | |
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 | 4,448 | (21,191) | (29,474) | |
Secured Borrowings [Member] | Interest Expense [Member] | ||||
Income statement-related [Abstract] | ||||
Amount of gain (loss) reclassified from Accumulated other comprehensive income | 7,686 | (17,180) | (28,266) | |
Amount of (loss) recognized in income | (360) | (1,236) | (924) | |
Decrease (increase) in interest expense and increase(decrease) in Net income as a result of the use of Derivatives | [1] | 7,326 | (18,416) | (29,190) |
Unsecured Borrowings [Member] | Interest Expense [Member] | ||||
Income statement-related [Abstract] | ||||
Amount of gain (loss) reclassified from Accumulated other comprehensive income | [2] | (2,878) | (2,775) | $ (284) |
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] | 24,709 | ||
Accounts Payable and Accrued Liabilities [Member] | ||||
Balance sheet-related [Abstract] | ||||
Related net interest payable | [4] | (484) | (11,989) | |
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] | $ (23,772) | $ (24,195) | |
[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 $22.4 million at December 31, 2017. | |||
[4] | Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets. |
USE OF DERIVATIVES, OFFSETTIN43
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Components Balance Sheet and Income Statement Location (Parenthetical) (Details) $ in Millions | 12 Months Ended |
Dec. 31, 2017USD ($) | |
Notional Disclosures [Abstract] | |
Derivative instruments unrealized gains to be recognized | $ 22.4 |
USE OF DERIVATIVES, OFFSETTIN44
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | |
Offsetting of derivative assets [Abstract] | |||
Interest rate swap agreements at fair value | $ 24,709 | ||
Net Amounts of Assets Presented in the Balance Sheet | $ 24,256 | 11,697 | |
Offsetting Derivatives Assets [Member] | Counterparty 4 [Member] | |||
Offsetting of derivative assets [Abstract] | |||
Interest rate swap agreements at fair value | [1] | 30,676 | 18,100 |
Gross Amounts Offset in the Balance Sheet | [1] | (30,676) | 6,609 |
Net Amounts of Assets Presented in the Balance Sheet | 0 | 24,709 | |
Financial Instruments | [2] | 0 | (11,681) |
Cash Collateral Received | [2] | 0 | 0 |
Net Amount | $ 0 | $ 13,028 | |
[1] | Included in gross amounts of recognized assets at December 31, 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 December 31, 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, OFFSETTIN45
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 | Dec. 31, 2017 | Dec. 31, 2016 | |
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities (Derivatives) | $ 23,772 | $ 24,417 | |
Cash Collateral Pledged (Derivatives) | (42,506) | (29,660) | |
Gross Amounts of Recognized Liabilities (Repurchase Arrangements) | [1],[2] | 12,337,299 | 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] | 12,337,299 | 12,151,122 |
Financial Instruments (Repurchase Arrangements) | [1],[4] | (12,337,299) | (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] | 12,365,256 | 12,180,919 |
Gross Amounts Offset in the Balance Sheet (Financial Liabilities Total) | [2] | (3,701) | 6,609 |
Net Amounts of Liabilities Presented in the Balance Sheet (Financial Liabilities Total) | [3] | 12,361,555 | 12,187,528 |
Financial Instruments (Financial Liabilities Total) | [4] | (12,337,299) | (12,162,803) |
Cash Collateral Pledged (Financial Liabilities Total) | [4] | (24,256) | (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] | 24,256 | 24,725 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 24,256 | 24,725 |
Financial Instruments (Derivatives) | [4] | 0 | 0 |
Cash Collateral Pledged (Derivatives) | [4] | (24,256) | (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] | 3,701 | 5,072 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | (3,701) | 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] | 27,957 | 29,797 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | (3,701) | 6,609 |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 24,256 | 36,406 |
Financial Instruments (Derivatives) | [4] | 0 | (11,681) |
Cash Collateral Pledged (Derivatives) | [4] | (24,256) | (24,725) |
Net Amount (Derivatives) | $ 0 | $ 0 | |
[1] | Amounts include accrued interest payable of $7.7 million and $7.4 million on borrowings under repurchases arrangements as of December 31, 2017 and December 31, 2016, respectively | ||
[2] | Included in gross amounts of recognized liabilities at December 31, 2017 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at December 31, 2017. | ||
[3] | Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. | ||
[4] | Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. |
USE OF DERIVATIVES, OFFSETTIN46
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Financial Liabilities and Derivative Liabilities (Parenthetical) (Details) - USD ($) $ in Millions | Dec. 31, 2017 | Dec. 31, 2016 |
Portfolio-Related Secured Borrowings [Member] | ||
Notional Disclosures [Abstract] | ||
Accrued interest payable | $ 7.7 | $ 7.4 |
USE OF DERIVATIVES, OFFSETTIN47
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Changes in Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning Balance | $ 1,247,687 | $ 1,298,324 | $ 1,390,771 |
Other comprehensive income (loss) | (43,773) | (30,309) | (91,327) |
Ending Balance | 1,238,876 | 1,247,687 | 1,298,324 |
Gains and Losses on Cash Flow Hedges [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning Balance | 151 | (18,434) | (25,309) |
Other comprehensive income (loss) before reclassifications | 21,426 | (1,370) | (21,675) |
Amounts reclassified from accumulated other comprehensive income | (4,808) | 19,955 | 28,550 |
Cumulative effect adjustment | 105 | ||
Other comprehensive income (loss) | 16,723 | 18,585 | 6,875 |
Ending Balance | 16,874 | 151 | (18,434) |
Unrealized Gains and Losses on Available-for-sale Securities [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning Balance | 105,635 | 154,529 | 252,731 |
Other comprehensive income (loss) before reclassifications | (60,391) | (48,894) | (98,202) |
Amounts reclassified from accumulated other comprehensive income | 0 | 0 | 0 |
Cumulative effect adjustment | 0 | ||
Other comprehensive income (loss) | (60,391) | (48,894) | (98,202) |
Ending Balance | 45,244 | 105,635 | 154,529 |
Accumulated Other Comprehensive Income [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning Balance | 105,786 | 136,095 | 227,422 |
Other comprehensive income (loss) before reclassifications | (38,965) | (50,264) | (119,877) |
Amounts reclassified from accumulated other comprehensive income | (4,808) | 19,955 | 28,550 |
Cumulative effect adjustment | 105 | ||
Other comprehensive income (loss) | (43,668) | (30,309) | (91,327) |
Ending Balance | $ 62,118 | $ 105,786 | $ 136,095 |
UNSECURED BORROWINGS - Addition
UNSECURED BORROWINGS - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Debt Instrument [Line Items] | |||
Interest paid on unsecured borrowings | $ 136.1 | $ 110.8 | $ 79.1 |
Junior Subordinated Debt [Member] | |||
Debt Instrument [Line Items] | |||
Junior subordinated notes maturity term | 30 years | ||
Face amount of junior subordinated notes | $ 100 | ||
Interest paid on unsecured borrowings | $ 7.5 | $ 7.5 | $ 8.4 |
UNSECURED BORROWINGS - Schedule
UNSECURED BORROWINGS - Schedule of Subordinated Note Balances and Related Weighted Average Interest Rates (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 98,191 | $ 98,090 |
Effective interest rate | 7.75% | 7.77% |
October 2035 [Member] | ||
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 34,315 | $ 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 | $ 39,320 | $ 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 | $ 24,556 | $ 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 |
DISCLOSURES REGARDING FAIR VA50
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS - Additional Information (Details) | 12 Months Ended |
Dec. 31, 2017 | |
Maximum [Member] | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Repurchase arrangements, initial term | 120 days |
DISCLOSURES REGARDING FAIR VA51
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS - Financial Instruments Other than Debt Securities (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Financial assets [Abstract] | ||
Residential mortgage loans | $ 13,454,098 | $ 13,316,282 |
Carrying Amount [Member] | ||
Financial assets [Abstract] | ||
Residential mortgage loans | 1,864 | 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 | 98,191 | 98,090 |
Fair Value [Member] | ||
Financial assets [Abstract] | ||
Residential mortgage loans | 1,900 | 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 | 74,100 | 68,800 |
Interest Rate Swap Agreements [Member] | Carrying Amount [Member] | Portfolio-Related [Member] | ||
Financial assets [Abstract] | ||
Portfolio-related interest rate swap agreements | 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 | 23,772 | 24,195 |
Interest Rate Swap Agreements [Member] | Fair Value [Member] | Portfolio-Related [Member] | ||
Financial assets [Abstract] | ||
Portfolio-related interest rate swap agreements | 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 | $ 23,772 | $ 24,195 |
DISCLOSURES REGARDING FAIR VA52
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS - Fair Value and Related Disclosures for Debt Securities (Details) - USD ($) $ in Thousands | Dec. 31, 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 | $ 1,706 | $ 2,037 |
Held-to-maturities, Gross Unrealized Gains | 17 | 24 |
Held-to-maturities, Fair Value | 1,723 | 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 | 10,529,646 | 10,372,566 |
Available-for-sale securities, Gross Unrealized Gains | 85,740 | 134,797 |
Available-for-sale securities, Gross Unrealized Losses | 37,022 | 23,990 |
Available-for-sale securities, Fair Value | 10,578,364 | 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 | 2,875,637 | 2,833,460 |
Available-for-sale securities, Gross Unrealized Gains | 8,958 | 10,141 |
Available-for-sale securities, Gross Unrealized Losses | 12,432 | 15,313 |
Available-for-sale securities, Fair Value | $ 2,872,163 | $ 2,828,288 |
DISCLOSURES REGARDING FAIR VA53
DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS - Securities in Unrealized Loss Position (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Securities in an unrealized loss position, fair value [Abstract] | ||
One year or greater | $ 2,552,668 | $ 1,050,221 |
Less than one year | 4,665,883 | 4,418,674 |
Fair Value, Total | 7,218,551 | 5,468,895 |
Securities in an unrealized loss position, aggregate loss [Abstract] | ||
One year or greater | 26,701 | 8,418 |
Less than one year | 22,752 | 30,885 |
Unrealized Losses, Total | $ 49,453 | $ 39,303 |
INCOME TAXES - Additional Infor
INCOME TAXES - Additional Information(Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Income Taxes Disclosure [Line Items] | ||
Federal statutory tax rate | 35.00% | |
Alternative minimum tax credit refund receivable | $ 1.9 | |
Scenario Forecast [Member] | ||
Income Taxes Disclosure [Line Items] | ||
Federal statutory tax rate | 21.00% |
INCOME TAXES - Schedule of Effe
INCOME TAXES - Schedule of Effective Income Tax Rate Reconciliation (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Effective income tax rate reconciliation [Abstract] | |||
Income taxes computed at the federal statutory rate | $ 27,856 | $ 29,005 | $ 37,914 |
Benefit of REIT status | (27,854) | (29,003) | (37,913) |
Income taxes computed on income of Capstead’s sole taxable REIT subsidiary | 2 | 2 | 1 |
Alternative minimum tax credit refund receivable | (1,941) | ||
Change in deferred asset balance due to change in corporate tax rate | 29 | ||
Other change in net deferred income tax assets | (31) | $ (2) | $ (1) |
Income tax (benefit) provision recorded in miscellaneous other revenue (expense) | $ (1,941) |
INCOME TAXES - Components of De
INCOME TAXES - Components of Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||
Income Tax Disclosure [Abstract] | ||||
Income taxes paid | $ 0 | $ 0 | $ 0 | |
Net capital loss carryforwards subject to expiration amount | $ 19.8 | |||
Capital loss carryforwards, expiration date | Dec. 31, 2019 | |||
Components of deferred tax assets and liabilities [Abstract] | ||||
Alternative minimum tax credit | 1,941 | |||
Net operating loss carryforwards | [1] | $ 32 | 55 | |
Other | 11 | 20 | ||
Deferred tax assets, gross, Total | 43 | 2,016 | ||
Deferred income tax liabilities | 0 | 0 | ||
Net deferred tax assets | 43 | 2,016 | ||
Valuation allowance | [2] | 43 | $ 2,016 | |
Operating loss carryforwards subject to expiration amount | $ 3.5 | |||
Operating loss carryforwards, expiration date | Dec. 31, 2019 | |||
[1] | Excludes $3.5 million in remaining net operating loss carryforwards which expire beginning after 2019. Should these carryforwards be utilized, they will be excluded for purposes of calculating the Company’s provision for income taxes. Any such utilization will, however, reduce actual taxes payable. | |||
[2] | Because this subsidiary is not expected to earn significant amounts of taxable income, related net deferred tax assets are fully reserved at December 31, 2017. |
STOCKHOLDERS' EQUITY - Addition
STOCKHOLDERS' EQUITY - Additional Information (Details) - USD ($) | 2 Months Ended | 12 Months Ended | ||||
Feb. 20, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2013 | Nov. 01, 2017 | |
Class of Stock [Line Items] | ||||||
Common stock repurchase program | $ 100,000,000 | |||||
Shares repurchased (in shares) | 397,000 | |||||
Shares repurchased, value | $ 3,460,000 | |||||
Shares average repurchase price after expenses | $ 8.71 | |||||
Redeemable preferred stock, face value | $ 250,946,000 | $ 199,059,000 | ||||
Cumulative Redeemable Preferred Stock, Series E [Member] | ||||||
Class of Stock [Line Items] | ||||||
Redeemable preferred stock, shares issued (in shares) | 10,329,000 | 8,234,000 | 6,800,000 | |||
Redeemable preferred stock, face value | $ 170,000,000 | |||||
Preferred stock, dividend rate | 7.50% | 7.50% | 7.50% | |||
Redeemable preferred stock, liquidation preference per share (in dollars per share) | $ 25 | |||||
Directors And Employees [Member] | ||||||
Class of Stock [Line Items] | ||||||
Additions to common equity capital related to equity-based awards | $ 1,100,000 | $ 1,400,000 | $ 1,700,000 | |||
Subsequent Event [Member] | ||||||
Class of Stock [Line Items] | ||||||
Shares repurchased (in shares) | 2,300,000 | |||||
Shares repurchased, value | $ 20,100,000 | |||||
Shares average repurchase price after expenses | $ 8.63 | |||||
Stock remaining repurchase program authorized amount | $ 77,000,000 |
STOCKHOLDERS' EQUITY - Schedule
STOCKHOLDERS' EQUITY - Schedule of Series E Preferred Stock Issued Prices and Proceeds Presented Net of Underwriting Fees and Other Costs (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Class of Stock [Line Items] | |||
Net Proceeds | $ 52,051,000 | $ 1,898,000 | $ 13,266,000 |
Continuous Offering Program [Member] | Cumulative Redeemable Preferred Stock, Series E [Member] | |||
Class of Stock [Line Items] | |||
Shares | 2,095,000 | 78,000 | 538,000 |
Net Issue Price | $ 24.77 | $ 24.23 | $ 24.61 |
Net Proceeds | $ 51,887,000 | $ 1,887,000 | $ 13,236,000 |
COMPENSATION PROGRAMS - Additio
COMPENSATION PROGRAMS - Additional Information (Details) - USD ($) | 1 Months Ended | 12 Months Ended | ||||||||
Jan. 31, 2018 | Jan. 31, 2017 | Mar. 31, 2016 | Feb. 29, 2016 | Jan. 31, 2016 | Jan. 31, 2015 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Short-term incentive compensation program accruals | $ 894,000 | |||||||||
Adjustment of short-term incentive compensation program accruals | 938,000 | |||||||||
Annual incentive compensation expense | 4,915,000 | $ 11,749,000 | $ 10,200,000 | |||||||
Dividend equivalent rights payable | $ 18,487,000 | 22,634,000 | ||||||||
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 | $ 180,000 | 385,000 | 391,000 | |||||||
Nonqualified Deferred Compensation Plan [Member] | ||||||||||
Defined Contribution Plan Disclosure [Abstract] | ||||||||||
Accrued deferred compensation plan balances payable to participating executives | $ 7,400,000 | |||||||||
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 | |||||||||
Annual Incentive Compensation [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Annual incentive compensation expense | $ 3,600,000 | 3,400,000 | ||||||||
Dividend Equivalent Rights Program [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Annual incentive compensation expense | $ 434,000 | 621,000 | 746,000 | |||||||
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 | 114,000 | |||||||||
Performance-based RSUs [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Dividend equivalent rights payable | $ 193,000 | 235,000 | ||||||||
Share awards performance period | 3 years | |||||||||
Total original grants (in shares) | 148,894 | 269,354 | 247,512 | 148,894 | ||||||
Grant date fair value per share (in dollars per share) | $ 10.52 | $ 8.03 | $ 8.83 | $ 10.52 | ||||||
Forfeitures (in shares) | (398,623) | |||||||||
Long term incentive compensation expense | $ 149,000 | 204,000 | 818,000 | |||||||
Performance-based RSUs [Member] | Subsequent Event [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Total original grants (in shares) | 183,137 | |||||||||
Grant date fair value per share (in dollars per share) | $ 8.71 | |||||||||
Performance-based RSUs [Member] | December 2015 [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Forfeitures (in shares) | (117,255) | |||||||||
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 | ||||||||
Grant date | Jul. 31, 2017 | Jul. 31, 2016 | ||||||||
Service-based stock awards issuance period | 1 year | |||||||||
Service-Based Stock Awards [Member] | Management [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Total original grants (in shares) | 126,451 | 74,446 | 67,337 | |||||||
Grant date fair value per share (in dollars per share) | $ 8.60 | $ 10.41 | $ 9.32 | |||||||
Share-based compensation arrangement by share-based payment award vesting period | 2021-01 | 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) | 57,283 | 49,416 | 61,272 | 37,237 | ||||||
Grant date fair value per share (in dollars per share) | $ 8.60 | $ 10.41 | $ 7.87 | $ 12.47 | ||||||
Share-based compensation arrangement by share-based payment award vesting period | 2021-01 | 2020-01 | 2019-01 | 2018-01 | ||||||
Stock Awards Activity [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Dividend equivalent rights payable | $ 134,000 | 350,000 | ||||||||
Total original grants (in shares) | 165,659 | |||||||||
Grant date fair value per share (in dollars per share) | $ 10.32 | |||||||||
Forfeitures (in shares) | (34,565) | |||||||||
Long term incentive compensation expense | $ 834,000 | 828,000 | 878,000 | |||||||
Other general and administrative expense | 421,000 | $ 409,000 | $ 436,000 | |||||||
Total of unrecognized compensation expense for unvested stock award | $ 1,400,000 | |||||||||
Compensation cost not yet recognized, period for recognition | 1 year 4 months 24 days | |||||||||
Stock Awards Activity [Member] | Vested 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 | |||||||||
Stock Awards Activity [Member] | Vested 2016 [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Total original grants (in shares) | 118,784 | |||||||||
Grant date fair value per share (in dollars per share) | $ 12.17 | |||||||||
Stock Awards Activity [Member] | Vested 2015 [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Total original grants (in shares) | 125,221 | |||||||||
Grant date fair value per share (in dollars per share) | $ 12.58 | |||||||||
Stock Awards Activity [Member] | Vested 2014 [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Total original grants (in shares) | 114,423 | |||||||||
Grant date fair value per share (in dollars per share) | $ 13.31 | |||||||||
Stock Option [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Exercisable option awards outstanding (in shares) | 30,000 | |||||||||
Weighted average strike price (in dollars per share) | $ 12.28 | |||||||||
Aggregate intrinsic value | $ 0 | |||||||||
Exercisable, weighted average remaining contractual term | 1 year 1 month 6 days | |||||||||
Option awards expired (in shares) | 10,000 | |||||||||
Weighted average strike price of options expired (in dollars per share) | $ 10.58 | |||||||||
Exercisable, intrinsic value | $ 0 | |||||||||
Share awards contractual term | 10 years |
COMPENSATION PROGRAMS - Schedul
COMPENSATION PROGRAMS - Schedule of Performance-Based Restricted Stock Units Activity (Details) - Performance-based RSUs [Member] - $ / shares | 1 Months Ended | 12 Months Ended | ||
Jan. 31, 2017 | Feb. 29, 2016 | Jan. 31, 2015 | Dec. 31, 2017 | |
Equity instruments other than options, nonvested, number of shares [Roll Forward] | ||||
Unvested equity awards outstanding at beginning of period (in shares) | 685,705 | 685,705 | ||
Grants (in shares) | 148,894 | 269,354 | 247,512 | 148,894 |
Forfeitures (in shares) | (398,623) | |||
Unvested equity outstanding at end of period (in shares) | 435,976 | |||
Equity instruments other than options, nonvested, weighted average grant date fair value [Abstract] | ||||
Unvested equity awards outstanding at beginning of period (in dollars per share) | $ 9.60 | $ 9.60 | ||
Grants (in dollars per share) | $ 10.52 | $ 8.03 | $ 8.83 | 10.52 |
Forfeitures (in dollars per share) | 10.50 | |||
Unvested equity awards outstanding at end of period (in dollars per share) | $ 9.10 |
COMPENSATION PROGRAMS - Sched61
COMPENSATION PROGRAMS - Schedule of Stock Award Activity (Details) - Stock Awards Activity [Member] | 12 Months Ended |
Dec. 31, 2017$ / sharesshares | |
Equity instruments other than options, nonvested, number of shares [Roll Forward] | |
Unvested equity awards outstanding at beginning of period (in shares) | shares | 305,567 |
Grants (in shares) | shares | 165,659 |
Forfeitures (in shares) | shares | (34,565) |
Vestings (in shares) | shares | (139,721) |
Unvested equity outstanding at end of period (in shares) | shares | 296,940 |
Equity instruments other than options, nonvested, weighted average grant date fair value [Abstract] | |
Unvested equity 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 | 9.48 |
Vestings (in dollars per share) | $ / shares | 11.35 |
Unvested equity awards outstanding at end of period (in dollars per share) | $ / shares | $ 9.90 |
QUARTERLY RESULTS (UNAUDITED) -
QUARTERLY RESULTS (UNAUDITED) - Summarized Quarterly Results of Operations (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||||||||||
Quarterly Financial Information Disclosure [Abstract] | ||||||||||||||||||||
Interest income on residential mortgage investments (before investment premium amortization) | $ 94,191 | $ 92,023 | $ 89,764 | $ 85,226 | $ 84,985 | $ 85,921 | $ 86,361 | $ 85,511 | ||||||||||||
Investment premium amortization | (29,773) | (34,950) | (33,661) | (30,385) | (34,945) | (36,076) | (33,052) | (26,011) | $ (128,769) | $ (130,084) | $ (121,190) | |||||||||
Related interest expense | (40,012) | (36,655) | (33,850) | (28,240) | (27,421) | (26,636) | (27,014) | (26,582) | ||||||||||||
Net interest income (expense) | 24,406 | 20,418 | 22,253 | 26,601 | 22,619 | 23,209 | 26,295 | 32,918 | 87,032 | 97,845 | 122,355 | |||||||||
Other interest income (expense) | [1] | (1,702) | (1,544) | (1,662) | (1,738) | (1,767) | (1,796) | (1,848) | (1,785) | |||||||||||
Other revenue (expense) | (117) | [2] | (2,122) | [2] | (3,042) | [2] | (2,162) | [2] | (3,402) | [2] | (4,973) | [2] | (2,817) | [2] | (3,780) | [2] | $ (7,443) | $ (14,972) | $ (14,030) | |
Net income | $ 22,587 | $ 16,752 | $ 17,549 | $ 22,701 | $ 17,450 | $ 16,440 | $ 21,630 | $ 27,353 | ||||||||||||
Basic and diluted net income per common share | $ 0.19 | $ 0.13 | $ 0.14 | $ 0.20 | $ 0.14 | $ 0.13 | $ 0.19 | $ 0.25 | $ 0.65 | $ 0.70 | $ 0.97 | |||||||||
[1] | Consists principally of interest on unsecured borrowings, overnight investments and cash collateral receivable with interest rate swap counterparties. | |||||||||||||||||||
[2] | Consists of general and administrative expenses, including compensation-related costs, and miscellaneous other revenue (expense). The fourth quarter of 2017 includes $1.9 million in alternative minimum tax refunds recorded in connection with the enactment of tax reform legislation. The third and fourth quarters of 2016 also include separation of service charges totaling $3.0 million. |
QUARTERLY RESULTS (UNAUDITED)63
QUARTERLY RESULTS (UNAUDITED) - Summarized Quarterly Results of Operations (Parenthetical) (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |||
Separation of service charge | $ 3 | $ 3 | |
Alternative minimum tax credit refunds | $ 1.9 |