Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2021 | Aug. 03, 2021 | |
Document Information [Line Items] | ||
Entity Registrant Name | CAPSTEAD MORTGAGE CORPORATION | |
Entity Central Index Key | 0000766701 | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Shell Company | false | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Entity Common Stock, Shares Outstanding | 96,875,560 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q2 | |
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2021 | |
Entity File Number | 001-08896 | |
Entity Tax Identification Number | 75-2027937 | |
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 | |
City Area Code | 214 | |
Local Phone Number | 874-2323 | |
Entity Interactive Data Current | Yes | |
Entity Incorporation, State or Country Code | MD | |
Common Stock [Member] | ||
Document Information [Line Items] | ||
Trading Symbol | CMO | |
Title of 12(b) Security | Common Stock ($0.01 par value) | |
Security Exchange Name | NYSE | |
Cumulative Redeemable Preferred Stock, Series E [Member] | ||
Document Information [Line Items] | ||
Trading Symbol | CMOPRE | |
Title of 12(b) Security | 7.50% Series E Cumulative Redeemable Preferred Stock ($0.10 par value) | |
Security Exchange Name | NYSE |
CONSOLIDATED BALANCE SHEETS (UN
CONSOLIDATED BALANCE SHEETS (UNAUDITED) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Assets | ||
Residential mortgage investments ($7.14 and $7.71 billion pledged at June 30, 2021 and December 31, 2020, respectively) | $ 7,429,792 | $ 7,937,552 |
Cash collateral receivable from derivative counterparties | 78,161 | 74,411 |
Cash and cash equivalents | 207,392 | 257,180 |
Receivables and other assets | 134,316 | 136,107 |
Total assets | 7,849,661 | 8,405,250 |
Liabilities | ||
Secured borrowings | 6,809,883 | 7,319,083 |
Derivatives at fair value | 33,335 | 41,484 |
Unsecured borrowings | 98,544 | 98,493 |
Common stock dividend payable | 15,289 | 15,281 |
Accounts payable and accrued expenses | 19,597 | 20,746 |
Total liabilities | 6,976,648 | 7,495,087 |
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 June 30, 2021 and December 31, 2020 | 250,946 | 250,946 |
Common stock - $0.01 par value; 250,000 shares authorized: 96,481 and 94,606 shares issued and outstanding at June 30, 2021 and December 31, 2020, respectively | 968 | 965 |
Paid-in capital | 1,269,599 | 1,268,439 |
Accumulated deficit | (655,406) | (651,071) |
Accumulated other comprehensive income | 6,906 | 40,884 |
Total stockholders' equity | 873,013 | 910,163 |
Total liabilities and equity | $ 7,849,661 | $ 8,405,250 |
CONSOLIDATED BALANCE SHEETS (_2
CONSOLIDATED BALANCE SHEETS (UNAUDITED) (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Assets | ||
Residential mortgage investments pledged | $ 7,140,000 | $ 7,710,000 |
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) | 96,848 | 96,481 |
Common stock, shares outstanding (in shares) | 96,848 | 96,481 |
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 (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | ||
Interest income | |||||
Residential mortgage investments | $ 20,776 | $ 48,111 | $ 46,941 | $ 117,318 | |
Other | 12 | 28 | 25 | 431 | |
Interest income | 20,788 | 48,139 | 46,966 | 117,749 | |
Interest expense | |||||
Secured borrowings | (2,826) | (13,039) | (6,998) | (58,295) | |
Unsecured borrowings | (1,900) | (1,900) | (3,791) | (3,800) | |
Interest expense | (4,726) | (14,939) | (10,789) | (62,095) | |
Net interest income (expense) | 16,062 | 33,200 | 36,177 | 55,654 | |
Other (expense) income | |||||
Gain (loss) on derivative instruments (net) | [1] | 2,100 | (6,948) | 4,482 | (162,687) |
Loss on sale of investments (net) | (67,820) | ||||
Compensation-related expense | (1,861) | (2,330) | (3,953) | (4,534) | |
Other general and administrative expense | (772) | (1,219) | (2,237) | (2,421) | |
Miscellaneous other revenue (expense) | 1 | 2 | (141) | ||
Operating expenses | (533) | (10,496) | (1,706) | (237,603) | |
Net income (loss) | 15,529 | 22,704 | 34,471 | (181,949) | |
Less preferred stock dividends | (4,842) | (4,842) | (9,684) | (9,684) | |
Net income (loss) to common stockholders | $ 10,687 | $ 17,862 | $ 24,787 | $ (191,633) | |
Net income (loss) per common share | |||||
Basic and diluted | $ 0.11 | $ 0.19 | $ 0.26 | $ (2.01) | |
Weighted average common shares outstanding: | |||||
Basic | 95,995 | 95,655 | 95,945 | 95,276 | |
Diluted | 96,454 | 95,887 | 96,342 | 95,276 | |
[1] | Included in “Loss on derivative instruments (net)” on the face of the Consolidated Statement of Operations. |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Statement Of Income And Comprehensive Income [Abstract] | ||||
Net income (loss) | $ 15,529 | $ 22,704 | $ 34,471 | $ (181,949) |
Other comprehensive (loss) income | (27,403) | 65,030 | (33,978) | 45,353 |
Amounts related to available for sale securities: | ||||
Change in net unrealized gain or loss | (21,881) | 64,659 | (43,364) | (1,111) |
Reclassification adjustment for amounts included in net income (loss) | 66,864 | |||
Amounts related to cash flow hedges: | ||||
Change in net unrealized gain or loss | (7,088) | (567) | 6,204 | (21,818) |
Reclassification adjustment for amounts included in net income (loss) | 1,566 | 938 | 3,182 | 1,418 |
Other comprehensive income | (27,403) | 65,030 | (33,978) | 45,353 |
Comprehensive (loss) income | $ (11,874) | $ 87,734 | $ 493 | $ (136,596) |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) - USD ($) $ in Thousands | Total | Preferred Stock [Member] | Common Stock [Member] | Paid-in Capital [Member] | Accumulated Deficit [Member] | Accumulated Other Comprehensive Income (Loss) [Member] |
Beginning Balance at Dec. 31, 2019 | $ 1,073,733 | $ 250,946 | $ 946 | $ 1,252,481 | $ (444,039) | $ 13,399 |
Net income (loss) | (181,949) | (181,949) | ||||
Change in unrealized gain on mortgage securities, net | 65,753 | 65,753 | ||||
Amounts related to cash flow hedges, net | (20,400) | (20,400) | ||||
Cash dividends: | ||||||
Common | (29,077) | (29,077) | ||||
Preferred | (9,684) | (9,684) | ||||
Issuance of common stock | 12,857 | 16 | 12,841 | |||
Other additions to capital | 1,656 | 2 | 1,654 | |||
Ending Balance at Jun. 30, 2020 | 912,889 | 250,946 | 964 | 1,266,976 | (664,749) | 58,752 |
Cash dividends: | ||||||
Common | (29,077) | (29,077) | ||||
Preferred | (9,684) | (9,684) | ||||
Beginning Balance at Mar. 31, 2020 | 843,624 | 250,946 | 964 | 1,266,045 | (668,053) | (6,278) |
Net income (loss) | 22,704 | 22,704 | ||||
Change in unrealized gain on mortgage securities, net | 64,659 | 64,659 | ||||
Amounts related to cash flow hedges, net | 371 | 371 | ||||
Cash dividends: | ||||||
Common | (14,558) | (14,558) | ||||
Preferred | (4,842) | (4,842) | ||||
Other additions to capital | 931 | 931 | ||||
Ending Balance at Jun. 30, 2020 | 912,889 | 250,946 | 964 | 1,266,976 | (664,749) | 58,752 |
Cash dividends: | ||||||
Common | (14,558) | (14,558) | ||||
Preferred | (4,842) | (4,842) | ||||
Beginning Balance at Dec. 31, 2020 | 910,163 | 250,946 | 965 | 1,268,439 | (651,071) | 40,884 |
Net income (loss) | 34,471 | 34,471 | ||||
Change in unrealized gain on mortgage securities, net | (43,364) | (43,364) | ||||
Amounts related to cash flow hedges, net | 9,386 | 9,386 | ||||
Cash dividends: | ||||||
Common | (29,122) | (29,122) | ||||
Preferred | (9,684) | (9,684) | ||||
Other additions to capital | 1,163 | 3 | 1,160 | |||
Ending Balance at Jun. 30, 2021 | 873,013 | 250,946 | 968 | 1,269,599 | (655,406) | 6,906 |
Cash dividends: | ||||||
Common | (29,122) | (29,122) | ||||
Preferred | (9,684) | (9,684) | ||||
Beginning Balance at Mar. 31, 2021 | 903,693 | 250,946 | 968 | 1,269,021 | (651,551) | 34,309 |
Net income (loss) | 15,529 | 15,529 | ||||
Change in unrealized gain on mortgage securities, net | (21,881) | (21,881) | ||||
Amounts related to cash flow hedges, net | (5,522) | (5,522) | ||||
Cash dividends: | ||||||
Common | (14,542) | (14,542) | ||||
Preferred | (4,842) | (4,842) | ||||
Other additions to capital | 578 | 578 | ||||
Ending Balance at Jun. 30, 2021 | 873,013 | $ 250,946 | $ 968 | $ 1,269,599 | (655,406) | $ 6,906 |
Cash dividends: | ||||||
Common | (14,542) | (14,542) | ||||
Preferred | $ (4,842) | $ (4,842) |
CONSOLIDATED STATEMENTS OF ST_2
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) (Parenthetical) - $ / shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Statement Of Stockholders Equity [Abstract] | ||||
Common per share (in dollars per share) | $ 0.15 | $ 0.15 | $ 0.30 | $ 0.30 |
Preferred per share (in dollars per share) | $ 0.47 | $ 0.47 | $ 0.94 | $ 0.94 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2020 | |
Operating activities: | ||
Net income (loss) | $ 34,471 | $ (181,949) |
Adjustments to reconcile net income (loss) to cash provided by operating activities: | ||
Amortization of investment premiums | 43,298 | 36,079 |
Amortization of equity-based awards | 1,285 | 1,767 |
Amortization of unrealized loss (net) on de-designated hedges | 1,237 | 19 |
Loss on sale of mortgage investments | 67,820 | |
(Gain) loss on derivative instruments (net) | (4,514) | 155,835 |
Other depreciation and amortization | 66 | 59 |
Net change in receivables, other assets, accounts payable and accrued expenses | 3,971 | 1,479 |
Net cash provided by operating activities | 79,814 | 81,109 |
Investing activities: | ||
Purchases of residential mortgage investments | (1,411,055) | (1,453,161) |
Proceeds from sales of residential mortgage investments | 2,558,871 | |
Interest receivable acquired with the purchase of residential mortgage investments | (1,815) | (2,519) |
Principal collections on residential mortgage investments, including changes in mortgage securities principal remittance receivable | 1,830,673 | 1,753,877 |
Net cash provided by investing activities | 417,803 | 2,857,068 |
Financing activities: | ||
Proceeds from repurchase arrangements and similar borrowings | 31,565,784 | 47,502,427 |
Principal payments on repurchase arrangements and similar borrowings | (32,074,984) | (50,202,545) |
Increase in cash collateral receivable from derivative counterparties | (3,750) | (38,141) |
Net receipts from (payments on) derivative settlements | 4,461 | (157,773) |
Issuance of common stock | 12,882 | |
Other capital stock transactions | (104) | (108) |
Dividends paid | (38,812) | (38,325) |
Net cash used in financing activities | (547,405) | (2,921,583) |
Net change in cash and cash equivalents | (49,788) | 16,594 |
Cash and cash equivalents at beginning of period | 257,180 | 105,397 |
Cash and cash equivalents at end of period | $ 207,392 | $ 121,991 |
BUSINESS
BUSINESS | 6 Months Ended |
Jun. 30, 2021 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
BUSINESS | NOTE 1 — Capstead Mortgage Corporation operates as a self-managed real estate investment trust for federal income tax purposes (a “REIT”) and is based in Dallas, Texas. Unless the context otherwise indicates, Capstead Mortgage Corporation, together with its subsidiaries, is referred to as “Capstead” or the “Company.” Capstead earns income from investing in a leveraged portfolio of residential mortgage pass-through securities 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. |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 6 Months Ended |
Jun. 30, 2021 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
BASIS OF PRESENTATION | NOTE 2 — Interim Financial Reporting The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the quarter and six months ended June 30, 2021 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2021. For further information refer to the audited consolidated financial statements and footnotes thereto included in the Company’s annual report on Form 10-K for the year ended December 31, 2020. |
NET INCOME (LOSS) PER COMMON SH
NET INCOME (LOSS) PER COMMON SHARE | 6 Months Ended |
Jun. 30, 2021 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | NOTE 3 — Basic net income (loss) per common share is computed by dividing net income, after deducting dividends paid or accrued on preferred stock and allocating earnings to equity awards deemed to be participating securities pursuant to the two-class method, by the average number of shares of common stock outstanding, calculated excluding unvested stock awards. Participating securities include unvested equity awards that contain non-forfeitable rights to dividends prior to vesting. Diluted net income (loss) per common share is computed by dividing the numerator used to compute basic net income (loss) per common share by the denominator used to compute basic net income (loss) per common share, further adjusted for the dilutive effect, if any, of equity awards and shares of preferred stock when and if convertible into shares of common stock. Shares of the Company’s 7.50% Series E Cumulative Redeemable Preferred Stock are contingently convertible into shares of common stock only under certain circumstances associated with the occurrence of a change in control and therefore are not considered dilutive securities absent such circumstances. Any unvested equity awards that are deemed participating securities are included in the calculation of diluted net income (loss) per common share, if dilutive, under either the two-class method or the treasury stock method, depending upon which method produces the more dilutive result. Components of the computation of basic and diluted net income (loss) per common share were as follows for the indicated periods (dollars in thousands, except per share amounts) : Quarter Ended Six Months Ended June 30 June 30 2021 2020 2021 2020 Basic net income (loss) per common share Numerator for basic net income (loss) per common share: Net income (loss) $ 15,529 $ 22,704 $ 34,471 $ (181,949 ) Preferred stock dividends (4,842 ) (4,842 ) (9,684 ) (9,684 ) Earnings participation of unvested equity awards (24 ) (40 ) (60 ) (64 ) $ 10,663 $ 17,822 $ 24,727 $ (191,697 ) Denominator for basic net income (loss) per common share: Average number of shares of common stock outstanding 96,848 96,395 96,821 96,015 Average unvested stock awards outstanding (853 ) (740 ) (876 ) (739 ) 95,995 95,655 95,945 95,276 $ 0.11 $ 0.19 $ 0.26 $ (2.01 ) Diluted net income (loss) per common share Numerator for diluted net income (loss) per common share $ 10,663 $ 17,822 $ 24,727 $ (191,697 ) Denominator for diluted net income (loss) per common share: Denominator for basic net income (loss) per common share 95,995 95,655 95,945 95,276 Net effect of dilutive equity awards 459 232 397 – 96,454 95,887 96,342 95,276 $ 0.11 $ 0.19 $ 0.26 $ (2.01 ) There were no potentially dilutive securities excluded from the computation of diluted net income (loss) per common share for the quarter and six months ended June 30, 2021. There were 383,000 and 952,000 potentially dilutive securities excluded from the computation of diluted net income (loss) per common share for the quarter and six months ended June 30, 2020, respectively. |
RESIDENTIAL MORTGAGE INVESTMENT
RESIDENTIAL MORTGAGE INVESTMENTS | 6 Months Ended |
Jun. 30, 2021 | |
Residential Mortgage [Member] | |
RESIDENTIAL MORTGAGE INVESTMENTS | NOTE 4 — Residential mortgage investments classified by collateral type and interest rate characteristics as of the indicated dates were as follows (dollars in thousands): Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (c) June 30, 2021 Agency Securities: Fannie Mae/Freddie Mac ARMs $ 6,663,751 $ 262,349 $ 6,926,100 $ 6,961,924 2.42 % 1.12 % Ginnie Mae ARMs 448,420 14,085 462,505 467,868 3.19 1.40 $ 7,112,171 $ 276,434 $ 7,388,605 $ 7,429,792 2.47 1.14 December 31, 2020 Agency Securities: Fannie Mae/Freddie Mac ARMs $ 6,982,650 $ 252,921 $ 7,235,571 $ 7,310,089 2.67 % 1.51 % Ginnie Mae ARMs 599,726 17,704 617,430 627,463 3.39 2.05 $ 7,582,376 $ 270,625 $ 7,853,001 $ 7,937,552 2.73 1.55 (a) Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale. (b) Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date. Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments. ( c ) Average yield is presented for the quarter then ended and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments. Agency Securities are considered to have limited, if any, credit risk because the timely payment of principal and interest is guaranteed. 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 291 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 the six-month Secured Overnight Financing Rate (“SOFR”), 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 June 3 0 , 202 1 , the average months to roll for the Company’s $ billion (amortized cost basis) in current-reset ARM investments was approximately seven months while the average months to roll for the Company’s $ billion (amortized cost basis) in longer-to-reset ARM investments was approximately 62 months . The Company did not sell any securities during the quarter and six months ended June 30, 2021. In March 2020, the Company sold available-for-sale securities using the specific identification method for proceeds totaling $2.56 billion recognizing no gross realized gains and gross realized losses totaling $67.8 million. |
SECURED BORROWINGS
SECURED BORROWINGS | 6 Months Ended |
Jun. 30, 2021 | |
Disclosure Of Repurchase Agreements [Abstract] | |
SECURED BORROWINGS | NOTE 5 — Capstead pledges its Residential mortgage investments The terms and conditions of secured borrowings are negotiated on a transaction-by-transaction basis when each such borrowing is initiated or renewed. The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an agreed-upon discount, referred to as a “haircut.” Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings. Interest may be paid monthly or at the termination of a borrowing at which time the Secured borrowings (and related pledged collateral, including accrued interest receivable), classified by collateral type and remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands): Collateral Type Agency Securities Pledged Accrued Interest Receivable Borrowings Outstanding Average Borrowing Rates June 30, 2021 Borrowings under repurchase arrangements with maturities of 30 days or less $ 6,616,872 $ 13,407 $ 6,309,883 0.10 % Borrowings under repurchase arrangements with maturities of 31 to 90 days 519,707 1,022 500,000 0.29 $ 7,136,579 $ 14,429 $ 6,809,883 0.12 December 31, 2020 Borrowings under repurchase arrangements with maturities of 30 days or less $ 5,249,989 $ 12,597 $ 4,972,181 0.21 % Borrowings under repurchase arrangements with maturities of 31 to 90 days 1,939,034 4,225 1,846,902 0.20 Borrowings under repurchase arrangements with maturities of greater than 90 days 522,969 1,167 500,000 0.29 $ 7,711,992 $ 17,989 $ 7,319,083 0.21 Average secured borrowings outstanding were $6.6 billion and $7.4 billion during the quarters ended June 30, 2021 and December 31, 2020, respectively. Average secured borrowings outstanding during the indicated periods differed from respective ending balances due to changes in portfolio levels and differences in the timing of portfolio acquisitions relative to portfolio runoff. |
USE OF DERIVATIVES, OFFSETTING
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT | NOTE 6 — Capstead’s portfolio of derivative financial instruments (“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 Overnight Index Swap (“OIS”)- and SOFR-indexed, 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 portion of the interest accruing on the borrowings, leaving primarily the fixed-rate swap payments as the Company’s effective borrowing rate. Additionally, changes in fair value of these Derivatives tend to partially offset opposing changes in fair value of the Company’s residential mortgage investments that can occur in response to changes in market interest rates. During the quarter and six months ended June 30, 2021, Capstead entered into swap agreements with notional amounts totaling $1.03 billion and $1.28 billion, respectively, requiring fixed-rate interest payments averaging 0.29%. No swap agreements matured during the quarter and six months ended June 30, 2021. At June 30, 2021 the Company’s swap positions related to secured borrowings had the following characteristics (dollars in thousands): Period of Contract Expiration Notional Amount Average Fixed-Rate Payment Requirement Second quarter 2022 $ 400,000 0.02 % Third quarter 2022 1,200,000 0.01 Fourth quarter 2022 900,000 0.07 First quarter 2023 50,000 0.13 Second quarter 2023 350,000 0.20 Third quarter 2023 100,000 0.03 Fourth quarter 2023 374,500 0.09 First quarter 2024 150,000 0.28 Second quarter 2024 725,000 0.34 $ 4,249,500 T he Company has three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements with notional amounts totaling $100 million and average fixed rates of 4.09% with 20-year payment terms coinciding with the floating-rate terms of the Company’s Unsecured borrowings that mature in 2035 and 2036. These Derivatives, which are designated as cash flow hedges for accounting purposes, hedge the variability of the underlying benchmark interest rate associated with the floating-rate terms of these long-term borrowings. These Derivatives’ LIBOR-indexed receive rates match the underlying floating-rate terms of the Company’s Unsecured borrowings and therefore the eventual replacement of the LIBOR index on these Derivatives is not expected to have any financial impact. Interest rate swap agreements are measured at fair value on a recurring basis primarily using Level 2 Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820) The 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 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 Sheet June 30 December 31 Location 2021 2020 Balance sheet-related Swap agreements in a loss position (a liability) related to unsecured borrowings (a) $ (33,335 ) $ (41,484 ) Related net interest payable (b) (603 ) (597 ) $ (33,938 ) $ (42,081 ) (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 Quarter Ended June 30 Six Months Ended June 30 Net Income 2021 2020 2021 2020 Income statement-related Component of Secured borrowings-related effects on interest expense: Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives $ (591 ) $ (122 ) $ (1,237 ) $ (19 ) (a) (591 ) (122 ) (1,237 ) (19 ) Component of Unsecured borrowings-related effects on interest expense: Amount of loss reclassified from Accumulated other comprehensive income (b) (975 ) (816 ) (1,945 ) (1,399 ) Decrease in interest expense as a result of the use of Derivatives $ (1,566 ) $ (938 ) $ (3,182 ) $ (1,418 ) Realized and unrealized gain (loss) on non-designated Derivatives (net) related to: Interest rate swap agreements $ 2,100 $ (6,664 ) $ 4,482 $ (159,888 ) Eurodollar futures – (284 ) – (2,799 ) (c) $ 2,100 $ (6,948 ) $ 4,482 $ (162,687 ) Other comprehensive income-related Amount of gain (loss) recognized in Other comprehensive (loss) income $ (7,088 ) $ (567 ) $ 6,204 $ (21,818 ) (a) Included in “Interest expense: Secured borrowings” on the face of the Consolidated Statements of Operations. (b) Included in “Interest expense: Unsecured borrowings” on the face of the Consolidated Statements of Operations (c) Included in “Loss on derivative instruments (net)” on the face of the Consolidated Statement of Operations. Capstead’s swap agreements and borrowings under repurchase arrangements are subject to master netting arrangements in the event of default on, or termination of, any one contract. See NOTE 5 for more information on the Company’s use of secured borrowings. The following tables provide disclosures concerning offsetting of financial liabilities and Derivatives as of the indicated dates (in thousands): Offsetting of Derivative Assets Gross Net Amounts Gross Amounts Not Offset Gross Amounts of Assets in the Balance Sheet (b) Amounts of Offset in Presented in Cash Recognized the Balance the Balance Financial Collateral Net Assets (a) Sheet (a) Sheet Instruments Received Amount June 30, 2021 Counterparty 4 $ 6,873 $ (6,873 ) $ – $ – $ – $ – December 31, 2020 Counterparty 4 $ 2,673 $ (2,673 ) $ – $ – $ – $ – (a) Included in gross amounts of recognized assets 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 exchange-traded swaps at June 30, 2021. (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 June 30, 2021 Derivatives by counterparty: Counterparty 1 $ 33,938 $ – $ 33,938 $ – $ (33,938 ) $ – Counterparty 4 88 (88 ) – – – – 34,026 (88 ) 33,938 – (33,938 ) – Borrowings under repurchase arrangements (d) 6,810,348 – 6,810,348 (6,810,348 ) – – $ 6,844,374 $ (88 ) $ 6,844,286 $ (6,810,348 ) $ (33,938 ) $ – 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 ) $ – (a) Included in gross amounts of recognized liabilities 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 June 30, 2021. (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 $ and $ million on borrowings under repurchase arrangements as of June 3 0 , 202 1 and December 31, 20 20 , respectively. The amount of unrealized losses, net of unrealized gains, included in Accumulated other comprehensive income Changes in Accumulated other comprehensive income by component for the quarter and six months ended June 30, 2021 were as follows (in thousands): Unrealized Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at March 31, 2021 $ (28,759 ) $ 63,068 $ 34,309 Activity for the quarter ended June 30, 2021: Other comprehensive loss before reclassifications (7,088 ) (21,881 ) (28,969 ) Amounts reclassified from accumulated other comprehensive income 1,566 – 1,566 Other comprehensive loss (5,522 ) (21,881 ) (27,403 ) Balance at June 30, 2021 $ (34,281 ) $ 41,187 $ 6,906 Balance at December 31, 2020 $ (43,667 ) $ 84,551 $ 40,884 Activity for the six months ended June 30, 2021: Other comprehensive income (loss) before reclassifications 6,204 (43,364 ) (37,160 ) Amounts reclassified from accumulated other comprehensive income 3,182 – 3,182 Other comprehensive income (loss) 9,386 (43,364 ) (33,978 ) Balance at June 30, 2021 $ (34,281 ) $ 41,187 $ 6,906 |
UNSECURED BORROWINGS
UNSECURED BORROWINGS | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
UNSECURED BORROWINGS | NOTE 7 — Unsecured borrowings consist of 30-year junior subordinated notes issued in 2005 and 2006 and maturing in 2035 and 2036, for a total face amount of $100 million. The notes are currently redeemable, in whole or in part, without penalty, at the Company’s option. Balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for effects of related Derivatives held as cash flow hedges) were as follows (dollars in thousands): June 30, 2021 December 31, 2020 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,450 7.86 % $ 34,431 7.87 % December 2035 ($40,000 face amount) 39,455 7.63 39,435 7.64 September 2036 ($25,000 face amount) 24,639 7.67 24,627 7.68 $ 98,544 7.72 $ 98,493 7.73 |
FAIR VALUE
FAIR VALUE | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE | NOTE 8 — The fair value of Capstead’s financial assets and liabilities are influenced by changes in, and market expectations for changes in, interest rates and market liquidity conditions, as well as other factors beyond the control of management. All fair values were determined using Level 2 Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820). Residential mortgage investments , all of which are mortgage securities classified as available-for-sale, are measured at fair value on a recurring basis. In determining fair value estimates the Company considers recent trading activity for similar investments and pricing levels indicated by lenders in connection with designating collateral for secured borrowings, provided such pricing levels are considered indicative of actual market clearing transactions. In determining fair value estimates for with initial terms of greater than 120 days, the Company considers pricing levels indicated by lenders for entering into new transactions using similar pledged collateral with terms equal to the remaining terms of these borrowings. The Company bases fair value for on discounted cash flows using Company estimates for market yields. Excluded from these disclosures are financial instruments for which cost basis is deemed to approximate fair value due primarily to the short duration of these instruments, which are valued using primarily Level 1 measurements, including , , receivables, payables and secured borrowings with initial terms of 120 days or less. See NOTE 6 for information relative to the valuation of interest rate swap agreements. Fair value-related disclosures for financial instruments other than debt securities were as follows as of the indicated dates (in thousands): June 30, 2021 December 31, 2020 Fair Value Hierarchy Carrying Amount Fair Value Carrying Amount Fair Value Financial liabilities: Secured borrowings with initial terms of greater than 120 days Level 2 $ 500,000 $ 500,100 $ 500,000 $ 500,100 Unsecured borrowings Level 2 98,544 74,200 98,493 59,900 Unsecured borrowings-related interest rate swap agreements Level 2 33,335 33,335 41,484 41,484 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 June 30, 2021 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 6,926,100 $ 57,710 $ 21,886 $ 6,961,924 Ginnie Mae 462,505 6,009 646 467,868 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 June 30, 2021 December 31, 2020 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position of one year or greater: Fannie Mae/Freddie Mac $ 266,867 $ 3,478 $ 690,227 $ 9,533 Ginnie Mae 36,923 373 27,462 285 Securities in an unrealized loss position less than one year: Fannie Mae/Freddie Mac 2,529,952 18,408 583,870 3,107 Ginnie Mae 55,522 273 41,527 223 $ 2,889,264 $ 22,532 $ 1,343,086 $ 13,148 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 ARM 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 June 30, 2021 and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases. |
EQUITY INCENTIVE PLAN
EQUITY INCENTIVE PLAN | 6 Months Ended |
Jun. 30, 2021 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
EQUITY INCENTIVE PLAN | NOTE 9 — All equity-based awards and other long-term incentive awards are made pursuant to the Company’s Amended and Restated 2014 Flexible Incentive Plan that was approved by stockholders in May 2014. At June 30, 2021, this plan had 1,878,295 shares of common stock remaining available for future issuances. Long-term Equity-based Awards – Performance-based Restricted Stock Units (“RSUs”) RSU activity and related information for the six months ended June 30, 2021 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested RSU awards outstanding at December 31, 2020 581,365 $ 7.83 Grants 267,573 5.86 Forfeitures (111,897 ) 8.71 Vestings (71,240 ) 8.71 Unvested RSU awards outstanding at June 30, 2021 665,801 6.80 During the quarter and six months ended June 30, 2021, the Company recognized in Compensation-related expense Dividends accrue from the date of grant and will be paid in cash to the extent the units convert into shares of common stock following completion of the related performance periods. If these shares do not vest, the related dividends will be forfeited. Included in Common stock dividends payable Long-term Equity-based Awards – Restricted Stock Awards Restricted stock award activity for the six months ended June 30, 2021 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested stock awards outstanding at December 31, 2020 768,041 $ 7.42 Grants 335,654 5.67 Forfeitures (21,145 ) 6.76 Vestings (259,770 ) 7.77 Unvested stock awards outstanding at June 30, 2021 822,780 6.61 During the quarter and six months ended June 30, 2021, the Company recognized in Compensation-related expense Other general and administrative expense Service-based stock awards issued to non-executive employees and to directors receive dividends on a current basis without risk of forfeiture if the related awards do not vest. Stock awards issued to executives defer the payment of dividends accruing between the grant dates and the end of related service periods. If these awards do not vest, the related accrued dividends will be forfeited. Included in Common stock dividend payable |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2021 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | NOTE 10 — On July 25, 2021, the Company, Benefit Street Partners Realty Trust, Inc., a Maryland corporation (“BSPRT”), Rodeo Sub I, LLC, a Maryland limited liability company and a wholly-owned subsidiary of BSPRT (“Merger Sub”), and Benefit Street Partners L.L.C., a Delaware limited liability company (“Parent Manager”), entered into a definitive Agreement and Plan of Merger (the “Merger Agreement”). Under the terms and subject to the conditions set forth in the Merger Agreement, the Company will merge with and into Merger Sub, with Merger Sub remaining as a wholly-owned subsidiary of BSPRT (such transaction, the “Merger”). The Merger is expected to be completed in the fourth quarter of 2021. Under the terms of the Merger Agreement, at the effective time of the Merger (the “Effective Time”), each issued and outstanding share of the Company’s common stock will be converted into the right to receive: from BSPRT, (A) a number of shares of BSPRT’s common stock, $0.01 par value per share (which will be renamed Class A common stock) (“BSPRT Common Stock”) equal to the quotient (rounded to the nearest one ten-thousandth) determined by dividing (i) the Company’s adjusted book value per share by (ii) BSPRT’s adjusted book value per share (the “Per Share Stock Consideration”), and (B) a cash amount equal to the product of (rounding to the nearest cent) (x) the Company’s adjusted book value per share multiplied by 15.75%, multiplied by (y) 22.5%, without any interest thereon (the “Per Share Cash Consideration” and together with the Per Share Stock Consideration, the “Per Common Share BSPRT Consideration”); and from the Parent Manager, a cash amount equal to the product of (rounding to the nearest cent) (A) the Company’s adjusted book value per share multiplied by 15.75%, multiplied by (B) 77.5%, without any interest thereon (together with the Per Common Share BSPRT Consideration, the “Total Per Common Share Consideration”). In addition, each outstanding share of the Company’s 7.50% Series E Cumulative Redeemable Preferred Stock, $0.10 par value per share, will be converted into the right to receive one newly-issued 7.50% Series E Cumulative Redeemable Preferred Share, $0.01 par value per share, of BSPRT (the “BSPRT Series E Preferred Stock”). Cash will be paid in lieu of any fractional shares of BSPRT Common Stock that would otherwise have been received as a result of the Merger. Adjusted book value per share equals the respective company’s total consolidated common stockholders’ equity as of the last day of the month immediately preceding the month in which the closing conditions to the Merger are reasonably expected to be satisfied (other than those conditions that by their nature are to be satisfied at the closing), less, in the case of BSPRT, the aggregate Per Share Cash Consideration, divided by each respective company’s common stock issued and outstanding (excluding, in the case of the Company, any cancelled shares), plus, in the case of the Company, any shares of its common stock issuable upon the conversion of outstanding performance units immediately prior to the Effective Time, after giving pro forma effect to any additional dividends or other distributions on shares of the respective company’s common stock that are declared or are anticipated to be declared for which the record date is or will be prior to the Effective Time. Under the Merger Agreement, each of the Company and BSPRT will pay a special dividend to their respective stockholders in cash on the last business day prior to the closing of the Merger, with a record date that is three business days before the payment date. Any dividends paid by the Company with respect to the Company’s common stock prior to the closing of the Merger will not exceed the Company’s core earnings for the quarter (or portion thereof) in which such dividend is declared, plus an additional amount, if any, necessary so that the aggregate dividend payable is equal to the minimum amount to avoid adverse tax consequences. The obligation of each party to consummate the Merger is subject to a number of conditions, including, among others, (a) the approval of the Merger and the other transactions contemplated by the Merger Agreement by the affirmative vote of the holders of at least a majority of the outstanding shares of the Company’s common stock entitled to vote on the Merger (the “the Company Stockholder Approval”), (b) the registration and listing on the New York Stock Exchange of the shares of BSPRT Common Stock and BSPRT Series E Preferred Stock that will be issued in connection with the Merger, (c) the respective representations and warranties of the parties being true and correct, subject to the materiality standards contained in the Merger Agreement, (d) each party’s compliance in all material respects with their respective covenants and agreements set forth in the Merger Agreement, (e) the absence of a material adverse effect with respect to either the Company or BSPRT, (f) provision by each party’s counsel of a tax opinion that the other party has been organized and operated in conformity with the requirements for qualification and taxation as a REIT, (g) BSPRT has completed a reverse stock split and reclassification of its stock pursuant to the terms of the Merger Agreement, (h) BSPRT taking such actions as necessary to adopt a share repurchase program and (i) the delivery of certain documents and certificates. The obligations of the parties to consummate the Merger are not subject to any financing condition or the receipt of any financing by BSPRT or the Parent Manager. |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 6 Months Ended |
Jun. 30, 2021 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Interim Financial Reporting | Interim Financial Reporting The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the quarter and six months ended June 30, 2021 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2021. For further information refer to the audited consolidated financial statements and footnotes thereto included in the Company’s annual report on Form 10-K for the year ended December 31, 2020. |
NET INCOME (LOSS) PER COMMON _2
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Earnings Per Share [Abstract] | |
Components of Computation of Basic and Diluted Net Income per Common Share | Components of the computation of basic and diluted net income (loss) per common share were as follows for the indicated periods (dollars in thousands, except per share amounts) : Quarter Ended Six Months Ended June 30 June 30 2021 2020 2021 2020 Basic net income (loss) per common share Numerator for basic net income (loss) per common share: Net income (loss) $ 15,529 $ 22,704 $ 34,471 $ (181,949 ) Preferred stock dividends (4,842 ) (4,842 ) (9,684 ) (9,684 ) Earnings participation of unvested equity awards (24 ) (40 ) (60 ) (64 ) $ 10,663 $ 17,822 $ 24,727 $ (191,697 ) Denominator for basic net income (loss) per common share: Average number of shares of common stock outstanding 96,848 96,395 96,821 96,015 Average unvested stock awards outstanding (853 ) (740 ) (876 ) (739 ) 95,995 95,655 95,945 95,276 $ 0.11 $ 0.19 $ 0.26 $ (2.01 ) Diluted net income (loss) per common share Numerator for diluted net income (loss) per common share $ 10,663 $ 17,822 $ 24,727 $ (191,697 ) Denominator for diluted net income (loss) per common share: Denominator for basic net income (loss) per common share 95,995 95,655 95,945 95,276 Net effect of dilutive equity awards 459 232 397 – 96,454 95,887 96,342 95,276 $ 0.11 $ 0.19 $ 0.26 $ (2.01 ) |
RESIDENTIAL MORTGAGE INVESTME_2
RESIDENTIAL MORTGAGE INVESTMENTS (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Investments Debt And Equity Securities [Abstract] | |
Schedule of Residential Mortgage Investments | Residential mortgage investments classified by collateral type and interest rate characteristics as of the indicated dates were as follows (dollars in thousands): Unpaid Principal Balance Investment Premiums Amortized Cost Basis Carrying Amount (a) Net WAC (b) Average Yield (c) June 30, 2021 Agency Securities: Fannie Mae/Freddie Mac ARMs $ 6,663,751 $ 262,349 $ 6,926,100 $ 6,961,924 2.42 % 1.12 % Ginnie Mae ARMs 448,420 14,085 462,505 467,868 3.19 1.40 $ 7,112,171 $ 276,434 $ 7,388,605 $ 7,429,792 2.47 1.14 December 31, 2020 Agency Securities: Fannie Mae/Freddie Mac ARMs $ 6,982,650 $ 252,921 $ 7,235,571 $ 7,310,089 2.67 % 1.51 % Ginnie Mae ARMs 599,726 17,704 617,430 627,463 3.39 2.05 $ 7,582,376 $ 270,625 $ 7,853,001 $ 7,937,552 2.73 1.55 (a) Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale. (b) Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date. Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments. ( c ) Average yield is presented for the quarter then ended and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments. |
SECURED BORROWINGS (Tables)
SECURED BORROWINGS (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 Agency Securities Pledged Accrued Interest Receivable Borrowings Outstanding Average Borrowing Rates June 30, 2021 Borrowings under repurchase arrangements with maturities of 30 days or less $ 6,616,872 $ 13,407 $ 6,309,883 0.10 % Borrowings under repurchase arrangements with maturities of 31 to 90 days 519,707 1,022 500,000 0.29 $ 7,136,579 $ 14,429 $ 6,809,883 0.12 December 31, 2020 Borrowings under repurchase arrangements with maturities of 30 days or less $ 5,249,989 $ 12,597 $ 4,972,181 0.21 % Borrowings under repurchase arrangements with maturities of 31 to 90 days 1,939,034 4,225 1,846,902 0.20 Borrowings under repurchase arrangements with maturities of greater than 90 days 522,969 1,167 500,000 0.29 $ 7,711,992 $ 17,989 $ 7,319,083 0.21 |
USE OF DERIVATIVES, OFFSETTIN_2
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Schedule of Swap Agreements Expiration Period and Characteristics | At June 30, 2021 the Company’s swap positions related to secured borrowings had the following characteristics (dollars in thousands): Period of Contract Expiration Notional Amount Average Fixed-Rate Payment Requirement Second quarter 2022 $ 400,000 0.02 % Third quarter 2022 1,200,000 0.01 Fourth quarter 2022 900,000 0.07 First quarter 2023 50,000 0.13 Second quarter 2023 350,000 0.20 Third quarter 2023 100,000 0.03 Fourth quarter 2023 374,500 0.09 First quarter 2024 150,000 0.28 Second quarter 2024 725,000 0.34 $ 4,249,500 |
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 Sheet June 30 December 31 Location 2021 2020 Balance sheet-related Swap agreements in a loss position (a liability) related to unsecured borrowings (a) $ (33,335 ) $ (41,484 ) Related net interest payable (b) (603 ) (597 ) $ (33,938 ) $ (42,081 ) (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 Quarter Ended June 30 Six Months Ended June 30 Net Income 2021 2020 2021 2020 Income statement-related Component of Secured borrowings-related effects on interest expense: Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives $ (591 ) $ (122 ) $ (1,237 ) $ (19 ) (a) (591 ) (122 ) (1,237 ) (19 ) Component of Unsecured borrowings-related effects on interest expense: Amount of loss reclassified from Accumulated other comprehensive income (b) (975 ) (816 ) (1,945 ) (1,399 ) Decrease in interest expense as a result of the use of Derivatives $ (1,566 ) $ (938 ) $ (3,182 ) $ (1,418 ) Realized and unrealized gain (loss) on non-designated Derivatives (net) related to: Interest rate swap agreements $ 2,100 $ (6,664 ) $ 4,482 $ (159,888 ) Eurodollar futures – (284 ) – (2,799 ) (c) $ 2,100 $ (6,948 ) $ 4,482 $ (162,687 ) Other comprehensive income-related Amount of gain (loss) recognized in Other comprehensive (loss) income $ (7,088 ) $ (567 ) $ 6,204 $ (21,818 ) (a) Included in “Interest expense: Secured borrowings” on the face of the Consolidated Statements of Operations. (b) Included in “Interest expense: Unsecured borrowings” on the face of the Consolidated Statements of Operations (c) Included in “Loss on derivative instruments (net)” on the face of the Consolidated Statement of Operations. |
Schedule of Offsetting Disclosures for Asset Derivatives Held and Repurchase Arrangements and Similar Borrowings Outstanding | The following tables provide disclosures concerning offsetting of financial liabilities and Derivatives as of the indicated dates (in thousands): Offsetting of Derivative Assets Gross Net Amounts Gross Amounts Not Offset Gross Amounts of Assets in the Balance Sheet (b) Amounts of Offset in Presented in Cash Recognized the Balance the Balance Financial Collateral Net Assets (a) Sheet (a) Sheet Instruments Received Amount June 30, 2021 Counterparty 4 $ 6,873 $ (6,873 ) $ – $ – $ – $ – December 31, 2020 Counterparty 4 $ 2,673 $ (2,673 ) $ – $ – $ – $ – (a) Included in gross amounts of recognized assets 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 exchange-traded swaps at June 30, 2021. (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 June 30, 2021 Derivatives by counterparty: Counterparty 1 $ 33,938 $ – $ 33,938 $ – $ (33,938 ) $ – Counterparty 4 88 (88 ) – – – – 34,026 (88 ) 33,938 – (33,938 ) – Borrowings under repurchase arrangements (d) 6,810,348 – 6,810,348 (6,810,348 ) – – $ 6,844,374 $ (88 ) $ 6,844,286 $ (6,810,348 ) $ (33,938 ) $ – 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 ) $ – (a) Included in gross amounts of recognized liabilities 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 June 30, 2021. (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 $ and $ million on borrowings under repurchase arrangements as of June 3 0 , 202 1 and December 31, 20 20 , respectively. |
Changes in Accumulated Other Comprehensive Income | Changes in Accumulated other comprehensive income by component for the quarter and six months ended June 30, 2021 were as follows (in thousands): Unrealized Gains and Losses on Cash Flow Hedges Unrealized Gains and Losses on Available-for-Sale Securities Total Balance at March 31, 2021 $ (28,759 ) $ 63,068 $ 34,309 Activity for the quarter ended June 30, 2021: Other comprehensive loss before reclassifications (7,088 ) (21,881 ) (28,969 ) Amounts reclassified from accumulated other comprehensive income 1,566 – 1,566 Other comprehensive loss (5,522 ) (21,881 ) (27,403 ) Balance at June 30, 2021 $ (34,281 ) $ 41,187 $ 6,906 Balance at December 31, 2020 $ (43,667 ) $ 84,551 $ 40,884 Activity for the six months ended June 30, 2021: Other comprehensive income (loss) before reclassifications 6,204 (43,364 ) (37,160 ) Amounts reclassified from accumulated other comprehensive income 3,182 – 3,182 Other comprehensive income (loss) 9,386 (43,364 ) (33,978 ) Balance at June 30, 2021 $ (34,281 ) $ 41,187 $ 6,906 |
UNSECURED BORROWINGS (Tables)
UNSECURED BORROWINGS (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Schedule of Subordinated Note Balances and Related Weighted Average Interest Rates | The notes are currently redeemable, in whole or in part, without penalty, at the Company’s option. Balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for effects of related Derivatives held as cash flow hedges) were as follows (dollars in thousands): June 30, 2021 December 31, 2020 Borrowings Outstanding Average Rate Borrowings Outstanding Average Rate Junior subordinated notes maturing in: October 2035 ($35,000 face amount) $ 34,450 7.86 % $ 34,431 7.87 % December 2035 ($40,000 face amount) 39,455 7.63 39,435 7.64 September 2036 ($25,000 face amount) 24,639 7.67 24,627 7.68 $ 98,544 7.72 $ 98,493 7.73 |
FAIR VALUE (Tables)
FAIR VALUE (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Financial Instruments Other than Debt Securities | Fair value-related disclosures for financial instruments other than debt securities were as follows as of the indicated dates (in thousands): June 30, 2021 December 31, 2020 Fair Value Hierarchy Carrying Amount Fair Value Carrying Amount Fair Value Financial liabilities: Secured borrowings with initial terms of greater than 120 days Level 2 $ 500,000 $ 500,100 $ 500,000 $ 500,100 Unsecured borrowings Level 2 98,544 74,200 98,493 59,900 Unsecured borrowings-related interest rate swap agreements Level 2 33,335 33,335 41,484 41,484 |
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 June 30, 2021 Agency Securities classified as available-for-sale: Fannie Mae/Freddie Mac $ 6,926,100 $ 57,710 $ 21,886 $ 6,961,924 Ginnie Mae 462,505 6,009 646 467,868 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 |
Securities in Unrealized Loss Position | June 30, 2021 December 31, 2020 Fair Value Unrealized Loss Fair Value Unrealized Loss Securities in an unrealized loss position of one year or greater: Fannie Mae/Freddie Mac $ 266,867 $ 3,478 $ 690,227 $ 9,533 Ginnie Mae 36,923 373 27,462 285 Securities in an unrealized loss position less than one year: Fannie Mae/Freddie Mac 2,529,952 18,408 583,870 3,107 Ginnie Mae 55,522 273 41,527 223 $ 2,889,264 $ 22,532 $ 1,343,086 $ 13,148 |
EQUITY INCENTIVE PLAN (Tables)
EQUITY INCENTIVE PLAN (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Performance-based RSUs [Member] | |
Schedule of Performance-Based and Service-Based Stock Award Activity | RSU activity and related information for the six months ended June 30, 2021 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested RSU awards outstanding at December 31, 2020 581,365 $ 7.83 Grants 267,573 5.86 Forfeitures (111,897 ) 8.71 Vestings (71,240 ) 8.71 Unvested RSU awards outstanding at June 30, 2021 665,801 6.80 |
Restricted Stock Award Activity [Member] | |
Schedule of Performance-Based and Service-Based Stock Award Activity | Restricted stock award activity for the six months ended June 30, 2021 is summarized below: Weighted Average Number of Grant Date Shares Fair Value Unvested stock awards outstanding at December 31, 2020 768,041 $ 7.42 Grants 335,654 5.67 Forfeitures (21,145 ) 6.76 Vestings (259,770 ) 7.77 Unvested stock awards outstanding at June 30, 2021 822,780 6.61 |
NET INCOME (LOSS) PER COMMON _3
NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
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 | 0 | 383,000 | 0 | 952,000 | ||
Cumulative Redeemable Preferred Stock, Series E [Member] | ||||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||
Preferred stock, dividend rate | 7.50% | 7.50% | 7.50% |
NET INCOME (LOSS) PER COMMON _4
NET INCOME (LOSS) PER COMMON SHARE - Components of Computation of Basic and Diluted Net Income (loss) per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Numerator for basic net income (loss) per common share [Abstract] | ||||
Net income (loss) | $ 15,529 | $ 22,704 | $ 34,471 | $ (181,949) |
Preferred stock dividends | (4,842) | (4,842) | (9,684) | (9,684) |
Earnings participation of unvested equity awards | (24) | (40) | (60) | (64) |
Numerator for basic net income (loss) per common share | $ 10,663 | $ 17,822 | $ 24,727 | $ (191,697) |
Denominator for basic net income (loss) per common share [Abstract] | ||||
Average number of shares of common stock outstanding (in shares) | 96,848 | 96,395 | 96,821 | 96,015 |
Average unvested stock awards outstanding (in shares) | (853) | (740) | (876) | (739) |
Denominator for basic net income (loss) per common share (in shares) | 95,995 | 95,655 | 95,945 | 95,276 |
Basic net income (loss) per common share (in dollars per share) | $ 0.11 | $ 0.19 | $ 0.26 | $ (2.01) |
Numerator for diluted net income (loss) per common share [Abstract] | ||||
Numerator for basic net income (loss) per common share | $ 10,663 | $ 17,822 | $ 24,727 | $ (191,697) |
Denominator for diluted net income (loss) per common share [Abstract] | ||||
Denominator for basic net income (loss) per common share (in shares) | 95,995 | 95,655 | 95,945 | 95,276 |
Net effect of dilutive equity awards (in shares) | 459 | 232 | 397 | |
Denominator for diluted net income (loss) per common share (in shares) | 96,454 | 95,887 | 96,342 | 95,276 |
Diluted net income (loss) per common share (in dollars per share) | $ 0.11 | $ 0.19 | $ 0.26 | $ (2.01) |
RESIDENTIAL MORTGAGE INVESTME_3
RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - Agency Securities [Member] - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | ||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 7,112,171 | $ 7,582,376 | |
Investment Premiums | 276,434 | 270,625 | |
Amortized Cost Basis | 7,388,605 | 7,853,001 | |
Carrying Amount | [1] | $ 7,429,792 | $ 7,937,552 |
Net WAC | [2] | 2.47% | 2.73% |
Average Yield | [3] | 1.14% | 1.55% |
Fannie Mae/Freddie Mac [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 6,663,751 | $ 6,982,650 | |
Investment Premiums | 262,349 | 252,921 | |
Amortized Cost Basis | 6,926,100 | 7,235,571 | |
Carrying Amount | [1] | $ 6,961,924 | $ 7,310,089 |
Net WAC | [2] | 2.42% | 2.67% |
Average Yield | [3] | 1.12% | 1.51% |
Ginnie Mae [Member] | ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Unpaid Principal Balance | $ 448,420 | $ 599,726 | |
Investment Premiums | 14,085 | 17,704 | |
Amortized Cost Basis | 462,505 | 617,430 | |
Carrying Amount | [1] | $ 467,868 | $ 627,463 |
Net WAC | [2] | 3.19% | 3.39% |
Average Yield | [3] | 1.40% | 2.05% |
[1] | Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale. | ||
[2] | Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date. Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments. | ||
[3] | Average yield is presented for the quarter then ended and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments. |
RESIDENTIAL MORTGAGE INVESTME_4
RESIDENTIAL MORTGAGE INVESTMENTS - Additional Information (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 6 Months Ended |
Mar. 31, 2020 | Jun. 30, 2021 | Jun. 30, 2021 | |
Financing Receivable, Recorded Investment [Line Items] | |||
Mortgage securities weighted average contractual maturity | 291 months | ||
Available for sale ARM securities, current-reset | $ 2,940,000,000 | $ 2,940,000,000 | |
Available for sale ARM securities, longer-to-reset | 4,450,000,000 | 4,450,000,000 | |
Available for sale securities | $ 2,560,000,000 | $ 0 | $ 0 |
Available-for-sale securities, gross realized gains | 0 | ||
Available-for-sale securities, gross realized losses | $ 67,800,000 | ||
Current-Reset ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Agency securities average months to roll | 7 months | ||
Current-Reset ARMs [Member] | Maximum [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Agency securities months to roll | 18 months | ||
Longer-To-Reset ARMs [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Agency securities average months to roll | 62 months | ||
Longer-To-Reset ARMs [Member] | Minimum [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Agency securities months to roll | 18 months |
SECURED BORROWINGS - Schedule o
SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Agency securities pledged | $ 7,140,000 | $ 7,710,000 | |
Borrowings outstanding | [1],[2] | 6,810,348 | 7,320,090 |
Borrowings with Maturities Greater than 90 Days [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Agency securities pledged | 522,969 | ||
Accrued interest receivable | 1,167 | ||
Borrowings outstanding | $ 500,000 | ||
Average borrowing rates | 0.29% | ||
Agency Securities [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Agency securities pledged | 7,136,579 | $ 7,711,992 | |
Accrued interest receivable | 14,429 | 17,989 | |
Borrowings outstanding | $ 6,809,883 | $ 7,319,083 | |
Average borrowing rates | 0.12% | 0.21% | |
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Agency securities pledged | $ 6,616,872 | $ 5,249,989 | |
Accrued interest receivable | 13,407 | 12,597 | |
Borrowings outstanding | $ 6,309,883 | $ 4,972,181 | |
Average borrowing rates | 0.10% | 0.21% | |
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member] | |||
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items] | |||
Agency securities pledged | $ 519,707 | $ 1,939,034 | |
Accrued interest receivable | 1,022 | 4,225 | |
Borrowings outstanding | $ 500,000 | $ 1,846,902 | |
Average borrowing rates | 0.29% | 0.20% | |
[1] | Amounts include accrued interest payable of $ and $ million on borrowings under repurchase arrangements as of June 3 0 , 202 1 and December 31, 20 20 , respectively. | ||
[2] | Included in gross amounts of recognized liabilities 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 June 30, 2021. |
SECURED BORROWINGS - Additional
SECURED BORROWINGS - Additional Information (Details) - USD ($) $ in Billions | 3 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Disclosure Of Repurchase Agreements [Abstract] | ||
Average secured borrowings | $ 6.6 | $ 7.4 |
USE OF DERIVATIVES, OFFSETTIN_3
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Additional Information (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2010 | |
Derivative Instruments And Hedging Activities Disclosures [Line Items] | |||
SWAP agreement notional amount during period | $ 1,030 | $ 1,280 | $ 100 |
SWAP agreement average interest rate during period | 0.29% | 4.09% | |
Derivative instruments unrealized gains to be recognized | $ 4.8 | ||
Interest Rate Swap Agreements [Member] | |||
Derivative Instruments And Hedging Activities Disclosures [Line Items] | |||
Payment term of SOFR interest rate agreement | 20 years | ||
Interest Rate Swap Agreements [Member] | Minimum [Member] | |||
Derivative Instruments And Hedging Activities Disclosures [Line Items] | |||
Payment term of SOFR interest rate agreement | 18 months | ||
Interest Rate Swap Agreements [Member] | Maximum [Member] | |||
Derivative Instruments And Hedging Activities Disclosures [Line Items] | |||
Payment term of SOFR 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 | Jun. 30, 2021USD ($) |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 4,249,500 |
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 First Quarter 2023 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 50,000 |
Average Fixed Rates | 0.13% |
Currently Paying Contracts Expiring Second Quarter Two Thousand Twenty Three | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 350,000 |
Average Fixed Rates | 0.20% |
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% |
Currently Paying Contracts Expiring First Quarter Two Thousand Twenty Four | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 150,000 |
Average Fixed Rates | 0.28% |
Interest Rate SWAP Currently-Paying Contracts Expiring Second Quarter 2024 [Member] | |
Notional Disclosures [Abstract] | |
Swap Notional Amounts | $ 725,000 |
Average Fixed Rates | 0.34% |
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 | Jun. 30, 2021 | Dec. 31, 2020 | |
Balance sheet-related [Abstract] | |||
Swap agreements in a loss position (a liability) related to borrowings | $ (33,335) | $ (41,484) | |
Interest rate swap agreements at fair value, net assets (liability) | (33,938) | (42,081) | |
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] | (33,335) | (41,484) |
Accounts Payable and Accrued Liabilities [Member] | |||
Balance sheet-related [Abstract] | |||
Related net interest payable | [2] | $ (603) | $ (597) |
[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 | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | ||
Income statement-related [Abstract] | |||||
Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives | $ (1,237) | $ (19) | |||
Decrease in interest expense and increase in Net (loss) income as a result of the use of Derivatives | $ (1,566) | $ (938) | (3,182) | (1,418) | |
Amount of gain (loss) recognized in Other comprehensive (loss) income | (1,566) | (938) | (3,182) | (1,418) | |
Decrease in interest expense as a result of the use of Derivatives | (1,566) | (938) | (3,182) | (1,418) | |
Realized and unrealized (loss) gain on non-designated Derivatives (net) | [1] | 2,100 | (6,948) | 4,482 | (162,687) |
Other comprehensive income (loss)-related [Abstract] | |||||
Amount of gain (loss) recognized in Other comprehensive (loss) income | (7,088) | (567) | 6,204 | (21,818) | |
Interest Rate Swap Agreements [Member] | |||||
Income statement-related [Abstract] | |||||
Realized and unrealized (loss) gain on non-designated Derivatives (net) | 2,100 | (6,664) | 4,482 | (159,888) | |
Eurodollar Futures Contract [Member] | |||||
Income statement-related [Abstract] | |||||
Realized and unrealized (loss) gain on non-designated Derivatives (net) | (284) | (2,799) | |||
Interest Expense [Member] | Secured Debt | |||||
Income statement-related [Abstract] | |||||
Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives | (591) | (122) | (1,237) | (19) | |
Decrease in interest expense and increase in Net (loss) income as a result of the use of Derivatives | [2] | (591) | (122) | (1,237) | (19) |
Decrease in interest expense as a result of the use of Derivatives | [2] | (591) | (122) | (1,237) | (19) |
Interest Expense [Member] | Unsecured Borrowings [Member] | |||||
Income statement-related [Abstract] | |||||
Amount of gain (loss) recognized in Other comprehensive (loss) income | [3] | $ (975) | $ (816) | $ (1,945) | $ (1,399) |
[1] | Included in “Loss on derivative instruments (net)” on the face of the Consolidated Statement of Operations. | ||||
[2] | Included in “Interest expense: Secured borrowings” on the face of the Consolidated Statements of Operations. | ||||
[3] | Included in “Interest expense: Unsecured borrowings” on the face of the Consolidated 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 | Jun. 30, 2021 | Dec. 31, 2020 | |
Offsetting of derivative assets [Abstract] | |||
Net Amounts of Assets Presented in the Balance Sheet | $ 33,938 | $ 42,081 | |
Offsetting Derivatives Assets [Member] | Counterparty 4 [Member] | |||
Offsetting of derivative assets [Abstract] | |||
Gross Amounts of Recognized Assets | [1] | 6,873 | 2,673 |
Gross Amounts Offset in the Balance Sheet | [1] | (6,873) | (2,673) |
Net Amounts of Assets Presented in the Balance Sheet | 0 | 0 | |
Financial Instruments | [2] | 0 | 0 |
Cash Collateral Received | [2] | 0 | 0 |
Net Amount | $ 0 | $ 0 | |
[1] | Included in gross amounts of recognized assets 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 exchange-traded swaps at June 30, 2021. | ||
[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 | Jun. 30, 2021 | Dec. 31, 2020 | |
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities (Derivatives) | $ 33,335 | $ 41,484 | |
Cash Collateral Pledged (Derivatives) | (78,161) | (74,411) | |
Gross Amounts of Recognized Liabilities (Repurchase Arrangements) | [1],[2] | 6,810,348 | 7,320,090 |
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] | 6,810,348 | 7,320,090 |
Financial Instruments (Repurchase Arrangements) | [1],[4] | (6,810,348) | (7,320,090) |
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] | 6,844,374 | 7,362,429 |
Gross Amounts Offset in the Balance Sheet (Financial Liabilities Total) | [2] | (88) | (257) |
Net Amounts of Liabilities Presented in the Balance Sheet (Financial Liabilities Total) | [3] | 6,844,286 | 7,362,172 |
Financial Instruments (Financial Liabilities Total) | [4] | (6,810,348) | (7,320,090) |
Cash Collateral Pledged (Financial Liabilities Total) | [4] | (33,938) | (42,082) |
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] | 33,938 | 42,082 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 33,938 | 42,082 |
Financial Instruments (Derivatives) | [4] | 0 | 0 |
Cash Collateral Pledged (Derivatives) | [4] | (33,938) | (42,082) |
Net Amount (Derivatives) | 0 | 0 | |
Counterparty 4 [Member] | |||
Offsetting of financial liabilities and derivative liabilities [Abstract] | |||
Gross Amounts of Recognized Liabilities (Derivatives) | [2] | 88 | 257 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | (88) | (257) |
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] | 34,026 | 42,339 |
Gross Amounts Offset in the Balance Sheet (Derivatives) | [2] | (88) | (257) |
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) | [3] | 33,938 | 42,082 |
Financial Instruments (Derivatives) | [4] | 0 | 0 |
Cash Collateral Pledged (Derivatives) | [4] | (33,938) | (42,082) |
Net Amount (Derivatives) | $ 0 | $ 0 | |
[1] | Amounts include accrued interest payable of $ and $ million on borrowings under repurchase arrangements as of June 3 0 , 202 1 and December 31, 20 20 , respectively. | ||
[2] | Included in gross amounts of recognized liabilities 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 June 30, 2021. | ||
[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 | Jun. 30, 2021 | Dec. 31, 2020 |
Portfolio-Related Secured Borrowings [Member] | ||
Notional Disclosures [Abstract] | ||
Accrued interest payable | $ 465,000 | $ 1 |
USE OF DERIVATIVES, OFFSETTI_10
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME (LOSS) BY COMPONENT - Changes in Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Beginning Balance | $ 903,693 | $ 843,624 | $ 910,163 | $ 1,073,733 |
Other comprehensive income | (27,403) | 65,030 | (33,978) | 45,353 |
Ending Balance | 873,013 | 912,889 | 873,013 | 912,889 |
Unrealized Gains and Losses on Cash Flow Hedges [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Beginning Balance | (28,759) | (43,667) | ||
Other comprehensive loss before reclassifications | (7,088) | 6,204 | ||
Amounts reclassified from accumulated other comprehensive income | 1,566 | 3,182 | ||
Other comprehensive income | (5,522) | 9,386 | ||
Ending Balance | (34,281) | (34,281) | ||
Unrealized Gains and Losses on Available-for-sale Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Beginning Balance | 63,068 | 84,551 | ||
Other comprehensive loss before reclassifications | (21,881) | (43,364) | ||
Amounts reclassified from accumulated other comprehensive income | 0 | 0 | ||
Other comprehensive income | (21,881) | (43,364) | ||
Ending Balance | 41,187 | 41,187 | ||
Accumulated Other Comprehensive Income (Loss) [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Beginning Balance | 34,309 | (6,278) | 40,884 | 13,399 |
Other comprehensive loss before reclassifications | (28,969) | (37,160) | ||
Amounts reclassified from accumulated other comprehensive income | 1,566 | 3,182 | ||
Other comprehensive income | (27,403) | (33,978) | ||
Ending Balance | $ 6,906 | $ 58,752 | $ 6,906 | $ 58,752 |
UNSECURED BORROWINGS - Addition
UNSECURED BORROWINGS - Additional Information (Details) - Junior Subordinated Debt [Member] $ in Millions | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Debt Instrument [Line Items] | |
Junior subordinated notes maturity term | 30 years |
Face amount of junior subordinated notes | $ 100 |
UNSECURED BORROWINGS - Schedule
UNSECURED BORROWINGS - Schedule of Subordinated Note Balances and Related Weighted Average Interest Rates (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 98,544 | $ 98,493 |
Effective interest rate | 7.72% | 7.73% |
October 2035 [Member] | ||
Debt Instrument [Line Items] | ||
Borrowings Outstanding | $ 34,450 | $ 34,431 |
Effective interest rate | 7.86% | 7.87% |
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 | $ 39,455 | $ 39,435 |
Effective interest rate | 7.63% | 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 | $ 24,639 | $ 24,627 |
Effective interest rate | 7.67% | 7.68% |
Junior subordinated notes, maturity period | Sep. 30, 2036 | |
Face amount of junior subordinated notes | $ 25,000 |
FAIR VALUE - Additional Informa
FAIR VALUE - Additional Information (Details) | 6 Months Ended |
Jun. 30, 2021 | |
Minimum [Member] | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Investment Repurchase Agreement Initial Term | 120 days |
Maximum [Member] | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Investment Repurchase Agreement Initial Term | 120 days |
FAIR VALUE - Financial Instrume
FAIR VALUE - Financial Instruments Other than Debt Securities (Details) - Fair Value, Inputs, Level 2 - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Carrying Amount [Member] | ||
Financial liabilities [Abstract] | ||
Unsecured borrowings | $ 98,544 | $ 98,493 |
Secured borrowings with initial terms of greater than 120 days | 500,000 | 500,000 |
Fair Value [Member] | ||
Financial liabilities [Abstract] | ||
Unsecured borrowings | 74,200 | 59,900 |
Secured borrowings with initial terms of greater than 120 days | 500,100 | 500,100 |
Interest Rate Swap Agreements [Member] | Carrying Amount [Member] | Unsecured Borrowings [Member] | ||
Financial liabilities [Abstract] | ||
Interest rate swap agreements | 33,335 | 41,484 |
Interest Rate Swap Agreements [Member] | Fair Value [Member] | Unsecured Borrowings [Member] | ||
Financial liabilities [Abstract] | ||
Interest rate swap agreements | $ 33,335 | $ 41,484 |
FAIR VALUE - Fair Value and Rel
FAIR VALUE - Fair Value and Related Disclosures for Debt Securities (Details) - Agency Securities Classified as Available-for-sale [Member] - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Fannie Mae/Freddie Mac [Member] | ||
Available-for-sale securities disclosure Items [Abstract] | ||
Available-for-sale securities, Amortized Cost Basis | $ 6,926,100 | $ 7,235,571 |
Available-for-sale securities, Gross Unrealized Gains | 57,710 | 87,158 |
Available-for-sale securities, Gross Unrealized Losses | 21,886 | 12,640 |
Available-for-sale securities, Fair Value | 6,961,924 | 7,310,089 |
Ginnie Mae [Member] | ||
Available-for-sale securities disclosure Items [Abstract] | ||
Available-for-sale securities, Amortized Cost Basis | 462,505 | 617,430 |
Available-for-sale securities, Gross Unrealized Gains | 6,009 | 10,541 |
Available-for-sale securities, Gross Unrealized Losses | 646 | 508 |
Available-for-sale securities, Fair Value | $ 467,868 | $ 627,463 |
FAIR VALUE - Securities in Unre
FAIR VALUE - Securities in Unrealized Loss Position (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Securities in an unrealized loss position, fair value [Abstract] | ||
Fair Value, Total | $ 2,889,264 | $ 1,343,086 |
Securities in an unrealized loss position, aggregate loss [Abstract] | ||
Unrealized Losses, Total | 22,532 | 13,148 |
Fannie Mae/Freddie Mac [Member] | ||
Securities in an unrealized loss position, fair value [Abstract] | ||
One year or greater | 266,867 | 690,227 |
Less than one year | 2,529,952 | 583,870 |
Securities in an unrealized loss position, aggregate loss [Abstract] | ||
One year or greater | 3,478 | 9,533 |
Less than one year | 18,408 | 3,107 |
Ginnie Mae [Member] | ||
Securities in an unrealized loss position, fair value [Abstract] | ||
One year or greater | 36,923 | 27,462 |
Less than one year | 55,522 | 41,527 |
Securities in an unrealized loss position, aggregate loss [Abstract] | ||
One year or greater | 373 | 285 |
Less than one year | $ 273 | $ 223 |
EQUITY INCENTIVE PLAN - Additio
EQUITY INCENTIVE PLAN - Additional Information (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Common stock dividend payable | $ 15,289,000 | $ 15,289,000 | $ 15,281,000 |
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) | 1,878,295 | 1,878,295 | |
Performance-based RSUs [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total of unrecognized compensation expense for unvested stock award | $ 1,900,000 | $ 1,900,000 | |
Compensation cost not yet recognized, period for recognition | 1 year 6 months | ||
Long term incentive compensation expense | 19,000 | $ 157,000 | |
Common stock dividend payable | 325,000 | 325,000 | |
Stock Awards Activity [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total of unrecognized compensation expense for unvested stock award | 2,800,000 | $ 2,800,000 | |
Compensation cost not yet recognized, period for recognition | 1 year 4 months 24 days | ||
Common stock dividend payable | 536,000 | $ 536,000 | |
Long term incentive compensation expense | 455,000 | 866,000 | |
Other general and administrative expense | $ 105,000 | $ 263,000 |
EQUITY INCENTIVE PLAN - Schedul
EQUITY INCENTIVE PLAN - Schedule of Performance-Based Restricted Stock Units Activity (Details) - Performance-based RSUs [Member] | 6 Months Ended |
Jun. 30, 2021$ / sharesshares | |
Number of Shares | |
Unvested equity awards outstanding at beginning of period (in shares) | shares | 581,365 |
Grants (in shares) | shares | 267,573 |
Forfeitures (in shares) | shares | (111,897) |
Vestings (in shares) | shares | (71,240) |
Unvested equity outstanding at end of period (in shares) | shares | 665,801 |
Weighted Average Grant Date Fair Value | |
Unvested equity awards outstanding at beginning of period (in dollars per share) | $ / shares | $ 7.83 |
Grants (in dollars per share) | $ / shares | 5.86 |
Forfeitures (in dollars per share) | $ / shares | 8.71 |
Vestings (in dollars per share) | $ / shares | 8.71 |
Unvested equity awards outstanding at end of period (in dollars per share) | $ / shares | $ 6.80 |
EQUITY INCENTIVE PLAN - Sched_2
EQUITY INCENTIVE PLAN - Schedule of Restricted Stock Award Activity (Details) - Restricted Stock Award Activity [Member] | 6 Months Ended |
Jun. 30, 2021$ / sharesshares | |
Number of Shares | |
Unvested equity awards outstanding at beginning of period (in shares) | shares | 768,041 |
Grants (in shares) | shares | 335,654 |
Forfeitures (in shares) | shares | (21,145) |
Vestings (in shares) | shares | (259,770) |
Unvested equity outstanding at end of period (in shares) | shares | 822,780 |
Weighted Average Grant Date Fair Value | |
Unvested equity awards outstanding at beginning of period (in dollars per share) | $ / shares | $ 7.42 |
Grants (in dollars per share) | $ / shares | 5.67 |
Vestings (in dollars per share) | $ / shares | 7.77 |
Unvested equity awards outstanding at end of period (in dollars per share) | $ / shares | 6.61 |
Forfeitures (in dollars per share) | $ / shares | $ 6.76 |
SUBSEQUENT EVENTS - Additional
SUBSEQUENT EVENTS - Additional Information (Details) - $ / shares | Jul. 25, 2021 | Mar. 31, 2021 | Jun. 30, 2021 | Dec. 31, 2020 |
Subsequent Event [Line Items] | ||||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | ||
Preferred stock, par value (in dollars per share) | $ 0.10 | $ 0.10 | ||
Cumulative Redeemable Preferred Stock, Series E [Member] | ||||
Subsequent Event [Line Items] | ||||
Preferred stock, dividend rate | 7.50% | 7.50% | 7.50% | |
Subsequent Event [Member] | Benefit Street Partners Realty Trust, Inc. [Member] | Merger Agreement [Member] | ||||
Subsequent Event [Line Items] | ||||
Merger agreement date | Jul. 25, 2021 | |||
Merger agreement completion period, description | The Merger is expected to be completed in the fourth quarter of 2021. | |||
Subsequent Event [Member] | Benefit Street Partners Realty Trust, Inc. [Member] | Merger Agreement [Member] | Cumulative Redeemable Preferred Stock, Series E [Member] | ||||
Subsequent Event [Line Items] | ||||
Preferred stock, dividend rate | 7.50% | |||
Preferred stock, par value (in dollars per share) | $ 0.10 | |||
Convertible preferred stock, shares issued upon conversion | 1 | |||
Convertible preferred stock, par value per share | $ 0.01 | |||
Convertible preferred stock, terms of conversion | In addition, each outstanding share of the Company’s 7.50% Series E Cumulative Redeemable Preferred Stock, $0.10 par value per share, will be converted into the right to receive one newly-issued 7.50% Series E Cumulative Redeemable Preferred Share, $0.01 par value per share, of BSPRT (the “BSPRT Series E Preferred Stock”). Cash will be paid in lieu of any fractional shares of BSPRT Common Stock that would otherwise have been received as a result of the Merger | |||
Subsequent Event [Member] | Benefit Street Partners Realty Trust, Inc. [Member] | Merger Agreement [Member] | Common Stock [Member] | ||||
Subsequent Event [Line Items] | ||||
Common stock, par value (in dollars per share) | $ 0.01 | |||
Sale of stock, description of transaction | Under the terms of the Merger Agreement, at the effective time of the Merger (the “Effective Time”), each issued and outstanding share of the Company’s common stock will be converted into the right to receive: from BSPRT, (A) a number of shares of BSPRT’s common stock, $0.01 par value per share (which will be renamed Class A common stock) (“BSPRT Common Stock”) equal to the quotient (rounded to the nearest one ten-thousandth) determined by dividing (i) the Company’s adjusted book value per share by (ii) BSPRT’s adjusted book value per share (the “Per Share Stock Consideration”), and (B) a cash amount equal to the product of (rounding to the nearest cent) (x) the Company’s adjusted book value per share multiplied by 15.75%, multiplied by (y) 22.5%, without any interest thereon (the “Per Share Cash Consideration” and together with the Per Share Stock Consideration, the “Per Common Share BSPRT Consideration”); and from the Parent Manager, a cash amount equal to the product of (rounding to the nearest cent) (A) the Company’s adjusted book value per share multiplied by 15.75%, multiplied by (B) 77.5%, without any interest thereon (together with the Per Common Share BSPRT Consideration, the “Total Per Common Share Consideration”). | |||
Percentage of book value adjustments in per share of stock consideration | 15.75% | |||
Percentage of per share cash consideration | 22.50% | |||
Percentage of total per common share consideration | 77.50% |