Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Feb. 19, 2021 | Jun. 30, 2020 | |
Cover [Abstract] | |||
Entity Registrant Name | CAPSTEAD MORTGAGE CORPORATION | ||
Entity Central Index Key | 0000766701 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Document Transition Report | false | ||
Document Annual Report | true | ||
Entity Shell Company | false | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Entity Current Reporting Status | Yes | ||
Entity Filer Category | Accelerated Filer | ||
Entity Public Float | $ 518,208,138 | ||
Entity Common Stock, Shares Outstanding | 96,782,617 | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2020 | ||
ICFR Auditor Attestation Flag | true | ||
Entity Tax Identification Number | 75-2027937 | ||
Entity File Number | 001-08896 | ||
Entity Address, Address Line One | 8401 North Central Expressway | ||
Entity Address, Address Line Two | Suite 800 | ||
Entity Address, City or Town | Dallas | ||
Entity Address, State or Province | TX | ||
Entity Address, Postal Zip Code | 75225-4404 | ||
Entity Incorporation, State or Country Code | MD | ||
Entity Interactive Data Current | Yes | ||
City Area Code | 214 | ||
Local Phone Number | 874-2323 | ||
Documents Incorporated by Reference [Text Block] | Portions of the Registrant’s definitive Proxy Statement, to be issued in connection with the 2021 Annual Meeting of Stockholders of the Registrant, are incorporated by reference into Part III. | ||
Common Stock [Member] | |||
Cover [Abstract] | |||
Trading Symbol | CMO | ||
Security Exchange Name | NYSE | ||
Title of 12(b) Security | Common Stock ($0.01 par value) | ||
Cumulative Redeemable Preferred Stock, Series E [Member] | |||
Cover [Abstract] | |||
Trading Symbol | CMOPRE | ||
Security Exchange Name | NYSE | ||
Title of 12(b) Security | 7.50% Series E Cumulative Redeemable Preferred Stock ($0.10 par value) |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Assets | ||
Residential mortgage investments ($7.71 and $10.83 billion pledged at December 31, 2020 and 2019, respectively) | $ 7,937,552 | $ 11,220,630 |
Cash collateral receivable from derivative counterparties | 74,411 | 65,477 |
Derivatives at fair value | 1,471 | |
Cash and cash equivalents | 257,180 | 105,397 |
Receivables and other assets | 136,107 | 127,026 |
Total assets | 8,405,250 | 11,520,001 |
Liabilities | ||
Secured borrowings | 7,319,083 | 10,274,498 |
Derivatives at fair value | 41,484 | 29,156 |
Unsecured borrowings | 98,493 | 98,392 |
Common stock dividend payable | 15,281 | 14,605 |
Accounts payable and accrued expenses | 20,746 | 29,617 |
Total liabilities | 7,495,087 | 10,446,268 |
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 December 31, 2020 and 2019 | 250,946 | 250,946 |
Common stock - $0.01 par value; 250,000 shares authorized: 96,481 and 94,606 shares issued and outstanding at December 31, 2020 and 2019, respectively | 965 | 946 |
Paid-in capital | 1,268,439 | 1,252,481 |
Accumulated deficit | (651,071) | (444,039) |
Accumulated other comprehensive income | 40,884 | 13,399 |
Total stockholders' equity | 910,163 | 1,073,733 |
Total liabilities and equity | $ 8,405,250 | $ 11,520,001 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Assets | ||
Residential mortgage investments pledged | $ 7,710,000 | $ 10,830,000 |
Stockholders’ equity | ||
Preferred stock, par value (in dollars per share) | $ 0.10 | $ 0.10 |
Preferred stock, shares authorized (in shares) | 100,000 | 100,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 250,000 | 250,000 |
Common stock, shares issued (in shares) | 96,481 | 94,606 |
Common stock, shares outstanding (in shares) | 96,481 | 94,606 |
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 OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Interest income | ||||
Residential mortgage investments | $ 186,261 | $ 320,109 | $ 274,733 | |
Other | 474 | 2,789 | 1,752 | |
Interest income | 186,735 | 322,898 | 276,485 | |
Interest expense | ||||
Secured borrowings | (67,891) | (246,140) | (206,881) | |
Unsecured borrowings | (7,620) | (7,611) | (7,611) | |
Interest expense | (75,511) | (253,751) | (214,492) | |
Net interest income | 111,224 | 69,147 | 61,993 | |
Other (expense) income: | ||||
Loss on derivative instruments (net) | [1] | (159,547) | (90,578) | |
Loss on sale of investments (net) | (67,820) | (1,365) | ||
Compensation-related expense | (8,278) | (8,197) | (7,759) | |
Other general and administrative expense | (5,011) | (4,494) | (4,527) | |
Miscellaneous other (expense) revenue | 141 | (149) | (365) | |
Operating expenses | (240,797) | (104,485) | (11,921) | |
Net (loss) income | (129,573) | (35,338) | 50,072 | |
Less preferred stock dividends | (19,368) | (19,368) | (19,368) | |
Net (loss) income available to common stockholders | $ (148,941) | $ (54,706) | $ 30,704 | |
Basic and diluted net (loss) income per common share | $ (1.56) | $ (0.62) | $ 0.34 | |
[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 (LOSS) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Statement Of Income And Comprehensive Income [Abstract] | |||
Net (loss) income | $ (129,573) | $ (35,338) | $ 50,072 |
Amounts related to available-for-sale securities: | |||
Change in net unrealized gain or loss | (27,580) | 71,148 | (72,490) |
Reclassification adjustment for amounts included in net (loss) income | 66,864 | 1,365 | |
Amounts related to cash flow hedges: | |||
Change in net unrealized gain or loss | (15,621) | (17,080) | 25,716 |
Reclassification adjustment for amounts included in net (loss) income | 3,822 | (20,988) | (36,390) |
Other comprehensive income (loss) | 27,485 | 34,445 | (83,164) |
Comprehensive loss | $ (102,088) | $ (893) | $ (33,092) |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Preferred Stock [Member] | Common Stock [Member] | Paid-in Capital [Member] | Accumulated Deficit [Member] | Accumulated Other Comprehensive Income (Loss) [Member] |
Beginning Balance at Dec. 31, 2017 | $ 1,238,876 | $ 250,946 | $ 957 | $ 1,271,425 | $ (346,570) | $ 62,118 |
Net income (loss) | 50,072 | 50,072 | ||||
Change in unrealized gain on mortgage securities, net | (72,490) | (72,490) | ||||
Amounts related to cash flow hedges, net | (10,674) | (10,674) | ||||
Cash dividends: | ||||||
Common | (44,463) | (13,759) | (30,704) | |||
Preferred | (19,368) | (19,368) | ||||
Common stock repurchases | (84,594) | (107) | (84,487) | |||
Other additions to capital | 1,704 | 3 | 1,701 | |||
Ending Balance at Dec. 31, 2018 | 1,059,063 | 250,946 | 853 | 1,174,880 | (346,570) | (21,046) |
Net income (loss) | (35,338) | (35,338) | ||||
Change in unrealized gain on mortgage securities, net | 72,513 | 72,513 | ||||
Amounts related to cash flow hedges, net | (38,068) | (38,068) | ||||
Cash dividends: | ||||||
Common | (42,763) | (42,763) | ||||
Preferred | (19,368) | (19,368) | ||||
Issuance of common stock | 75,102 | 90 | 75,012 | |||
Other additions to capital | 2,592 | 3 | 2,589 | |||
Ending Balance at Dec. 31, 2019 | 1,073,733 | 250,946 | 946 | 1,252,481 | (444,039) | 13,399 |
Net income (loss) | (129,573) | (129,573) | ||||
Change in unrealized gain on mortgage securities, net | 39,284 | 39,284 | ||||
Amounts related to cash flow hedges, net | (11,799) | (11,799) | ||||
Cash dividends: | ||||||
Common | (58,091) | (58,091) | ||||
Preferred | (19,368) | (19,368) | ||||
Issuance of common stock | 12,857 | 16 | 12,841 | |||
Other additions to capital | 3,120 | 3 | 3,117 | |||
Ending Balance at Dec. 31, 2020 | $ 910,163 | $ 250,946 | $ 965 | $ 1,268,439 | $ (651,071) | $ 40,884 |
CONSOLIDATED STATEMENTS OF ST_2
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Statement Of Stockholders Equity [Abstract] | |||
Common per share (in dollars per share) | $ 0.60 | $ 0.47 | $ 0.49 |
Preferred per share (in dollars per share) | $ 1.875 | $ 1.875 | $ 1.875 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Operating activities: | |||
Net (loss) income | $ (129,573) | $ (35,338) | $ 50,072 |
Adjustments to reconcile net (loss) income to cash provided by operating activities: | |||
Amortization of investment premiums | 77,560 | 73,740 | 115,333 |
Amortization of equity-based awards | 3,234 | 2,724 | 1,783 |
Amortization of unrealized loss (gain) on de-designated hedges | 529 | (14,712) | |
Loss on sale of mortgage investments | 67,820 | 1,365 | |
Loss on derivative instruments (net) | 142,483 | 112,834 | |
Other depreciation and amortization | 124 | 110 | 110 |
Net change in receivables, other assets, accounts payable and accrued expenses | (3,834) | 14,331 | (2,102) |
Net cash provided by operating activities | 158,343 | 155,054 | 165,196 |
Investing activities: | |||
Purchases of residential mortgage investments | (3,173,342) | (3,316,158) | (2,302,656) |
Proceeds from sales of residential mortgage investments | 2,558,871 | 303,991 | |
Interest receivable acquired with the purchase of residential mortgage investments | (5,024) | (6,422) | (4,476) |
Principal collections on residential mortgage investments, including changes in mortgage securities principal remittance receivable | 3,772,086 | 3,751,570 | 3,607,459 |
Redemption of lending counterparty investment | 5,000 | ||
Net cash provided by investing activities | 3,152,591 | 737,981 | 1,300,327 |
Financing activities: | |||
Proceeds from repurchase arrangements and similar borrowings | 82,969,163 | 138,721,910 | 173,854,358 |
Principal payments on repurchase arrangements and similar borrowings | (85,924,578) | (139,425,767) | (175,205,622) |
(Increase) decrease in cash collateral receivable from interest rate swap counterparties | (8,934) | (33,680) | 10,709 |
Net payments on interest rate swap settlements | (130,793) | (130,802) | (8,734) |
Common stock repurchases | (84,594) | ||
Issuance of common stock | 12,882 | 75,195 | |
Other capital stock transactions | (108) | (106) | (72) |
Dividends paid | (76,783) | (54,677) | (75,186) |
Net cash used in financing activities | (3,159,151) | (847,927) | (1,509,141) |
Net change in cash and cash equivalents | 151,783 | 45,108 | (43,618) |
Cash and cash equivalents at beginning of year | 105,397 | 60,289 | 103,907 |
Cash and cash equivalents at end of year | $ 257,180 | $ 105,397 | $ 60,289 |
BUSINESS
BUSINESS | 12 Months Ended |
Dec. 31, 2020 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
BUSINESS | NOTE 1 — BUSINESS Capstead Mortgage Corporation operates as a self-managed real estate investment trust for federal income tax purposes (a “REIT”) and is based in Dallas, Texas. Unless the context otherwise indicates, Capstead Mortgage Corporation, together with its subsidiaries, is referred to as “Capstead” or the “Company.” Capstead earns income from investing in a leveraged portfolio of residential mortgage pass-through securities currently consisting primarily 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. Together, these securities are referred to as “Agency Securities” and are considered to have limited, if any, credit risk. |
ACCOUNTING POLICIES
ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
ACCOUNTING POLICIES | NOTE 2 — ACCOUNTING POLICIES Basis of Presentation The consolidated financial statements include the accounts of Capstead Mortgage Corporation and its wholly-owned and majority-owned subsidiaries over which it exercises control. Pursuant to variable interest entity (“VIE”) accounting principles, Capstead considers for consolidation any VIE in which it holds an interest. Intercompany balances and transactions are eliminated. Recent Accounting Pronouncements In June 2016, Accounting Standards Update No. 2016-13, Financial Instruments – Credit Losses (“ASU 2016-13”) was issued which replaced the incurred loss impairment methodology in previous GAAP with a methodology that is designed to better reflect expected credit losses. For financial instruments carried at amortized cost, impairment is measured as a current estimate of expected lifetime credit losses. For available-for-sale debt securities in which changes in fair value are recorded in accumulated other comprehensive income, the write-down of available-for-sale securities under the “other-than-temporarily” impaired model was replaced with an allowance for credit losses model. ASU 2016-13 is effective for fiscal years beginning after December 15, 2019 and interim periods within those fiscal years. The Company adopted ASU 2016-13 on January 1, 2020 which had no material effect on the Company’s results of operations, financial condition and cash flows primarily due to the limited, if any, credit risk of Agency Securities. Use of Estimates Fair values of nearly all financial instruments held by the Company are estimated based on a market approach using available market information and appropriate valuation methodologies (Level Two Inputs); however, judgment is required in interpreting market data to develop these estimates. Fair values fluctuate on a daily basis and are influenced by changes in, and market expectations for changes in, interest rates, market liquidity conditions and levels of mortgage prepayments, as well as other factors. Accordingly, estimates of fair value are as of the balance sheet dates and are not necessarily indicative of the amounts that could be realized in a current market exchange. The use of different market assumptions and estimation methodologies may have a material effect on estimated fair values. Judgment is also exercised in making impairment conclusions and estimating impairment charges. Amortization of investment premiums on financial assets is based in part on estimates of future levels of mortgage prepayments. Estimates are influenced by changes in, and market expectations for changes in, interest rates, market liquidity conditions, actual levels of mortgage prepayments and other factors. Judgment is required in developing these estimates, however the actual level of mortgage prepayments for a given accounting period is the single largest determinant in amortizing investment premiums. Cash and Cash Equivalents Cash and cash equivalents include unrestricted cash on hand and highly liquid investments with original maturities of three months or less when purchased. Financial Assets Capstead’s financial assets consist of Agency Securities classified as available-for-sale and carried at fair value with net unrealized gains and losses reported as a separate component of Accumulated other comprehensive income Other (expense) income Other (expense) income. Other (expense) income. Borrowings Secured borrowings in the form of repurchase arrangements create exposure to the potential for failure on the part of counterparties to honor their commitment to return pledged collateral. In the event of a default by a repurchase arrangement counterparty, the Company may have difficulty recovering its collateral. To mitigate this risk, the Company monitors the creditworthiness of its counterparties and manages its exposure to any single counterparty. Capstead’s borrowings are carried at their principal balances outstanding net of related debt issuance costs and debt discounts, if applicable. Debt issuance costs associated with Unsecured borrowings Derivative Financial Instruments (“Derivatives”) Derivatives used by Capstead for risk management purposes are carried at fair value as assets or liabilities. The accounting for changes in fair value of Derivatives held depends on whether it has been designated as a hedge for accounting purposes, as well as the type of hedging relationship identified. Capstead may designate any Derivatives held as cash flow hedges related to a designated portion of its current and anticipated future borrowings. To qualify as a cash flow hedge, at the inception of the hedge relationship the Company must document that the hedge relationship is anticipated to be highly effective and monitor ongoing effectiveness on at least a quarterly basis. As long as the hedge relationship remains effective, the change in fair value of the Derivatives are recorded in Accumulated other comprehensive income Other (expense) income. Secured borrowings Unsecured borrowings The Company uses Derivatives primarily in the form of interest rate swap agreements to hedge the variability in borrowing rates on its secured and unsecured borrowings. If designated as accounting hedges, related fixed interest payments and variable interest receipts are recorded as an adjustment to interest expense on the related designated borrowings. If not designated as accounting hedges, fixed interest payments and variable interest receipts are recorded as a component of Other (expense) income . For D erivatives initially designated as accounting hedge s and subsequently de-designated, unrealized gain or loss included in Accumulated other comprehensive income at the time of de-designation is amortized as an adjustment to interest expense on the related borrowings over the remaining term of the D erivatives. Derivatives create exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments. In addition, the Company is required to post collateral primarily based on any declines in the market value of the Derivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the Derivatives. Pursuant to regulatory changes implemented in 2013, most Derivatives held at December 31, 2020 were entered into through Derivative exchanges established in part to mitigate credit risk. Cash collateral receivable from derivative counterparties , when present, represents cash remitted to swap counterparties to meet initial and ongoing margin requirements that are based on the fair value of these Derivatives, including related interest receivable or payable under the terms of the agreements. The Company may also remit mortgage securities to certain of its swap counterparties to meet ongoing margin requirements. Such mortgage securities, if any, are included in Similarly, , when present, represents cash received from counterparties to meet margin call requirements. For presentation purposes, the Company does not offset individual counterparty collateral receivables (or payables) with the recorded fair value of related interest rate swap agreements pursuant to master netting arrangements. In addition, gross unrealized gains on Derivatives (recorded as assets) are stated separately from gross unrealized losses (recorded as liabilities) without regard to counterparty. Certain cash margin amounts are presented on a net basis against the fair value of related Derivatives. Long-term Incentive Compensation Capstead provides its employees and its directors with long-term incentive compensation in the form of equity-based awards. Equity-based compensation costs are initially measured at the estimated fair value of the awards on the grant date developed using appropriate valuation methodologies. Valuation methodologies used and subsequent expense recognition is dependent upon each award’s service and performance conditions, the latter also referred to as performance metrics. Capstead has elected not to estimate future award forfeitures when valuing equity-based awards and adjusts compensation costs as actual forfeitures occur. Compensation costs for equity-based awards subject only to service conditions are measured at the closing stock price on the dates of grant and are recognized as expense on a straight-line basis over the requisite service periods for the awards, as adjusted for any forfeitures. Compensation costs for components of equity-based awards subject to nonmarket-based performance metrics (i.e. metrics not predicated on changes in the Company’s stock price), are measured at the closing stock price on the dates of grant, adjusted for the probability of achieving benchmarks included in the performance metrics. These initial cost estimates are recognized as expense over the requisite performance periods, adjusted for subsequent changes in performance estimates. Compensation costs for components of equity-based awards subject to market-based performance metrics are measured at the dates of grant using Monte Carlo simulations which incorporate into the valuations the inherent uncertainty regarding achieving the market-based performance metrics. These initial valuation amounts are recognized as expense over the requisite performance periods, subject to adjustments only for actual forfeitures. Income Taxes Capstead Mortgage Corporation and its qualified REIT subsidiaries have elected to be taxed as a REIT. As a result, Capstead is not taxed on taxable income distributed to stockholders if certain REIT qualification tests are met. Capstead’s policy is to distribute 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Internal Revenue Code (the “Code”), which may extend into the subsequent taxable year. The Company may find it advantageous from time to time to elect taxable REIT subsidiary status for certain of its subsidiaries in which case taxable income of any such subsidiary would be subject to federal and, where applicable, state or local income taxes. Any such income taxes are accounted for using the liability method. Related deferred income tax assets and liabilities are determined based on differences between the financial reporting and tax bases of assets and liabilities and are measured using enacted tax rates and laws that will be in effect when the differences are expected to reverse. The Company has not recognized any liabilities for unrecognized tax benefits using a “more likely than not” threshold for the recognition and measurement of the financial statement effects of tax positions taken on a tax return filing. Should any such liabilities be recognized in future periods, the Company will record related interest and penalties in Other g eneral and administrative expense . Dividend Classification The tax and financial reporting classification of dividends can differ primarily as a result of differences between taxable income attributable to a particular tax year and that year’s Net income (loss) |
NET INCOME (LOSS) PER COMMON SH
NET INCOME (LOSS) PER COMMON SHARE | 12 Months Ended |
Dec. 31, 2020 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | NOTE 3 — NET INCOME (LOSS) PER COMMON SHARE Basic net income (loss) per common share is computed by dividing net (loss) 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 subject to the conditions set forth in our charter 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. The following table illustrates the computation of basic and diluted net income (loss) per common share for the indicated periods (dollars in thousands, except per share amounts). Year ended December 31 2020 2019 2018 Basic net income (loss) per common share Numerator for basic net income (loss) per common share: Net (loss) income $ (129,573 ) $ (35,338 ) $ 50,072 Preferred stock dividends (19,368 ) (19,368 ) (19,368 ) Earnings participation of unvested equity awards (137 ) (100 ) (102 ) $ (149,078 ) $ (54,806 ) $ 30,602 Denominator for basic net income (loss) per common share: Average number of shares of common stock outstanding 96,242 89,349 91,565 Average unvested stock awards outstanding (750 ) (627 ) (451 ) 95,492 88,722 91,114 $ (1.56 ) $ (0.62 ) $ 0.34 Diluted net income (loss) per common share Numerator for basic net income (loss) per common share $ (149,078 ) $ (54,806 ) $ 30,602 Denominator for basic net income (loss) per common share 95,492 88,722 91,114 Net effect of dilutive equity awards - - 116 95,492 88,722 91,230 $ (1.56 ) $ (0.62 ) $ 0.34 Anti-dilutive 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 equity awards for 902,000 and 947,000 shares of common stock excludable under the treasury stock method for years ended December 31, 2020 and 2019, respectively. There were no potentially dilutive securities excluded from the computation of year ended December 31, 2018. |
RESIDENTIAL MORTGAGE INVESTMENT
RESIDENTIAL MORTGAGE INVESTMENTS | 12 Months Ended |
Dec. 31, 2020 | |
Residential Mortgage [Member] | |
RESIDENTIAL MORTGAGE INVESTMENTS | NOTE 4 — RESIDENTIAL MORTGAGE INVESTMENTS Residential mortgage investments classified by collateral type and interest rate characteristics were as follows as of the indicated dates (dollars in thousands): Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (b) December 31, 2020 Agency Securities: Fannie Mae/Freddie Mac ARMs $ 6,982,650 $ 252,921 $ 7,235,571 $ 7,310,089 2.67 % 2.14 % Ginnie Mae ARMs 599,726 17,704 617,430 627,463 3.39 1.80 $ 7,582,376 $ 270,625 $ 7,853,001 $ 7,937,552 2.73 2.10 December 31, 2019 Agency Securities: Fannie Mae/Freddie Mac ARMs $ 8,628,739 $ 262,293 $ 8,891,032 $ 8,931,872 3.45 % 2.72 % Ginnie Mae ARMs 2,214,447 69,884 2,284,331 2,288,758 3.53 2.85 $ 10,843,186 $ 332,177 $ 11,175,363 $ 11,220,630 3.46 2.75 (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 year then ended, and is based on the cash component of interest income expressed as a percentage 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. The maturity of Agency Securities is directly affected by prepayments of principal on the underlying mortgage loans. Consequently, actual maturities will be significantly shorter than the portfolio’s weighted average contractual maturity of 292 months. Capstead’s ARM Agency Securities are backed by residential mortgage loans that have coupon interest rates that adjust at least annually to more current interest rates or begin doing so after an initial fixed-rate period. After the initial fixed-rate period, if applicable, mortgage loans underlying ARM securities typically either (i) adjust annually based on specified margins over the one-year London interbank offered rate (“LIBOR”) or the one-year Constant Maturity U.S. Treasury Note Rate (“CMT”), (ii) adjust semiannually based on specified margins over six-month LIBOR, or (iii) adjust monthly based on specified margins over indices such as one-month LIBOR, the Eleventh District Federal Reserve Bank Cost of Funds Index, or over a rolling twelve month average of the one-year CMT index, usually subject to periodic and lifetime limits, or caps, on the amount of such adjustments during any single interest rate adjustment period and over the contractual term of the underlying loans. Capstead classifies its ARM investments based on average number of months until coupon reset (“months to roll”). Months to roll is an indicator of asset duration which is a measure of market price sensitivity to interest rate movements. A shorter duration generally indicates less interest rate risk. Current-reset ARM investments have months to roll of less than 18 months while longer-to-reset ARM investments have months to roll of 18 months or greater. As of December 31, 2020, the average months to roll for the Company’s $2.9 billion (amortized cost basis) in current-reset ARM investments was 6.3 months while the average months to roll for the Company’s $5.0 billion (amortized cost basis) in longer-to-reset ARM investments was 56.2 months. During 2020 and 2019, the Company sold available-for-sale securities using the specific identification method for proceeds totaling $2.56 billion and $304.7 million recognizing zero and $405,000 in gross realized gains and $67.8 million and $1.8 million in gross realized losses. The Company did not sell any securities during 2018. |
SECURED BORROWINGS
SECURED BORROWINGS | 12 Months Ended |
Dec. 31, 2020 | |
Disclosure Of Repurchase Agreements [Abstract] | |
SECURED BORROWINGS | NOTE 5 — SECURED BORROWINGS 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 Company may enter into a new borrowing at prevailing haircuts and rates with the same lending counterparty or repay that counterparty and negotiate financing with a different lending counterparty. None of the Company’s lending counterparties are obligated to renew or otherwise enter into new borrowings at the conclusion of existing borrowings. In response to declines in fair value of pledged securities due to changes in market conditions or the publishing of monthly security pay-down factors, lending counterparties typically require the Company to post additional securities as collateral, pay down borrowings or fund cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements. These actions are referred to as margin calls. Conversely, in response to increases in fair value of pledged securities, the Company routinely margin calls its lending counterparties in order to have previously pledged collateral returned. Secured borrowings (and related pledged collateral, including accrued interest receivable), classified by collateral type and remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands): Collateral Type Collateral Carrying Amount Accrued Interest Receivable Borrowings Outstanding Average Borrowing Rates December 31, 2020 Borrowings under repurchase arrangements secured by Agency securities with maturities of 30 days or less $ 5,249,989 $ 12,597 $ 4,972,181 0.21 % Borrowings under repurchase arrangements secured by Agency securities with maturities of 31 to 90 days 1,939,034 4,225 1,846,902 0.20 Borrowings under repurchase arrangements secured by Agency securities with maturities greater than 90 days 522,969 1,167 500,000 0.29 $ 7,711,992 $ 17,989 $ 7,319,083 0.21 December 31, 2019 Borrowings under repurchase arrangements secured by Agency securities with maturities of 30 days or less $ 9,484,275 $ 27,826 $ 9,002,527 2.12 % Borrowings under repurchase arrangements secured by Agency securities with maturities of 31 to 90 days 1,344,437 3,742 1,271,971 1.98 $ 10,828,712 $ 31,568 $ 10,274,498 2.10 Secured borrowings |
USE OF DERIVATIVES, OFFSETTING
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT | NOTE 6 — USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT Capstead’s portfolio of Derivatives hedge the variability of the underlying benchmark interest rate of current and forecasted 30- to 90-day secured borrowings. The Company attempts to mitigate exposure to higher interest rates primarily by entering into pay-fixed, receive-variable, interest rate swap agreements for terms between eighteen months and three years. 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 offset opposing changes in fair value of the Company’s residential mortgage investments that can occur in response to changes in market interest rates. The Company discontinued hedge accounting in March 2019 for its secured borrowings-related interest rate swaps and, for GAAP purposes, related changes in fair value are recorded in the Company’s consolidated statements of operations beginning on the de-designation date. Also, for GAAP purposes related net unrealized gains recorded in Accumulated other comprehensive income During 2020 Capstead entered into swap agreements with notional amounts totaling $5.77 billion requiring fixed-rate interest payments averaging 0.57% for periods between eighteen months and three years commencing on various dates between January 2020 and December 2020. During 2020, $800 million notional amount of swaps requiring fixed-rate interest payments averaging 2.20% matured. The Company also terminated $9.40 billion notional amount of swaps requiring fixed-rate interest payments averaging 1.54% during 2020. At December 31, 2020, the Company’s portfolio financing-related swap positions, all of which were either SOFR- or OIS-indexed, had the following characteristics (dollars in thousands): Period of Contract Expiration Swap Notional Amounts Average Fixed Rates Second quarter 2022 $ 400,000 0.02 % Third quarter 2022 1,200,000 0.01 Fourth quarter 2022 900,000 0.07 Third quarter 2023 100,000 0.03 Fourth quarter 2023 374,500 0.09 $ 2,974,500 The 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 Unsecured borrowings Interest rate swap agreements are measured at fair value on a recurring basis primarily using Level Two Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820) Company also incorporates both its own nonperformance risk and its counterparties’ nonperformance risk in determining fair value. In considering the effect of nonperformance risk, the Company considered the impact of netting and credit enhancements, such as collateral postings and guarantees, and has concluded that counterparty risk is not significant to the overall valuation. The fair value of exchange-traded swap agreements hedging Secured borrowings Unsecured borrowings Cash collateral receivable from derivative counterparties Accounts payable and accrued expenses The following tables include fair value and other related disclosures regarding all Derivatives held as of and for the indicated periods (in thousands): Balance December 31 Location 2020 2019 Balance sheet-related Swap agreements in a gain position (an asset) related to secured borrowings (a) $ – $ 733 Eurodollar futures contracts in a gain position (a) – 738 Swap agreements in a loss position (a liability) related to unsecured borrowings (a) (41,484 ) (29,156 ) Related net interest payable (b) (597 ) (437 ) $ (42,081 ) $ (28,122 ) (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. (b) Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets. Location of Gain or (Loss) Recognized in Year ended December 31 Net (Loss) Income 2020 2019 2018 Income statement-related Components of Secured borrowings-related effects on interest expense: Amount of gain reclassified from Accumulated other comprehensive income $ – $ 7,891 $ 38,292 Amount of unrealized gain, net of unrealized losses on de-designated Derivatives (529 ) 14,712 – (a) (529 ) 22,603 38,292 Component of Unsecured borrowings-related effects on interest expense: Amount of loss reclassified from Accumulated other comprehensive income (b) (3,293 ) (1,616 ) (1,902 ) (Increase) decrease in interest expense as a result of the use of Derivatives $ (3,822 ) $ 20,987 $ 36,390 Realized and unrealized (loss) gain on non-designated Derivatives (net) related to: Interest rate swap agreements $ (156,748 ) $ (91,791 ) $ – Eurodollar futures (2,799 ) 1,213 – (c) $ (159,547 ) $ (90,578 ) $ – Other comprehensive income-related Amount of (loss) gain recognized in Other comprehensive income (loss) $ (15,621 ) $ (17,080 ) $ 25,716 (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 further details concerning offsetting of financial liabilities and Derivatives as of the indicated dates (in thousands): Offsetting of Derivative Assets Gross Net Amounts Gross Amounts Not Offset Gross Amounts of Assets in the Balance Sheet (b) Amounts of Offset in Presented in Cash Recognized the Balance the Balance Financial Collateral Net Assets (a) Sheet (a) Sheet Instruments Received Amount December 31, 2020 Counterparty 4 $ 2,673 $ (2,673 ) $ – $ – $ – $ – December 31, 2019 Counterparty 4 $ 6,517 $ (5,046 ) $ 1,471 $ – $ – $ 1,471 (a) Included in gross amounts of recognized assets at December 31, 2020 is the fair value of exchange-traded swap agreements, calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with these swaps at December 31, 2020. (b) Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01 . Offsetting of Financial Liabilities and Derivative Liabilities Gross Net Amounts Gross Amounts Not Offset Gross Amounts of Liabilities in the Balance Sheet (c) Amounts of Offset in Presented in Cash Recognized the Balance the Balance Financial Collateral Net Liabilities (a) Sheet (a) Sheet (b) Instruments Pledged Amount December 31, 2020 Derivatives by counterparty: Counterparty 1 $ 42,082 $ – $ 42,082 $ – $ (42,082 ) $ – Counterparty 4 257 (257 ) – – – – 42,339 (257 ) 42,082 – (42,082 ) – Borrowings under repurchase arrangements (d) 7,320,090 – 7,320,090 (7,320,090 ) – – $ 7,362,429 $ (257 ) $ 7,362,172 $ (7,320,090 ) $ (42,082 ) $ – December 31, 2019 Derivatives by counterparty: Counterparty 1 $ 29,593 $ – $ 29,593 $ – $ (29,593 ) $ – Counterparty 4 21,601 (21,601 ) — — – – 51,194 (21,601 ) 29,593 — (29,593 ) – Borrowings under repurchase arrangements (d) 10,286,011 – 10,286,011 (10,286,011 ) – – $ 10,337,205 $ (21,601 ) $ 10,315,604 $ (10,286,011 ) $ (29,593 ) $ – (a) Included in gross amounts of recognized liabilities at December 31, 2020 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at December 31, 2020. (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 $1.0 million and $11.5 million on borrowings under repurchases arrangements as of December 31, 2020 and December 31, 2019, respectively. The amount of unrealized losses, net of unrealized gains, included in Accumulated other comprehensive income Accumulated other comprehensive income Unrealized Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at December 31, 2017 $ 16,874 $ 45,244 $ 62,118 Activity for the year ended December 31, 2018: Other comprehensive income (loss) before reclassifications 25,716 (72,490 ) (46,774 ) Amounts reclassified from accumulated other comprehensive income (36,390 ) – (36,390 ) Other comprehensive loss (10,674 ) (72,490 ) (83,164 ) Balance at December 31, 2018 6,200 (27,246 ) (21,046 ) Activity for the year ended December 31, 2019: Other comprehensive (loss) income before reclassifications (17,080 ) 71,148 54,068 Amounts reclassified from accumulated other comprehensive income (20,988 ) 1,365 (19,623 ) Other comprehensive (loss) income (38,068 ) 72,513 34,445 Balance at December 31, 2019 (31,868 ) 45,267 13,399 Activity for the year ended December 31, 2020: Other comprehensive loss before reclassifications (15,621 ) (27,580 ) (43,201 ) Amounts reclassified from accumulated other comprehensive income 3,822 66,864 70,686 Other comprehensive (loss) income (11,799 ) 39,284 27,485 Balance at December 31, 2020 $ (43,667 ) $ 84,551 $ 40,884 |
UNSECURED BORROWINGS
UNSECURED BORROWINGS | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
UNSECURED BORROWINGS | NOTE 7 — UNSECURED BORROWINGS Unsecured borrowings consist of 30-year junior subordinated notes issued in 2005 and 2006 and maturing in 2035 and 2036, for a total face amount of $100 million. Note balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for the effects of related Derivatives held as cash flow hedges) were as follows (dollars in thousands): December 31, 2020 December 31, 2019 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,431 7.87 % $ 34,392 7.88 % December 2035 ($40,000 face amount) 39,435 7.64 39,397 7.64 September 2036 ($25,000 face amount) 24,627 7.68 24,603 7.68 $ 98,493 7.73 $ 98,392 7.73 The notes are currently redeemable, in whole or in part, without penalty, at the Company’s option. Interest paid on Unsecured borrowings |
FAIR VALUES OF FINANCIAL INSTRU
FAIR VALUES OF FINANCIAL INSTRUMENTS | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUES OF FINANCIAL INSTRUMENTS | NOTE 8 — FAIR VALUES OF FINANCIAL INSTRUMENTS 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 Eurodollar futures, all fair values were determined using Level 2 Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820). Eurodollar futures are Derivatives for which Level 1 inputs are used to determine fair value. Residential mortgage investments, 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. The Company currently bases fair value for Unsecured borrowings Cash and cash equivalents Cash collateral receivable from derivative counterparties Secured borrowings The following table presents the fair value for the Company’s financial instruments as of the indicated dates (in thousands): December 31, 2020 December 31, 2019 Fair Value Hierarchy Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Secured borrowings-related interest rate swap agreements Level 2 $ – $ – $ 733 $ 733 Eurodollar futures Level 1 – – 738 738 Financial liabilities: Secured borrowings with initial terms of greater than 120 days Level 2 500,000 500,100 – – Unsecured borrowings Level 2 98,493 59,900 98,392 68,100 Unsecured borrowings-related interest rate swap agreements Level 2 41,484 41,484 29,156 29,156 Fair value-related disclosures for debt securities were as follows as of the indicated dates (in thousands): Amortized Gross Unrealized Cost Basis Gains Losses Fair Value December 31, 2020 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 7,235,571 $ 87,158 $ 12,640 $ 7,310,089 Ginnie Mae 617,430 10,541 508 627,463 December 31, 2019 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac 8,890,949 64,593 23,753 8,931,789 Ginnie Mae 2,284,331 11,560 7,133 2,288,758 December 31, 2020 December 31, 2019 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position of one year or greater: Fannie Mae/Freddie Mac $ 690,227 $ 9,533 $ 2,030,192 $ 17,069 Ginnie Mae 27,462 285 560,022 5,775 Securities in an unrealized loss position of less than one year: Fannie Mae/Freddie Mac 583,870 3,107 1,473,144 6,684 Ginnie Mae 41,527 223 416,888 1,358 $ 1,343,086 $ 13,148 $ 4,480,246 $ 30,886 From a credit risk perspective, federal government support for Fannie Mae and Freddie Mac helps ensure that fluctuations in value are due to interest rate changes and are not due to credit risk associated with these securities. The unrealized losses on the Company’s investment in Agency Securities were caused by interest rate changes, and the contractual cash flows of those investments are guaranteed by an agency of the U.S. government. The Company does not intend to sell the investments as of December 31, 2020 and it is not more likely than not that the Company will be required to sell the investments before recovering their related amortized cost bases. |
INCOME TAXES
INCOME TAXES | 12 Months Ended |
Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | NOTE 9 — INCOME TAXES Capstead and a subsidiary for which the Company has elected taxable REIT subsidiary status file separate tax returns in U.S. federal and state jurisdictions, where applicable. Provided Capstead remains qualified as a REIT and all its taxable income is distributed to stockholders within allowable time limits, no income taxes are due on this income. Accordingly, no provision has been made for income taxes for Capstead. Taxable income, if any, of the Company’s largely dormant taxable REIT subsidiary is fully taxable and provision is made for any resulting income taxes. The Company is no longer subject to examination and the related assessment of tax by federal, state, or local tax authorities for years before 2017. For tax years after 2017, the Tax Cuts and Jobs Act (“Tax Act”) repealed the corporate Alternative Minimum Tax (“AMT”). AMT credit carryforwards became fully utilizable without limitation or, in the absence of regular tax liability, fully refundable over the ensuing four years. Accordingly, in 2017 the Company’s taxable REIT subsidiary recognized a refund of AMT under the Tax Act and recorded a receivable in Receivables and other assets, which was collected in full in 2020 under the provisions of the Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”) of 2020. Additionally, the CARES Act modified the rules for REIT net operating losses (“NOL”). A REIT NOL carryover can now only offset 80% of taxable income for losses arising in years beginning after December 31, 2020. The 80% limitation is calculated by multiplying current-year REIT taxable income before the dividends paid deduction by 80 %. For tax years beginning before January 1, 2021, a taxpayer can offset 100% of its income in any given year with an NOL. Although there will be an annual NOL limitation for tax years starting after December 31, 2020, the Tax Act allow s post-2017 NOLs to be carried forward indefinitely. At December 31, 2020 Capstead had an NOL of $ 90 million that does not expire. The Company’s effective tax rate differs substantially from statutory federal income tax rates primarily due to the benefit of Capstead’s status as a REIT, along with other items affecting the Company’s effective tax rate as illustrated below for the indicated periods (in thousands): Year ended December 31 2020 2019 2018 Income taxes computed at the federal statutory rate $ 2 $ 6 $ 10,515 Benefit of REIT status – - (10,512 ) Income taxes computed on income of the Company's taxable REIT subsidiary 2 6 3 Other change in net deferred income tax assets (2 ) (6 ) (3 ) Income tax (benefit) provision recorded in miscellaneous other revenue (expense) $ – $ – $ – No income taxes were paid during 2020, 2019 or 2018. Capstead had $17.5 million in net capital loss carryforwards that expired at the end of 2019. At December 31, 2020 Capstead has $68.2 million in net capital loss carryforwards that if unused, expire at the end of 2025. Significant components of the Company’s taxable REIT subsidiary’s deferred income tax assets and liabilities were as follows as of the indicated dates (in thousands): December 31 2020 2019 Deferred income tax assets: Net operating loss carryforwards (a) $ 71 $ 24 Other 9 10 80 34 Deferred income tax liabilities – – Net deferred tax assets $ 80 $ 34 Valuation allowance (b) $ 80 $ 34 (a) The increase in net operating loss carryforward from 2019 to 2020 is due to a carryforward correction noted in reconciliation against filed tax returns. (b) Because this subsidiary is not expected to earn significant amounts of taxable income, related net deferred tax assets are fully reserved at December 31, 2020. |
STOCKHOLDERS' EQUITY
STOCKHOLDERS' EQUITY | 12 Months Ended |
Dec. 31, 2020 | |
Equity [Abstract] | |
STOCKHOLDERS' EQUITY | NOTE 10 — STOCKHOLDERS’ EQUITY In February 2020, the Company issued 1.6 million shares of common stock through an at-the-market continuous offering program at an average price of $8.21, net of fees and other costs, for net proceeds of $12.9 million. On August 1, 2019 the Company completed a public offering for nine million shares of common stock raising $75.1 million at a net price of $8.34 per share after underwriting discounts and offering expenses. The proceeds were deployed into additional ARM Agency Securities and used for general corporate purposes. Additional amounts of equity capital may be raised in the future under continuous offering programs or by other means, subject to market conditions, compliance with federal securities laws and blackout periods. In 2019 Capstead’s Board of Directors increased its 2017 common stock repurchase program authorization to $125 million, leaving a remaining repurchase program authorization of approximately $37 million. The Company did not repurchase shares in 2020 or 2019. During 2018, the Company repurchased 10.7 million shares for an average net repurchase price of $7.94 for a total capital deployment of $84.6 million During 2020, 2019 and 2018, additions to common equity capital related to equity-based awards to directors and employees totaled $3.1 million, $2.6 million and $1.7 million, respectively. See NOTE 11 for further information pertaining to long-term equity-based awards. At December 31, 2020 and 2019, the Company had issued and outstanding 10.3 million shares of its 7.50% Series E Cumulative Redeemable Preferred Stock. Shares of the Series E preferred stock are redeemable at the Company’s option for $25.00 per share, plus any accumulated and unpaid dividends and have a liquidation preference of $25.00 per share. The Company issued no Series E preferred stock in 2020, 2019 or 2018. |
EQUITY INCENTIVE PLAN
EQUITY INCENTIVE PLAN | 12 Months Ended |
Dec. 31, 2020 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
EQUITY INCENTIVE PLAN | NOTE 11 — EQUITY INCENTIVE PLAN 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 December 31, 2020, this plan had 2,454,061 shares of common stock remaining available for future issuances. Long-term equity-based Awards – Performance-based Restricted Stock Units (“RSUs”) A summary of the Company’s restricted stock unit activity and related information for the year ended December 31, 2020 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested RSU awards outstanding at December 31, 2019 538,945 $ 8.50 Grants 191,314 8.03 Forfeitures (148,894 ) 10.52 Unvested RSU awards outstanding at December 31, 2020 581,365 7.83 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. Unrecognized estimated compensation expense for these awards totaled $1.3 million at December 31, 2020, to be expensed over a weighted average period of 1.4 years (assumes estimated attainment levels for the related performance metrics will be met). Recognized in Compensation-related expense Common stock dividends payable December 31, 20 20 and 201 9 are estimated dividends payable pertaining to these awards of $ and $ , respectively. Long-term equity-based Awards – Stock Awards Stock award activity for the year ended December 31, 2020 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested stock awards outstanding at December 31, 2019 615,045 $ 8.14 Grants 322,744 7.39 Vestings (169,748 ) 9.98 Unvested stock awards outstanding at December 31, 2020 768,041 7.42 During 2020, 2019 and 2018, the Company recognized in Compensation-related expense Other general and administrative expense Service-based stock awards issued to directors and to non-executive employees 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 performance or service periods. If these awards do not vest, the related accrued dividends will be forfeited. Included in Common stock dividend payable |
ACCOUNTING POLICIES (Policies)
ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements include the accounts of Capstead Mortgage Corporation and its wholly-owned and majority-owned subsidiaries over which it exercises control. Pursuant to variable interest entity (“VIE”) accounting principles, Capstead considers for consolidation any VIE in which it holds an interest. Intercompany balances and transactions are eliminated. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements In June 2016, Accounting Standards Update No. 2016-13, Financial Instruments – Credit Losses (“ASU 2016-13”) was issued which replaced the incurred loss impairment methodology in previous GAAP with a methodology that is designed to better reflect expected credit losses. For financial instruments carried at amortized cost, impairment is measured as a current estimate of expected lifetime credit losses. For available-for-sale debt securities in which changes in fair value are recorded in accumulated other comprehensive income, the write-down of available-for-sale securities under the “other-than-temporarily” impaired model was replaced with an allowance for credit losses model. ASU 2016-13 is effective for fiscal years beginning after December 15, 2019 and interim periods within those fiscal years. The Company adopted ASU 2016-13 on January 1, 2020 which had no material effect on the Company’s results of operations, financial condition and cash flows primarily due to the limited, if any, credit risk of Agency Securities. |
Use of Estimates | Use of Estimates Fair values of nearly all financial instruments held by the Company are estimated based on a market approach using available market information and appropriate valuation methodologies (Level Two Inputs); however, judgment is required in interpreting market data to develop these estimates. Fair values fluctuate on a daily basis and are influenced by changes in, and market expectations for changes in, interest rates, market liquidity conditions and levels of mortgage prepayments, as well as other factors. Accordingly, estimates of fair value are as of the balance sheet dates and are not necessarily indicative of the amounts that could be realized in a current market exchange. The use of different market assumptions and estimation methodologies may have a material effect on estimated fair values. Judgment is also exercised in making impairment conclusions and estimating impairment charges. Amortization of investment premiums on financial assets is based in part on estimates of future levels of mortgage prepayments. Estimates are influenced by changes in, and market expectations for changes in, interest rates, market liquidity conditions, actual levels of mortgage prepayments and other factors. Judgment is required in developing these estimates, however the actual level of mortgage prepayments for a given accounting period is the single largest determinant in amortizing investment premiums. |
Cash and Cash Equivalents | Cash and Cash Equivalents Cash and cash equivalents include unrestricted cash on hand and highly liquid investments with original maturities of three months or less when purchased. |
Financial Assets | Financial Assets Capstead’s financial assets consist of Agency Securities classified as available-for-sale and carried at fair value with net unrealized gains and losses reported as a separate component of Accumulated other comprehensive income Other (expense) income Other (expense) income. Other (expense) income. |
Borrowings | Borrowings Secured borrowings in the form of repurchase arrangements create exposure to the potential for failure on the part of counterparties to honor their commitment to return pledged collateral. In the event of a default by a repurchase arrangement counterparty, the Company may have difficulty recovering its collateral. To mitigate this risk, the Company monitors the creditworthiness of its counterparties and manages its exposure to any single counterparty. Capstead’s borrowings are carried at their principal balances outstanding net of related debt issuance costs and debt discounts, if applicable. Debt issuance costs associated with Unsecured borrowings |
Derivative Financial Instruments ("Derivatives") | Derivative Financial Instruments (“Derivatives”) Derivatives used by Capstead for risk management purposes are carried at fair value as assets or liabilities. The accounting for changes in fair value of Derivatives held depends on whether it has been designated as a hedge for accounting purposes, as well as the type of hedging relationship identified. Capstead may designate any Derivatives held as cash flow hedges related to a designated portion of its current and anticipated future borrowings. To qualify as a cash flow hedge, at the inception of the hedge relationship the Company must document that the hedge relationship is anticipated to be highly effective and monitor ongoing effectiveness on at least a quarterly basis. As long as the hedge relationship remains effective, the change in fair value of the Derivatives are recorded in Accumulated other comprehensive income Other (expense) income. Secured borrowings Unsecured borrowings The Company uses Derivatives primarily in the form of interest rate swap agreements to hedge the variability in borrowing rates on its secured and unsecured borrowings. If designated as accounting hedges, related fixed interest payments and variable interest receipts are recorded as an adjustment to interest expense on the related designated borrowings. If not designated as accounting hedges, fixed interest payments and variable interest receipts are recorded as a component of Other (expense) income . For D erivatives initially designated as accounting hedge s and subsequently de-designated, unrealized gain or loss included in Accumulated other comprehensive income at the time of de-designation is amortized as an adjustment to interest expense on the related borrowings over the remaining term of the D erivatives. Derivatives create exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments. In addition, the Company is required to post collateral primarily based on any declines in the market value of the Derivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the Derivatives. Pursuant to regulatory changes implemented in 2013, most Derivatives held at December 31, 2020 were entered into through Derivative exchanges established in part to mitigate credit risk. Cash collateral receivable from derivative counterparties , when present, represents cash remitted to swap counterparties to meet initial and ongoing margin requirements that are based on the fair value of these Derivatives, including related interest receivable or payable under the terms of the agreements. The Company may also remit mortgage securities to certain of its swap counterparties to meet ongoing margin requirements. Such mortgage securities, if any, are included in Similarly, , when present, represents cash received from counterparties to meet margin call requirements. For presentation purposes, the Company does not offset individual counterparty collateral receivables (or payables) with the recorded fair value of related interest rate swap agreements pursuant to master netting arrangements. In addition, gross unrealized gains on Derivatives (recorded as assets) are stated separately from gross unrealized losses (recorded as liabilities) without regard to counterparty. Certain cash margin amounts are presented on a net basis against the fair value of related Derivatives. |
Long-term Incentive Compensation | Long-term Incentive Compensation Capstead provides its employees and its directors with long-term incentive compensation in the form of equity-based awards. Equity-based compensation costs are initially measured at the estimated fair value of the awards on the grant date developed using appropriate valuation methodologies. Valuation methodologies used and subsequent expense recognition is dependent upon each award’s service and performance conditions, the latter also referred to as performance metrics. Capstead has elected not to estimate future award forfeitures when valuing equity-based awards and adjusts compensation costs as actual forfeitures occur. Compensation costs for equity-based awards subject only to service conditions are measured at the closing stock price on the dates of grant and are recognized as expense on a straight-line basis over the requisite service periods for the awards, as adjusted for any forfeitures. Compensation costs for components of equity-based awards subject to nonmarket-based performance metrics (i.e. metrics not predicated on changes in the Company’s stock price), are measured at the closing stock price on the dates of grant, adjusted for the probability of achieving benchmarks included in the performance metrics. These initial cost estimates are recognized as expense over the requisite performance periods, adjusted for subsequent changes in performance estimates. Compensation costs for components of equity-based awards subject to market-based performance metrics are measured at the dates of grant using Monte Carlo simulations which incorporate into the valuations the inherent uncertainty regarding achieving the market-based performance metrics. These initial valuation amounts are recognized as expense over the requisite performance periods, subject to adjustments only for actual forfeitures. |
Income Taxes | Income Taxes Capstead Mortgage Corporation and its qualified REIT subsidiaries have elected to be taxed as a REIT. As a result, Capstead is not taxed on taxable income distributed to stockholders if certain REIT qualification tests are met. Capstead’s policy is to distribute 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Internal Revenue Code (the “Code”), which may extend into the subsequent taxable year. The Company may find it advantageous from time to time to elect taxable REIT subsidiary status for certain of its subsidiaries in which case taxable income of any such subsidiary would be subject to federal and, where applicable, state or local income taxes. Any such income taxes are accounted for using the liability method. Related deferred income tax assets and liabilities are determined based on differences between the financial reporting and tax bases of assets and liabilities and are measured using enacted tax rates and laws that will be in effect when the differences are expected to reverse. The Company has not recognized any liabilities for unrecognized tax benefits using a “more likely than not” threshold for the recognition and measurement of the financial statement effects of tax positions taken on a tax return filing. Should any such liabilities be recognized in future periods, the Company will record related interest and penalties in Other g eneral and administrative expense . |
Dividend Classification | Dividend Classification The tax and financial reporting classification of dividends can differ primarily as a result of differences between taxable income attributable to a particular tax year and that year’s Net income (loss) |
NET INCOME (LOSS) PER COMMON _2
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Earnings Per Share [Abstract] | |
Components of Computation of Basic and Diluted Net Income (loss) per Common Share | The following table illustrates the computation of basic and diluted net income (loss) per common share for the indicated periods (dollars in thousands, except per share amounts). Year ended December 31 2020 2019 2018 Basic net income (loss) per common share Numerator for basic net income (loss) per common share: Net (loss) income $ (129,573 ) $ (35,338 ) $ 50,072 Preferred stock dividends (19,368 ) (19,368 ) (19,368 ) Earnings participation of unvested equity awards (137 ) (100 ) (102 ) $ (149,078 ) $ (54,806 ) $ 30,602 Denominator for basic net income (loss) per common share: Average number of shares of common stock outstanding 96,242 89,349 91,565 Average unvested stock awards outstanding (750 ) (627 ) (451 ) 95,492 88,722 91,114 $ (1.56 ) $ (0.62 ) $ 0.34 Diluted net income (loss) per common share Numerator for basic net income (loss) per common share $ (149,078 ) $ (54,806 ) $ 30,602 Denominator for basic net income (loss) per common share 95,492 88,722 91,114 Net effect of dilutive equity awards - - 116 95,492 88,722 91,230 $ (1.56 ) $ (0.62 ) $ 0.34 |
RESIDENTIAL MORTGAGE INVESTME_2
RESIDENTIAL MORTGAGE INVESTMENTS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Investments Debt And Equity Securities [Abstract] | |
Schedule of Residential Mortgage Investments | Residential mortgage investments classified by collateral type and interest rate characteristics were as follows as of the indicated dates (dollars in thousands): Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (b) December 31, 2020 Agency Securities: Fannie Mae/Freddie Mac ARMs $ 6,982,650 $ 252,921 $ 7,235,571 $ 7,310,089 2.67 % 2.14 % Ginnie Mae ARMs 599,726 17,704 617,430 627,463 3.39 1.80 $ 7,582,376 $ 270,625 $ 7,853,001 $ 7,937,552 2.73 2.10 December 31, 2019 Agency Securities: Fannie Mae/Freddie Mac ARMs $ 8,628,739 $ 262,293 $ 8,891,032 $ 8,931,872 3.45 % 2.72 % Ginnie Mae ARMs 2,214,447 69,884 2,284,331 2,288,758 3.53 2.85 $ 10,843,186 $ 332,177 $ 11,175,363 $ 11,220,630 3.46 2.75 (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 year then ended, and is based on the cash component of interest income expressed as a percentage on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments. |
SECURED BORROWINGS (Tables)
SECURED BORROWINGS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Disclosure Of Repurchase Agreements [Abstract] | |
Schedule of Secured Borrowings | Secured borrowings (and related pledged collateral, including accrued interest receivable), classified by collateral type and remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands): Collateral Type Collateral Carrying Amount Accrued Interest Receivable Borrowings Outstanding Average Borrowing Rates December 31, 2020 Borrowings under repurchase arrangements secured by Agency securities with maturities of 30 days or less $ 5,249,989 $ 12,597 $ 4,972,181 0.21 % Borrowings under repurchase arrangements secured by Agency securities with maturities of 31 to 90 days 1,939,034 4,225 1,846,902 0.20 Borrowings under repurchase arrangements secured by Agency securities with maturities greater than 90 days 522,969 1,167 500,000 0.29 $ 7,711,992 $ 17,989 $ 7,319,083 0.21 December 31, 2019 Borrowings under repurchase arrangements secured by Agency securities with maturities of 30 days or less $ 9,484,275 $ 27,826 $ 9,002,527 2.12 % Borrowings under repurchase arrangements secured by Agency securities with maturities of 31 to 90 days 1,344,437 3,742 1,271,971 1.98 $ 10,828,712 $ 31,568 $ 10,274,498 2.10 |
USE OF DERIVATIVES, OFFSETTIN_2
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Schedule of Swap Agreements Expiration Period and Characteristics | At December 31, 2020, the Company’s portfolio financing-related swap positions, all of which were either SOFR- or OIS-indexed, had the following characteristics (dollars in thousands): Period of Contract Expiration Swap Notional Amounts Average Fixed Rates Second quarter 2022 $ 400,000 0.02 % Third quarter 2022 1,200,000 0.01 Fourth quarter 2022 900,000 0.07 Third quarter 2023 100,000 0.03 Fourth quarter 2023 374,500 0.09 $ 2,974,500 |
Impact of Derivative Instruments on Statements of Financial Performance and Financial Position | The following tables include fair value and other related disclosures regarding all Derivatives held as of and for the indicated periods (in thousands): Balance December 31 Location 2020 2019 Balance sheet-related Swap agreements in a gain position (an asset) related to secured borrowings (a) $ – $ 733 Eurodollar futures contracts in a gain position (a) – 738 Swap agreements in a loss position (a liability) related to unsecured borrowings (a) (41,484 ) (29,156 ) Related net interest payable (b) (597 ) (437 ) $ (42,081 ) $ (28,122 ) (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. (b) Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets. Location of Gain or (Loss) Recognized in Year ended December 31 Net (Loss) Income 2020 2019 2018 Income statement-related Components of Secured borrowings-related effects on interest expense: Amount of gain reclassified from Accumulated other comprehensive income $ – $ 7,891 $ 38,292 Amount of unrealized gain, net of unrealized losses on de-designated Derivatives (529 ) 14,712 – (a) (529 ) 22,603 38,292 Component of Unsecured borrowings-related effects on interest expense: Amount of loss reclassified from Accumulated other comprehensive income (b) (3,293 ) (1,616 ) (1,902 ) (Increase) decrease in interest expense as a result of the use of Derivatives $ (3,822 ) $ 20,987 $ 36,390 Realized and unrealized (loss) gain on non-designated Derivatives (net) related to: Interest rate swap agreements $ (156,748 ) $ (91,791 ) $ – Eurodollar futures (2,799 ) 1,213 – (c) $ (159,547 ) $ (90,578 ) $ – Other comprehensive income-related Amount of (loss) gain recognized in Other comprehensive income (loss) $ (15,621 ) $ (17,080 ) $ 25,716 (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 further details concerning offsetting of financial liabilities and Derivatives as of the indicated dates (in thousands): Offsetting of Derivative Assets Gross Net Amounts Gross Amounts Not Offset Gross Amounts of Assets in the Balance Sheet (b) Amounts of Offset in Presented in Cash Recognized the Balance the Balance Financial Collateral Net Assets (a) Sheet (a) Sheet Instruments Received Amount December 31, 2020 Counterparty 4 $ 2,673 $ (2,673 ) $ – $ – $ – $ – December 31, 2019 Counterparty 4 $ 6,517 $ (5,046 ) $ 1,471 $ – $ – $ 1,471 (a) Included in gross amounts of recognized assets at December 31, 2020 is the fair value of exchange-traded swap agreements, calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with these swaps at December 31, 2020. (b) Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01 . |
Schedule of Offsetting Disclosures for Liability Derivatives Held and Repurchase Arrangements and Similar Borrowings Outstanding | Offsetting of Financial Liabilities and Derivative Liabilities Gross Net Amounts Gross Amounts Not Offset Gross Amounts of Liabilities in the Balance Sheet (c) Amounts of Offset in Presented in Cash Recognized the Balance the Balance Financial Collateral Net Liabilities (a) Sheet (a) Sheet (b) Instruments Pledged Amount December 31, 2020 Derivatives by counterparty: Counterparty 1 $ 42,082 $ – $ 42,082 $ – $ (42,082 ) $ – Counterparty 4 257 (257 ) – – – – 42,339 (257 ) 42,082 – (42,082 ) – Borrowings under repurchase arrangements (d) 7,320,090 – 7,320,090 (7,320,090 ) – – $ 7,362,429 $ (257 ) $ 7,362,172 $ (7,320,090 ) $ (42,082 ) $ – December 31, 2019 Derivatives by counterparty: Counterparty 1 $ 29,593 $ – $ 29,593 $ – $ (29,593 ) $ – Counterparty 4 21,601 (21,601 ) — — – – 51,194 (21,601 ) 29,593 — (29,593 ) – Borrowings under repurchase arrangements (d) 10,286,011 – 10,286,011 (10,286,011 ) – – $ 10,337,205 $ (21,601 ) $ 10,315,604 $ (10,286,011 ) $ (29,593 ) $ – (a) Included in gross amounts of recognized liabilities at December 31, 2020 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at December 31, 2020. (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 $1.0 million and $11.5 million on borrowings under repurchases arrangements as of December 31, 2020 and December 31, 2019, respectively. |
Changes in Accumulated Other Comprehensive Income | Changes in Accumulated other comprehensive income Unrealized Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at December 31, 2017 $ 16,874 $ 45,244 $ 62,118 Activity for the year ended December 31, 2018: Other comprehensive income (loss) before reclassifications 25,716 (72,490 ) (46,774 ) Amounts reclassified from accumulated other comprehensive income (36,390 ) – (36,390 ) Other comprehensive loss (10,674 ) (72,490 ) (83,164 ) Balance at December 31, 2018 6,200 (27,246 ) (21,046 ) Activity for the year ended December 31, 2019: Other comprehensive (loss) income before reclassifications (17,080 ) 71,148 54,068 Amounts reclassified from accumulated other comprehensive income (20,988 ) 1,365 (19,623 ) Other comprehensive (loss) income (38,068 ) 72,513 34,445 Balance at December 31, 2019 (31,868 ) 45,267 13,399 Activity for the year ended December 31, 2020: Other comprehensive loss before reclassifications (15,621 ) (27,580 ) (43,201 ) Amounts reclassified from accumulated other comprehensive income 3,822 66,864 70,686 Other comprehensive (loss) income (11,799 ) 39,284 27,485 Balance at December 31, 2020 $ (43,667 ) $ 84,551 $ 40,884 |
UNSECURED BORROWINGS (Tables)
UNSECURED BORROWINGS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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 the effects of related Derivatives held as cash flow hedges) were as follows (dollars in thousands): December 31, 2020 December 31, 2019 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,431 7.87 % $ 34,392 7.88 % December 2035 ($40,000 face amount) 39,435 7.64 39,397 7.64 September 2036 ($25,000 face amount) 24,627 7.68 24,603 7.68 $ 98,493 7.73 $ 98,392 7.73 |
FAIR VALUES OF FINANCIAL INST_2
FAIR VALUES OF FINANCIAL INSTRUMENTS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Summary of Financial Instruments | The following table presents the fair value for the Company’s financial instruments as of the indicated dates (in thousands): December 31, 2020 December 31, 2019 Fair Value Hierarchy Carrying Amount Fair Value Carrying Amount Fair Value Financial assets: Secured borrowings-related interest rate swap agreements Level 2 $ – $ – $ 733 $ 733 Eurodollar futures Level 1 – – 738 738 Financial liabilities: Secured borrowings with initial terms of greater than 120 days Level 2 500,000 500,100 – – Unsecured borrowings Level 2 98,493 59,900 98,392 68,100 Unsecured borrowings-related interest rate swap agreements Level 2 41,484 41,484 29,156 29,156 |
Fair Value and Related Disclosures for Debt Securities | Fair value-related disclosures for debt securities were as follows as of the indicated dates (in thousands): Amortized Gross Unrealized Cost Basis Gains Losses Fair Value December 31, 2020 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 7,235,571 $ 87,158 $ 12,640 $ 7,310,089 Ginnie Mae 617,430 10,541 508 627,463 December 31, 2019 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac 8,890,949 64,593 23,753 8,931,789 Ginnie Mae 2,284,331 11,560 7,133 2,288,758 |
Securities in Unrealized Loss Position | December 31, 2020 December 31, 2019 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position of one year or greater: Fannie Mae/Freddie Mac $ 690,227 $ 9,533 $ 2,030,192 $ 17,069 Ginnie Mae 27,462 285 560,022 5,775 Securities in an unrealized loss position of less than one year: Fannie Mae/Freddie Mac 583,870 3,107 1,473,144 6,684 Ginnie Mae 41,527 223 416,888 1,358 $ 1,343,086 $ 13,148 $ 4,480,246 $ 30,886 |
INCOME TAXES (Tables)
INCOME TAXES (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Schedule of Effective Income Tax Rate Reconciliation | The Company’s effective tax rate differs substantially from statutory federal income tax rates primarily due to the benefit of Capstead’s status as a REIT, along with other items affecting the Company’s effective tax rate as illustrated below for the indicated periods (in thousands): Year ended December 31 2020 2019 2018 Income taxes computed at the federal statutory rate $ 2 $ 6 $ 10,515 Benefit of REIT status – - (10,512 ) Income taxes computed on income of the Company's taxable REIT subsidiary 2 6 3 Other change in net deferred income tax assets (2 ) (6 ) (3 ) Income tax (benefit) provision recorded in miscellaneous other revenue (expense) $ – $ – $ – |
Components of Deferred Tax Assets and Liabilities | Significant components of the Company’s taxable REIT subsidiary’s deferred income tax assets and liabilities were as follows as of the indicated dates (in thousands): December 31 2020 2019 Deferred income tax assets: Net operating loss carryforwards (a) $ 71 $ 24 Other 9 10 80 34 Deferred income tax liabilities – – Net deferred tax assets $ 80 $ 34 Valuation allowance (b) $ 80 $ 34 (a) The increase in net operating loss carryforward from 2019 to 2020 is due to a carryforward correction noted in reconciliation against filed tax returns. (b) Because this subsidiary is not expected to earn significant amounts of taxable income, related net deferred tax assets are fully reserved at December 31, 2020. |
EQUITY INCENTIVE PLAN (Tables)
EQUITY INCENTIVE PLAN (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Performance-based RSUs [Member] | |
Schedule of Performance-Based and Service-Based Stock Award Activity | A summary of the Company’s restricted stock unit activity and related information for the year ended December 31, 2020 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested RSU awards outstanding at December 31, 2019 538,945 $ 8.50 Grants 191,314 8.03 Forfeitures (148,894 ) 10.52 Unvested RSU awards outstanding at December 31, 2020 581,365 7.83 |
Stock Awards Activity [Member] | |
Schedule of Performance-Based and Service-Based Stock Award Activity | Stock award activity for the year ended December 31, 2020 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested stock awards outstanding at December 31, 2019 615,045 $ 8.14 Grants 322,744 7.39 Vestings (169,748 ) 9.98 Unvested stock awards outstanding at December 31, 2020 768,041 7.42 |
ACCOUNTING POLICIES - Additiona
ACCOUNTING POLICIES - Additional Information (Details) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Percentage of taxable income to be distributed | 100.00% |
NET INCOME (LOSS) PER COMMON _3
NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | 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 | 902,000 | 947,000 | 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 | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Numerator for basic net income (loss) per common share [Abstract] | |||
Net (loss) income | $ (129,573) | $ (35,338) | $ 50,072 |
Preferred stock dividends | (19,368) | (19,368) | (19,368) |
Earnings participation of unvested equity awards | (137) | (100) | (102) |
Numerator for basic net income (loss) per common share | $ (149,078) | $ (54,806) | $ 30,602 |
Denominator for basic net income (loss) per common share [Abstract] | |||
Average number of shares of common stock outstanding (in shares) | 96,242 | 89,349 | 91,565 |
Average unvested stock awards outstanding (in shares) | (750) | (627) | (451) |
Denominator for basic net income (loss) per common share (in shares) | 95,492 | 88,722 | 91,114 |
Basic net income (loss) per common share (in dollars per share) | $ (1.56) | $ (0.62) | $ 0.34 |
Numerator for diluted net income (loss) per common share [Abstract] | |||
Numerator for basic net income (loss) per common share | $ (149,078) | $ (54,806) | $ 30,602 |
Denominator for basic net income (loss) per common share (in shares) | 95,492 | 88,722 | 91,114 |
Net effect of dilutive equity awards (in shares) | 116 | ||
Denominator for diluted net income (loss) per common share (in shares) | 95,492 | 88,722 | 91,230 |
Diluted net income (loss) per common share (in dollars per share) | $ (1.56) | $ (0.62) | $ 0.34 |
RESIDENTIAL MORTGAGE INVESTME_3
RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - Agency Securities [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | ||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 7,582,376 | $ 10,843,186 | |
Investment Premiums | 270,625 | 332,177 | |
Amortized Cost Basis | 7,853,001 | 11,175,363 | |
Carrying Amount | [1] | $ 7,937,552 | $ 11,220,630 |
Net WAC | [2] | 2.73% | 3.46% |
Average Yield | [3] | 2.10% | 2.75% |
Fannie Mae/Freddie Mac [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 6,982,650 | $ 8,628,739 | |
Investment Premiums | 252,921 | 262,293 | |
Amortized Cost Basis | 7,235,571 | 8,891,032 | |
Carrying Amount | [1] | $ 7,310,089 | $ 8,931,872 |
Net WAC | [2] | 2.67% | 3.45% |
Average Yield | [3] | 2.14% | 2.72% |
Ginnie Mae [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 599,726 | $ 2,214,447 | |
Investment Premiums | 17,704 | 69,884 | |
Amortized Cost Basis | 617,430 | 2,284,331 | |
Carrying Amount | [1] | $ 627,463 | $ 2,288,758 |
Net WAC | [2] | 3.39% | 3.53% |
Average Yield | [3] | 1.80% | 2.85% |
[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 year then ended, and is based on the cash component of interest income expressed as a percentage 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) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Financing Receivable, Recorded Investment [Line Items] | |||
Mortgage securities weighted average contractual maturity | 292 months | ||
Available for sale ARM securities, current-reset | $ 2,900,000,000 | ||
Available for sale ARM securities, longer-to-reset | 5,000,000,000 | ||
Available for sale securities | 2,560,000,000 | $ 304,700,000 | $ 0 |
Available-for-sale securities, gross realized gains | 0 | 405,000 | |
Available-for-sale securities, gross realized losses | $ 67,800,000 | $ 1,800,000 | |
Current-Reset ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Agency securities average months to roll | 6 months 9 days | ||
Current-Reset ARMs [Member] | Maximum [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Agency securities months to roll | 18 months | ||
Longer-To-Reset ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Agency securities average months to roll | 56 months 6 days | ||
Longer-To-Reset ARMs [Member] | Minimum [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Agency securities months to roll | 18 months |
SECURED BORROWINGS - Schedule o
SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 7,710,000 | $ 10,830,000 | |
Borrowings outstanding | [1],[2] | 7,320,090 | 10,286,011 |
Agency Securities [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | 7,711,992 | 10,828,712 | |
Accrued interest receivable | 17,989 | 31,568 | |
Borrowings outstanding | $ 7,319,083 | $ 10,274,498 | |
Average borrowing rates | 0.21% | 2.10% | |
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 5,249,989 | $ 9,484,275 | |
Accrued interest receivable | 12,597 | 27,826 | |
Borrowings outstanding | $ 4,972,181 | $ 9,002,527 | |
Average borrowing rates | 0.21% | 2.12% | |
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 1,939,034 | $ 1,344,437 | |
Accrued interest receivable | 4,225 | 3,742 | |
Borrowings outstanding | $ 1,846,902 | $ 1,271,971 | |
Average borrowing rates | 0.20% | 1.98% | |
Agency Securities [Member] | Borrowings with Maturities Greater than 90 Days [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Collateral carrying amount | $ 522,969 | ||
Accrued interest receivable | 1,167 | ||
Borrowings outstanding | $ 500,000 | ||
Average borrowing rates | 0.29% | ||
[1] | Amounts include accrued interest payable of $1.0 million and $11.5 million on borrowings under repurchases arrangements as of December 31, 2020 and December 31, 2019, respectively | ||
[2] | Included in gross amounts of recognized liabilities at December 31, 2020 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at December 31, 2020. |
SECURED BORROWINGS - Additional
SECURED BORROWINGS - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Disclosure Of Repurchase Agreements [Abstract] | |||
Average secured borrowings | $ 8,210 | $ 10,800 | |
Interest paid on secured borrowings | $ 105 | $ 232.2 | $ 213.7 |
USE OF DERIVATIVES, OFFSETTIN_3
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2010 | |
Derivative Instruments And Hedging Activities Disclosures [Line Items] | ||
SWAP agreement notional amount during period | $ 5,770 | $ 100 |
SWAP agreement average interest rate during period | 0.57% | 4.09% |
SWAP agreement terminated notional amount during period | $ 9,400 | |
SWAP agreement terminated average interest rate during period | 1.54% | |
SWAP agreement notional amount expiring during period | $ 800 | |
SWAP agreement average interest rate expiring during period | 2.20% | |
Derivative instruments unrealized gains to be recognized | $ 6.1 | |
Interest Rate Swap Agreements [Member] | ||
Derivative Instruments And Hedging Activities Disclosures [Line Items] | ||
Payment term of LIBOR interest rate agreement | 20 years | |
Minimum [Member] | Interest Rate Swap Agreements [Member] | ||
Derivative Instruments And Hedging Activities Disclosures [Line Items] | ||
Payment term of LIBOR interest rate agreement | 18 months | |
Maximum [Member] | Interest Rate Swap Agreements [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 | Dec. 31, 2020USD ($) |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 2,974,500 |
Interest Rate SWAP Currently-Paying Contracts Expiring Second Quarter 2022 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 400,000 |
Average Fixed Rates | 0.02% |
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2022 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 1,200,000 |
Average Fixed Rates | 0.01% |
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2022 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 900,000 |
Average Fixed Rates | 0.07% |
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2023 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 100,000 |
Average Fixed Rates | 0.03% |
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2023 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 374,500 |
Average Fixed Rates | 0.09% |
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 | Dec. 31, 2020 | Dec. 31, 2019 | |
Balance sheet-related [Abstract] | |||
Swap agreements in a gain position (an asset) related to borrowing | $ 1,471 | ||
Swap agreements in a loss position (a liability) related to borrowings | $ (41,484) | (29,156) | |
Interest rate swap agreements at fair value, net assets (liability) | (42,081) | (28,122) | |
Interest Rate Swap Agreements at Fair Value [Member] | Eurodollar Futures Contract [Member] | |||
Balance sheet-related [Abstract] | |||
Swap agreements in a gain position (an asset) related to borrowing | [1] | 738 | |
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 borrowing | [1] | 733 | |
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] | (41,484) | (29,156) |
Accounts Payable and Accrued Liabilities [Member] | |||
Balance sheet-related [Abstract] | |||
Related net interest payable | [2] | $ (597) | $ (437) |
[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. | ||
[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 of Income Statement and Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Income statement-related [Abstract] | ||||
Amount of gain reclassified from Accumulated other comprehensive income | $ (3,822) | $ 20,988 | $ 36,390 | |
Amount of unrealized gain, net of unrealized losses on de-designated Derivatives | (529) | 14,712 | ||
Realized and unrealized (loss) gain on non-designated Derivatives (net) | [1] | (159,547) | (90,578) | |
Other comprehensive income (loss)-related [Abstract] | ||||
Amount of (loss) gain recognized in Other comprehensive income (loss) | (15,621) | (17,080) | 25,716 | |
Interest Rate Swap Agreements [Member] | ||||
Income statement-related [Abstract] | ||||
Realized and unrealized (loss) gain on non-designated Derivatives (net) | (156,748) | (91,791) | ||
Eurodollar Futures Contract [Member] | ||||
Income statement-related [Abstract] | ||||
Realized and unrealized (loss) gain on non-designated Derivatives (net) | (2,799) | 1,213 | ||
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 | (3,822) | 20,987 | 36,390 | |
(Increase) decrease in interest expense as a result of the use of Derivatives | (3,822) | 20,987 | 36,390 | |
Interest Expense [Member] | Secured Borrowings [Member] | ||||
Income statement-related [Abstract] | ||||
Amount of gain reclassified from Accumulated other comprehensive income | 7,891 | 38,292 | ||
Amount of unrealized gain, net of unrealized losses on de-designated Derivatives | (529) | 14,712 | ||
Decrease in interest expense and increase in Net (loss) income as a result of the use of Derivatives | [2] | (529) | 22,603 | 38,292 |
(Increase) decrease in interest expense as a result of the use of Derivatives | [2] | (529) | 22,603 | 38,292 |
Interest Expense [Member] | Unsecured Borrowings [Member] | ||||
Income statement-related [Abstract] | ||||
Amount of gain reclassified from Accumulated other comprehensive income | [3] | $ (3,293) | $ (1,616) | $ (1,902) |
[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_7
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Offsetting of derivative assets [Abstract] | |||
Gross Amounts of Recognized Assets | $ 1,471 | ||
Net Amounts of Assets Presented in the Balance Sheet | $ 42,081 | 28,122 | |
Offsetting Derivatives Assets [Member] | Counterparty 4 [Member] | |||
Offsetting of derivative assets [Abstract] | |||
Gross Amounts of Recognized Assets | [1] | 2,673 | 6,517 |
Gross Amounts Offset in the Balance Sheet | [1] | (2,673) | (5,046) |
Net Amounts of Assets Presented in the Balance Sheet | 0 | 1,471 | |
Financial Instruments | [2] | 0 | 0 |
Cash Collateral Received | [2] | 0 | 0 |
Net Amount | $ 0 | $ 1,471 | |
[1] | Included in gross amounts of recognized assets at December 31, 2020 is the fair value of exchange-traded swap agreements, calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with these swaps at December 31, 2020 | ||
[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_8
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Financial Liabilities and Derivative Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities (Derivatives) | $ 41,484 | $ 29,156 | |
Cash Collateral Pledged (Derivatives) | (74,411) | (65,477) | |
Gross Amounts of Recognized Liabilities (Repurchase Arrangements) | [1],[2] | 7,320,090 | 10,286,011 |
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] | 7,320,090 | 10,286,011 |
Financial Instruments (Repurchase Arrangements) | [1],[4] | (7,320,090) | (10,286,011) |
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] | 7,362,429 | 10,337,205 |
Gross Amounts Offset in the Balance Sheet (Financial Liabilities Total) | [2] | (257) | (21,601) |
Net Amounts of Liabilities Presented in the Balance Sheet (Financial Liabilities Total) | [3] | 7,362,172 | 10,315,604 |
Financial Instruments (Financial Liabilities Total) | [4] | (7,320,090) | (10,286,011) |
Cash Collateral Pledged (Financial Liabilities Total) | [4] | (42,082) | (29,593) |
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] | 42,082 | 29,593 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 42,082 | 29,593 |
Financial Instruments (Derivatives) | [4] | 0 | 0 |
Cash Collateral Pledged (Derivatives) | [4] | (42,082) | (29,593) |
Net Amount (Derivatives) | 0 | 0 | |
Counterparty 4 [Member] | |||
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities (Derivatives) | [2] | 257 | 21,601 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | (257) | (21,601) |
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] | 42,339 | 51,194 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | (257) | (21,601) |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 42,082 | 29,593 |
Financial Instruments (Derivatives) | [4] | 0 | 0 |
Cash Collateral Pledged (Derivatives) | [4] | (42,082) | (29,593) |
Net Amount (Derivatives) | $ 0 | $ 0 | |
[1] | Amounts include accrued interest payable of $1.0 million and $11.5 million on borrowings under repurchases arrangements as of December 31, 2020 and December 31, 2019, respectively | ||
[2] | Included in gross amounts of recognized liabilities at December 31, 2020 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at December 31, 2020. | ||
[3] | Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. | ||
[4] | Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. |
USE OF DERIVATIVES, OFFSETTIN_9
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Financial Liabilities and Derivative Liabilities (Parenthetical) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Portfolio-Related Secured Borrowings [Member] | ||
Notional Disclosures [Abstract] | ||
Accrued interest payable | $ 1 | $ 11.5 |
USE OF DERIVATIVES, OFFSETTI_10
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Changes in Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning Balance | $ 1,073,733 | $ 1,059,063 | $ 1,238,876 |
Other comprehensive income (loss) | 27,485 | 34,445 | (83,164) |
Ending Balance | 910,163 | 1,073,733 | 1,059,063 |
Unrealized Gains and Losses on Cash Flow Hedges [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning Balance | (31,868) | 6,200 | 16,874 |
Other comprehensive income (loss) before reclassifications | (15,621) | (17,080) | 25,716 |
Amounts reclassified from accumulated other comprehensive income | 3,822 | (20,988) | (36,390) |
Other comprehensive income (loss) | (11,799) | (38,068) | (10,674) |
Ending Balance | (43,667) | (31,868) | 6,200 |
Unrealized Gains and Losses on Available-for-sale Securities [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning Balance | 45,267 | (27,246) | 45,244 |
Other comprehensive income (loss) before reclassifications | (27,580) | 71,148 | (72,490) |
Amounts reclassified from accumulated other comprehensive income | 66,864 | 1,365 | 0 |
Other comprehensive income (loss) | 39,284 | 72,513 | (72,490) |
Ending Balance | 84,551 | 45,267 | (27,246) |
Accumulated Other Comprehensive Income (Loss) [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning Balance | 13,399 | (21,046) | 62,118 |
Other comprehensive income (loss) before reclassifications | (43,201) | 54,068 | (46,774) |
Amounts reclassified from accumulated other comprehensive income | 70,686 | (19,623) | (36,390) |
Other comprehensive income (loss) | 27,485 | 34,445 | (83,164) |
Ending Balance | $ 40,884 | $ 13,399 | $ (21,046) |
UNSECURED BORROWINGS - Addition
UNSECURED BORROWINGS - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Instrument [Line Items] | |||
Interest paid on unsecured borrowings | $ 105 | $ 232.2 | $ 213.7 |
Junior Subordinated Debt [Member] | |||
Debt Instrument [Line Items] | |||
Junior subordinated notes maturity term | 30 years | ||
Face amount of junior subordinated notes | $ 100 | ||
Interest paid on unsecured borrowings | $ 7.5 | $ 7.5 | $ 7.5 |
UNSECURED BORROWINGS - Schedule
UNSECURED BORROWINGS - Schedule of Subordinated Note Balances and Related Weighted Average Interest Rates (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 98,493 | $ 98,392 |
Effective interest rate | 7.73% | 7.73% |
October 2035 [Member] | ||
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 34,431 | $ 34,392 |
Effective interest rate | 7.87% | 7.88% |
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 | $ 39,435 | $ 39,397 |
Effective interest rate | 7.64% | 7.64% |
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 | $ 24,627 | $ 24,603 |
Effective interest rate | 7.68% | 7.68% |
Junior subordinated notes, maturity period | Sep. 30, 2036 | |
Face amount of junior subordinated notes | $ 25,000 |
FAIR VALUES OF FINANCIAL INST_3
FAIR VALUES OF FINANCIAL INSTRUMENTS - Additional Information (Details) | 12 Months Ended |
Dec. 31, 2020 | |
Maximum [Member] | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Repurchase arrangements, initial term | 120 days |
FAIR VALUES OF FINANCIAL INST_4
FAIR VALUES OF FINANCIAL INSTRUMENTS - Summary of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Financial assets [Abstract] | ||
Derivatives at fair value | $ 1,471 | |
Carrying Amount [Member] | Level 2 [Member] | ||
Financial liabilities [Abstract] | ||
Secured borrowings with initial terms of greater than 120 days | $ 500,000 | |
Unsecured borrowings | 98,493 | 98,392 |
Fair Value [Member] | Level 2 [Member] | ||
Financial liabilities [Abstract] | ||
Secured borrowings with initial terms of greater than 120 days | 500,100 | |
Unsecured borrowings | 59,900 | 68,100 |
Interest Rate Swap Agreements [Member] | Carrying Amount [Member] | Secured Borrowings [Member] | Level 2 [Member] | ||
Financial assets [Abstract] | ||
Secured borrowings-related interest rate swap agreements | 733 | |
Interest Rate Swap Agreements [Member] | Carrying Amount [Member] | Unsecured Borrowings [Member] | Level 2 [Member] | ||
Financial liabilities [Abstract] | ||
Interest rate swap agreements | 41,484 | 29,156 |
Interest Rate Swap Agreements [Member] | Fair Value [Member] | Secured Borrowings [Member] | Level 2 [Member] | ||
Financial assets [Abstract] | ||
Secured borrowings-related interest rate swap agreements | 733 | |
Interest Rate Swap Agreements [Member] | Fair Value [Member] | Unsecured Borrowings [Member] | Level 2 [Member] | ||
Financial liabilities [Abstract] | ||
Interest rate swap agreements | $ 41,484 | 29,156 |
Eurodollar Futures Contract [Member] | Carrying Amount [Member] | Level 1 [Member] | ||
Financial assets [Abstract] | ||
Derivatives at fair value | 738 | |
Eurodollar Futures Contract [Member] | Fair Value [Member] | Level 1 [Member] | ||
Financial assets [Abstract] | ||
Derivatives at fair value | $ 738 |
FAIR VALUES OF FINANCIAL INST_5
FAIR VALUES OF FINANCIAL INSTRUMENTS - Fair Value and Related Disclosures for Debt Securities (Details) - Agency Securities Classified as Available-for-sale [Member] - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Fannie Mae/Freddie Mac [Member] | ||
Available-for-sale securities disclosure Items [Abstract] | ||
Available-for-sale securities, Amortized Cost Basis | $ 7,235,571 | $ 8,890,949 |
Available-for-sale securities, Gross Unrealized Gains | 87,158 | 64,593 |
Available-for-sale securities, Gross Unrealized Losses | 12,640 | 23,753 |
Available-for-sale securities, Fair Value | 7,310,089 | 8,931,789 |
Ginnie Mae [Member] | ||
Available-for-sale securities disclosure Items [Abstract] | ||
Available-for-sale securities, Amortized Cost Basis | 617,430 | 2,284,331 |
Available-for-sale securities, Gross Unrealized Gains | 10,541 | 11,560 |
Available-for-sale securities, Gross Unrealized Losses | 508 | 7,133 |
Available-for-sale securities, Fair Value | $ 627,463 | $ 2,288,758 |
FAIR VALUES OF FINANCIAL INST_6
FAIR VALUES OF FINANCIAL INSTRUMENTS - Securities in Unrealized Loss Position (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Securities in an unrealized loss position, fair value [Abstract] | ||
Fair Value, Total | $ 1,343,086 | $ 4,480,246 |
Securities in an unrealized loss position, aggregate loss [Abstract] | ||
Unrealized Losses, Total | 13,148 | 30,886 |
Fannie Mae/Freddie Mac [Member] | ||
Securities in an unrealized loss position, fair value [Abstract] | ||
One year or greater | 690,227 | 2,030,192 |
Less than one year | 583,870 | 1,473,144 |
Securities in an unrealized loss position, aggregate loss [Abstract] | ||
One year or greater | 9,533 | 17,069 |
Less than one year | 3,107 | 6,684 |
Ginnie Mae [Member] | ||
Securities in an unrealized loss position, fair value [Abstract] | ||
One year or greater | 27,462 | 560,022 |
Less than one year | 41,527 | 416,888 |
Securities in an unrealized loss position, aggregate loss [Abstract] | ||
One year or greater | 285 | 5,775 |
Less than one year | $ 223 | $ 1,358 |
INCOME TAXES - Additional Infor
INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |||
Net operating loss | $ 90,000 | ||
Percentage of taxable income offset by tax losses | 80.00% | ||
Description of tax credit carryforward | Additionally, the CARES Act modified the rules for REIT net operating losses (“NOL”). A REIT NOL carryover can now only offset 80% of taxable income for losses arising in years beginning after December 31, 2020. The 80% limitation is calculated by multiplying current-year REIT taxable income before the dividends paid deduction by 80%. For tax years beginning before January 1, 2021, a taxpayer can offset 100% of its income in any given year with an NOL. Although there will be an annual NOL limitation for tax years starting after December 31, 2020, the Tax Act allows post-2017 NOLs to be carried forward indefinitely. At December 31, 2020 Capstead had an NOL of $90 million that does not expire. | ||
Income taxes paid | $ 0 | $ 0 | $ 0 |
Net capital loss carryforwards | $ 68,200 | $ 17,500 | |
Capital loss carryforwards, expiration date | Dec. 31, 2025 | Dec. 31, 2019 |
INCOME TAXES - Schedule of Effe
INCOME TAXES - Schedule of Effective Income Tax Rate Reconciliation (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Effective income tax rate reconciliation [Abstract] | |||
Income taxes computed at the federal statutory rate | $ 2 | $ 6 | $ 10,515 |
Benefit of REIT status | (10,512) | ||
Income taxes computed on income of the Company's taxable REIT subsidiary | 2 | 6 | 3 |
Other change in net deferred income tax assets | $ (2) | $ (6) | $ (3) |
INCOME TAXES - Components of De
INCOME TAXES - Components of Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Components of deferred tax assets and liabilities [Abstract] | |||
Net operating loss carryforwards | [1] | $ 71 | $ 24 |
Other | 9 | 10 | |
Deferred tax assets, gross, Total | 80 | 34 | |
Deferred income tax liabilities | 0 | 0 | |
Net deferred tax assets | 80 | 34 | |
Valuation allowance | [2] | $ 80 | $ 34 |
[1] | The increase in net operating loss carryforward from 2019 to 2020 is due to a carryforward correction noted in reconciliation against filed tax returns. | ||
[2] | Because this subsidiary is not expected to earn significant amounts of taxable income, related net deferred tax assets are fully reserved at December 31, 2020. |
STOCKHOLDERS' EQUITY - Addition
STOCKHOLDERS' EQUITY - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands | 1 Months Ended | 12 Months Ended | |||
Feb. 29, 2020 | Aug. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Class Of Stock [Line Items] | |||||
Net proceeds from issuance of common stock | $ 75,100 | $ 12,882 | $ 75,195 | ||
Price per share after underwriting discounts and offering expenses, net ( in dollers per share) | $ 8.34 | ||||
Common stock repurchase program | 125,000 | ||||
Stock remaining repurchase program authorized amount | $ 37,000 | ||||
Shares repurchased during period | 0 | 0 | 10,700,000 | ||
Net repurchase price | $ 7.94 | ||||
Total capital deployed | $ 84,594 | ||||
Cumulative Redeemable Preferred Stock, Series E [Member] | |||||
Class Of Stock [Line Items] | |||||
Preferred stock, dividend rate | 7.50% | 7.50% | |||
Redeemable preferred stock, liquidation preference per share (in dollars per share) | $ 25 | ||||
Redeemable preferred stock, shares issued (in shares) | 10,329,000 | 10,329,000 | |||
Redeemable preferred stock, shares outstanding (in shares) | 10,329,000 | 10,329,000 | |||
Directors And Employees [Member] | |||||
Class Of Stock [Line Items] | |||||
Additions to common equity capital related to equity-based awards | $ 3,100 | $ 2,600 | $ 1,700 | ||
IPO [Member] | |||||
Class Of Stock [Line Items] | |||||
Net proceeds from issuance of common stock | $ 12,900 | ||||
Price per share after underwriting discounts and offering expenses, net ( in dollers per share) | $ 8.21 | ||||
Continuous Offering Program [Member] | Cumulative Redeemable Preferred Stock, Series E [Member] | |||||
Class Of Stock [Line Items] | |||||
Number of shares issued for public offering | 0 | 0 | 0 |
EQUITY INCENTIVE PLAN - Additio
EQUITY INCENTIVE PLAN - Additional Information (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Common stock dividend payable | $ 15,281,000 | $ 14,605,000 | |
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) | 2,454,061 | ||
Performance-based RSUs [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total of unrecognized compensation expense for unvested stock award | $ 1,300,000 | ||
Compensation cost not yet recognized, period for recognition | 1 year 4 months 24 days | ||
Long term incentive compensation expense | $ 932,000 | 771,000 | $ 104,000 |
Common stock dividend payable | 354,000 | 125,000 | |
Stock Awards Activity [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total of unrecognized compensation expense for unvested stock award | $ 2,100,000 | ||
Compensation cost not yet recognized, period for recognition | 1 year 3 months 18 days | ||
Common stock dividend payable | $ 533,000 | 350,000 | |
Long term incentive compensation expense | 1,700,000 | 1,400,000 | 1,200,000 |
Other general and administrative expense | $ 570,000 | $ 505,000 | $ 450,000 |
EQUITY INCENTIVE PLAN - Schedul
EQUITY INCENTIVE PLAN - Schedule of Performance-Based Restricted Stock Units Activity (Details) - Performance-based RSUs [Member] | 12 Months Ended |
Dec. 31, 2020$ / sharesshares | |
Number of Shares | |
Unvested equity awards outstanding at beginning of period (in shares) | shares | 538,945 |
Grants (in shares) | shares | 191,314 |
Forfeitures (in shares) | shares | (148,894) |
Unvested equity outstanding at end of period (in shares) | shares | 581,365 |
Weighted Average Grant Date Fair Value | |
Unvested equity awards outstanding at beginning of period (in dollars per share) | $ / shares | $ 8.50 |
Grants (in dollars per share) | $ / shares | 8.03 |
Forfeitures (in dollars per share) | $ / shares | 10.52 |
Unvested equity awards outstanding at end of period (in dollars per share) | $ / shares | $ 7.83 |
EQUITY INCENTIVE PLAN - Sched_2
EQUITY INCENTIVE PLAN - Schedule of Stock Award Activity (Details) - Stock Awards Activity [Member] | 12 Months Ended |
Dec. 31, 2020$ / sharesshares | |
Number of Shares | |
Unvested equity awards outstanding at beginning of period (in shares) | shares | 615,045 |
Grants (in shares) | shares | 322,744 |
Vestings (in shares) | shares | (169,748) |
Unvested equity outstanding at end of period (in shares) | shares | 768,041 |
Weighted Average Grant Date Fair Value | |
Unvested equity awards outstanding at beginning of period (in dollars per share) | $ / shares | $ 8.14 |
Grants (in dollars per share) | $ / shares | 7.39 |
Vestings (in dollars per share) | $ / shares | 9.98 |
Unvested equity awards outstanding at end of period (in dollars per share) | $ / shares | $ 7.42 |