Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2019 | May 01, 2019 | |
Document And Entity Information [Abstract] | ||
Entity Registrant Name | CAPSTEAD MORTGAGE CORP | |
Entity Central Index Key | 0000766701 | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Common Stock, Shares Outstanding | 85,580,126 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q1 | |
Trading Symbol | CMO | |
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2019 |
CONSOLIDATED BALANCE SHEETS (UN
CONSOLIDATED BALANCE SHEETS (UNAUDITED) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Assets | ||
Residential mortgage investments ($11.82 and $11.57 billion pledged at March 31, 2019 and December 31, 2018, respectively) | $ 12,228,422 | $ 11,965,381 |
Cash collateral receivable from interest rate swap counterparties | 58,191 | 31,797 |
Derivative instruments at fair value | 7,037 | |
Cash and cash equivalents | 32,433 | 60,289 |
Receivables and other assets | 115,691 | 129,058 |
Total assets | 12,441,774 | 12,186,525 |
Liabilities | ||
Secured borrowings | 11,222,451 | 10,979,362 |
Derivative instruments at fair value | 21,903 | 17,834 |
Unsecured borrowings | 98,317 | 98,292 |
Common stock dividend payable | 7,110 | 7,132 |
Accounts payable and accrued expenses | 27,115 | 24,842 |
Total liabilities | 11,376,896 | 11,127,462 |
Stockholders’ equity | ||
Preferred stock - $0.10 par value; 100,000 shares authorized: 7.50% Cumulative Redeemable Preferred Stock, Series E, 10,329 shares issued and outstanding ($258,226 aggregate liquidation preference) at March 31, 2019 and December 31, 2018 | 250,946 | 250,946 |
Common stock - $0.01 par value; 250,000 shares authorized: 85,580 and 85,277 shares issued and outstanding at March 31, 2019 and December 31, 2018, respectively | 856 | 853 |
Paid-in capital | 1,175,878 | 1,174,880 |
Accumulated deficit | (366,110) | (346,570) |
Accumulated other comprehensive income (loss) | 3,308 | (21,046) |
Total stockholders' equity | 1,064,878 | 1,059,063 |
Total liabilities and equity | $ 12,441,774 | $ 12,186,525 |
CONSOLIDATED BALANCE SHEETS (_2
CONSOLIDATED BALANCE SHEETS (UNAUDITED) (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Assets | ||
Residential mortgage investments pledged | $ 11,820,000 | $ 11,570,000 |
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) | 85,580 | 85,277 |
Common stock, shares outstanding (in shares) | 85,580 | 85,277 |
Cumulative Redeemable Preferred Stock, Series E [Member] | ||
Stockholders’ equity | ||
Preferred stock, shares issued (in shares) | 10,329 | 10,329 |
Preferred stock, shares outstanding (in shares) | 10,329 | 10,329 |
Preferred stock, dividend rate | 7.50% | 7.50% |
Preferred stock, aggregate liquidation preference | $ 258,226 | $ 258,226 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Interest income: | |||
Residential mortgage investments | $ 83,807 | $ 69,138 | |
Other | 422 | 408 | |
Interest income | 84,229 | 69,546 | |
Interest expense: | |||
Secured borrowings | (63,779) | (45,021) | |
Unsecured borrowings | (1,891) | (1,891) | |
Interest expense | (65,670) | (46,912) | |
Net interest income (expense) | 18,559 | 22,634 | |
Other (expense) income: | |||
Loss on derivative instruments (net) | [1] | (21,657) | |
Compensation-related expense | (3,609) | (2,048) | |
Other general and administrative expense | (1,128) | (1,237) | |
Miscellaneous other revenue | 89 | 71 | |
Operating expenses | (26,305) | (3,214) | |
Net (loss) income | (7,746) | 19,420 | |
Less preferred stock dividends | (4,842) | (4,842) | |
Net (loss) income to common stockholders | $ (12,588) | $ 14,578 | |
Net (loss) income per common share: | |||
Basic and diluted | $ (0.15) | $ 0.16 | |
Weighted average common shares outstanding: | |||
Basic (in shares) | 84,894 | 93,425 | |
Diluted (in shares) | 84,894 | 93,506 | |
Cash dividends declared per share: | |||
Common (in dollars per share) | $ 0.08 | $ 0.16 | |
Series E Preferred [Member] | |||
Cash dividends declared per share: | |||
Series E preferred (in dollars per share) | $ 0.47 | $ 0.47 | |
[1] | Included in “Loss on derivative instruments (net)” on the face of the Statement of Operations. |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Statement Of Income And Comprehensive Income [Abstract] | ||
Net (loss) income | $ (7,746) | $ 19,420 |
Amounts related to available-for-sale securities: | ||
Change in net unrealized gains (losses) | 43,476 | (44,053) |
Amounts related to derivative instruments held as cash flow hedges: | ||
Change in net unrealized (losses) gains | (8,551) | 30,933 |
Reclassification adjustment for amounts included in net (loss) income | (10,571) | (4,644) |
Other comprehensive income | 24,354 | (17,764) |
Comprehensive income | $ 16,608 | $ 1,656 |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) - USD ($) $ in Thousands | Total | Preferred Stock [Member] | Common Stock [Member] | Paid-in Capital [Member] | Accumulated Deficit [Member] | Accumulated Other Comprehensive Income (Loss) [Member] |
Beginning Balance at Dec. 31, 2017 | $ 1,238,876 | $ 250,946 | $ 957 | $ 1,271,425 | $ (346,570) | $ 62,118 |
Net (loss) income | 19,420 | 19,420 | ||||
Change in unrealized gain on mortgage securities, net | (44,053) | (44,053) | ||||
Amounts related to cash flow hedges, net | 26,289 | 26,289 | ||||
Cash dividends: | ||||||
Common | (14,742) | (164) | (14,578) | |||
Preferred | (4,842) | (4,842) | ||||
Common stock repurchases | (29,062) | (34) | (29,028) | |||
Other additions to capital | 342 | 2 | 340 | |||
Ending Balance at Mar. 31, 2018 | 1,192,228 | 250,946 | 925 | 1,242,573 | (346,570) | 44,354 |
Beginning Balance at Dec. 31, 2018 | 1,059,063 | 250,946 | 853 | 1,174,880 | (346,570) | (21,046) |
Net (loss) income | (7,746) | (7,746) | ||||
Change in unrealized gain on mortgage securities, net | 43,476 | 43,476 | ||||
Amounts related to cash flow hedges, net | (19,122) | (19,122) | ||||
Cash dividends: | ||||||
Common | (6,952) | (6,952) | ||||
Preferred | (4,842) | (4,842) | ||||
Other additions to capital | 1,001 | 3 | 998 | |||
Ending Balance at Mar. 31, 2019 | $ 1,064,878 | $ 250,946 | $ 856 | $ 1,175,878 | $ (366,110) | $ 3,308 |
CONSOLIDATED STATEMENTS OF ST_2
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) (Parenthetical) - $ / shares | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Statement Of Stockholders Equity [Abstract] | ||
Common per share (in dollars per share) | $ 0.08 | $ 0.16 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Operating activities: | ||
Net (loss) income | $ (7,746) | $ 19,420 |
Noncash items: | ||
Amortization of investment premiums | 18,253 | 25,620 |
Amortization of equity-based awards | 1,109 | 415 |
Amortization of unrealized gain on de-designated hedges | (3,020) | |
Unrealized loss on derivative instruments (net) | 26,237 | |
Other depreciation and amortization | 27 | 26 |
Net change in receivables, other assets, accounts payable and accrued expenses | 12,635 | 1,290 |
Net cash provided by operating activities | 47,495 | 46,771 |
Investing activities: | ||
Purchases of residential mortgage investments | (994,371) | (461,381) |
Interest receivable acquired with the purchase of residential mortgage investments | (2,190) | (798) |
Principal collections on residential mortgage investments, including changes in mortgage securities principal remittance receivable | 768,168 | 812,524 |
Repayment of lending counterparty investment | 5,000 | |
Net cash (used in) provided by investing activities | (223,393) | 350,345 |
Financing activities: | ||
Proceeds from repurchase arrangements and similar borrowings | 31,034,056 | 48,138,234 |
Principal payments on repurchase arrangements and similar borrowings | (30,790,967) | (48,524,450) |
(Decrease) increase in cash collateral receivable from interest rate swap counterparties | (26,394) | 5,920 |
Net (payments on) proceeds from interest rate swap settlements | (56,731) | 21,324 |
Common stock repurchases | (29,062) | |
Other capital stock transactions | (106) | (72) |
Dividends paid | (11,816) | (23,002) |
Net cash provided by (used in) financing activities | 148,042 | (411,108) |
Net change in cash and cash equivalents | (27,856) | (13,992) |
Cash and cash equivalents at beginning of period | 60,289 | 103,907 |
Cash and cash equivalents at end of period | $ 32,433 | $ 89,915 |
BUSINESS
BUSINESS | 3 Months Ended |
Mar. 31, 2019 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
BUSINESS | NOTE 1 — Capstead Mortgage Corporation operates as a self-managed real estate investment trust for federal income tax purposes (a “REIT”) and is based in Dallas, Texas. Unless the context otherwise indicates, Capstead Mortgage Corporation, together with its subsidiaries, is referred to as “Capstead” or the “Company.” Capstead earns income from investing in a leveraged portfolio of residential mortgage pass-through securities consisting almost exclusively of adjustable-rate mortgage (“ARM”) securities issued and guaranteed by government-sponsored enterprises, either Fannie Mae, Freddie Mac, or by an agency of the federal government, Ginnie Mae. Residential mortgage pass-through securities guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae are referred to as “Agency Securities” and are considered to have limited, if any, credit risk. |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 3 Months Ended |
Mar. 31, 2019 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
BASIS OF PRESENTATION | NOTE 2 — Interim Financial Reporting The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the quarter ended March 31, 2019 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2019. For further information refer to the audited consolidated financial statements and footnotes thereto included in the Company’s annual report on Form 10-K for the year ended December 31, 2018. Change in Use of Hedge Accounting On March 1, 2019 the Company discontinued its use of hedge accounting on its interest rate swaps related to Secured borrowings, Unsecured borrowings Recent Accounting Pronouncements In February 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2016-02, Leases (“ASU 2016-02”) which requires entities who are lessees to recognize a right-of-use asset and a lease liability arising from those leases on the balance sheet. ASU 2016-02 is effective for fiscal years beginning after December 15, 2018 and interim periods within those fiscal years. The Company adopted ASU 2016-02 on January 1, 2019, which had no material effect on the Company’s results of operations, financial condition and cash flows. |
NET INCOME (LOSS) PER COMMON SH
NET INCOME (LOSS) PER COMMON SHARE | 3 Months Ended |
Mar. 31, 2019 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | NOTE 3 — Basic net income (loss) 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 (loss) per common share is computed by dividing the numerator used to compute basic net income (loss) per common share by the denominator used to compute basic net income (loss) 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 (loss) 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 (loss) per common share were as follows for the indicated periods (dollars in thousands, except per share amounts) : Quarter Ended March 31 2019 2018 Basic net income (loss) per common share Numerator for basic net income (loss) per common share: Net (loss) income $ (7,746 ) $ 19,420 Preferred stock dividends (4,842 ) (4,842 ) Earnings participation of unvested equity awards (19 ) (32 ) $ (12,607 ) $ 14,546 Denominator for basic net income (loss) per common share: Average number of shares of common stock outstanding 85,549 93,867 Average unvested stock awards outstanding (655 ) (442 ) 84,894 93,425 $ (0.15 ) $ 0.16 Diluted net income (loss) per common share Numerator for diluted net income (loss) per common share $ (12,607 ) $ 14,546 Denominator for diluted net income (loss) per common share: Denominator for basic net income (loss) per common share 84,894 93,425 Net effect of dilutive equity awards – 81 84,894 93,506 $ (0.15 ) $ 0.16 Securities that could be potentially dilutive in the future that were not included in the computation of diluted net income (loss) per common share include 1.2 million anti-dilutive equity awards excludable under the treasury stock method for the quarter ended March 31, 2019. There were no potentially dilutive securities excluded from the computation of diluted net income (loss) per common share for the quarter ended March 31, 2018. |
RESIDENTIAL MORTGAGE INVESTMENT
RESIDENTIAL MORTGAGE INVESTMENTS | 3 Months Ended |
Mar. 31, 2019 | |
Residential Mortgage [Member] | |
RESIDENTIAL MORTGAGE INVESTMENTS | — Residential mortgage investments classified by collateral type and interest rate characteristics as of the indicated dates were as follows (dollars in thousands): Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (c) March 31, 2019 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 113 $ – $ 113 $ 113 6.50 % 5.25 % ARMs 8,844,800 260,507 9,105,307 9,118,646 3.58 2.69 Ginnie Mae ARMs 3,026,085 78,649 3,104,734 3,107,625 3.43 2.93 11,870,998 339,156 12,210,154 12,226,384 3.54 2.75 Residential mortgage loans: Fixed-rate 241 1 242 242 7.12 2.68 ARMs 806 4 810 810 3.90 4.44 1,047 5 1,052 1,052 4.64 3.80 Collateral for structured financings 970 16 986 986 8.25 7.57 $ 11,873,015 $ 339,177 $ 12,212,192 $ 12,228,422 3.54 2.75 December 31, 2018 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 126 $ – $ 126 $ 126 6.50 % 6.23 % ARMs 8,691,794 257,999 8,949,793 8,931,558 3.42 2.28 Ginnie Mae ARMs 2,964,531 75,744 3,040,275 3,031,264 3.30 2.54 11,656,451 333,743 11,990,194 11,962,948 3.39 2.34 Residential mortgage loans: Fixed-rate 552 1 553 553 6.80 2.44 ARMs 868 4 872 872 3.91 3.24 1,420 5 1,425 1,425 5.03 2.95 Collateral for structured financings 991 17 1,008 1,008 7.99 7.43 $ 11,658,862 $ 333,765 $ 11,992,627 $ 11,965,381 3.39 2.34 (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. ( c ) Average yield is presented for the quarter then ended and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments. Agency Securities are considered to have limited, if any, credit risk because the timely payment of principal and interest is guaranteed by Fannie Mae and Freddie Mac, which are federally chartered corporations, or Ginnie Mae, which is an agency of the federal government. Residential mortgage loans held by Capstead were originated prior to 1995 when the Company operated a mortgage conduit and the related credit risk is borne by the Company. Collateral for structured financings consists of private residential mortgage securities that are backed by loans obtained through this mortgage conduit and are pledged to secure repayment of related structured financings. Credit risk for these securities is borne by the related bondholders. The maturity of Residential mortgage investments Fixed-rate investments consist of residential mortgage loans and Agency Securities backed by residential mortgage loans with fixed rates of interest. ARMs are adjustable-rate Agency Securities backed by residential mortgage loans that have coupon interest rates that adjust at least annually to more current interest rates or begin doing so after an initial fixed-rate period. After the initial fixed-rate period, if applicable, mortgage loans underlying ARM securities typically either (i) adjust annually based on specified margins over the one-year London interbank offered rate (“LIBOR”) or the one-year Constant Maturity U.S. Treasury Note Rate (“CMT”), (ii) adjust semiannually based on specified margins over six-month LIBOR, or (iii) adjust monthly based on specified margins over indices such as one-month LIBOR, the Eleventh District Federal Reserve Bank Cost of Funds Index, or over a rolling twelve month average of the one-year CMT index, usually subject to periodic and lifetime limits, or caps, on the amount of such adjustments during any single interest rate adjustment period and over the contractual term of the underlying loans. Capstead classifies its ARM investments based on average number of months until coupon reset (“months to roll”). Months to roll is an indicator of asset duration which is a measure of market price sensitivity to interest rate movements. A shorter duration generally indicates less interest rate risk. Current-reset ARM investments have months to roll of less than 18 months while longer-to-reset ARM investments have months to roll of 18 months or greater. As of March 31, 2019, the average months to roll for the Company’s $6.10 billion (amortized cost basis) in current-reset ARM investments was approximately six months while the average months to roll for the Company’s $6.11 billion (amortized cost basis) in longer-to-reset ARM investments was approximately 43 months. |
SECURED BORROWINGS
SECURED BORROWINGS | 3 Months Ended |
Mar. 31, 2019 | |
Disclosure Of Repurchase Agreements [Abstract] | |
SECURED BORROWINGS | NOTE 5 — Capstead pledges its Residential mortgage investments The terms and conditions of secured borrowings are negotiated on a transaction-by-transaction basis when each such borrowing is initiated or renewed. The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an agreed-upon discount, referred to as a “haircut.” Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings. Interest may be paid monthly or at the termination of a borrowing at which time the Secured borrowings (and related pledged collateral, including accrued interest receivable), classified by collateral type and remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands): Collateral Type Collateral Carrying Amount Accrued Interest Receivable Borrowings Outstanding Average Borrowing Rates March 31, 2019 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 10,703,199 $ 31,632 $ 10,154,691 2.73 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 1,119,381 3,513 1,066,774 2.69 Similar borrowings: Collateral for structured financings 986 – 986 8.25 $ 11,823,566 $ 35,145 $ 11,222,451 2.73 Quarter-end borrowing rates adjusted for effects of related Derivatives 2.34 December 31, 2018 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 4,424,311 $ 12,287 $ 4,204,988 2.73 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 7,143,129 19,621 6,773,366 2.68 Similar borrowings: Collateral for structured financings 1,008 – 1,008 7.99 $ 11,568,448 $ 31,908 $ 10,979,362 2.70 Year-end borrowing rates adjusted for effects of related Derivatives 2.26 Average secured borrowings outstanding during the indicated periods differed from respective ending balances primarily due to changes in portfolio levels and differences in the timing of portfolio acquisitions relative to portfolio runoff as illustrated below (dollars in thousands): Quarter Ended March 31, 2019 December 31, 2018 Average Borrowings Average Rate Average Borrowings Average Rate Average borrowings and rates adjusted for the effects of related Derivatives $ 11,156,608 2.12 % $ 11,439,646 2.07 % |
USE OF DERIVATIVES, OFFSETTING
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT | NOTE 6 — 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 for terms of two and three years. These Derivatives hedge the variability of the underlying benchmark interest rate of current and forecasted 30- to 90-day secured borrowings. From an economic perspective, 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 borrowings, leaving the fixed-rate swap payments as the Company’s effective borrowing rate, subject to certain adjustments. Additionally, changes in fair value of these Derivatives tend to partially offset opposing changes in fair value of the Company’s residential mortgage investments that can occur in response to changes in market interest rates. Historically, the Company designated its interest rate swaps related to secured borrowings as hedges for accounting purposes, whereby changes in the swaps’ fair values were recorded in Accumulated other comprehensive income (loss) Accumulated other comprehensive income (loss) During the quarter ended March 31, 2019, Capstead entered into swap agreements with notional amounts of $2.6 billion requiring fixed-rate interest payments averaging Period of Contract Expiration Notional Amount Average Fixed-Rate Payment Requirement 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 600,000 2.07 Second quarter 2020 600,000 2.68 Third quarter 2020 200,000 1.64 Fourth quarter 2020 200,000 2.04 First quarter 2021 100,000 2.67 Second quarter 2021 200,000 2.87 Fourth quarter 2021 800,000 2.85 First quarter 2022 2,600,000 2.55 $ 8,200,000 T he Company has 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 . These Derivatives remain designated as cash flow hedges for accounting purposes of the variability of the underlying contractual rate associated with the floating-rate terms of these long-term borrowings which began on various dates between October 2015 and September 2016. 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) The fair value of exchange-traded swap agreements hedging Secured borrowings Unsecured borrowings Cash collateral receivable from interest rate swap counterparties Accounts payable and accrued expenses The following tables include fair value and other related disclosures regarding all Derivatives held as of and for the indicated periods (in thousands): Balance Sheet March 31 December 31 Location 2019 2018 Balance sheet-related Swap agreements in a gain position (an asset) related to secured borrowings (a) $ 7,037 $ – Swap agreements in a loss position (a liability) related to unsecured borrowings (a) (21,903 ) (17,834 ) Related net interest payable (b) (871 ) (372 ) $ (15,737 ) $ (18,206 ) (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, included in Accumulated other comprehensive income (loss) and scheduled to be recognized in the Statements of Operations over the next twelve months primarily in the form of amortization of net unrealized gains on de-designated interest rate swaps and fixed-rate swap payments in excess of current market rates on swaps related to unsecured borrowings totaled $13.3 million at March 31, 2019. (b) Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets. Location of Gain or (Loss) Recognized in Quarter Ended March 31 Net Income 2019 2018 Income statement-related Components of Secured borrowings-related effects on interest expense: Amount of gain reclassified from Accumulated other comprehensive income (loss) $ 7,891 $ 5,247 Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives 3,020 – (a) 10,911 5,247 Component of Unsecured borrowings-related effects on interest expense: Amount of loss reclassified from Accumulated other comprehensive income (loss) (b) (340 ) (603 ) Decrease in interest expense and increase in Net (loss) income Derivatives $ 10,571 $ 4,644 Realized and unrealized loss on non-designated Derivatives (net) (c) $ (21,657 ) $ – Other comprehensive income-related Amount of (loss) gain recognized in Other comprehensive income $ (8,551 ) $ 30,933 (a) Included in “Interest expense: Secured borrowings” on the face of the Statements of Operations. (b) Included in “Interest expense: Unsecured borrowings” on the face of the Statements of Operations. (c) Included in “Loss on derivative instruments (net)” on the face of the Statement of Operations. 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 March 31, 2019 Counterparty 4 $ 10,913 $ (3,877 ) $ 7,037 $ – $ – $ 7,037 December 31, 2018 Counterparty 4 $ 26,787 $ (26,787 ) $ – $ – $ – $ – ( a ) Included in gross amounts of recognized assets at March 31, 2019 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 March 31, 2019. ( 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 March 31, 2019 Derivatives by counterparty: Counterparty 1 $ 22,774 $ – $ 22,774 $ – $ (22,774 ) $ – Counterparty 4 41,548 (41,548 ) – – – – 64,322 (41,548 ) 22,774 – (22,774 ) – Borrowings under repurchase arrangements (d) 11,233,090 – 11,233,090 (11,233,090 ) – – $ 11,297,412 $ (41,548 ) $ 11,255,864 $ (11,233,090 ) $ (22,774 ) $ – December 31, 2018 Derivatives by counterparty: Counterparty 1 $ 18,205 $ – $ 18,205 $ – $ (18,205 ) $ – Counterparty 4 9,718 (9,718 ) – – – – 27,923 (9,718 ) 18,205 – (18,205 ) – Borrowings under repurchase arrangements (d) 10,987,329 – 10,987,329 (10,987,329 ) – – $ 11,015,252 $ (9,718 ) $ 11,005,534 $ (10,987,329 ) $ (18,205 ) $ – (a) Included in gross amounts of recognized liabilities at March 31, 2019 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 March 31, 2019. (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 $11.6 million and $9.0 million on borrowings under repurchase arrangements as of March 31, 2019 and December 31, 2018, respectively. Changes in Accumulated other comprehensive income (loss) Unrealized Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at December 31, 2018 $ 6,200 $ (27,246 ) $ (21,046 ) Activity for the quarter ended March 31, 2019: Other comprehensive income (loss) before reclassifications (8,551 ) 43,476 34,835 Amounts reclassified from Accumulated other comprehensive income (loss) (10,571 ) – (10,481 ) Other comprehensive income (loss) (19,122 ) 43,476 24,354 Balance at March 31, 2019 $ (12,922 ) $ 16,230 $ 3,308 |
UNSECURED BORROWINGS
UNSECURED BORROWINGS | 3 Months Ended |
Mar. 31, 2019 | |
Debt Disclosure [Abstract] | |
UNSECURED BORROWINGS | NOTE 7 — Unsecured borrowings consist of 30-year junior subordinated notes issued in 2005 and 2006 and maturing in 2035 and 2036, for a total face amount of $100 million. Note balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for effects of related Derivatives held as cash flow hedges) were as follows (dollars in thousands): March 31, 2019 December 31, 2018 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,364 7.88 % $ 34,354 7.89 % December 2035 ($40,000 face amount) 39,368 7.65 39,359 7.65 September 2036 ($25,000 face amount) 24,585 7.69 24,579 7.69 $ 98,317 7.74 $ 98,292 7.74 |
FAIR VALUE
FAIR VALUE | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE | NOTE 8 — The fair value of Capstead’s financial assets and liabilities are influenced by changes in, and market expectations for changes in, interest rates and market liquidity conditions, as well as other factors beyond the control of management. With the exception of the fair value of lending counterparty investments, all fair values were determined using Level 2 Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820). Lending counterparty investments are nonmarketable securities classified as assets for which Level 3 Inputs are used to determine fair value. These assets are considered strategic investments that are carried at cost and periodically valued and evaluated for impairment. No impairment charges have been recorded relative to these investments and the Company’s cost basis is deemed to approximate fair value. Residential mortgage investments , nearly all of which are mortgage securities classified as available-for-sale, are measured at fair value on a recurring basis. In determining fair value estimates the Company considers recent trading activity for similar investments and pricing levels indicated by lenders in connection with designating collateral for secured borrowings, provided such pricing levels are considered indicative of actual market clearing transactions. In determining fair value estimates for with initial terms of greater than 120 days, the Company considers pricing levels indicated by lenders for entering into new transactions using similar pledged collateral with terms equal to the remaining terms of these borrowings. The Company currently bases fair value for on discounted cash flows using Company estimates for market yields. Excluded from these disclosures are financial instruments for which cost basis is deemed to approximate fair value due primarily to the short duration of these instruments, which are valued using primarily Level 1 measurements, including , , receivables, payables and secured borrowings with initial terms of 120 days or less. See NOTE 6 for information relative to the valuation of interest rate swap agreements. Fair value-related disclosures for financial instruments other than debt securities were as follows as of the indicated dates (in thousands): March 31, 2019 December 31, 2018 Fair Value Hierarchy Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Residential mortgage loans Level 2 $ 1,052 $ 1,100 $ 1,425 $ 1,400 Lending counterparty investments Level 3 – – 5,002 5,002 Secured borrowings-related interest rate swap agreements Level 2 7,037 7,037 – – Financial liabilities: Unsecured borrowings Level 2 98,317 75,200 98,292 76,600 Unsecured borrowings-related interest rate swap agreements Level 2 21,903 21,903 17,834 17,834 Fair value-related disclosures for debt securities were as follows as of the indicated dates (in thousands): Amortized Gross Unrealized Cost Basis Gains Losses Fair Value March 31, 2019 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 9,105,307 $ 65,623 $ 52,284 $ 9,118,646 Ginnie Mae 3,104,734 14,638 11,747 3,107,625 Residential mortgage securities classified as held-to-maturity 1,099 3 – 1,102 December 31, 2018 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac 8,949,793 56,041 74,276 8,931,558 Ginnie Mae 3,040,275 8,681 17,692 3,031,264 Residential mortgage securities classified as held-to-maturity 1,134 3 – 1,137 March 31, 2019 December 31, 2018 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position: One year or greater $ 4,996,754 $ 62,772 $ 4,736,171 $ 83,407 Less than one year 578,144 1,259 1,475,120 8,561 $ 5,574,898 $ 64,031 $ 6,211,291 $ 91,968 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 March 31, 2019. |
EQUITY INCENTIVE PLAN
EQUITY INCENTIVE PLAN | 3 Months Ended |
Mar. 31, 2019 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
EQUITY INCENTIVE PLAN | NOTE 9 — All equity-based awards and other long-term incentive awards are made pursuant to the Company’s Amended and Restated 2014 Flexible Incentive Plan that was approved by stockholders in May 2014. At March 31, 2019, this plan had 2,919,087 shares of common stock remaining available for future issuances. Long-term Equity-based Awards – Performance-based Restricted Stock Units (“RSUs”) RSU activity and related information for the quarter ended March 31, 2019 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested RSU awards outstanding at December 31, 2018 501,858 $ 9.02 Grants 206,914 6.87 Vestings (34,135 ) 8.03 Forfeitures (135,692 ) 8.03 Unvested RSU awards outstanding at March 31, 2019 538,945 8.50 During the quarters ended March 31, 2019 and 2018, the Company recognized in Compensation-related expense 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. If these shares do not vest, the related dividends will be forfeited. Included in Common stock dividends payable Long-term Equity-based Awards – Restricted Stock Awards Restricted stock award activity for the quarter ended March 31, 2019 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested stock awards outstanding at December 31, 2018 461,091 $ 9.01 Grants 284,655 6.76 Vestings (99,917 ) 8.49 Unvested stock awards outstanding at March 31, 2019 645,829 8.10 During the quarters ended March 31, 2019 and 2018, the Company recognized in Compensation-related expense Other general and administrative expense Service-based stock awards issued to non-executive employees and to directors receive dividends on a current basis without risk of forfeiture if the related awards do not vest. Stock awards issued to executives defer the payment of dividends accruing between the grant dates and the end of related service periods. If these awards do not vest, the related accrued dividends will be forfeited. Included in Common stock dividend payable |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 3 Months Ended |
Mar. 31, 2019 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Interim Financial Reporting | Interim Financial Reporting The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the quarter ended March 31, 2019 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2019. For further information refer to the audited consolidated financial statements and footnotes thereto included in the Company’s annual report on Form 10-K for the year ended December 31, 2018. |
Change in Use of Hedge Accounting | Change in Use of Hedge Accounting On March 1, 2019 the Company discontinued its use of hedge accounting on its interest rate swaps related to Secured borrowings, Unsecured borrowings |
Recent Accounting Pronouncements | Recent Accounting Pronouncements In February 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2016-02, Leases (“ASU 2016-02”) which requires entities who are lessees to recognize a right-of-use asset and a lease liability arising from those leases on the balance sheet. ASU 2016-02 is effective for fiscal years beginning after December 15, 2018 and interim periods within those fiscal years. The Company adopted ASU 2016-02 on January 1, 2019, which had no material effect on the Company’s results of operations, financial condition and cash flows. |
NET INCOME (LOSS) PER COMMON _2
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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 (loss) per common share were as follows for the indicated periods (dollars in thousands, except per share amounts) : Quarter Ended March 31 2019 2018 Basic net income (loss) per common share Numerator for basic net income (loss) per common share: Net (loss) income $ (7,746 ) $ 19,420 Preferred stock dividends (4,842 ) (4,842 ) Earnings participation of unvested equity awards (19 ) (32 ) $ (12,607 ) $ 14,546 Denominator for basic net income (loss) per common share: Average number of shares of common stock outstanding 85,549 93,867 Average unvested stock awards outstanding (655 ) (442 ) 84,894 93,425 $ (0.15 ) $ 0.16 Diluted net income (loss) per common share Numerator for diluted net income (loss) per common share $ (12,607 ) $ 14,546 Denominator for diluted net income (loss) per common share: Denominator for basic net income (loss) per common share 84,894 93,425 Net effect of dilutive equity awards – 81 84,894 93,506 $ (0.15 ) $ 0.16 |
RESIDENTIAL MORTGAGE INVESTME_2
RESIDENTIAL MORTGAGE INVESTMENTS (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Investments Debt And Equity Securities [Abstract] | |
Schedule of Residential Mortgage Investments | Residential mortgage investments classified by collateral type and interest rate characteristics as of the indicated dates were as follows (dollars in thousands): Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (c) March 31, 2019 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 113 $ – $ 113 $ 113 6.50 % 5.25 % ARMs 8,844,800 260,507 9,105,307 9,118,646 3.58 2.69 Ginnie Mae ARMs 3,026,085 78,649 3,104,734 3,107,625 3.43 2.93 11,870,998 339,156 12,210,154 12,226,384 3.54 2.75 Residential mortgage loans: Fixed-rate 241 1 242 242 7.12 2.68 ARMs 806 4 810 810 3.90 4.44 1,047 5 1,052 1,052 4.64 3.80 Collateral for structured financings 970 16 986 986 8.25 7.57 $ 11,873,015 $ 339,177 $ 12,212,192 $ 12,228,422 3.54 2.75 December 31, 2018 Agency Securities: Fannie Mae/Freddie Mac: Fixed-rate $ 126 $ – $ 126 $ 126 6.50 % 6.23 % ARMs 8,691,794 257,999 8,949,793 8,931,558 3.42 2.28 Ginnie Mae ARMs 2,964,531 75,744 3,040,275 3,031,264 3.30 2.54 11,656,451 333,743 11,990,194 11,962,948 3.39 2.34 Residential mortgage loans: Fixed-rate 552 1 553 553 6.80 2.44 ARMs 868 4 872 872 3.91 3.24 1,420 5 1,425 1,425 5.03 2.95 Collateral for structured financings 991 17 1,008 1,008 7.99 7.43 $ 11,658,862 $ 333,765 $ 11,992,627 $ 11,965,381 3.39 2.34 (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. ( c ) Average yield is presented for the quarter then ended and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments. |
SECURED BORROWINGS (Tables)
SECURED BORROWINGS (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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 March 31, 2019 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 10,703,199 $ 31,632 $ 10,154,691 2.73 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 1,119,381 3,513 1,066,774 2.69 Similar borrowings: Collateral for structured financings 986 – 986 8.25 $ 11,823,566 $ 35,145 $ 11,222,451 2.73 Quarter-end borrowing rates adjusted for effects of related Derivatives 2.34 December 31, 2018 Borrowings under repurchase arrangements with maturities of 30 days or less: Agency Securities $ 4,424,311 $ 12,287 $ 4,204,988 2.73 % Borrowings under repurchase arrangements with maturities greater than 30 days: Agency Securities (31 to 90 days) 7,143,129 19,621 6,773,366 2.68 Similar borrowings: Collateral for structured financings 1,008 – 1,008 7.99 $ 11,568,448 $ 31,908 $ 10,979,362 2.70 Year-end borrowing rates adjusted for effects of related Derivatives 2.26 |
Schedule of Average Borrowings Outstanding | Average secured borrowings outstanding during the indicated periods differed from respective ending balances primarily due to changes in portfolio levels and differences in the timing of portfolio acquisitions relative to portfolio runoff as illustrated below (dollars in thousands): Quarter Ended March 31, 2019 December 31, 2018 Average Borrowings Average Rate Average Borrowings Average Rate Average borrowings and rates adjusted for the effects of related Derivatives $ 11,156,608 2.12 % $ 11,439,646 2.07 % |
USE OF DERIVATIVES, OFFSETTIN_2
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Schedule of Swap Agreements Expiration Period and Characteristics | At March 31, 2019 the Company’s swap positions related to secured borrowings had the following characteristics (dollars in thousands): Period of Contract Expiration Notional Amount Average Fixed-Rate Payment Requirement 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 600,000 2.07 Second quarter 2020 600,000 2.68 Third quarter 2020 200,000 1.64 Fourth quarter 2020 200,000 2.04 First quarter 2021 100,000 2.67 Second quarter 2021 200,000 2.87 Fourth quarter 2021 800,000 2.85 First quarter 2022 2,600,000 2.55 $ 8,200,000 |
Impact of Derivative Instruments on Statements of Financial Performance and Financial Position | The following tables include fair value and other related disclosures regarding all Derivatives held as of and for the indicated periods (in thousands): Balance Sheet March 31 December 31 Location 2019 2018 Balance sheet-related Swap agreements in a gain position (an asset) related to secured borrowings (a) $ 7,037 $ – Swap agreements in a loss position (a liability) related to unsecured borrowings (a) (21,903 ) (17,834 ) Related net interest payable (b) (871 ) (372 ) $ (15,737 ) $ (18,206 ) (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, included in Accumulated other comprehensive income (loss) and scheduled to be recognized in the Statements of Operations over the next twelve months primarily in the form of amortization of net unrealized gains on de-designated interest rate swaps and fixed-rate swap payments in excess of current market rates on swaps related to unsecured borrowings totaled $13.3 million at March 31, 2019. (b) Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets. Location of Gain or (Loss) Recognized in Quarter Ended March 31 Net Income 2019 2018 Income statement-related Components of Secured borrowings-related effects on interest expense: Amount of gain reclassified from Accumulated other comprehensive income (loss) $ 7,891 $ 5,247 Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives 3,020 – (a) 10,911 5,247 Component of Unsecured borrowings-related effects on interest expense: Amount of loss reclassified from Accumulated other comprehensive income (loss) (b) (340 ) (603 ) Decrease in interest expense and increase in Net (loss) income Derivatives $ 10,571 $ 4,644 Realized and unrealized loss on non-designated Derivatives (net) (c) $ (21,657 ) $ – Other comprehensive income-related Amount of (loss) gain recognized in Other comprehensive income $ (8,551 ) $ 30,933 (a) Included in “Interest expense: Secured borrowings” on the face of the Statements of Operations. (b) Included in “Interest expense: Unsecured borrowings” on the face of the Statements of Operations. (c) Included in “Loss on derivative instruments (net)” on the face of the Statement of Operations. |
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 March 31, 2019 Counterparty 4 $ 10,913 $ (3,877 ) $ 7,037 $ – $ – $ 7,037 December 31, 2018 Counterparty 4 $ 26,787 $ (26,787 ) $ – $ – $ – $ – ( a ) Included in gross amounts of recognized assets at March 31, 2019 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 March 31, 2019. ( 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 March 31, 2019 Derivatives by counterparty: Counterparty 1 $ 22,774 $ – $ 22,774 $ – $ (22,774 ) $ – Counterparty 4 41,548 (41,548 ) – – – – 64,322 (41,548 ) 22,774 – (22,774 ) – Borrowings under repurchase arrangements (d) 11,233,090 – 11,233,090 (11,233,090 ) – – $ 11,297,412 $ (41,548 ) $ 11,255,864 $ (11,233,090 ) $ (22,774 ) $ – December 31, 2018 Derivatives by counterparty: Counterparty 1 $ 18,205 $ – $ 18,205 $ – $ (18,205 ) $ – Counterparty 4 9,718 (9,718 ) – – – – 27,923 (9,718 ) 18,205 – (18,205 ) – Borrowings under repurchase arrangements (d) 10,987,329 – 10,987,329 (10,987,329 ) – – $ 11,015,252 $ (9,718 ) $ 11,005,534 $ (10,987,329 ) $ (18,205 ) $ – (a) Included in gross amounts of recognized liabilities at March 31, 2019 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 March 31, 2019. (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 $11.6 million and $9.0 million on borrowings under repurchase arrangements as of March 31, 2019 and December 31, 2018, respectively. |
Changes in Accumulated Other Comprehensive Income (Loss) | Changes in Accumulated other comprehensive income (loss) Unrealized Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at December 31, 2018 $ 6,200 $ (27,246 ) $ (21,046 ) Activity for the quarter ended March 31, 2019: Other comprehensive income (loss) before reclassifications (8,551 ) 43,476 34,835 Amounts reclassified from Accumulated other comprehensive income (loss) (10,571 ) – (10,481 ) Other comprehensive income (loss) (19,122 ) 43,476 24,354 Balance at March 31, 2019 $ (12,922 ) $ 16,230 $ 3,308 |
UNSECURED BORROWINGS (Tables)
UNSECURED BORROWINGS (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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): March 31, 2019 December 31, 2018 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,364 7.88 % $ 34,354 7.89 % December 2035 ($40,000 face amount) 39,368 7.65 39,359 7.65 September 2036 ($25,000 face amount) 24,585 7.69 24,579 7.69 $ 98,317 7.74 $ 98,292 7.74 |
FAIR VALUE (Tables)
FAIR VALUE (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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): March 31, 2019 December 31, 2018 Fair Value Hierarchy Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Residential mortgage loans Level 2 $ 1,052 $ 1,100 $ 1,425 $ 1,400 Lending counterparty investments Level 3 – – 5,002 5,002 Secured borrowings-related interest rate swap agreements Level 2 7,037 7,037 – – Financial liabilities: Unsecured borrowings Level 2 98,317 75,200 98,292 76,600 Unsecured borrowings-related interest rate swap agreements Level 2 21,903 21,903 17,834 17,834 |
Fair Value and Related Disclosures for Debt Securities | Fair value-related disclosures for debt securities were as follows as of the indicated dates (in thousands): Amortized Gross Unrealized Cost Basis Gains Losses Fair Value March 31, 2019 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 9,105,307 $ 65,623 $ 52,284 $ 9,118,646 Ginnie Mae 3,104,734 14,638 11,747 3,107,625 Residential mortgage securities classified as held-to-maturity 1,099 3 – 1,102 December 31, 2018 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac 8,949,793 56,041 74,276 8,931,558 Ginnie Mae 3,040,275 8,681 17,692 3,031,264 Residential mortgage securities classified as held-to-maturity 1,134 3 – 1,137 |
Securities in Unrealized Loss Position | March 31, 2019 December 31, 2018 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position: One year or greater $ 4,996,754 $ 62,772 $ 4,736,171 $ 83,407 Less than one year 578,144 1,259 1,475,120 8,561 $ 5,574,898 $ 64,031 $ 6,211,291 $ 91,968 |
EQUITY INCENTIVE PLAN (Tables)
EQUITY INCENTIVE PLAN (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Performance-based RSUs [Member] | |
Schedule of Performance-Based and Service-Based Stock Award Activity | RSU activity and related information for the quarter ended March 31, 2019 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested RSU awards outstanding at December 31, 2018 501,858 $ 9.02 Grants 206,914 6.87 Vestings (34,135 ) 8.03 Forfeitures (135,692 ) 8.03 Unvested RSU awards outstanding at March 31, 2019 538,945 8.50 |
Restricted Stock Award Activity [Member] | |
Schedule of Performance-Based and Service-Based Stock Award Activity | Restricted stock award activity for the quarter ended March 31, 2019 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested stock awards outstanding at December 31, 2018 461,091 $ 9.01 Grants 284,655 6.76 Vestings (99,917 ) 8.49 Unvested stock awards outstanding at March 31, 2019 645,829 8.10 |
NET INCOME (LOSS) PER COMMON _3
NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Potentially dilutive securities excluded from the computation of diluted net income (loss) per common share | 1,200,000 | 0 | |
Cumulative Redeemable Preferred Stock, Series E [Member] | |||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Preferred stock, dividend rate | 7.50% | 7.50% |
NET INCOME (LOSS) PER COMMON _4
NET INCOME (LOSS) PER COMMON SHARE - Components of Computation of Basic and Diluted Net Income (loss) per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Numerator for basic net income (loss) per common share [Abstract] | ||
Net (loss) income | $ (7,746) | $ 19,420 |
Preferred stock dividends | (4,842) | (4,842) |
Earnings participation of unvested equity awards | (19) | (32) |
Numerator for basic net income (loss) per common share | $ (12,607) | $ 14,546 |
Denominator for basic net income (loss) per common share [Abstract] | ||
Average number of shares of common stock outstanding (in shares) | 85,549 | 93,867 |
Average unvested stock awards outstanding (in shares) | (655) | (442) |
Denominator for basic net income (loss) per common share (in shares) | 84,894 | 93,425 |
Basic net income (loss) per common share (in dollars per share) | $ (0.15) | $ 0.16 |
Numerator for diluted net income (loss) per common share [Abstract] | ||
Numerator for basic net income (loss) per common share | $ (12,607) | $ 14,546 |
Denominator for diluted net income (loss) per common share [Abstract] | ||
Denominator for basic net income (loss) per common share (in shares) | 84,894 | 93,425 |
Net effect of dilutive equity awards (in shares) | 81 | |
Denominator for diluted net income (loss) per common share (in shares) | 84,894 | 93,506 |
Diluted net income (loss) per common share (in dollars per share) | $ (0.15) | $ 0.16 |
RESIDENTIAL MORTGAGE INVESTME_3
RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | ||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 11,873,015 | $ 11,658,862 | |
Investment Premiums | 339,177 | 333,765 | |
Amortized Cost Basis | 12,212,192 | 11,992,627 | |
Carrying Amount | [1] | $ 12,228,422 | $ 11,965,381 |
Net WAC | [2] | 3.54% | 3.39% |
Average Yield | [3] | 2.75% | 2.34% |
Agency Securities [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 11,870,998 | $ 11,656,451 | |
Investment Premiums | 339,156 | 333,743 | |
Amortized Cost Basis | 12,210,154 | 11,990,194 | |
Carrying Amount | [1] | $ 12,226,384 | $ 11,962,948 |
Net WAC | [2] | 3.54% | 3.39% |
Average Yield | [3] | 2.75% | 2.34% |
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | Fixed-Rate [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 113 | $ 126 | |
Amortized Cost Basis | 113 | 126 | |
Carrying Amount | [1] | $ 113 | $ 126 |
Net WAC | [2] | 6.50% | 6.50% |
Average Yield | [3] | 5.25% | 6.23% |
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 8,844,800 | $ 8,691,794 | |
Investment Premiums | 260,507 | 257,999 | |
Amortized Cost Basis | 9,105,307 | 8,949,793 | |
Carrying Amount | [1] | $ 9,118,646 | $ 8,931,558 |
Net WAC | [2] | 3.58% | 3.42% |
Average Yield | [3] | 2.69% | 2.28% |
Agency Securities [Member] | Ginnie Mae [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 3,026,085 | $ 2,964,531 | |
Investment Premiums | 78,649 | 75,744 | |
Amortized Cost Basis | 3,104,734 | 3,040,275 | |
Carrying Amount | [1] | $ 3,107,625 | $ 3,031,264 |
Net WAC | [2] | 3.43% | 3.30% |
Average Yield | [3] | 2.93% | 2.54% |
Residential Mortgage Loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 1,047 | $ 1,420 | |
Investment Premiums | 5 | 5 | |
Amortized Cost Basis | 1,052 | 1,425 | |
Carrying Amount | [1] | $ 1,052 | $ 1,425 |
Net WAC | [2] | 4.64% | 5.03% |
Average Yield | [3] | 3.80% | 2.95% |
Residential Mortgage Loans [Member] | Fixed-Rate [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 241 | $ 552 | |
Investment Premiums | 1 | 1 | |
Amortized Cost Basis | 242 | 553 | |
Carrying Amount | [1] | $ 242 | $ 553 |
Net WAC | [2] | 7.12% | 6.80% |
Average Yield | [3] | 2.68% | 2.44% |
Residential Mortgage Loans [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 806 | $ 868 | |
Investment Premiums | 4 | 4 | |
Amortized Cost Basis | 810 | 872 | |
Carrying Amount | [1] | $ 810 | $ 872 |
Net WAC | [2] | 3.90% | 3.91% |
Average Yield | [3] | 4.44% | 3.24% |
Collateral for Structured Financings [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 970 | $ 991 | |
Investment Premiums | 16 | 17 | |
Amortized Cost Basis | 986 | 1,008 | |
Carrying Amount | [1] | $ 986 | $ 1,008 |
Net WAC | [2] | 8.25% | 7.99% |
Average Yield | [3] | 7.57% | 7.43% |
[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. | ||
[3] | Average yield is presented for the quarter then ended and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments. |
RESIDENTIAL MORTGAGE INVESTME_4
RESIDENTIAL MORTGAGE INVESTMENTS - Additional Information (Details) $ in Millions | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Financing Receivable, Recorded Investment [Line Items] | |
Mortgage securities weighted average contractual maturity | 287 months |
Available for sale ARM securities, current-reset | $ 6,100 |
Available for sale ARM securities, longer-to-reset | $ 6,110 |
Current-Reset ARMs [Member] | |
Financing Receivable, Recorded Investment [Line Items] | |
Agency securities average months to roll | 6 months |
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 |
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 | Mar. 31, 2019 | Dec. 31, 2018 | |
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 11,820,000 | $ 11,570,000 | |
Borrowings outstanding | [1],[2] | 11,233,090 | $ 10,987,329 |
Year-End Borrowing Rates Adjusted for Effects of Related Derivatives [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Average borrowing rates | 2.26% | ||
Agency Securities [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | 11,823,566 | $ 11,568,448 | |
Accrued interest receivable | 35,145 | 31,908 | |
Borrowings outstanding | $ 11,222,451 | $ 10,979,362 | |
Average borrowing rates | 2.73% | 2.70% | |
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 10,703,199 | $ 4,424,311 | |
Accrued interest receivable | 31,632 | 12,287 | |
Borrowings outstanding | $ 10,154,691 | $ 4,204,988 | |
Average borrowing rates | 2.73% | 2.73% | |
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 1,119,381 | $ 7,143,129 | |
Accrued interest receivable | 3,513 | 19,621 | |
Borrowings outstanding | $ 1,066,774 | $ 6,773,366 | |
Average borrowing rates | 2.69% | 2.68% | |
Agency Securities [Member] | Similar Borrowings [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 986 | $ 1,008 | |
Borrowings outstanding | $ 986 | $ 1,008 | |
Average borrowing rates | 8.25% | 7.99% | |
Quarter-End Borrowing Rates Adjusted for Effects of Related Derivatives [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Average borrowing rates | 2.34% | ||
[1] | Amounts include accrued interest payable of $11.6 million and $9.0 million on borrowings under repurchase arrangements as of March 31, 2019 and December 31, 2018, respectively. | ||
[2] | Included in gross amounts of recognized liabilities at March 31, 2019 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at March 31, 2019. |
SECURED BORROWINGS - Schedule_2
SECURED BORROWINGS - Schedule of Average Borrowings Outstanding (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Disclosure Of Repurchase Agreements [Abstract] | ||
Average borrowings for the effects of related derivatives | $ 11,156,608 | $ 11,439,646 |
Effective borrowing rate | 2.12% | 2.07% |
USE OF DERIVATIVES, OFFSETTIN_3
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Additional Information (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Sep. 30, 2016 | |
Derivative Instruments And Hedging Activities Disclosures [Line Items] | ||
SWAP agreement notional amount during period | $ 2,600 | $ 100 |
SWAP agreement average interest rate during period | 2.55% | 4.09% |
Swap agreement notional amount expiring during period | $ 950 | |
SWAP agreement average interest rate expiring during period | 1.58% | |
Interest Rate Swap Agreements [Member] | ||
Derivative Instruments And Hedging Activities Disclosures [Line Items] | ||
Payment term of LIBOR interest rate agreement | 20 years | |
Interest Rate Swap Agreements [Member] | Minimum [Member] | ||
Derivative Instruments And Hedging Activities Disclosures [Line Items] | ||
Payment term of LIBOR interest rate agreement | 2 years | |
Interest Rate Swap Agreements [Member] | Maximum [Member] | ||
Derivative Instruments And Hedging Activities Disclosures [Line Items] | ||
Payment term of LIBOR interest rate agreement | 3 years |
USE OF DERIVATIVES, OFFSETTIN_4
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Swap Agreements Expiration Period and Characteristics (Details) $ in Thousands | Mar. 31, 2019USD ($) |
Notional Disclosures [Abstract] | |
Notional Amount | $ 8,200,000 |
Interest Rate SWAP Currently-Paying Contracts Expiring Second Quarter 2019 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 1,650,000 |
Average Fixed-Rate Payment Requirement | 1.33% |
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2019 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 550,000 |
Average Fixed-Rate Payment Requirement | 1.40% |
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2019 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 700,000 |
Average Fixed-Rate Payment Requirement | 1.72% |
Interest Rate SWAP Currently-Paying Contracts Expiring First Quarter 2020 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 600,000 |
Average Fixed-Rate Payment Requirement | 2.07% |
Interest Rate SWAP Currently-Paying Contracts Expiring Second Quarter 2020 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 600,000 |
Average Fixed-Rate Payment Requirement | 2.68% |
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2020 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 200,000 |
Average Fixed-Rate Payment Requirement | 1.64% |
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2020 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 200,000 |
Average Fixed-Rate Payment Requirement | 2.04% |
Interest Rate SWAP Currently-Paying Contracts Expiring First Quarter 2021 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 100,000 |
Average Fixed-Rate Payment Requirement | 2.67% |
Interest Rate SWAP Currently-Paying Contracts Expiring Second Quarter 2021 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 200,000 |
Average Fixed-Rate Payment Requirement | 2.87% |
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2021 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 800,000 |
Average Fixed-Rate Payment Requirement | 2.85% |
Interest Rate SWAP Currently-Paying Contracts Expiring First Quarter 2022 [Member] | |
Notional Disclosures [Abstract] | |
Notional Amount | $ 2,600,000 |
Average Fixed-Rate Payment Requirement | 2.55% |
USE OF DERIVATIVES, OFFSETTIN_5
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Components of Balance Sheet (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Balance sheet-related [Abstract] | |||
Swap agreements in a loss position (a liability) related to borrowings | $ (21,903) | $ (17,834) | |
Interest rate swap agreements at fair value, net assets (liability) | (15,737) | (18,206) | |
Swap agreements in a gain position (an asset) related to borrowings | 7,037 | ||
Interest Rate Swap Agreements at Fair Value [Member] | Secured Borrowings [Member] | |||
Balance sheet-related [Abstract] | |||
Swap agreements in a gain position (an asset) related to borrowings | [1] | 7,037 | |
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 | [1] | (21,903) | (17,834) |
Accounts Payable and Accrued Liabilities [Member] | |||
Balance sheet-related [Abstract] | |||
Related net interest payable | [2] | $ (871) | $ (372) |
[1] | 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, included in Accumulated other comprehensive income (loss) and scheduled to be recognized in the Statements of Operations over the next twelve months primarily in the form of amortization of net unrealized gains on de-designated interest rate swaps and fixed-rate swap payments in excess of current market rates on swaps related to unsecured borrowings totaled $13.3 million at March 31, 2019. | ||
[2] | Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets. |
USE OF DERIVATIVES, OFFSETTIN_6
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Components Balance Sheet (Parenthetical) (Details) $ in Millions | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Notional Disclosures [Abstract] | |
Derivative instruments unrealized gains to be recognized | $ 13.3 |
USE OF DERIVATIVES, OFFSETTIN_7
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Components of Income Statement and Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Income statement-related [Abstract] | |||
Amount of gain (loss) reclassified from Accumulated other comprehensive income (loss) | $ (10,571) | $ (4,644) | |
Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives | 3,020 | ||
Realized and unrealized loss on non-designated Derivatives (net) | [1] | (21,657) | |
Other comprehensive income (loss)-related [Abstract] | |||
Amount of (loss) gain recognized in Other comprehensive income | (8,551) | 30,933 | |
Interest Expense [Member] | |||
Income statement-related [Abstract] | |||
Decrease in interest expense and increase in Net (loss) income as a result of the use of Derivatives | 10,571 | 4,644 | |
Interest Expense [Member] | Secured Borrowings [Member] | |||
Income statement-related [Abstract] | |||
Amount of gain (loss) reclassified from Accumulated other comprehensive income (loss) | 7,891 | 5,247 | |
Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives | 3,020 | ||
Decrease in interest expense and increase in Net (loss) income as a result of the use of Derivatives | [2] | 10,911 | 5,247 |
Interest Expense [Member] | Unsecured Borrowings [Member] | |||
Income statement-related [Abstract] | |||
Amount of gain (loss) reclassified from Accumulated other comprehensive income (loss) | [3] | $ (340) | $ (603) |
[1] | Included in “Loss on derivative instruments (net)” on the face of the Statement of Operations. | ||
[2] | Included in “Interest expense: Secured borrowings” on the face of the Statements of Operations. | ||
[3] | Included in “Interest expense: Unsecured borrowings” on the face of the Statements of Operations |
USE OF DERIVATIVES, OFFSETTIN_8
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Offsetting of derivative assets [Abstract] | |||
Gross Amounts of Recognized Assets | $ 7,037 | ||
Net Amounts of Assets Presented in the Balance Sheet | 15,737 | $ 18,206 | |
Offsetting Derivatives Assets [Member] | Counterparty 4 [Member] | |||
Offsetting of derivative assets [Abstract] | |||
Gross Amounts of Recognized Assets | [1] | 10,913 | 26,787 |
Gross Amounts Offset in the Balance Sheet | [1] | (3,877) | (26,787) |
Net Amounts of Assets Presented in the Balance Sheet | 7,037 | 0 | |
Financial Instruments | [2] | 0 | 0 |
Cash Collateral Received | [2] | 0 | 0 |
Net Amount | $ 7,037 | $ 0 | |
[1] | Included in gross amounts of recognized assets at March 31, 2019 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 March 31, 2019. | ||
[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, OFFSETTIN_9
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 | Mar. 31, 2019 | Dec. 31, 2018 | |
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities (Derivatives) | $ 21,903 | $ 17,834 | |
Cash Collateral Pledged (Derivatives) | (58,191) | (31,797) | |
Gross Amounts of Recognized Liabilities (Repurchase Arrangements) | [1],[2] | 11,233,090 | 10,987,329 |
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] | 11,233,090 | 10,987,329 |
Financial Instruments (Repurchase Arrangements) | [1],[4] | (11,233,090) | (10,987,329) |
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] | 11,297,412 | 11,015,252 |
Gross Amounts Offset in the Balance Sheet (Financial Liabilities Total) | [2] | (41,548) | (9,718) |
Net Amounts of Liabilities Presented in the Balance Sheet (Financial Liabilities Total) | [3] | 11,255,864 | 11,005,534 |
Financial Instruments (Financial Liabilities Total) | [4] | (11,233,090) | (10,987,329) |
Cash Collateral Pledged (Financial Liabilities Total) | [4] | (22,774) | (18,205) |
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] | 22,774 | 18,205 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 22,774 | 18,205 |
Financial Instruments (Derivatives) | [4] | 0 | 0 |
Cash Collateral Pledged (Derivatives) | [4] | (22,774) | (18,205) |
Net Amount (Derivatives) | 0 | 0 | |
Counterparty 4 [Member] | |||
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities (Derivatives) | [2] | 41,548 | 9,718 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | (41,548) | (9,718) |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 0 | 0 |
Financial Instruments (Derivatives) | [4] | 0 | 0 |
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] | 64,322 | 27,923 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | (41,548) | (9,718) |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 22,774 | 18,205 |
Financial Instruments (Derivatives) | [4] | 0 | 0 |
Cash Collateral Pledged (Derivatives) | [4] | (22,774) | (18,205) |
Net Amount (Derivatives) | $ 0 | $ 0 | |
[1] | Amounts include accrued interest payable of $11.6 million and $9.0 million on borrowings under repurchase arrangements as of March 31, 2019 and December 31, 2018, respectively. | ||
[2] | Included in gross amounts of recognized liabilities at March 31, 2019 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at March 31, 2019. | ||
[3] | Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. | ||
[4] | Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. |
USE OF DERIVATIVES, OFFSETTI_10
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Financial Liabilities and Derivative Liabilities (Parenthetical) (Details) - USD ($) $ in Millions | Mar. 31, 2019 | Dec. 31, 2018 |
Portfolio-Related Secured Borrowings [Member] | ||
Notional Disclosures [Abstract] | ||
Accrued interest payable | $ 11.6 | $ 9 |
USE OF DERIVATIVES, OFFSETTI_11
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME (LOSS) BY COMPONENT - Changes in Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Beginning Balance | $ 1,059,063 | $ 1,238,876 |
Other comprehensive income | 24,354 | (17,764) |
Ending Balance | 1,064,878 | 1,192,228 |
Unrealized Gains and Losses on Cash Flow Hedges [Member] | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Beginning Balance | 6,200 | |
Other comprehensive income (loss) before reclassifications | (8,551) | |
Amounts reclassified from Accumulated other comprehensive income (loss) | (10,571) | |
Other comprehensive income | (19,122) | |
Ending Balance | (12,922) | |
Unrealized Gains and Losses on Available-for-sale Securities [Member] | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Beginning Balance | (27,246) | |
Other comprehensive income (loss) before reclassifications | 43,476 | |
Amounts reclassified from Accumulated other comprehensive income (loss) | 0 | |
Other comprehensive income | 43,476 | |
Ending Balance | 16,230 | |
Accumulated Other Comprehensive Income (Loss) [Member] | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Beginning Balance | (21,046) | 62,118 |
Other comprehensive income (loss) before reclassifications | 34,835 | |
Amounts reclassified from Accumulated other comprehensive income (loss) | (10,481) | |
Other comprehensive income | 24,354 | |
Ending Balance | $ 3,308 | $ 44,354 |
UNSECURED BORROWINGS - Addition
UNSECURED BORROWINGS - Additional Information (Details) - Junior Subordinated Debt [Member] $ in Millions | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Debt Instrument [Line Items] | |
Junior subordinated notes maturity term | 30 years |
Face amount of junior subordinated notes | $ 100 |
UNSECURED BORROWINGS - Schedule
UNSECURED BORROWINGS - Schedule of Subordinated Note Balances and Related Weighted Average Interest Rates (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | |
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 98,317 | $ 98,292 |
Effective interest rate | 7.74% | 7.74% |
October 2035 [Member] | ||
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 34,364 | $ 34,354 |
Effective interest rate | 7.88% | 7.89% |
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 | $ 39,368 | $ 39,359 |
Effective interest rate | 7.65% | 7.65% |
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 | $ 24,585 | $ 24,579 |
Effective interest rate | 7.69% | 7.69% |
Junior subordinated notes, maturity period | Sep. 30, 2036 | |
Face amount of junior subordinated notes | $ 25,000 |
FAIR VALUE - Additional Informa
FAIR VALUE - Additional Information (Details) | 3 Months Ended |
Mar. 31, 2019 | |
Maximum [Member] | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Repurchase arrangements, initial term | 120 days |
FAIR VALUE - Financial Instrume
FAIR VALUE - Financial Instruments Other than Debt Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Financial assets [Abstract] | ||
Residential mortgage loans | $ 12,228,422 | $ 11,965,381 |
Carrying Amount [Member] | Level 2 [Member] | ||
Financial assets [Abstract] | ||
Residential mortgage loans | 1,052 | 1,425 |
Financial liabilities [Abstract] | ||
Unsecured borrowings | 98,317 | 98,292 |
Carrying Amount [Member] | Level 3 [Member] | ||
Financial assets [Abstract] | ||
Lending counterparty investments | 5,002 | |
Fair Value [Member] | Level 2 [Member] | ||
Financial assets [Abstract] | ||
Residential mortgage loans | 1,100 | 1,400 |
Financial liabilities [Abstract] | ||
Unsecured borrowings | 75,200 | 76,600 |
Fair Value [Member] | Level 3 [Member] | ||
Financial assets [Abstract] | ||
Lending counterparty investments | 5,002 | |
Interest Rate Swap Agreements [Member] | Carrying Amount [Member] | Secured Borrowings [Member] | Level 2 [Member] | ||
Financial assets [Abstract] | ||
Secured borrowings-related interest rate swap agreements | 7,037 | |
Interest Rate Swap Agreements [Member] | Carrying Amount [Member] | Unsecured Borrowings [Member] | Level 2 [Member] | ||
Financial liabilities [Abstract] | ||
Interest rate swap agreements | 21,903 | 17,834 |
Interest Rate Swap Agreements [Member] | Fair Value [Member] | Secured Borrowings [Member] | Level 2 [Member] | ||
Financial assets [Abstract] | ||
Secured borrowings-related interest rate swap agreements | 7,037 | |
Interest Rate Swap Agreements [Member] | Fair Value [Member] | Unsecured Borrowings [Member] | Level 2 [Member] | ||
Financial liabilities [Abstract] | ||
Interest rate swap agreements | $ 21,903 | $ 17,834 |
FAIR VALUE - Fair Value and Rel
FAIR VALUE - Fair Value and Related Disclosures for Debt Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Residential Mortgage Securities Classified as Held-to-Maturity [Member] | ||
Held-to-maturity securities disclosure [Abstract] | ||
Held-to-maturities, Amortized Cost Basis | $ 1,099 | $ 1,134 |
Held-to-maturities, Gross Unrealized Gains | 3 | 3 |
Held-to-maturities, Fair Value | 1,102 | 1,137 |
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 | 9,105,307 | 8,949,793 |
Available-for-sale securities, Gross Unrealized Gains | 65,623 | 56,041 |
Available-for-sale securities, Gross Unrealized Losses | 52,284 | 74,276 |
Available-for-sale securities, Fair Value | 9,118,646 | 8,931,558 |
Agency Securities Classified as Available-for-sale [Member] | Ginnie Mae [Member] | ||
Available-for-sale securities disclosure Items [Abstract] | ||
Available-for-sale securities, Amortized Cost Basis | 3,104,734 | 3,040,275 |
Available-for-sale securities, Gross Unrealized Gains | 14,638 | 8,681 |
Available-for-sale securities, Gross Unrealized Losses | 11,747 | 17,692 |
Available-for-sale securities, Fair Value | $ 3,107,625 | $ 3,031,264 |
FAIR VALUE - Securities in Unre
FAIR VALUE - Securities in Unrealized Loss Position (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Securities in an unrealized loss position, fair value [Abstract] | ||
One year or greater | $ 4,996,754 | $ 4,736,171 |
Less than one year | 578,144 | 1,475,120 |
Fair Value, Total | 5,574,898 | 6,211,291 |
Securities in an unrealized loss position, aggregate loss [Abstract] | ||
One year or greater | 62,772 | 83,407 |
Less than one year | 1,259 | 8,561 |
Unrealized Losses, Total | $ 64,031 | $ 91,968 |
EQUITY INCENTIVE PLAN - Additio
EQUITY INCENTIVE PLAN - Additional Information (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Common stock dividend payable | $ 7,110,000 | $ 7,132,000 | |
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) | 2,919,087 | ||
Performance-based RSUs [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total of unrecognized compensation expense for unvested stock award | $ 2,200,000 | ||
Compensation cost not yet recognized, period for recognition | 1 year 7 months 6 days | ||
Long term incentive compensation expense | $ 578,000 | $ 3,000 | |
Common stock dividend payable | 105,000 | ||
Stock Awards Activity [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total of unrecognized compensation expense for unvested stock award | $ 3,200,000 | ||
Compensation cost not yet recognized, period for recognition | 1 year 6 months | ||
Common stock dividend payable | $ 191,000 | 191,000 | |
Long term incentive compensation expense | 408,000 | 307,000 | |
Other general and administrative expense | $ 123,000 | $ 105,000 |
EQUITY INCENTIVE PLAN - Schedul
EQUITY INCENTIVE PLAN - Schedule of Performance-Based Restricted Stock Units Activity (Details) - Performance-based RSUs [Member] | 3 Months Ended |
Mar. 31, 2019$ / sharesshares | |
Number of Shares | |
Unvested equity awards outstanding at beginning of period (in shares) | shares | 501,858 |
Grants (in shares) | shares | 206,914 |
Vestings (in shares) | shares | (34,135) |
Forfeitures (in shares) | shares | (135,692) |
Unvested equity outstanding at end of period (in shares) | shares | 538,945 |
Weighted Average Grant Date Fair Value | |
Unvested equity awards outstanding at beginning of period (in dollars per share) | $ / shares | $ 9.02 |
Grants (in dollars per share) | $ / shares | 6.87 |
Vestings (in dollars per share) | $ / shares | 8.03 |
Forfeitures (in dollars per share) | $ / shares | 8.03 |
Unvested equity awards outstanding at end of period (in dollars per share) | $ / shares | $ 8.50 |
EQUITY INCENTIVE PLAN - Sched_2
EQUITY INCENTIVE PLAN - Schedule of Restricted Stock Award Activity (Details) - Restricted Stock Award Activity [Member] | 3 Months Ended |
Mar. 31, 2019$ / sharesshares | |
Number of Shares | |
Unvested equity awards outstanding at beginning of period (in shares) | shares | 461,091 |
Grants (in shares) | shares | 284,655 |
Vestings (in shares) | shares | (99,917) |
Unvested equity outstanding at end of period (in shares) | shares | 645,829 |
Weighted Average Grant Date Fair Value | |
Unvested equity awards outstanding at beginning of period (in dollars per share) | $ / shares | $ 9.01 |
Grants (in dollars per share) | $ / shares | 6.76 |
Vestings (in dollars per share) | $ / shares | 8.49 |
Unvested equity awards outstanding at end of period (in dollars per share) | $ / shares | $ 8.10 |