Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
Mar. 31, 2014 | 2-May-14 | |
Entity Information [Line Items] | ' | ' |
Entity Registrant Name | 'DYNEX CAPITAL INC | ' |
Entity Central Index Key | '0000826675 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Accelerated Filer | ' |
Document Type | '10-Q | ' |
Document Period End Date | 31-Mar-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
Document Fiscal Period Focus | 'Q1 | ' |
Amendment Flag | 'false | ' |
Entity Common Stock, Shares Outstanding | ' | 54,698,963 |
Entity Well-known Seasoned Issuer | 'No | ' |
Entity Voluntary Filers | 'No | ' |
Entity Current Reporting Status | 'Yes | ' |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
ASSETS | ' | ' |
Mortgage-backed securities | $3,959,852 | $4,018,161 |
Mortgage loans held for investment | 53,804 | 55,423 |
Cash and cash equivalents | 61,168 | 69,330 |
Restricted cash | 18,242 | 13,385 |
Derivative assets | 12,064 | 18,488 |
Principal receivable on investments | 8,112 | 12,999 |
Accrued interest receivable | 23,387 | 21,703 |
Other assets, net | 7,653 | 7,648 |
Total assets | 4,144,282 | 4,217,137 |
Liabilities: | ' | ' |
Repurchase agreements | 3,485,544 | 3,580,754 |
Payable for unsettled mortgage-backed securities | 16,086 | 10,358 |
Non recourse collateralized financing | 12,394 | 12,914 |
Derivative Liabilities | 11,137 | 6,681 |
Accrued interest payable | 2,846 | 2,548 |
Accrued dividends payable | 15,612 | 16,601 |
Other liabilities | 1,648 | 1,405 |
Total liabilities | 3,545,267 | 3,631,261 |
Shareholders’ equity: | ' | ' |
Common stock, par value $.01 per share, 200,000,000 shares authorized; 54,697,307 and 54,310,484 shares issued and outstanding, respectively | 547 | 543 |
Additional paid-in capital | 761,827 | 761,550 |
Accumulated other comprehensive income | -4,256 | -33,816 |
Accumulated deficit | -268,761 | -252,059 |
Total shareholders' equity | 599,015 | 585,876 |
Total liabilities and shareholders’ equity | 4,144,282 | 4,217,137 |
Series A Preferred Stock [Member] | ' | ' |
Shareholders’ equity: | ' | ' |
Preferred Stock, par value $.01 per share | 55,407 | 55,407 |
Series B Preferred Stock [Member] | ' | ' |
Shareholders’ equity: | ' | ' |
Preferred Stock, par value $.01 per share | $54,251 | $54,251 |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, except Share data, unless otherwise specified | ||
ASSETS | ' | ' |
Pledged MBS | $3,798,331 | $3,873,584 |
Common stock, par value | $0.01 | $0.01 |
Common Stock, Shares Authorized | 200,000,000 | 200,000,000 |
Common Stock, Shares, Issued | 54,697,307 | 54,310,484 |
Common stock, shares outstanding | 54,697,307 | 54,310,484 |
Series A Preferred Stock [Member] | ' | ' |
ASSETS | ' | ' |
Preferred Stock, Par Value Per Share | $0.01 | $0.01 |
Preferred Stock, Shares Authorized | 8,000,000 | 8,000,000 |
Preferred Stock, Shares Issued | 2,300,000 | 2,300,000 |
Preferred Stock, Shares Outstanding | 2,300,000 | 2,300,000 |
Preferred Stock, aggregate liquidation preference | 57,500 | 57,500 |
Series B Preferred Stock [Member] | ' | ' |
ASSETS | ' | ' |
Preferred Stock, Par Value Per Share | $0.01 | $0.01 |
Preferred Stock, Shares Authorized | 7,000,000 | 7,000,000 |
Preferred Stock, Shares Issued | 2,250,000 | 2,250,000 |
Preferred Stock, Shares Outstanding | 2,250,000 | 2,250,000 |
Preferred Stock, aggregate liquidation preference | $56,250 | $56,250 |
Consolidated_Statements_of_Com
Consolidated Statements of Comprehensive Income (USD $) | 3 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Interest income: | ' | ' |
Mortgage-backed securities | $26,902 | $32,039 |
Mortgage loans held for investment | 738 | 943 |
Total interest income | 27,640 | 32,982 |
Interest expense: | ' | ' |
Repurchase agreements | 7,611 | 10,218 |
Non recourse collateralized financing | 22 | 238 |
Total interest expense | 7,633 | 10,456 |
Net interest income | 20,007 | 22,526 |
Provision for loan losses | 0 | -261 |
Loss on derivative instruments, net | -13,422 | -17 |
Gain on sale of investments, net | -3,307 | 1,391 |
Fair value adjustments, net | 32 | -140 |
Other income, net | 75 | -88 |
General and administrative expenses: | ' | ' |
Compensation and benefits | -2,552 | -2,358 |
Other general and administrative | -1,567 | -1,450 |
Net (loss) income | -734 | 19,603 |
Preferred Stock Dividends | -2,294 | -1,222 |
Net (loss) income to common shareholders | -3,028 | 18,381 |
Change in fair value of available-for-sale securities | 23,965 | 5,897 |
Reclassification adjustment for (loss) gain on sale of investments, net | -3,307 | 1,391 |
Change in fair value of cash flow hedges | 0 | 437 |
Reclassification adjustment for cash flow hedges (including de-designated hedges) | -2,288 | -4,103 |
Other comprehensive income | 29,560 | 9,046 |
Comprehensive income to common shareholders | $26,532 | $27,427 |
Weighted average common shares: | ' | ' |
Basic and diluted | 54,625,601 | 54,300,020 |
Net income per common share: | ' | ' |
Net (loss) income per common share - basic and diluted | ($0.06) | $0.34 |
Consolidated_Statements_of_Sha
Consolidated Statements of Shareholders' Equity Statement (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 |
Preferred Stock Dividends, Income Statement Impact | $2,294 | $1,222 | ' | ' |
Total shareholders' equity | 599,015 | 633,298 | 585,876 | 616,710 |
Stock issuance | 144 | 5,183 | ' | ' |
Granting and vesting of restricted stock | 672 | 456 | ' | ' |
Amortization of stock issuance costs | -30 | -30 | ' | ' |
Adjustments for tax withholding on share-based compensation | -505 | -546 | ' | ' |
Net (loss) income | -734 | 19,603 | ' | ' |
Dividends on preferred stock | -2,294 | -1,222 | ' | ' |
Dividends on common stock | -13,674 | -15,902 | ' | ' |
Other comprehensive income | 29,560 | 9,046 | ' | ' |
Preferred Stock Including Additional Paid in Capital [Member] | ' | ' | ' | ' |
Total shareholders' equity | 109,658 | 55,407 | 109,658 | 55,407 |
Stock issuance | 0 | ' | ' | ' |
Common Stock [Member] | ' | ' | ' | ' |
Total shareholders' equity | 547 | 548 | 543 | 543 |
Stock issuance | 1 | 5 | ' | ' |
Granting and vesting of restricted stock | 4 | 1 | ' | ' |
Adjustments for tax withholding on share-based compensation | -1 | -1 | ' | ' |
Additional Paid-in Capital [Member] | ' | ' | ' | ' |
Total shareholders' equity | 761,827 | 764,272 | 761,550 | 759,214 |
Stock issuance | 143 | 5,178 | ' | ' |
Granting and vesting of restricted stock | 668 | 455 | ' | ' |
Amortization of stock issuance costs | -30 | -30 | ' | ' |
Adjustments for tax withholding on share-based compensation | -504 | -545 | ' | ' |
Accumulated Other Comprehensive (Loss) Income [Member] | ' | ' | ' | ' |
Total shareholders' equity | -4,256 | 61,557 | -33,816 | 52,511 |
Accumulated Deficit [Member] | ' | ' | ' | ' |
Total shareholders' equity | -268,761 | -248,486 | -252,059 | -250,965 |
Dividends on common stock | ($13,674) | ($15,902) | ' | ' |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Operating activities: | ' | ' |
Net (loss) income | ($734) | $19,603 |
Adjustments to reconcile net income to cash provided by operating activities: | ' | ' |
Decrease (increase) in accrued interest receivable | 1,684 | 1,401 |
(Decrease) increase in accrued interest payable | 298 | -22 |
Provision for loan losses | 0 | 261 |
Loss on derivative instruments, net | -13,422 | -17 |
Loss (gain) on sale of investments, net | -3,307 | 1,391 |
Fair value adjustments, net | 32 | -140 |
Amortization and depreciation | 34,829 | 32,117 |
Stock-based compensation expense | 672 | 481 |
Other operating activities | 175 | 4,400 |
Net cash and cash equivalents provided by operating activities | 49,903 | 45,405 |
Investing activities: | ' | ' |
Purchase of investments | 127,552 | 438,376 |
Principal payments received on investments | 128,676 | 215,751 |
Proceeds from sales of investments | 59,799 | 31,158 |
Principal payments received on mortgage loans held for investment, net | 1,605 | 5,737 |
Net payments on derivatives not designated as hedges | 2,542 | 174 |
Other investing activities | 5 | 827 |
Net cash and cash equivalents used in investing activities | 59,981 | -186,731 |
Financing activities: | ' | ' |
(Repayments of) borrowings under repurchase agreements, net | -95,314 | 144,023 |
Principal payments on non-recourse collateralized financing | -527 | -2,024 |
Increase in restricted cash | 4,857 | 0 |
Proceeds from issuance of common stock | 114 | 5,152 |
Payments Related to tax withholding for share-based compensation | 505 | 545 |
Dividends paid | 16,957 | 16,960 |
Net cash and cash equivalents provided by (used in) financing activities | -118,046 | 129,646 |
Net increase (decrease) in cash and cash equivalents | -8,162 | -11,680 |
Cash and cash equivalents at beginning of period | 69,330 | 55,809 |
Cash and cash equivalents at end of period | 61,168 | 44,129 |
Supplemental Disclosure of Cash Activities: | ' | ' |
Cash paid for interest | $4,935 | $10,381 |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2014 | |
Accounting Policies [Abstract] | ' |
Organization and Summary of Significant Accounting Policies | ' |
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | |
Organization | |
Dynex Capital, Inc., ("Company”) was incorporated in the Commonwealth of Virginia on December 18, 1987 and commenced operations in February 1988. The Company primarily earns income from investing on a leveraged basis in mortgage-backed securities ("MBS") that are issued or guaranteed by the U.S. Government or U.S. Government sponsored agencies ("Agency MBS") and MBS issued by others ("non-Agency MBS"). | |
Basis of Presentation | |
The accompanying consolidated financial statements of Dynex Capital, Inc. and its qualified real estate investment trust (“REIT”) subsidiaries and its taxable REIT subsidiary (together, “Dynex” or the “Company”) have been prepared in accordance with the instructions to the Quarterly Report on Form 10-Q and Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and notes required by accounting principles generally accepted in the United States of America (“GAAP”) for complete financial statements. The financial information included herein is unaudited; however, in the opinion of management, all significant adjustments, consisting of normal recurring accruals considered necessary for a fair presentation of the consolidated financial statements, have been included. Operating results for the three months ended March 31, 2014 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2014. The unaudited consolidated financial statements included herein should be read in conjunction with the audited financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2013 filed with the SEC. | |
Reclassifications | |
Certain items in the prior periods' consolidated financial statements have been reclassified to conform to the current year’s presentation. The Company's consolidated balance sheet as of December 31, 2013 now presents its "securitized mortgage loans, net" and "other investments, net" together as "mortgage loans held for investment, net". In addition, the Company has combined the presentation of its consolidated statements of income and its consolidated statements of other comprehensive income together as one financial statement which is now titled "consolidated statements of comprehensive income". The Company's "interest income - securitized mortgage loans" and "interest income-other investments" on its consolidated statement of income for the three months ended March 31, 2013 is now presented together as "interest income-mortgage loans held for investment" on its consolidated statement of comprehensive income for the three months ended March 31, 2013. These presentation changes have no effect on reported total assets, total liabilities, results of operations, or cash flow activities. | |
Consolidation | |
The consolidated financial statements include the accounts of the Company, its qualified REIT subsidiaries and its taxable REIT subsidiary. The consolidated financial statements represent the Company’s accounts after the elimination of intercompany balances and transactions. The Company consolidates entities in which it owns more than 50% of the voting equity and control does not rest with others and variable interest entities in which it is determined to be the primary beneficiary in accordance with Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 810-10. The Company follows the equity method of accounting for investments in which it owns greater than a 20% and less than 50% interest in partnerships and corporate joint ventures or when it is able to influence the financial and operating policies of the investee but owns less than 50% of the voting equity. The Company did not have any investments in which it owned less than a 50% interest in the voting equity as of March 31, 2014 or December 31, 2013. | |
In accordance with ASC Topic 810-10, the Company also consolidates certain trusts through which it has securitized mortgage loans held for investment. Additional information regarding the accounting policy for its securitized mortgage loans is provided below under "Mortgage Loans Held for Investment, Net". | |
Use of Estimates | |
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenue and expenses during the reported period. Actual results could differ from those estimates. The most significant estimates used by management include, but are not limited to, fair value measurements of its investments, allowance for loan losses, other-than-temporary impairments, contingencies, and amortization of premiums and discounts. These items are discussed further below within this note to the consolidated financial statements. | |
Federal Income Taxes | |
The Company believes it has complied with the requirements for qualification as a REIT under the Internal Revenue Code of 1986, as amended (the "Code"). As such, the Company believes that it qualifies as a REIT for federal income tax purposes, and it generally will not be subject to federal income tax on the amount of its income or gain that is distributed as dividends to shareholders. The Company uses the calendar year for both tax and financial reporting purposes. There may be differences between taxable income and income computed in accordance with GAAP. | |
Mortgage-Backed Securities | |
In accordance with ASC Topic 320, the Company has designated the majority of its investments in MBS as available-for-sale ("AFS"), and the remainder is designated as trading. All of the Company’s MBS are recorded at their fair value on its consolidated balance sheet. Changes in fair value for the Company's AFS securities are reported in other comprehensive income ("OCI") until the security is collected, disposed of, or determined to be other than temporarily impaired. Although the Company generally intends to hold its AFS securities until maturity, it may, from time to time, sell any of these securities as part of the overall management of its business. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of accumulated other comprehensive income ("AOCI") into net income as a realized "gain (loss) on sale of investments, net" using the specific identification method. Changes in the fair value of MBS designated as trading are recognized in net income within "fair value adjustments, net". Gains and losses realized upon the sale, impairment, or other disposal of a trading security are also recognized within "fair value adjustments, net". | |
The Company’s MBS pledged as collateral against repurchase agreements and derivative instruments are included in MBS on the consolidated balance sheets with the fair value of the MBS pledged disclosed parenthetically. | |
Interest Income, Premium Amortization, and Discount Accretion. Interest income on MBS is accrued based on the outstanding principal balance (or notional balance in the case of interest-only, or "IO", securities) and their contractual terms. Premiums and discounts on Agency MBS as well as any non-Agency MBS rated AA and higher at the time of purchase are amortized into interest income over the expected life of such securities using the effective yield method and adjustments to premium amortization are made for actual prepayment activity as well as changes in projected future cash flows in accordance with ASC Topic 310-20. The Company's projections of future cash flows are based on input and analysis received from external sources and internal models, and includes assumptions about the amount and timing of credit losses, loan prepayment rates, fluctuations in interest rates, and other factors. On at least a quarterly basis, the Company reviews and makes any necessary adjustments to its cash flow projections and updates the yield recognized on these assets. | |
The Company has purchased non-Agency MBS rated less than 'AA' by at least one national rating agency at discounts to their par value, and management does not believe these discounts to be substantial. The Company records the discount accretion into income over the security's expected life, which reflects management's estimate of the security's projected cash flows in accordance with ASC Topic 325-40. Future changes in the timing of projected cash flows or differences arising between projected cash flows and actual cash flows received may result in a prospective change in the effective yield on those securities. | |
The accrual of interest on MBS is discontinued when, in the opinion of management, it is probable that all amounts contractually due will not be collected, and in certain instances, as a result of an other-than-temporary impairment analysis (see discussion below). All interest accrued but not collected for investments that are placed on a non-accrual status or are charged-off is reversed against interest income. Interest on these investments is accounted for on the cash-basis or cost-recovery method until the affected investment or investments qualify for return to accrual status. Investments are returned to accrual status when all the principal and interest amounts contractually due are brought current and future payments are reasonably assured. | |
Determination of MBS Fair Value. In accordance with ASC Topic 820, the Company determines the fair value for the majority of its MBS based upon prices obtained from third-party pricing services and broker quotes. The remainder of the Company's MBS are valued by discounting the estimated future cash flows derived from cash flow models that utilize information such as the security's coupon rate, estimated prepayment speeds, expected weighted average life, collateral composition, estimated future interest rates, expected losses, and credit enhancements as well as certain other relevant information. The Company's application of ASC Topic 820 guidance is discussed further in Note 7. | |
Other-than-Temporary Impairment. The Company evaluates all MBS in its investment portfolio for other-than-temporary impairments ("OTTI") by comparing the amortized cost of each security in an unrealized loss position against the present value of expected future cash flows of the security. If there has been a significant adverse change in the cash flow expectations for a security resulting in its amortized cost becoming greater than the present value of its expected future cash flows, an other-than-temporary credit impairment has occurred. If the Company does not intend to sell and is not more likely than not required to sell the security, the credit loss is recognized in earnings and the balance of the unrealized loss is recognized in other comprehensive income (loss). If the Company intends to sell the security or will be more likely than not required to sell the security, the full unrealized loss is recognized in earnings. | |
In periods after the recognition of an OTTI loss for MBS, the Company accounts for the other-than-temporarily impaired MBS as if the debt security had been purchased on the measurement date of the OTTI at an amortized cost basis equal to the previous amortized cost basis less the OTTI recognized in earnings. For MBS for which OTTIs were recognized in earnings, the difference between the new amortized cost basis and the cash flows expected to be collected shall be accreted into interest income using the effective interest method. The Company continues to estimate the present value of cash flows expected to be collected over the life of the MBS. If upon subsequent evaluation, there is an increase in the cash flows expected to be collected or if actual cash flows are greater than cash flows previously expected, such changes will be accounted for as a prospective adjustment to the accretable yield in accordance with ASC Topic 310-30 even if the MBS would not otherwise be within the scope of that guidance. Please see Note 3 for additional information related to the Company's evaluation for OTTI. | |
Mortgage Loans Held for Investment, Net | |
Mortgage loans held for investment consist primarily of securitized mortgage loans reported at amortized cost in accordance with ASC Topic 310-10. Securitized mortgage loans are pledged to support the repayment of securitization financing bonds issued by the Company. The associated securitization financing bonds are treated as debt of the Company and are presented as a portion of "non-recourse collateralized financing" on the consolidated balance sheet. Securitized mortgage loans can only be sold subject to the lien of the respective securitization financing indenture. Less than 2% of the Company's mortgage loans held for investment are unsecuritized; these loans are also reported at amortized cost. In accordance with ASC Topic 310-10, an allowance has been established for currently existing and probable losses on all of the Company's mortgage loans held for investment. | |
Repurchase Agreements | |
Repurchase agreements are treated as financings under which the Company pledges its securities as collateral to secure a loan, which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, the Company is required to repay the loan and concurrently receives back its pledged collateral from the lender or, with the consent of the lender, the Company may renew the agreement at the then prevailing financing rate. A repurchase agreement lender may require the Company to pledge additional collateral in the event of a decline in the fair value of the collateral pledged. Repurchase agreement financing is recourse to the Company and the assets pledged. Most of the Company’s repurchase agreements are based on the September 1996 version of the Bond Market Association Master Repurchase Agreement, which generally provides that the lender, as buyer, is responsible for obtaining collateral valuations from a generally recognized source agreed to by both the Company and the lender, or, in an instance when such source is not available, the value determination is made by the lender. | |
Derivative Instruments | |
The Company accounts for its derivative instruments in accordance with ASC Topic 815. ASC Topic 815 requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. | |
Effective June 30, 2013, the Company discontinued cash flow hedge accounting for derivative instruments which had previously been accounted for as cash flow hedges under ASC Topic 815. Activity up to and including June 30, 2013 for those agreements previously designated as cash flow hedges was recorded in accordance with cash flow hedge accounting as prescribed by ASC Topic 815, which states that the effective portion of the hedge relationship on an instrument designated as a cash flow hedge is reported in the current period's other comprehensive income while the ineffective portion is immediately reported as a component of the current period’s net income. The balance remaining in AOCI related to the de-designated cash flow hedges is amortized into the Company's net income as a portion of "interest expense" over the remaining life of the interest rate swap agreements. Subsequent to June 30, 2013, changes in the fair value of the Company's derivative instruments, plus periodic settlements, are recorded in the Company's net income as a portion of "loss on derivative instruments, net". | |
The Company has Eurodollar futures, which are valued based on closing exchange prices. Variation margin is exchanged daily to settle any changes in the value of the Eurodollar futures. Gains and losses associated with purchases and short sales of futures contracts are reported in "loss on derivative instruments, net" on our consolidated statement of comprehensive income. | |
The Company has elected to use the portfolio exception in ASC 820-10-35-18D with respect to measuring counterparty credit risk for derivative instruments. The Company manages credit risk for its derivative positions on a counterparty-by-counterparty basis (that is, on the basis of its net portfolio exposure with each counterparty), consistent with its risk management strategy for such transactions. The Company manages credit risk by considering indicators of risk such as credit ratings, and by negotiating terms in its ISDA master netting arrangements and, if applicable, any associated Credit Support Annex documentation, with each individual counterparty. Since the effective date of ASC 820, management has monitored and measured credit risk and calculated credit valuation adjustments for its derivative transactions on the basis of its relationships at the counterparty portfolio level. Management receives reports from an independent third-party valuation specialist on a monthly basis providing the credit valuation adjustments at the counterparty portfolio level for purposes of reviewing and managing its credit risk exposures. Since the portfolio exception applies only to the fair value measurement and not to financial statement presentation, the portfolio-level adjustments are then allocated in a reasonable and consistent manner each period to the individual assets or liabilities that make up the group, in accordance with other applicable accounting guidance and the Company's accounting policy elections. | |
Although MBS have characteristics that meet the definition of a derivative instrument, ASC 815 specifically excludes these instruments from its scope because they are accounted for as debt securities under ASC 320. | |
Stock-Based Compensation | |
Pursuant to the Company’s 2009 Stock and Incentive Plan ("SIP"), the Company may grant stock-based compensation to eligible employees, directors or consultants or advisers to the Company, including stock awards, stock options, stock appreciation rights (“SARs”), dividend equivalent rights, performance shares, and restricted stock units. The Company's restricted stock currently issued and outstanding under this plan may be settled only in shares of its common stock, and therefore are treated as equity awards with their fair value measured at the grant date as required by ASC Topic 718. The Company does not currently have any other stock-based compensation issued or outstanding other than restricted stock. Please see Note 8 for additional disclosures regarding the Company's SIP. | |
Contingencies | |
In the normal course of business, there are various lawsuits, claims, and other contingencies pending against the Company. On a quarterly basis, we evaluate whether to establish provisions for estimated losses from those matters in accordance with ASC Topic 450, which states that a liability is recognized for a contingent loss when: (a) the underlying causal event has occurred prior to the balance sheet date; (b) it is probable that a loss has been incurred; and (c) there is a reasonable basis for estimating that loss. A liability is not recognized for a contingent loss when it is only possible or remotely possible that a loss has been incurred, however, possible contingent losses shall be disclosed. If the contingent loss (or an additional loss in excess of any accrual) is at least a reasonable possibility and material, then the Company discloses a reasonable estimate of the possible loss or range of loss, if such reasonable estimate can be made. If the Company cannot make a reasonable estimate of the possible material loss, or range of loss, then that fact is disclosed. Please refer to Note 9 for information on the Company's contingencies. | |
Recent Accounting Pronouncements | |
There are no recently issued accounting pronouncements which have had or are expected to have a material impact on the Company's consolidated financial statements. |
Net_Income_Per_Common_Share
Net Income Per Common Share | 3 Months Ended | |||||||||||||||
Mar. 31, 2014 | ||||||||||||||||
Earnings Per Share, Basic and Diluted [Abstract] | ' | |||||||||||||||
Net Income per Common Share | ' | |||||||||||||||
NET (LOSS) INCOME PER COMMON SHARE | ||||||||||||||||
Net (loss) income per common share is presented on both a basic and diluted basis. Because the Company's Series A Cumulative Redeemable Preferred Stock and Series B Cumulative Redeemable Preferred Stock are redeemable at the Company's option for cash only, and may convert into shares of common stock only upon a change of control of the Company, the effect of those shares is excluded from the calculation of diluted net (loss) income per common share. For the three months ended March 31, 2013, diluted net income per common share assumes the exercise of stock options outstanding during the period using the treasury stock method. The Company did not have any stock options outstanding for the three months ended March 31, 2014. Holders of unvested shares of our issued and outstanding restricted common stock are eligible to receive non-forfeitable dividends. As such, these unvested shares are considered participating securities as per ASC 260-10 and therefore are included in the computation of basic net (loss) income per share using the two-class method. Upon vesting, restrictions on transfer expire on each share of restricted stock, and each such share of restricted is converted to one equal share of common stock. | ||||||||||||||||
The following table presents the calculation of the numerator and denominator for both basic and diluted net (loss) income per common share for the periods indicated: | ||||||||||||||||
For the Three Months Ended | ||||||||||||||||
March 31, 2014 | March 31, 2013 | |||||||||||||||
Net | Weighted-Average Common Shares | Net | Weighted- | |||||||||||||
Income | Income | Average | ||||||||||||||
Common | ||||||||||||||||
Shares | ||||||||||||||||
Net (loss) income | $ | (734 | ) | $ | 19,603 | |||||||||||
Preferred stock dividends | (2,294 | ) | (1,222 | ) | ||||||||||||
Net (loss) income to common shareholders | (3,028 | ) | 54,625,601 | 18,381 | 54,300,020 | |||||||||||
Effect of dilutive stock options | — | — | — | 754 | ||||||||||||
Diluted net (loss) income to common shareholders | $ | (3,028 | ) | 54,625,601 | $ | 18,381 | 54,300,774 | |||||||||
Net (loss) income per common share: | ||||||||||||||||
Basic | $ | (0.06 | ) | $ | 0.34 | |||||||||||
Diluted (1) | $ | (0.06 | ) | $ | 0.34 | |||||||||||
(1) The Company did not have any anti-dilutive securities outstanding during the three months ended March 31, 2014 or March 31, 2013. |
Mortgage_Backed_Securities_Mor
Mortgage Backed Securities Mortgage backed securities (Notes) | 3 Months Ended | ||||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | ' | ||||||||||||||||||||||||||
Mortgage-backed securities | ' | ||||||||||||||||||||||||||
MORTGAGE-BACKED SECURITIES | |||||||||||||||||||||||||||
The following table presents the components and weighted average coupon ("WAC") for the portion of the Company’s MBS designated as AFS as of March 31, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||||
Par | Net Premium (Discount) | Amortized Cost | Gross Unrealized Gain | Gross Unrealized Loss | Fair Value | WAC | |||||||||||||||||||||
Agency: | |||||||||||||||||||||||||||
RMBS | $ | 2,438,133 | $ | 139,899 | $ | 2,578,032 | $ | 6,708 | $ | (45,438 | ) | $ | 2,539,302 | 3.2 | % | ||||||||||||
CMBS | 286,931 | 19,838 | 306,769 | 11,384 | (509 | ) | 317,644 | 5.23 | % | ||||||||||||||||||
CMBS IO (1) | — | 461,523 | 461,523 | 11,581 | (1,859 | ) | 471,245 | 0.94 | % | ||||||||||||||||||
Total Agency AFS: | 2,725,064 | 621,260 | 3,346,324 | 29,673 | (47,806 | ) | 3,328,191 | ||||||||||||||||||||
Non-Agency: | |||||||||||||||||||||||||||
RMBS | 15,454 | (7 | ) | 15,447 | 209 | (86 | ) | 15,570 | 4.42 | % | |||||||||||||||||
CMBS | 375,209 | (17,819 | ) | 357,390 | 19,448 | (842 | ) | 375,996 | 5.05 | % | |||||||||||||||||
CMBS IO (1) | — | 209,301 | 209,301 | 3,374 | (1,148 | ) | 211,527 | 0.8 | % | ||||||||||||||||||
Total non-Agency AFS: | 390,663 | 191,475 | 582,138 | 23,031 | (2,076 | ) | 603,093 | ||||||||||||||||||||
Total AFS securities | $ | 3,115,727 | $ | 812,735 | $ | 3,928,462 | $ | 52,704 | $ | (49,882 | ) | $ | 3,931,284 | ||||||||||||||
-1 | The notional balance for Agency CMBS IO and non-Agency CMBS IO was $10,582,484 and $5,053,884, respectively, as of March 31, 2014. | ||||||||||||||||||||||||||
31-Dec-13 | |||||||||||||||||||||||||||
Par | Net Premium (Discount) | Amortized Cost | Gross Unrealized Gain | Gross Unrealized Loss | Fair Value | WAC | |||||||||||||||||||||
Agency: | |||||||||||||||||||||||||||
RMBS | $ | 2,591,568 | $ | 154,220 | $ | 2,745,788 | $ | 6,104 | $ | (59,742 | ) | $ | 2,692,150 | 3.22 | % | ||||||||||||
CMBS | 273,830 | 19,061 | 292,891 | 10,793 | (900 | ) | 302,784 | 5.07 | % | ||||||||||||||||||
CMBS IO (1) | — | 453,766 | 453,766 | 9,895 | (3,334 | ) | 460,327 | 0.83 | % | ||||||||||||||||||
Total Agency AFS: | 2,865,398 | 627,047 | 3,492,445 | 26,792 | (63,976 | ) | 3,455,261 | ||||||||||||||||||||
Non-Agency: | |||||||||||||||||||||||||||
RMBS | 13,845 | (338 | ) | 13,507 | 338 | (80 | ) | 13,765 | 4.61 | % | |||||||||||||||||
CMBS | 375,703 | (18,277 | ) | 357,426 | 15,366 | (3,511 | ) | 369,281 | 5.1 | % | |||||||||||||||||
CMBS IO (1) | — | 150,518 | 150,518 | 2,618 | (1,999 | ) | 151,137 | 0.66 | % | ||||||||||||||||||
Total non-Agency AFS: | 389,548 | 131,903 | 521,451 | 18,322 | (5,590 | ) | 534,183 | ||||||||||||||||||||
Total AFS securities | $ | 3,254,946 | $ | 758,950 | $ | 4,013,896 | $ | 45,114 | $ | (69,566 | ) | $ | 3,989,444 | ||||||||||||||
-1 | The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $10,160,502 and $4,274,957, respectively, as of December 31, 2013. | ||||||||||||||||||||||||||
The Company has investments in additional Agency CMBS not included in the tables above that are designated as trading securities by the Company with fair values of $28,568 and $28,717 as of March 31, 2014 and December 31, 2013, respectively. Changes in the fair value of these Agency CMBS are recognized each reporting period within "fair value adjustments, net" as a component of the Company's net income. As of March 31, 2014 and December 31, 2013, the amortized cost of these Agency CMBS designated as trading securities was $26,786 and $26,920, respectively. The Company recognized a net unrealized loss for the three months ended March 31, 2014 of $(17) compared to a net unrealized loss of $(107) for the three months ended March 31, 2013, respectively, related to changes in fair value of these Agency CMBS designated as trading securities. | |||||||||||||||||||||||||||
The following table presents certain information for those Agency MBS in an unrealized loss position as of March 31, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
31-Mar-14 | 31-Dec-13 | ||||||||||||||||||||||||||
Fair Value | Gross Unrealized Losses | # of Securities | Fair Value | Gross Unrealized Losses | # of Securities | ||||||||||||||||||||||
Continuous unrealized loss position for less than 12 months: | |||||||||||||||||||||||||||
Agency MBS | $ | 1,563,078 | $ | (29,207 | ) | 120 | $ | 1,912,937 | $ | (43,543 | ) | 150 | |||||||||||||||
Non-Agency MBS | 126,578 | (1,990 | ) | 23 | 162,558 | (5,435 | ) | 39 | |||||||||||||||||||
Continuous unrealized loss position for 12 months or longer: | |||||||||||||||||||||||||||
Agency MBS | $ | 767,744 | $ | (18,600 | ) | 80 | $ | 670,402 | $ | (20,433 | ) | 67 | |||||||||||||||
Non-Agency MBS | 1,676 | (86 | ) | 5 | 6,310 | (155 | ) | 6 | |||||||||||||||||||
Because the principal and interest related to Agency MBS are guaranteed by the government-sponsored entities Fannie Mae and Freddie Mac who have the implicit guarantee of the U.S. government, the Company does not consider any of the unrealized losses on its Agency MBS to be credit related. Although the unrealized losses are not credit related, the Company assesses its ability and intent to hold any Agency MBS with an unrealized loss until the recovery in its value. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s current leverage and anticipated liquidity. Based on this analysis, the Company has determined that the unrealized losses on its Agency MBS as of March 31, 2014 and December 31, 2013 were temporary. | |||||||||||||||||||||||||||
The Company also reviews any non-Agency MBS in an unrealized loss position to evaluate whether any decline in fair value represents an OTTI. The evaluation includes a review of the credit ratings of these non-Agency MBS and the seasoning of the mortgage loans collateralizing these securities as well as the estimated future cash flows which include projected losses. The Company performed this evaluation for the non-Agency MBS in an unrealized loss position and has determined that there have not been any adverse changes in the timing or amount of estimated future cash flows that necessitate a recognition of OTTI amounts as of March 31, 2014 or December 31, 2013. |
Repurchase_Agreements
Repurchase Agreements | 3 Months Ended | |||||||||||
Mar. 31, 2014 | ||||||||||||
REPURCHASE AGREEMENTS [Abstract] | ' | |||||||||||
Repurchase Agreements | ' | |||||||||||
REPURCHASE AGREEMENTS | ||||||||||||
The following tables present the components of the Company’s repurchase agreements as of March 31, 2014 and December 31, 2013 by the fair value and type of securities pledged as collateral: | ||||||||||||
March 31, 2014 | ||||||||||||
Collateral Type | Balance | Weighted | Fair Value of | |||||||||
Average Rate | Collateral Pledged | |||||||||||
Agency RMBS | $ | 2,350,781 | 0.39 | % | 2,421,202 | |||||||
Agency CMBS | 265,475 | 0.37 | % | 330,182 | ||||||||
Agency CMBS IOs | 382,327 | 1.14 | % | 471,173 | ||||||||
Non-Agency RMBS | 11,905 | 1.77 | % | 14,691 | ||||||||
Non-Agency CMBS | 309,398 | 1.22 | % | 371,273 | ||||||||
Non-Agency CMBS IO | 149,105 | 1.23 | % | 187,227 | ||||||||
Securitization financing bonds | 16,692 | 1.52 | % | 18,607 | ||||||||
Deferred costs | (139 | ) | n/a | n/a | ||||||||
$ | 3,485,544 | 0.59 | % | $ | 3,814,355 | |||||||
December 31, 2013 | ||||||||||||
Collateral Type | Balance | Weighted | Fair Value of Collateral Pledged | |||||||||
Average Rate | ||||||||||||
Agency RMBS | $ | 2,522,503 | 0.42 | % | 2,598,158 | |||||||
Agency CMBS | 246,849 | 0.39 | % | 306,318 | ||||||||
Agency CMBS IOs | 369,948 | 1.16 | % | 449,072 | ||||||||
Non-Agency RMBS | 10,569 | 1.8 | % | 12,746 | ||||||||
Non-Agency CMBS | 303,674 | 1.27 | % | 367,859 | ||||||||
Non-Agency CMBS IOs | 106,803 | 1.27 | % | 136,227 | ||||||||
Securitization financing bonds | 20,651 | 1.59 | % | 19,686 | ||||||||
Deferred costs | (243 | ) | n/a | n/a | ||||||||
$ | 3,580,754 | 0.61 | % | $ | 3,890,066 | |||||||
The combined weighted average original term to maturity for the Company’s repurchase agreements decreased to 93 days as of March 31, 2014 from 114 days as of December 31, 2013. The following table provides a summary of the original maturities as of March 31, 2014 and December 31, 2013: | ||||||||||||
Original Maturity | March 31, | December 31, | ||||||||||
2014 | 2013 | |||||||||||
30 days or less | $ | 369,542 | $ | 206,112 | ||||||||
31 to 60 days | 715,516 | 492,145 | ||||||||||
61 to 90 days | 987,579 | 665,020 | ||||||||||
91 to 120 days | 545,628 | 783,371 | ||||||||||
121 to 190 days | 867,418 | 1,434,349 | ||||||||||
$ | 3,485,683 | $ | 3,580,997 | |||||||||
As of March 31, 2014, the Company had approximately $97,517 of its shareholders' equity at risk (defined as the excess of collateral pledged over the borrowing outstanding) with Wells Fargo Bank National Association together with its affiliate Wells Fargo Securities, LLC. The borrowings outstanding with that counterparty and its affiliates as of March 31, 2014 were $348,399 with a weighted average borrowing rate of 1.27%. Of the amount outstanding with this counterparty and its affiliate, $165,693 is under a two-year repurchase facility with Wells Fargo Bank National Association. The facility provides an aggregate maximum borrowing capacity of $250,000 and matures on August 6, 2015, subject to early termination provisions contained in the master repurchase agreement. The facility is collateralized primarily by CMBS IO, and its weighted average borrowing rate as of March 31, 2014 was 1.42%. Shareholders' equity at risk did not exceed 10% for any of the Company's other counterparties. | ||||||||||||
As of March 31, 2014, the Company had repurchase agreement amounts outstanding with 21 of its 31 available counterparties. The Company's counterparties, as set forth in the master repurchase agreement with the counterparty, require the Company to comply with various customary operating and financial covenants, including, but not limited to, minimum net worth, maximum declines in net worth in a given period, and maximum leverage requirements as well as maintaining the Company's REIT status. In addition, some of the agreements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing agreements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the master repurchase agreement. The Company was in compliance with all covenants as of March 31, 2014. |
Derivatives
Derivatives | 3 Months Ended | ||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||||
Derivatives | ' | ||||||||||||||||||||
DERIVATIVES | |||||||||||||||||||||
The Company utilizes a variety of derivative instruments to economically hedge a portion of its exposure to market risks, primarily interest rate risk. The principal instruments used to hedge these risks are interest rate swaps and Eurodollar futures. The objective of the Company's risk management strategy is to protect the Company's earnings from rising interest rates and to mitigate declines in book value resulting from fluctuations in the fair value of the Company's assets from changing interest rates. The Company seeks to limit its exposure to changes in interest rates but does not seek to eliminate this risk. Please refer to Note 1 for information related to the Company's accounting policy for its derivative instruments. | |||||||||||||||||||||
The table below summarizes information about the Company’s derivative instruments on its consolidated balance sheet as of the dates indicated: | |||||||||||||||||||||
March 31, 2014 | 31-Dec-13 | ||||||||||||||||||||
Type of Derivative Instrument | Accounting Designation | Balance Sheet Location: | Fair Value | Aggregate Notional Amount | Fair Value | Aggregate Notional Amount | |||||||||||||||
Interest rate swaps | Non-hedging | Derivative assets | $ | 12,064 | $ | 525,000 | $ | 18,488 | $ | 575,000 | |||||||||||
Interest rate swaps | Non-hedging | $ | (1,378 | ) | $ | 325,000 | $ | (1,336 | ) | $ | 215,000 | ||||||||||
Eurodollar futures | Non-hedging | (9,759 | ) | 9,000,000 | (5,345 | ) | 9,000,000 | ||||||||||||||
Derivative liabilities | $ | (11,137 | ) | $ | 9,325,000 | $ | (6,681 | ) | $ | 9,215,000 | |||||||||||
The following table summarizes activity related to derivative instruments for the periods indicated: | |||||||||||||||||||||
(amounts in thousands) | Interest Rate Swaps | Eurodollar Futures | |||||||||||||||||||
Notional amount as of December 31, 2013 | $ | 790,000 | $ | 9,000,000 | |||||||||||||||||
Additions | 75,000 | — | |||||||||||||||||||
Settlements, terminations, or expirations | (15,000 | ) | — | ||||||||||||||||||
Notional amount as of March 31, 2014(1) | $ | 850,000 | $ | 9,000,000 | |||||||||||||||||
-1 | The Eurodollar futures notional amount as of March 31, 2014 represents the total notional of the 3-month contracts with expiration dates from 2016 to 2020. The maximum notional outstanding for any future 3-month period does not exceed $1,175,000. | ||||||||||||||||||||
The following table summarizes the contractual maturities remaining for the Company’s outstanding interest rate swap agreements as of March 31, 2014: | |||||||||||||||||||||
Remaining | Notional Amount | Weighted-Average | |||||||||||||||||||
Maturity | Fixed Rate Swapped | ||||||||||||||||||||
37-48 months | 185,000 | 0.92 | % | ||||||||||||||||||
49-60 months | 350,000 | 1.62 | % | ||||||||||||||||||
61-72 months | 35,000 | 1.24 | % | ||||||||||||||||||
73-84 months | 100,000 | 2.08 | % | ||||||||||||||||||
85-108 months | — | — | % | ||||||||||||||||||
109-127 months | 180,000 | 2.13 | % | ||||||||||||||||||
$ | 850,000 | 1.61 | % | ||||||||||||||||||
The tables below summarize the effect of the Company's interest rate derivatives reported in "loss on derivative instruments, net" within the Company's net income for the periods indicated: | |||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||
March 31, | |||||||||||||||||||||
Type of Derivative Instrument | 2014 | 2013 | |||||||||||||||||||
Interest rate swaps | $ | (9,008 | ) | $ | (17 | ) | |||||||||||||||
Eurodollar futures | (4,414 | ) | — | ||||||||||||||||||
Loss on derivative instruments, net | $ | (13,422 | ) | $ | (17 | ) | |||||||||||||||
Effective June 30, 2013, the Company de-designated certain interest rate swap agreements as cash flow hedges under ASC Topic 815. The net unrealized loss in AOCI of $7,077 remaining on the Company's consolidated balance sheet as of March 31, 2014 is related to these interest rate swap agreements. The amount remaining in AOCI will be recognized in the Company's net income as a portion of "interest expense" over the remaining contractual life of the agreements. All forecasted transactions associated with interest rate swap agreements previously designated as cash flow hedges are expected to occur. No amounts have been reclassified to net income in any period in connection with forecasted transactions that are no longer considered probable of occurring. The Company estimates the portion of existing net unrealized loss on discontinued cash flow hedges expected to be reclassified to net income within the next 12 months is $5,525. The Company reclassified $2,288 from AOCI to net income for the three months ended March 31, 2014 related to amortization of the net unrealized loss remaining in AOCI at the time the Company discontinued its cash flow hedge accounting. For the three months ended March 31, 2013, the Company reclassified $4,103 from AOCI to net income related to recognition of interest expense from cash flow hedging transactions. | |||||||||||||||||||||
Many of the Company's interest rate swaps were entered into under bilateral agreements which contain various covenants related to the Company’s credit risk. Specifically, if the Company defaults on any of its indebtedness, including those circumstances whereby repayment of the indebtedness has not yet been accelerated by the lender, or is declared in default of any of its covenants with any counterparty, then the Company could also be declared in default under the bilateral agreement. Additionally, these agreements allow those counterparties to require settlement of its outstanding derivative transactions if the Company fails to earn GAAP net income excluding derivative gains and losses greater than one dollar as measured on a rolling two quarter basis. These interest rate agreements also contain provisions whereby, if the Company fails to maintain a minimum net amount of shareholders’ equity, then the Company may be declared in default on its derivative obligations. The Company was in compliance with all covenants under bilateral agreements on March 31, 2014. |
Offsetting_Assets_and_Liabilit
Offsetting Assets and Liabilities (Notes) | 3 Months Ended | |||||||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||||||
Offsetting Assets and Liabilities [Abstract] | ' | |||||||||||||||||||||||
Schedule of Derivative Instruments Offsetting Assets and Liabilities [Table Text Block] | ' | |||||||||||||||||||||||
OFFSETTING ASSETS AND LIABILITIES | ||||||||||||||||||||||||
The Company's derivatives and repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its assets and liabilities subject to these arrangements on a gross basis. The following tables present information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of March 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||
Offsetting of Assets | ||||||||||||||||||||||||
Gross Amount of Recognized Assets | Gross Amount Offset in the Balance Sheet | Net Amount of Assets Presented in the Balance Sheet | Gross Amount Not Offset in the Balance Sheet | Net Amount | ||||||||||||||||||||
Financial Instruments Received as Collateral | Cash Received as Collateral | |||||||||||||||||||||||
31-Mar-14 | ||||||||||||||||||||||||
Derivative assets | $ | 12,064 | $ | — | $ | 12,064 | $ | (395 | ) | $ | (7,954 | ) | $ | 3,715 | ||||||||||
December 31, 2013: | ||||||||||||||||||||||||
Derivative assets | $ | 18,488 | $ | — | $ | 18,488 | $ | (193 | ) | $ | (12,141 | ) | $ | 6,154 | ||||||||||
Offsetting of Liabilities | ||||||||||||||||||||||||
Gross Amount of Recognized Liabilities | Gross Amount Offset in the Balance Sheet | Net Amount of Liabilities Presented in the Balance Sheet | Gross Amount Not Offset in the Balance Sheet | Net Amount | ||||||||||||||||||||
Financial Instruments Posted as Collateral | Cash Posted as Collateral | |||||||||||||||||||||||
31-Mar-14 | ||||||||||||||||||||||||
Derivative liabilities | $ | 11,137 | $ | — | $ | 11,137 | $ | (1,340 | ) | $ | (9,797 | ) | $ | — | ||||||||||
Repurchase agreements | 3,485,544 | — | 3,485,544 | (3,485,544 | ) | — | — | |||||||||||||||||
$ | 3,496,681 | $ | — | $ | 3,496,681 | $ | (3,486,884 | ) | $ | (9,797 | ) | $ | — | |||||||||||
December 31, 2013: | ||||||||||||||||||||||||
Derivative liabilities | $ | 6,681 | $ | — | $ | 6,681 | $ | (1,299 | ) | $ | (5,382 | ) | $ | — | ||||||||||
Repurchase agreements | 3,580,754 | — | 3,580,754 | (3,580,754 | ) | — | — | |||||||||||||||||
$ | 3,587,435 | $ | — | $ | 3,587,435 | $ | (3,582,053 | ) | $ | (5,382 | ) | $ | — | |||||||||||
-1 | Amount disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the asset or liability presented in the balance sheet. The fair value of the actual collateral received by or posted to the same counterparty may exceed the amounts presented. |
Fair_Value_of_Financial_Instru
Fair Value of Financial Instruments (Notes) | 3 Months Ended | |||||||||||||||
Mar. 31, 2014 | ||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||
Fair Value of Financial Instruments | ' | |||||||||||||||
FAIR VALUE OF FINANCIAL INSTRUMENTS | ||||||||||||||||
ASC Topic 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and also requires an entity to consider all aspects of nonperformance risk, including the entity's own credit standing, when measuring fair value of a liability. ASC Topic 820 established a valuation hierarchy of three levels as follows: | ||||||||||||||||
• | Level 1 – Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities as of the measurement date. The fair value measurement of the Company's Eurodollar futures contracts are included in this category. | |||||||||||||||
• | Level 2 – Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs either directly observable or indirectly observable through correlation with market data at the measurement date and for the duration of the instrument’s anticipated life. The Company’s assets and liabilities measured at fair value that are generally included in this category are Agency MBS, certain non-Agency MBS, and interest rate swaps. | |||||||||||||||
• | Level 3 – Unobservable inputs are supported by little or no market activity. The unobservable inputs represent management’s best estimate of how market participants would price the asset or liability at the measurement date. Consideration is given to the risk inherent in the valuation technique and the risk inherent in the inputs to the model. The Company’s assets and liabilities measured at fair value that are generally included in this category are certain non-Agency MBS. | |||||||||||||||
The following table presents the fair value of the Company’s assets and liabilities presented on its consolidated balance sheets, segregated by the hierarchy level of the fair value estimate, that are measured at fair value on a recurring basis as of the dates indicated: | ||||||||||||||||
March 31, 2014 | ||||||||||||||||
Fair Value | Level 1 - Unadjusted Quoted Prices in Active Markets | Level 2 - Observable Inputs | Level 3 - Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Mortgage-backed securities | $ | 3,959,852 | $ | — | $ | 3,893,465 | $ | 66,387 | ||||||||
Derivative assets | 12,064 | — | 12,064 | — | ||||||||||||
Total assets carried at fair value | $ | 3,971,916 | $ | — | $ | 3,905,529 | $ | 66,387 | ||||||||
Liabilities: | ||||||||||||||||
Derivative liabilities | $ | 11,137 | $ | 9,759 | $ | 1,378 | $ | — | ||||||||
Total liabilities carried at fair value | $ | 11,137 | $ | 9,759 | $ | 1,378 | $ | — | ||||||||
December 31, 2013 | ||||||||||||||||
Fair Value | Level 1 - Unadjusted Quoted Prices in Active Markets | Level 2 - Observable Inputs | Level 3 - Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Mortgage-backed securities | $ | 4,018,161 | $ | — | $ | 3,944,681 | $ | 73,480 | ||||||||
Derivative assets | 18,488 | — | 18,488 | — | ||||||||||||
Total assets carried at fair value | $ | 4,036,649 | $ | — | $ | 3,963,169 | $ | 73,480 | ||||||||
Liabilities: | ||||||||||||||||
Derivative liabilities | $ | 6,681 | $ | 5,345 | $ | 1,336 | $ | — | ||||||||
Total liabilities carried at fair value | $ | 6,681 | $ | 5,345 | $ | 1,336 | $ | — | ||||||||
The Company did not have assets or liabilities measured at fair value on a non-recurring basis as of March 31, 2014 or December 31, 2013. | ||||||||||||||||
The Company’s valuation of its interest rate swaps is determined using the income approach. Derivative assets and liabilities include interest rate swaps and Eurodollar futures. The primary input into the valuation of interest rate swaps is the forward interest rate swap curve, which is considered an observable input and thus their fair values are considered Level 2 measurements. The Company's valuation of its Eurodollar futures is based on the closing exchange prices. Accordingly, these financial futures are classified as Level 1. | ||||||||||||||||
The Company’s Agency MBS, as well a majority of its non-Agency MBS, are substantially similar to securities that either are currently actively traded or have been recently traded in their respective market. Their fair values are derived from an average of multiple dealer quotes and thus are considered Level 2 fair value measurements. The Company’s remaining non-Agency MBS are comprised of securities for which there are not substantially similar securities that trade frequently, and their fair values are therefore considered Level 3 measurements. The Company determines the fair value of its Level 3 securities by discounting the estimated future cash flows derived from cash flow models using assumptions that are confirmed to the extent possible by third party dealers or other pricing indicators. Significant inputs into those pricing models are Level 3 in nature due to the lack of readily available market quotes. Information utilized in those pricing models include the security’s credit rating, coupon rate, estimated prepayment speeds, expected weighted average life, collateral composition, estimated future interest rates, expected credit losses, and credit enhancement as well as certain other relevant information. Significant changes in any of these inputs in isolation would result in a significantly different fair value measurement. Generally Level 3 assets are most sensitive to the default rate and severity assumptions. | ||||||||||||||||
The table below presents information about the significant unobservable inputs used in the fair value measurement for the Company's Level 3 non-Agency CMBS and RMBS as of March 31, 2014: | ||||||||||||||||
Quantitative Information about Level 3 Fair Value Measurements (1) | ||||||||||||||||
Prepayment Speed | Default Rate | Severity | Discount Rate | |||||||||||||
Non-Agency CMBS | 20 CPY | 2.5 | % | 35 | % | 8.8 | % | |||||||||
Non-Agency RMBS | 10 CPR | 1 | % | 20 | % | 6.8 | % | |||||||||
-1 | Data presented are weighted averages. | |||||||||||||||
The following table presents the activity of the instruments fair valued at Level 3 during the three months ended March 31, 2014: | ||||||||||||||||
Three Months | ||||||||||||||||
March 31, 2014 | ||||||||||||||||
Level 3 Fair Values | ||||||||||||||||
Non-Agency CMBS | Non-Agency RMBS | Total assets | ||||||||||||||
Balance as of December 31, 2013 | $ | 70,733 | $ | 2,747 | $ | 73,480 | ||||||||||
Change in fair value included in OCI | 27 | (126 | ) | (99 | ) | |||||||||||
Principal payments | (6,993 | ) | (395 | ) | (7,388 | ) | ||||||||||
Accretion | 65 | 329 | 394 | |||||||||||||
Balance as of March 31, 2014 | $ | 63,832 | $ | 2,555 | $ | 66,387 | ||||||||||
The following table presents a summary of the recorded basis and estimated fair values of the Company’s financial instruments as of the dates indicated: | ||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||
Recorded Basis | Fair Value | Recorded Basis | Fair Value | |||||||||||||
Assets: | ||||||||||||||||
Mortgage-backed securities | $ | 3,959,852 | $ | 3,959,852 | $ | 4,018,161 | $ | 4,018,161 | ||||||||
Mortgage loans held for investment, net (1) | 53,804 | 45,188 | 55,423 | 46,383 | ||||||||||||
Derivative assets | 12,064 | 12,064 | 18,488 | 18,488 | ||||||||||||
Liabilities: | ||||||||||||||||
Repurchase agreements (2) | $ | 3,485,544 | $ | 3,485,683 | $ | 3,580,754 | $ | 3,580,997 | ||||||||
Non-recourse collateralized financing (1) | 12,394 | 11,915 | 12,914 | 12,414 | ||||||||||||
Derivative liabilities | 11,137 | 11,137 | 6,681 | 6,681 | ||||||||||||
(1) The Company determines the fair value of its mortgage loans held for investment, net and its non-recourse collateralized financing using internally developed cash flow models with inputs similar to those used to estimate fair value of the Company's Level 3 non-Agency MBS. | ||||||||||||||||
(2) The difference between the recorded basis of repurchase agreements and their fair value is the deferred cost of the 2-year repurchase facility. |
Shareholders_Equity
Shareholders' Equity | 3 Months Ended | |||||
Mar. 31, 2014 | ||||||
Equity [Abstract] | ' | |||||
Shareholders' Equity | ' | |||||
SHAREHOLDERS' EQUITY | ||||||
Preferred Stock | ||||||
The Company has 2,300,000 shares of its 8.50% Series A Cumulative Redeemable Preferred Stock and 2,250,000 shares of its 7.625% Series B Cumulative Redeemable Preferred Stock issued and outstanding as of March 31, 2014 (collectively, the "Preferred Stock"). The Preferred Stock has no maturity and will remain outstanding indefinitely unless redeemed or otherwise repurchased or converted into common stock pursuant to the terms of the Preferred Stock. Except under certain limited circumstances intended to preserve the Company's REIT status, upon the occurrence of a change in control as defined in Article IIIA, Section 7(d) of the Company’s Articles of Incorporation, or to avoid the direct or indirect imposition of a penalty tax in respect of, or to protect the tax status of, any of the Company’s real estate mortgage investment conduits (“REMIC”) interests or a REMIC in which the Company may acquire an interest (as permitted by the Company’s Articles of Incorporation), the Company may not redeem the Series A Preferred Stock prior to July 31, 2017 or the Series B Preferred Stock prior to April 30, 2018. On or after these dates, at any time and from time to time, the Preferred Stock may be redeemed in whole, or in part, at the Company's option at a cash redemption price of $25.00 per share plus any accumulated and unpaid dividends. The Series A Preferred Stock pays a cumulative cash dividend equivalent to 8.50% of the $25.00 liquidation preference per share each year and the Series B Preferred Stock pays a cumulative cash dividend equivalent to 7.625% of the $25.00 liquidation preference per share each year. Because the Preferred Stock is redeemable only at the option of the issuer, it is classified as equity on the Company's consolidated balance sheet. | ||||||
Common Stock | ||||||
The following table presents a summary of the changes in the number of common shares outstanding for the periods presented: | ||||||
Three Months Ended | ||||||
March 31, | ||||||
2014 | 2013 | |||||
Balance as of beginning of period | 54,310,484 | 54,268,915 | ||||
Common stock issued under DRIP | 3,938 | 298,304 | ||||
Common stock issued under ATM program | — | 180,986 | ||||
Common stock issued or redeemed under stock and incentive plans | 442,035 | 139,600 | ||||
Common stock forfeited for tax withholding on share-based compensation | (59,150 | ) | (52,385 | ) | ||
Balance as of end of period | 54,697,307 | 54,835,420 | ||||
The Company had approximately 7,416,520 shares of common stock that remain available to offer and sell through its sales agent, JMP Securities LLC, under its "at the market", or "ATM" program, as of March 31, 2014. | ||||||
The Company's Dividend Reinvestment and Share Purchase Plan ("DRIP") allows registered shareholders to automatically reinvest some or all of their quarterly common stock dividends in shares of the Company’s common stock and provides an opportunity for investors to purchase shares of the Company’s common stock, potentially at a discount to the prevailing market price. Of the 3,000,000 shares reserved for issuance under the Company's DRIP, there were 2,462,960 shares remaining for issuance as of March 31, 2014. The Company declared a first quarter common stock dividend of $0.25 per share payable on April 30, 2014 to shareholders of record as of April 4, 2014. There was no discount for shares purchased through the DRIP during the first quarter of 2014. | ||||||
Of the $50,000 authorized by the Company's Board of Directors for the repurchase of its common stock through December 31, 2014, approximately $42,145 remains available for repurchase at the Company's option as of March 31, 2014. | ||||||
2009 Stock and Incentive Plan. Of the 2,500,000 shares of common stock authorized for issuance under its 2009 Stock and Incentive Plan, the Company had 1,108,083 available for issuance as of March 31, 2014. Total stock-based compensation expense recognized by the Company for the three months ended March 31, 2014 was $672 compared to $489 for the three months ended March 31, 2013. | ||||||
The following table presents a rollforward of the restricted stock activity for the periods indicated: | ||||||
Three Months Ended | ||||||
March 31, | ||||||
2014 | 2013 | |||||
Restricted stock outstanding as of beginning of period | 520,969 | 448,283 | ||||
Restricted stock granted | 428,363 | 139,600 | ||||
Restricted stock vested | (188,620 | ) | (153,720 | ) | ||
Restricted stock outstanding as of end of period | 760,712 | 434,163 | ||||
The restricted stock granted during the three months ended March 31, 2014 and March 31, 2013 had combined fair values of $3,453 and $1,491, respectively, at their grant dates. As of March 31, 2014, the balance of the Company’s outstanding restricted stock remaining to be amortized into compensation expense is $6,092 of which $1,902 is expected to be amortized in the remaining nine months of 2014, $2,161 in 2015, $1,452 in 2016, $541 in 2017, and $36 in 2018. The Company did not have any other type of stock-based compensation issued or outstanding as of March 31, 2014 or December 31, 2013 other than its restricted stock. |
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2014 | |
Commitments and Contingencies Disclosure [Abstract] | ' |
Commitments and Contingencies | ' |
COMMITMENTS AND CONTINGENCIES | |
The Company and its subsidiaries are parties to various legal proceedings. Although the ultimate outcome of those legal proceedings cannot be ascertained at this time, and the results of legal proceedings cannot be predicted with certainty, the Company believes, based on current knowledge, that the resolution of any of these proceedings will not have a material effect on the Company’s consolidated financial condition or liquidity. However, the resolution of any of those proceedings could have a material impact on consolidated results of operations or cash flows in a given future reporting period as the proceedings are resolved. Please refer to Note 1 for information on the Company's accounting policy with respect to accrual for loss contingencies. There have been no material changes during the three months ended March 31, 2014 for the legal proceedings discussed in our Annual Report on Form 10-K for the year ended December 31, 2013. |
Subsequent_Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2014 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
SUBSEQUENT EVENTS | |
Management has evaluated events and circumstances occurring as of and through the date this Quarterly Report on Form 10-Q was filed with the SEC and has determined that there have been no significant events or circumstances that qualify as a "recognized" or "nonrecognized" subsequent event as defined by ASC Topic 855. |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2014 | |
Accounting Policies [Abstract] | ' |
Organization [Text Block] | ' |
Organization | |
Dynex Capital, Inc., ("Company”) was incorporated in the Commonwealth of Virginia on December 18, 1987 and commenced operations in February 1988. The Company primarily earns income from investing on a leveraged basis in mortgage-backed securities ("MBS") that are issued or guaranteed by the U.S. Government or U.S. Government sponsored agencies ("Agency MBS") and MBS issued by others ("non-Agency MBS"). | |
Basis of Presentation [Policy Text Block] | ' |
Basis of Presentation | |
The accompanying consolidated financial statements of Dynex Capital, Inc. and its qualified real estate investment trust (“REIT”) subsidiaries and its taxable REIT subsidiary (together, “Dynex” or the “Company”) have been prepared in accordance with the instructions to the Quarterly Report on Form 10-Q and Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and notes required by accounting principles generally accepted in the United States of America (“GAAP”) for complete financial statements. The financial information included herein is unaudited; however, in the opinion of management, all significant adjustments, consisting of normal recurring accruals considered necessary for a fair presentation of the consolidated financial statements, have been included. Operating results for the three months ended March 31, 2014 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2014. The unaudited consolidated financial statements included herein should be read in conjunction with the audited financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2013 filed with the SEC. | |
Reclassifications [Policy Text Block] | ' |
Reclassifications | |
Certain items in the prior periods' consolidated financial statements have been reclassified to conform to the current year’s presentation. The Company's consolidated balance sheet as of December 31, 2013 now presents its "securitized mortgage loans, net" and "other investments, net" together as "mortgage loans held for investment, net". In addition, the Company has combined the presentation of its consolidated statements of income and its consolidated statements of other comprehensive income together as one financial statement which is now titled "consolidated statements of comprehensive income". The Company's "interest income - securitized mortgage loans" and "interest income-other investments" on its consolidated statement of income for the three months ended March 31, 2013 is now presented together as "interest income-mortgage loans held for investment" on its consolidated statement of comprehensive income for the three months ended March 31, 2013. These presentation changes have no effect on reported total assets, total liabilities, results of operations, or cash flow activities. | |
Consolidation [Policy Text Block] | ' |
Consolidation | |
The consolidated financial statements include the accounts of the Company, its qualified REIT subsidiaries and its taxable REIT subsidiary. The consolidated financial statements represent the Company’s accounts after the elimination of intercompany balances and transactions. The Company consolidates entities in which it owns more than 50% of the voting equity and control does not rest with others and variable interest entities in which it is determined to be the primary beneficiary in accordance with Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 810-10. The Company follows the equity method of accounting for investments in which it owns greater than a 20% and less than 50% interest in partnerships and corporate joint ventures or when it is able to influence the financial and operating policies of the investee but owns less than 50% of the voting equity. The Company did not have any investments in which it owned less than a 50% interest in the voting equity as of March 31, 2014 or December 31, 2013. | |
In accordance with ASC Topic 810-10, the Company also consolidates certain trusts through which it has securitized mortgage loans held for investment. Additional information regarding the accounting policy for its securitized mortgage loans is provided below under "Mortgage Loans Held for Investment, Net". | |
Use of Estimates [Policy Text Block] | ' |
Use of Estimates | |
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenue and expenses during the reported period. Actual results could differ from those estimates. The most significant estimates used by management include, but are not limited to, fair value measurements of its investments, allowance for loan losses, other-than-temporary impairments, contingencies, and amortization of premiums and discounts. These items are discussed further below within this note to the consolidated financial statements. | |
Federal Income Taxes [Policy Text Block] | ' |
Federal Income Taxes | |
The Company believes it has complied with the requirements for qualification as a REIT under the Internal Revenue Code of 1986, as amended (the "Code"). As such, the Company believes that it qualifies as a REIT for federal income tax purposes, and it generally will not be subject to federal income tax on the amount of its income or gain that is distributed as dividends to shareholders. The Company uses the calendar year for both tax and financial reporting purposes. There may be differences between taxable income and income computed in accordance with GAAP. | |
Mortgage Backed Securities [Policy Text Block] | ' |
Mortgage-Backed Securities | |
In accordance with ASC Topic 320, the Company has designated the majority of its investments in MBS as available-for-sale ("AFS"), and the remainder is designated as trading. All of the Company’s MBS are recorded at their fair value on its consolidated balance sheet. Changes in fair value for the Company's AFS securities are reported in other comprehensive income ("OCI") until the security is collected, disposed of, or determined to be other than temporarily impaired. Although the Company generally intends to hold its AFS securities until maturity, it may, from time to time, sell any of these securities as part of the overall management of its business. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of accumulated other comprehensive income ("AOCI") into net income as a realized "gain (loss) on sale of investments, net" using the specific identification method. Changes in the fair value of MBS designated as trading are recognized in net income within "fair value adjustments, net". Gains and losses realized upon the sale, impairment, or other disposal of a trading security are also recognized within "fair value adjustments, net". | |
The Company’s MBS pledged as collateral against repurchase agreements and derivative instruments are included in MBS on the consolidated balance sheets with the fair value of the MBS pledged disclosed parenthetically. | |
Interest Income, Premium Amortization, and Discount Accretion. Interest income on MBS is accrued based on the outstanding principal balance (or notional balance in the case of interest-only, or "IO", securities) and their contractual terms. Premiums and discounts on Agency MBS as well as any non-Agency MBS rated AA and higher at the time of purchase are amortized into interest income over the expected life of such securities using the effective yield method and adjustments to premium amortization are made for actual prepayment activity as well as changes in projected future cash flows in accordance with ASC Topic 310-20. The Company's projections of future cash flows are based on input and analysis received from external sources and internal models, and includes assumptions about the amount and timing of credit losses, loan prepayment rates, fluctuations in interest rates, and other factors. On at least a quarterly basis, the Company reviews and makes any necessary adjustments to its cash flow projections and updates the yield recognized on these assets. | |
The Company has purchased non-Agency MBS rated less than 'AA' by at least one national rating agency at discounts to their par value, and management does not believe these discounts to be substantial. The Company records the discount accretion into income over the security's expected life, which reflects management's estimate of the security's projected cash flows in accordance with ASC Topic 325-40. Future changes in the timing of projected cash flows or differences arising between projected cash flows and actual cash flows received may result in a prospective change in the effective yield on those securities. | |
The accrual of interest on MBS is discontinued when, in the opinion of management, it is probable that all amounts contractually due will not be collected, and in certain instances, as a result of an other-than-temporary impairment analysis (see discussion below). All interest accrued but not collected for investments that are placed on a non-accrual status or are charged-off is reversed against interest income. Interest on these investments is accounted for on the cash-basis or cost-recovery method until the affected investment or investments qualify for return to accrual status. Investments are returned to accrual status when all the principal and interest amounts contractually due are brought current and future payments are reasonably assured. | |
Determination of MBS Fair Value. In accordance with ASC Topic 820, the Company determines the fair value for the majority of its MBS based upon prices obtained from third-party pricing services and broker quotes. The remainder of the Company's MBS are valued by discounting the estimated future cash flows derived from cash flow models that utilize information such as the security's coupon rate, estimated prepayment speeds, expected weighted average life, collateral composition, estimated future interest rates, expected losses, and credit enhancements as well as certain other relevant information. The Company's application of ASC Topic 820 guidance is discussed further in Note 7. | |
Other-than-Temporary Impairment. The Company evaluates all MBS in its investment portfolio for other-than-temporary impairments ("OTTI") by comparing the amortized cost of each security in an unrealized loss position against the present value of expected future cash flows of the security. If there has been a significant adverse change in the cash flow expectations for a security resulting in its amortized cost becoming greater than the present value of its expected future cash flows, an other-than-temporary credit impairment has occurred. If the Company does not intend to sell and is not more likely than not required to sell the security, the credit loss is recognized in earnings and the balance of the unrealized loss is recognized in other comprehensive income (loss). If the Company intends to sell the security or will be more likely than not required to sell the security, the full unrealized loss is recognized in earnings. | |
In periods after the recognition of an OTTI loss for MBS, the Company accounts for the other-than-temporarily impaired MBS as if the debt security had been purchased on the measurement date of the OTTI at an amortized cost basis equal to the previous amortized cost basis less the OTTI recognized in earnings. For MBS for which OTTIs were recognized in earnings, the difference between the new amortized cost basis and the cash flows expected to be collected shall be accreted into interest income using the effective interest method. The Company continues to estimate the present value of cash flows expected to be collected over the life of the MBS. If upon subsequent evaluation, there is an increase in the cash flows expected to be collected or if actual cash flows are greater than cash flows previously expected, such changes will be accounted for as a prospective adjustment to the accretable yield in accordance with ASC Topic 310-30 even if the MBS would not otherwise be within the scope of that guidance. Please see Note 3 for additional information related to the Company's evaluation for OTTI. | |
Mortgage Loans Held for Investment, Net [Policy Text Block] | ' |
Mortgage Loans Held for Investment, Net | |
Mortgage loans held for investment consist primarily of securitized mortgage loans reported at amortized cost in accordance with ASC Topic 310-10. Securitized mortgage loans are pledged to support the repayment of securitization financing bonds issued by the Company. The associated securitization financing bonds are treated as debt of the Company and are presented as a portion of "non-recourse collateralized financing" on the consolidated balance sheet. Securitized mortgage loans can only be sold subject to the lien of the respective securitization financing indenture. Less than 2% of the Company's mortgage loans held for investment are unsecuritized; these loans are also reported at amortized cost. In accordance with ASC Topic 310-10, an allowance has been established for currently existing and probable losses on all of the Company's mortgage loans held for investment. | |
Repurchase Agreements [Policy Text Block] | ' |
Repurchase Agreements | |
Repurchase agreements are treated as financings under which the Company pledges its securities as collateral to secure a loan, which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, the Company is required to repay the loan and concurrently receives back its pledged collateral from the lender or, with the consent of the lender, the Company may renew the agreement at the then prevailing financing rate. A repurchase agreement lender may require the Company to pledge additional collateral in the event of a decline in the fair value of the collateral pledged. Repurchase agreement financing is recourse to the Company and the assets pledged. Most of the Company’s repurchase agreements are based on the September 1996 version of the Bond Market Association Master Repurchase Agreement, which generally provides that the lender, as buyer, is responsible for obtaining collateral valuations from a generally recognized source agreed to by both the Company and the lender, or, in an instance when such source is not available, the value determination is made by the lender. | |
Derivative Instruments [Policy Text Block] | ' |
Derivative Instruments | |
The Company accounts for its derivative instruments in accordance with ASC Topic 815. ASC Topic 815 requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. | |
Effective June 30, 2013, the Company discontinued cash flow hedge accounting for derivative instruments which had previously been accounted for as cash flow hedges under ASC Topic 815. Activity up to and including June 30, 2013 for those agreements previously designated as cash flow hedges was recorded in accordance with cash flow hedge accounting as prescribed by ASC Topic 815, which states that the effective portion of the hedge relationship on an instrument designated as a cash flow hedge is reported in the current period's other comprehensive income while the ineffective portion is immediately reported as a component of the current period’s net income. The balance remaining in AOCI related to the de-designated cash flow hedges is amortized into the Company's net income as a portion of "interest expense" over the remaining life of the interest rate swap agreements. Subsequent to June 30, 2013, changes in the fair value of the Company's derivative instruments, plus periodic settlements, are recorded in the Company's net income as a portion of "loss on derivative instruments, net". | |
The Company has Eurodollar futures, which are valued based on closing exchange prices. Variation margin is exchanged daily to settle any changes in the value of the Eurodollar futures. Gains and losses associated with purchases and short sales of futures contracts are reported in "loss on derivative instruments, net" on our consolidated statement of comprehensive income. | |
The Company has elected to use the portfolio exception in ASC 820-10-35-18D with respect to measuring counterparty credit risk for derivative instruments. The Company manages credit risk for its derivative positions on a counterparty-by-counterparty basis (that is, on the basis of its net portfolio exposure with each counterparty), consistent with its risk management strategy for such transactions. The Company manages credit risk by considering indicators of risk such as credit ratings, and by negotiating terms in its ISDA master netting arrangements and, if applicable, any associated Credit Support Annex documentation, with each individual counterparty. Since the effective date of ASC 820, management has monitored and measured credit risk and calculated credit valuation adjustments for its derivative transactions on the basis of its relationships at the counterparty portfolio level. Management receives reports from an independent third-party valuation specialist on a monthly basis providing the credit valuation adjustments at the counterparty portfolio level for purposes of reviewing and managing its credit risk exposures. Since the portfolio exception applies only to the fair value measurement and not to financial statement presentation, the portfolio-level adjustments are then allocated in a reasonable and consistent manner each period to the individual assets or liabilities that make up the group, in accordance with other applicable accounting guidance and the Company's accounting policy elections. | |
Although MBS have characteristics that meet the definition of a derivative instrument, ASC 815 specifically excludes these instruments from its scope because they are accounted for as debt securities under ASC 320. | |
Stock-based Compensation [Policy Text Block] | ' |
Stock-Based Compensation | |
Pursuant to the Company’s 2009 Stock and Incentive Plan ("SIP"), the Company may grant stock-based compensation to eligible employees, directors or consultants or advisers to the Company, including stock awards, stock options, stock appreciation rights (“SARs”), dividend equivalent rights, performance shares, and restricted stock units. The Company's restricted stock currently issued and outstanding under this plan may be settled only in shares of its common stock, and therefore are treated as equity awards with their fair value measured at the grant date as required by ASC Topic 718. The Company does not currently have any other stock-based compensation issued or outstanding other than restricted stock. Please see Note 8 for additional disclosures regarding the Company's SIP. | |
Contingencies [Policy Text Block] | ' |
Contingencies | |
In the normal course of business, there are various lawsuits, claims, and other contingencies pending against the Company. On a quarterly basis, we evaluate whether to establish provisions for estimated losses from those matters in accordance with ASC Topic 450, which states that a liability is recognized for a contingent loss when: (a) the underlying causal event has occurred prior to the balance sheet date; (b) it is probable that a loss has been incurred; and (c) there is a reasonable basis for estimating that loss. A liability is not recognized for a contingent loss when it is only possible or remotely possible that a loss has been incurred, however, possible contingent losses shall be disclosed. If the contingent loss (or an additional loss in excess of any accrual) is at least a reasonable possibility and material, then the Company discloses a reasonable estimate of the possible loss or range of loss, if such reasonable estimate can be made. If the Company cannot make a reasonable estimate of the possible material loss, or range of loss, then that fact is disclosed. Please refer to Note 9 for information on the Company's contingencies. | |
Recent Accounting Pronouncements [Text Block] | ' |
Recent Accounting Pronouncements | |
There are no recently issued accounting pronouncements which have had or are expected to have a material impact on the Company's consolidated financial statements. |
Net_Income_Per_Common_Share_Ta
Net Income Per Common Share (Tables) | 3 Months Ended | |||||||||||||||
Mar. 31, 2014 | ||||||||||||||||
Earnings Per Share, Basic and Diluted [Abstract] | ' | |||||||||||||||
Schedule of Calculation of Numerator and Denominator in Net Income Per Common Share [Table Text Block] | ' | |||||||||||||||
The following table presents the calculation of the numerator and denominator for both basic and diluted net (loss) income per common share for the periods indicated: | ||||||||||||||||
For the Three Months Ended | ||||||||||||||||
March 31, 2014 | March 31, 2013 | |||||||||||||||
Net | Weighted-Average Common Shares | Net | Weighted- | |||||||||||||
Income | Income | Average | ||||||||||||||
Common | ||||||||||||||||
Shares | ||||||||||||||||
Net (loss) income | $ | (734 | ) | $ | 19,603 | |||||||||||
Preferred stock dividends | (2,294 | ) | (1,222 | ) | ||||||||||||
Net (loss) income to common shareholders | (3,028 | ) | 54,625,601 | 18,381 | 54,300,020 | |||||||||||
Effect of dilutive stock options | — | — | — | 754 | ||||||||||||
Diluted net (loss) income to common shareholders | $ | (3,028 | ) | 54,625,601 | $ | 18,381 | 54,300,774 | |||||||||
Net (loss) income per common share: | ||||||||||||||||
Basic | $ | (0.06 | ) | $ | 0.34 | |||||||||||
Diluted (1) | $ | (0.06 | ) | $ | 0.34 | |||||||||||
(1) The Company did not have any anti-dilutive securities outstanding during the three months ended March 31, 2014 or March 31, 2013. |
Mortgage_Backed_Securities_Mor1
Mortgage Backed Securities Mortgage backed securities (Tables) | 3 Months Ended | ||||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | ' | ||||||||||||||||||||||||||
Available-for-sale Securities [Table Text Block] | ' | ||||||||||||||||||||||||||
The following table presents the components and weighted average coupon ("WAC") for the portion of the Company’s MBS designated as AFS as of March 31, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||||
Par | Net Premium (Discount) | Amortized Cost | Gross Unrealized Gain | Gross Unrealized Loss | Fair Value | WAC | |||||||||||||||||||||
Agency: | |||||||||||||||||||||||||||
RMBS | $ | 2,438,133 | $ | 139,899 | $ | 2,578,032 | $ | 6,708 | $ | (45,438 | ) | $ | 2,539,302 | 3.2 | % | ||||||||||||
CMBS | 286,931 | 19,838 | 306,769 | 11,384 | (509 | ) | 317,644 | 5.23 | % | ||||||||||||||||||
CMBS IO (1) | — | 461,523 | 461,523 | 11,581 | (1,859 | ) | 471,245 | 0.94 | % | ||||||||||||||||||
Total Agency AFS: | 2,725,064 | 621,260 | 3,346,324 | 29,673 | (47,806 | ) | 3,328,191 | ||||||||||||||||||||
Non-Agency: | |||||||||||||||||||||||||||
RMBS | 15,454 | (7 | ) | 15,447 | 209 | (86 | ) | 15,570 | 4.42 | % | |||||||||||||||||
CMBS | 375,209 | (17,819 | ) | 357,390 | 19,448 | (842 | ) | 375,996 | 5.05 | % | |||||||||||||||||
CMBS IO (1) | — | 209,301 | 209,301 | 3,374 | (1,148 | ) | 211,527 | 0.8 | % | ||||||||||||||||||
Total non-Agency AFS: | 390,663 | 191,475 | 582,138 | 23,031 | (2,076 | ) | 603,093 | ||||||||||||||||||||
Total AFS securities | $ | 3,115,727 | $ | 812,735 | $ | 3,928,462 | $ | 52,704 | $ | (49,882 | ) | $ | 3,931,284 | ||||||||||||||
-1 | The notional balance for Agency CMBS IO and non-Agency CMBS IO was $10,582,484 and $5,053,884, respectively, as of March 31, 2014. | ||||||||||||||||||||||||||
31-Dec-13 | |||||||||||||||||||||||||||
Par | Net Premium (Discount) | Amortized Cost | Gross Unrealized Gain | Gross Unrealized Loss | Fair Value | WAC | |||||||||||||||||||||
Agency: | |||||||||||||||||||||||||||
RMBS | $ | 2,591,568 | $ | 154,220 | $ | 2,745,788 | $ | 6,104 | $ | (59,742 | ) | $ | 2,692,150 | 3.22 | % | ||||||||||||
CMBS | 273,830 | 19,061 | 292,891 | 10,793 | (900 | ) | 302,784 | 5.07 | % | ||||||||||||||||||
CMBS IO (1) | — | 453,766 | 453,766 | 9,895 | (3,334 | ) | 460,327 | 0.83 | % | ||||||||||||||||||
Total Agency AFS: | 2,865,398 | 627,047 | 3,492,445 | 26,792 | (63,976 | ) | 3,455,261 | ||||||||||||||||||||
Non-Agency: | |||||||||||||||||||||||||||
RMBS | 13,845 | (338 | ) | 13,507 | 338 | (80 | ) | 13,765 | 4.61 | % | |||||||||||||||||
CMBS | 375,703 | (18,277 | ) | 357,426 | 15,366 | (3,511 | ) | 369,281 | 5.1 | % | |||||||||||||||||
CMBS IO (1) | — | 150,518 | 150,518 | 2,618 | (1,999 | ) | 151,137 | 0.66 | % | ||||||||||||||||||
Total non-Agency AFS: | 389,548 | 131,903 | 521,451 | 18,322 | (5,590 | ) | 534,183 | ||||||||||||||||||||
Total AFS securities | $ | 3,254,946 | $ | 758,950 | $ | 4,013,896 | $ | 45,114 | $ | (69,566 | ) | $ | 3,989,444 | ||||||||||||||
-1 | The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $10,160,502 and $4,274,957, respectively, as of December 31, 2013. | ||||||||||||||||||||||||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block] | ' | ||||||||||||||||||||||||||
The following table presents certain information for those Agency MBS in an unrealized loss position as of March 31, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
31-Mar-14 | 31-Dec-13 | ||||||||||||||||||||||||||
Fair Value | Gross Unrealized Losses | # of Securities | Fair Value | Gross Unrealized Losses | # of Securities | ||||||||||||||||||||||
Continuous unrealized loss position for less than 12 months: | |||||||||||||||||||||||||||
Agency MBS | $ | 1,563,078 | $ | (29,207 | ) | 120 | $ | 1,912,937 | $ | (43,543 | ) | 150 | |||||||||||||||
Non-Agency MBS | 126,578 | (1,990 | ) | 23 | 162,558 | (5,435 | ) | 39 | |||||||||||||||||||
Continuous unrealized loss position for 12 months or longer: | |||||||||||||||||||||||||||
Agency MBS | $ | 767,744 | $ | (18,600 | ) | 80 | $ | 670,402 | $ | (20,433 | ) | 67 | |||||||||||||||
Non-Agency MBS | 1,676 | (86 | ) | 5 | 6,310 | (155 | ) | 6 | |||||||||||||||||||
Repurchase_Agreements_Repurcha
Repurchase Agreements Repurchase Agreements (Tables) | 3 Months Ended | |||||||||||
Mar. 31, 2014 | ||||||||||||
Transfers and Servicing [Abstract] | ' | |||||||||||
Schedule of Assets and Associated Liabilities Accounted for as Secured Borrowings [Table Text Block] | ' | |||||||||||
The following tables present the components of the Company’s repurchase agreements as of March 31, 2014 and December 31, 2013 by the fair value and type of securities pledged as collateral: | ||||||||||||
March 31, 2014 | ||||||||||||
Collateral Type | Balance | Weighted | Fair Value of | |||||||||
Average Rate | Collateral Pledged | |||||||||||
Agency RMBS | $ | 2,350,781 | 0.39 | % | 2,421,202 | |||||||
Agency CMBS | 265,475 | 0.37 | % | 330,182 | ||||||||
Agency CMBS IOs | 382,327 | 1.14 | % | 471,173 | ||||||||
Non-Agency RMBS | 11,905 | 1.77 | % | 14,691 | ||||||||
Non-Agency CMBS | 309,398 | 1.22 | % | 371,273 | ||||||||
Non-Agency CMBS IO | 149,105 | 1.23 | % | 187,227 | ||||||||
Securitization financing bonds | 16,692 | 1.52 | % | 18,607 | ||||||||
Deferred costs | (139 | ) | n/a | n/a | ||||||||
$ | 3,485,544 | 0.59 | % | $ | 3,814,355 | |||||||
December 31, 2013 | ||||||||||||
Collateral Type | Balance | Weighted | Fair Value of Collateral Pledged | |||||||||
Average Rate | ||||||||||||
Agency RMBS | $ | 2,522,503 | 0.42 | % | 2,598,158 | |||||||
Agency CMBS | 246,849 | 0.39 | % | 306,318 | ||||||||
Agency CMBS IOs | 369,948 | 1.16 | % | 449,072 | ||||||||
Non-Agency RMBS | 10,569 | 1.8 | % | 12,746 | ||||||||
Non-Agency CMBS | 303,674 | 1.27 | % | 367,859 | ||||||||
Non-Agency CMBS IOs | 106,803 | 1.27 | % | 136,227 | ||||||||
Securitization financing bonds | 20,651 | 1.59 | % | 19,686 | ||||||||
Deferred costs | (243 | ) | n/a | n/a | ||||||||
$ | 3,580,754 | 0.61 | % | $ | 3,890,066 | |||||||
Repurchase Agreements, Original Maturity Schedule [Table Text Block] | ' | |||||||||||
The following table provides a summary of the original maturities as of March 31, 2014 and December 31, 2013: | ||||||||||||
Original Maturity | March 31, | December 31, | ||||||||||
2014 | 2013 | |||||||||||
30 days or less | $ | 369,542 | $ | 206,112 | ||||||||
31 to 60 days | 715,516 | 492,145 | ||||||||||
61 to 90 days | 987,579 | 665,020 | ||||||||||
91 to 120 days | 545,628 | 783,371 | ||||||||||
121 to 190 days | 867,418 | 1,434,349 | ||||||||||
$ | 3,485,683 | $ | 3,580,997 | |||||||||
Derivatives_Tables
Derivatives (Tables) | 3 Months Ended | ||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | ' | ||||||||||||||||||||
The table below summarizes information about the Company’s derivative instruments on its consolidated balance sheet as of the dates indicated: | |||||||||||||||||||||
March 31, 2014 | 31-Dec-13 | ||||||||||||||||||||
Type of Derivative Instrument | Accounting Designation | Balance Sheet Location: | Fair Value | Aggregate Notional Amount | Fair Value | Aggregate Notional Amount | |||||||||||||||
Interest rate swaps | Non-hedging | Derivative assets | $ | 12,064 | $ | 525,000 | $ | 18,488 | $ | 575,000 | |||||||||||
Interest rate swaps | Non-hedging | $ | (1,378 | ) | $ | 325,000 | $ | (1,336 | ) | $ | 215,000 | ||||||||||
Eurodollar futures | Non-hedging | (9,759 | ) | 9,000,000 | (5,345 | ) | 9,000,000 | ||||||||||||||
Derivative liabilities | $ | (11,137 | ) | $ | 9,325,000 | $ | (6,681 | ) | $ | 9,215,000 | |||||||||||
Description of Derivative Activity Volume | 'The following table summarizes activity related to derivative instruments for the periods indicated:(amounts in thousands)Interest Rate Swaps Eurodollar FuturesNotional amount as of December 31, 2013$790,000 $9,000,000Additions75,000 —Settlements, terminations, or expirations(15,000) —Notional amount as of March 31, 2014(1)$850,000 $9,000,000(1)The Eurodollar futures notional amount as of March 31, 2014 represents the total notional of the 3-month contracts with expiration dates from 2016 to 2020. The maximum notional outstanding for any future 3-month period does not exceed $1,175,000. | ||||||||||||||||||||
Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block] | ' | ||||||||||||||||||||
The following table summarizes the contractual maturities remaining for the Company’s outstanding interest rate swap agreements as of March 31, 2014: | |||||||||||||||||||||
Remaining | Notional Amount | Weighted-Average | |||||||||||||||||||
Maturity | Fixed Rate Swapped | ||||||||||||||||||||
37-48 months | 185,000 | 0.92 | % | ||||||||||||||||||
49-60 months | 350,000 | 1.62 | % | ||||||||||||||||||
61-72 months | 35,000 | 1.24 | % | ||||||||||||||||||
73-84 months | 100,000 | 2.08 | % | ||||||||||||||||||
85-108 months | — | — | % | ||||||||||||||||||
109-127 months | 180,000 | 2.13 | % | ||||||||||||||||||
$ | 850,000 | 1.61 | % | ||||||||||||||||||
Schedule of Derivative Instruments Included in Trading Activities [Table Text Block] | ' | ||||||||||||||||||||
The tables below summarize the effect of the Company's interest rate derivatives reported in "loss on derivative instruments, net" within the Company's net income for the periods indicated: | |||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||
March 31, | |||||||||||||||||||||
Type of Derivative Instrument | 2014 | 2013 | |||||||||||||||||||
Interest rate swaps | $ | (9,008 | ) | $ | (17 | ) | |||||||||||||||
Eurodollar futures | (4,414 | ) | — | ||||||||||||||||||
Loss on derivative instruments, net | $ | (13,422 | ) | $ | (17 | ) |
Offsetting_Assets_and_Liabilit1
Offsetting Assets and Liabilities Offsetting Assets (Tables) | 3 Months Ended | |||||||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||||||
Offsetting Assets [Line Items] | ' | |||||||||||||||||||||||
Offsetting Assets [Table Text Block] | ' | |||||||||||||||||||||||
Offsetting of Assets | ||||||||||||||||||||||||
Gross Amount of Recognized Assets | Gross Amount Offset in the Balance Sheet | Net Amount of Assets Presented in the Balance Sheet | Gross Amount Not Offset in the Balance Sheet | Net Amount | ||||||||||||||||||||
Financial Instruments Received as Collateral | Cash Received as Collateral | |||||||||||||||||||||||
31-Mar-14 | ||||||||||||||||||||||||
Derivative assets | $ | 12,064 | $ | — | $ | 12,064 | $ | (395 | ) | $ | (7,954 | ) | $ | 3,715 | ||||||||||
December 31, 2013: | ||||||||||||||||||||||||
Derivative assets | $ | 18,488 | $ | — | $ | 18,488 | $ | (193 | ) | $ | (12,141 | ) | $ | 6,154 | ||||||||||
Offsetting_Assets_and_Liabilit2
Offsetting Assets and Liabilities Offsetting Liabilities (Tables) | 3 Months Ended | |||||||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||||||
Offsetting Liabilities [Line Items] | ' | |||||||||||||||||||||||
Offsetting Liabilities [Table Text Block] | ' | |||||||||||||||||||||||
Offsetting of Liabilities | ||||||||||||||||||||||||
Gross Amount of Recognized Liabilities | Gross Amount Offset in the Balance Sheet | Net Amount of Liabilities Presented in the Balance Sheet | Gross Amount Not Offset in the Balance Sheet | Net Amount | ||||||||||||||||||||
Financial Instruments Posted as Collateral | Cash Posted as Collateral | |||||||||||||||||||||||
31-Mar-14 | ||||||||||||||||||||||||
Derivative liabilities | $ | 11,137 | $ | — | $ | 11,137 | $ | (1,340 | ) | $ | (9,797 | ) | $ | — | ||||||||||
Repurchase agreements | 3,485,544 | — | 3,485,544 | (3,485,544 | ) | — | — | |||||||||||||||||
$ | 3,496,681 | $ | — | $ | 3,496,681 | $ | (3,486,884 | ) | $ | (9,797 | ) | $ | — | |||||||||||
December 31, 2013: | ||||||||||||||||||||||||
Derivative liabilities | $ | 6,681 | $ | — | $ | 6,681 | $ | (1,299 | ) | $ | (5,382 | ) | $ | — | ||||||||||
Repurchase agreements | 3,580,754 | — | 3,580,754 | (3,580,754 | ) | — | — | |||||||||||||||||
$ | 3,587,435 | $ | — | $ | 3,587,435 | $ | (3,582,053 | ) | $ | (5,382 | ) | $ | — | |||||||||||
Fair_Value_of_Financial_Instru1
Fair Value of Financial Instruments (Tables) | 3 Months Ended | |||||||||||||||
Mar. 31, 2014 | ||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block] | ' | |||||||||||||||
The following table presents the fair value of the Company’s assets and liabilities presented on its consolidated balance sheets, segregated by the hierarchy level of the fair value estimate, that are measured at fair value on a recurring basis as of the dates indicated: | ||||||||||||||||
March 31, 2014 | ||||||||||||||||
Fair Value | Level 1 - Unadjusted Quoted Prices in Active Markets | Level 2 - Observable Inputs | Level 3 - Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Mortgage-backed securities | $ | 3,959,852 | $ | — | $ | 3,893,465 | $ | 66,387 | ||||||||
Derivative assets | 12,064 | — | 12,064 | — | ||||||||||||
Total assets carried at fair value | $ | 3,971,916 | $ | — | $ | 3,905,529 | $ | 66,387 | ||||||||
Liabilities: | ||||||||||||||||
Derivative liabilities | $ | 11,137 | $ | 9,759 | $ | 1,378 | $ | — | ||||||||
Total liabilities carried at fair value | $ | 11,137 | $ | 9,759 | $ | 1,378 | $ | — | ||||||||
December 31, 2013 | ||||||||||||||||
Fair Value | Level 1 - Unadjusted Quoted Prices in Active Markets | Level 2 - Observable Inputs | Level 3 - Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Mortgage-backed securities | $ | 4,018,161 | $ | — | $ | 3,944,681 | $ | 73,480 | ||||||||
Derivative assets | 18,488 | — | 18,488 | — | ||||||||||||
Total assets carried at fair value | $ | 4,036,649 | $ | — | $ | 3,963,169 | $ | 73,480 | ||||||||
Liabilities: | ||||||||||||||||
Derivative liabilities | $ | 6,681 | $ | 5,345 | $ | 1,336 | $ | — | ||||||||
Total liabilities carried at fair value | $ | 6,681 | $ | 5,345 | $ | 1,336 | $ | — | ||||||||
Fair Value Inputs, Assets, Quantitative Information [Table Text Block] | ' | |||||||||||||||
The table below presents information about the significant unobservable inputs used in the fair value measurement for the Company's Level 3 non-Agency CMBS and RMBS as of March 31, 2014: | ||||||||||||||||
Quantitative Information about Level 3 Fair Value Measurements (1) | ||||||||||||||||
Prepayment Speed | Default Rate | Severity | Discount Rate | |||||||||||||
Non-Agency CMBS | 20 CPY | 2.5 | % | 35 | % | 8.8 | % | |||||||||
Non-Agency RMBS | 10 CPR | 1 | % | 20 | % | 6.8 | % | |||||||||
-1 | Data presented are weighted averages. | |||||||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | |||||||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | ' | |||||||||||||||
The following table presents the activity of the instruments fair valued at Level 3 during the three months ended March 31, 2014: | ||||||||||||||||
Three Months | ||||||||||||||||
March 31, 2014 | ||||||||||||||||
Level 3 Fair Values | ||||||||||||||||
Non-Agency CMBS | Non-Agency RMBS | Total assets | ||||||||||||||
Balance as of December 31, 2013 | $ | 70,733 | $ | 2,747 | $ | 73,480 | ||||||||||
Change in fair value included in OCI | 27 | (126 | ) | (99 | ) | |||||||||||
Principal payments | (6,993 | ) | (395 | ) | (7,388 | ) | ||||||||||
Accretion | 65 | 329 | 394 | |||||||||||||
Balance as of March 31, 2014 | $ | 63,832 | $ | 2,555 | $ | 66,387 | ||||||||||
Recorded basis and fair value [Table Text Block] | ' | |||||||||||||||
The following table presents a summary of the recorded basis and estimated fair values of the Company’s financial instruments as of the dates indicated: | ||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||
Recorded Basis | Fair Value | Recorded Basis | Fair Value | |||||||||||||
Assets: | ||||||||||||||||
Mortgage-backed securities | $ | 3,959,852 | $ | 3,959,852 | $ | 4,018,161 | $ | 4,018,161 | ||||||||
Mortgage loans held for investment, net (1) | 53,804 | 45,188 | 55,423 | 46,383 | ||||||||||||
Derivative assets | 12,064 | 12,064 | 18,488 | 18,488 | ||||||||||||
Liabilities: | ||||||||||||||||
Repurchase agreements (2) | $ | 3,485,544 | $ | 3,485,683 | $ | 3,580,754 | $ | 3,580,997 | ||||||||
Non-recourse collateralized financing (1) | 12,394 | 11,915 | 12,914 | 12,414 | ||||||||||||
Derivative liabilities | 11,137 | 11,137 | 6,681 | 6,681 | ||||||||||||
Shareholders_Equity_Tables
Shareholders' Equity (Tables) | 3 Months Ended | |||||
Mar. 31, 2014 | ||||||
Equity [Abstract] | ' | |||||
Schedule of Common Stock Outstanding Roll Forward [Table Text Block] | ' | |||||
The following table presents a summary of the changes in the number of common shares outstanding for the periods presented: | ||||||
Three Months Ended | ||||||
March 31, | ||||||
2014 | 2013 | |||||
Balance as of beginning of period | 54,310,484 | 54,268,915 | ||||
Common stock issued under DRIP | 3,938 | 298,304 | ||||
Common stock issued under ATM program | — | 180,986 | ||||
Common stock issued or redeemed under stock and incentive plans | 442,035 | 139,600 | ||||
Common stock forfeited for tax withholding on share-based compensation | (59,150 | ) | (52,385 | ) | ||
Balance as of end of period | 54,697,307 | 54,835,420 | ||||
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity [Table Text Block] | ' | |||||
The following table presents a rollforward of the restricted stock activity for the periods indicated: | ||||||
Three Months Ended | ||||||
March 31, | ||||||
2014 | 2013 | |||||
Restricted stock outstanding as of beginning of period | 520,969 | 448,283 | ||||
Restricted stock granted | 428,363 | 139,600 | ||||
Restricted stock vested | (188,620 | ) | (153,720 | ) | ||
Restricted stock outstanding as of end of period | 760,712 | 434,163 | ||||
Net_Income_Per_Common_Share_De
Net Income Per Common Share (Details) (USD $) | 3 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ' | ' |
Net (loss) income | ($734) | $19,603 |
Preferred Stock Dividends | -2,294 | -1,222 |
Net (loss) income to common shareholders | -3,028 | 18,381 |
Effect of dilutive stock options, income | 0 | ' |
Diluted net (loss) income | ($3,028) | $18,381 |
Weighted Average Common Shares | 54,625,601 | 54,300,020 |
Effect of dilutive stock options, number of shares | 0 | 754 |
Diluted, Weighted Average Number Common Shares | 54,625,601 | 54,300,774 |
Basic | ($0.06) | $0.34 |
Diluted Net Income Per Common Share | ($0.06) | $0.34 |
Mortgage_Backed_Securities_Mor2
Mortgage Backed Securities Mortgage backed securities designated as AFS (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Available-for-sale MBS, Par Balance | $3,115,727 | ' | $3,254,946 |
Available-for-sale MBS, Net Premium (Discount) | 812,735 | ' | 758,950 |
Available-for-sale MBS, Amortized Cost | 3,928,462 | ' | 4,013,896 |
Available-for-sale MBS, Gross Unrealized Gain | 52,704 | 45,114 | ' |
Available-for-sale MBS, Gross Unrealized Loss | -49,882 | -69,566 | ' |
Available-for-sale MBS, Fair Value | 3,931,284 | ' | 3,989,444 |
Agency MBS [Member] | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Available-for-sale MBS, Par Balance | 2,725,064 | ' | 2,865,398 |
Available-for-sale MBS, Net Premium (Discount) | 621,260 | ' | 627,047 |
Available-for-sale MBS, Amortized Cost | 3,346,324 | ' | 3,492,445 |
Available-for-sale MBS, Gross Unrealized Gain | 29,673 | 26,792 | ' |
Available-for-sale MBS, Gross Unrealized Loss | -47,806 | -63,976 | ' |
Available-for-sale MBS, Fair Value | 3,328,191 | ' | 3,455,261 |
Agency MBS [Member] | Residential Mortgage Backed Securities [Member] | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Available-for-sale MBS, Par Balance | 2,438,133 | ' | 2,591,568 |
Available-for-sale MBS, Net Premium (Discount) | 139,899 | ' | 154,220 |
Available-for-sale MBS, Amortized Cost | 2,578,032 | ' | 2,745,788 |
Available-for-sale MBS, Gross Unrealized Gain | 6,708 | 6,104 | ' |
Available-for-sale MBS, Gross Unrealized Loss | -45,438 | -59,742 | ' |
Available-for-sale MBS, Fair Value | 2,539,302 | ' | 2,692,150 |
Available-for-sale MBS, Weighted Average Coupon | 3.20% | ' | 3.22% |
Agency MBS [Member] | Commercial Mortgage Backed Securities [Member] | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Available-for-sale MBS, Par Balance | 286,931 | ' | 273,830 |
Available-for-sale MBS, Net Premium (Discount) | 19,838 | ' | 19,061 |
Available-for-sale MBS, Amortized Cost | 306,769 | ' | 292,891 |
Available-for-sale MBS, Gross Unrealized Gain | 11,384 | 10,793 | ' |
Available-for-sale MBS, Gross Unrealized Loss | -509 | -900 | ' |
Available-for-sale MBS, Fair Value | 317,644 | ' | 302,784 |
Available-for-sale MBS, Weighted Average Coupon | 5.23% | ' | 5.07% |
Agency MBS [Member] | CMBS IO [Member] | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Available-for-sale MBS, Par Balance | 0 | ' | 0 |
Available-for-sale MBS, notional balance for CMBS IO | 10,582,484 | ' | 4,274,957 |
Available-for-sale MBS, Net Premium (Discount) | 461,523 | ' | 453,766 |
Available-for-sale MBS, Amortized Cost | 461,523 | ' | 453,766 |
Available-for-sale MBS, Gross Unrealized Gain | 11,581 | 9,895 | ' |
Available-for-sale MBS, Gross Unrealized Loss | -1,859 | -3,334 | ' |
Available-for-sale MBS, Fair Value | 471,245 | ' | 460,327 |
Available-for-sale MBS, Weighted Average Coupon | 0.94% | ' | 0.83% |
Non-Agency MBS [Member] | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Available-for-sale MBS, Par Balance | 390,663 | ' | 389,548 |
Available-for-sale MBS, Net Premium (Discount) | 191,475 | ' | 131,903 |
Available-for-sale MBS, Amortized Cost | 582,138 | ' | 521,451 |
Available-for-sale MBS, Gross Unrealized Gain | 23,031 | 18,322 | ' |
Available-for-sale MBS, Gross Unrealized Loss | -2,076 | -5,590 | ' |
Available-for-sale MBS, Fair Value | 603,093 | ' | 534,183 |
Non-Agency MBS [Member] | Residential Mortgage Backed Securities [Member] | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Available-for-sale MBS, Par Balance | 15,454 | ' | 13,845 |
Available-for-sale MBS, Net Premium (Discount) | -7 | ' | -338 |
Available-for-sale MBS, Amortized Cost | 15,447 | ' | 13,507 |
Available-for-sale MBS, Gross Unrealized Gain | 209 | 338 | ' |
Available-for-sale MBS, Gross Unrealized Loss | -86 | -80 | ' |
Available-for-sale MBS, Fair Value | 15,570 | ' | 13,765 |
Available-for-sale MBS, Weighted Average Coupon | 4.42% | ' | 4.61% |
Non-Agency MBS [Member] | Commercial Mortgage Backed Securities [Member] | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Available-for-sale MBS, Par Balance | 375,209 | ' | 375,703 |
Available-for-sale MBS, Net Premium (Discount) | -17,819 | ' | -18,277 |
Available-for-sale MBS, Amortized Cost | 357,390 | ' | 357,426 |
Available-for-sale MBS, Gross Unrealized Gain | 19,448 | 15,366 | ' |
Available-for-sale MBS, Gross Unrealized Loss | -842 | -3,511 | ' |
Available-for-sale MBS, Fair Value | 375,996 | ' | 369,281 |
Available-for-sale MBS, Weighted Average Coupon | 5.05% | ' | 5.10% |
Non-Agency MBS [Member] | CMBS IO [Member] | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Available-for-sale MBS, Par Balance | 0 | ' | 0 |
Available-for-sale MBS, notional balance for CMBS IO | 5,053,884 | ' | 10,160,502 |
Available-for-sale MBS, Net Premium (Discount) | 209,301 | ' | 150,518 |
Available-for-sale MBS, Amortized Cost | 209,301 | ' | 150,518 |
Available-for-sale MBS, Gross Unrealized Gain | 3,374 | 2,618 | ' |
Available-for-sale MBS, Gross Unrealized Loss | -1,148 | -1,999 | ' |
Available-for-sale MBS, Fair Value | 211,527 | ' | 151,137 |
Available-for-sale MBS, Weighted Average Coupon | 0.80% | ' | 0.66% |
Agency MBS [Member] | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Available-for-sale MBS, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 1,563,078 | ' | 1,912,937 |
Available-for-sale MBS, Continuous Unrealized Loss Position, Less than 12 Months, Gross Unrealized Losses | -29,207 | -43,543 | ' |
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for Less than One Year | 120 | ' | 150 |
Available-for-sale MBS, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 767,744 | ' | 670,402 |
Available-for-sale MBS, Continuous Unrealized Loss Position, 12 Months or Longer, Gross Unrealized Losses | -18,600 | -20,433 | ' |
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for Greater than or Equal to One Year | 80 | ' | 67 |
Non-Agency MBS [Member] | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Available-for-sale MBS, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 126,578 | ' | 162,558 |
Available-for-sale MBS, Continuous Unrealized Loss Position, Less than 12 Months, Gross Unrealized Losses | -1,990 | -5,435 | ' |
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for Less than One Year | 23 | ' | 39 |
Available-for-sale MBS, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 1,676 | ' | 6,310 |
Available-for-sale MBS, Continuous Unrealized Loss Position, 12 Months or Longer, Gross Unrealized Losses | ($86) | ($155) | ' |
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for Greater than or Equal to One Year | 5 | ' | 6 |
Mortgage_Backed_Securities_Mor3
Mortgage Backed Securities Mortgage backed securities designated as Trading (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ' |
Trading MBS, Fair Value | $28,568 | ' | $28,717 |
Trading MBS, Amortized cost | 26,786 | ' | 26,920 |
Unrealized Loss on Trading Securities | ($17) | ($107) | ' |
Repurchase_Agreements_Details
Repurchase Agreements (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
REPURCHASE AGREEMENTS [Abstract] | ' | ' | ' |
Repurchase Agreements, Maturities | 'P93D | 'P114D | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' | ' |
Repurchase agreement, balance | $3,485,544 | ' | $3,580,754 |
Repurchage agreement, Weighted Average Interest Rate | 0.59% | ' | 0.61% |
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 3,814,355 | ' | 3,890,066 |
Deferred Costs | -139 | ' | -243 |
Bonds [Member] | ' | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' | ' |
Repurchase agreement, balance | 16,692 | ' | 20,651 |
Repurchage agreement, Weighted Average Interest Rate | 1.52% | ' | 1.59% |
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 18,607 | ' | 19,686 |
Residential Mortgage Backed Securities [Member] | Agency MBS [Member] | ' | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' | ' |
Repurchase agreement, balance | 2,350,781 | ' | 2,522,503 |
Repurchage agreement, Weighted Average Interest Rate | 0.39% | ' | 0.42% |
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 2,421,202 | ' | 2,598,158 |
Residential Mortgage Backed Securities [Member] | Non-Agency MBS [Member] | ' | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' | ' |
Repurchase agreement, balance | 11,905 | ' | 10,569 |
Repurchage agreement, Weighted Average Interest Rate | 1.77% | ' | 1.80% |
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 14,691 | ' | 12,746 |
Commercial Mortgage Backed Securities [Member] | Agency MBS [Member] | ' | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' | ' |
Repurchase agreement, balance | 265,475 | ' | 246,849 |
Repurchage agreement, Weighted Average Interest Rate | 0.37% | ' | 0.39% |
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 330,182 | ' | 306,318 |
Commercial Mortgage Backed Securities [Member] | Non-Agency MBS [Member] | ' | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' | ' |
Repurchase agreement, balance | 309,398 | ' | 303,674 |
Repurchage agreement, Weighted Average Interest Rate | 1.22% | ' | 1.27% |
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 371,273 | ' | 367,859 |
CMBS IO [Member] | Agency MBS [Member] | ' | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' | ' |
Repurchase agreement, balance | 382,327 | ' | 369,948 |
Repurchage agreement, Weighted Average Interest Rate | 1.14% | ' | 1.16% |
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | 471,173 | ' | 449,072 |
CMBS IO [Member] | Non-Agency MBS [Member] | ' | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' | ' |
Repurchase agreement, balance | 149,105 | ' | 106,803 |
Repurchage agreement, Weighted Average Interest Rate | 1.23% | ' | 1.27% |
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | $187,227 | ' | $136,227 |
Repurchase_Agreements_Repurcha1
Repurchase Agreements Repurchase Agreements By Maturity Period (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Deferred Costs | $139 | $243 |
Maturity up to 30 days [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements, Maturities | 369,542 | 206,112 |
Maturity 31 to 60 days [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements, Maturities | 715,516 | 492,145 |
Matuity 61 to 90 days [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements, Maturities | 987,579 | 665,020 |
Maturity 91 to 120 days [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements, Maturities | 545,628 | 783,371 |
Maturity 121 to 190 days [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements, Maturities | 867,418 | 1,434,349 |
Repurchase Agreements [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements, Maturities | $3,485,683 | $3,580,997 |
Repurchase_Agreements_Counterp
Repurchase Agreements Counterparty Information (Details) (USD $) | Mar. 31, 2014 |
In Thousands, unless otherwise specified | Agreements |
Counterparty Information [Line Items] | ' |
Equity at Risk | $97,517 |
Amount outstanding with counterparty | 348,399 |
Weighted average interest rate, amount outstanding with counterparty | 1.27% |
Line of Credit Facility, Amount Outstanding | 165,693 |
Line of Credit Facility, Maximum Borrowing Capacity | $250,000 |
Line of Credit Facility, Interest Rate at Period End | 1.42% |
Number of Counterparties with Borrowings Outstanding | 21 |
Available Repurchase Agreement Counterparties | 31 |
Derivatives_Details
Derivatives (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Derivative [Line Items] | ' | ' | ' |
Derivative Liability, Fair Value, Gross Liability | $11,137 | ' | $6,681 |
Derivative assets | 12,064 | ' | 18,488 |
Derivative Liabilities | -11,137 | ' | -6,681 |
Description of Derivative Activity Volume | 'The following table summarizes activity related to derivative instruments for the periods indicated:(amounts in thousands)Interest Rate Swaps Eurodollar FuturesNotional amount as of December 31, 2013$790,000 $9,000,000Additions75,000 —Settlements, terminations, or expirations(15,000) —Notional amount as of March 31, 2014(1)$850,000 $9,000,000(1)The Eurodollar futures notional amount as of March 31, 2014 represents the total notional of the 3-month contracts with expiration dates from 2016 to 2020. The maximum notional outstanding for any future 3-month period does not exceed $1,175,000. | ' | ' |
Loss on derivative instruments, net | -13,422 | -17 | ' |
Not Designated as Hedging Instrument [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative assets | 12,064 | ' | 18,488 |
Derivative Asset, Notional Amount | 525,000 | ' | 575,000 |
Derivative Liabilities | -11,137 | ' | -6,681 |
Derivative Liability, Notional Amount | 9,325,000 | ' | 9,215,000 |
Interest Rate Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Notional Amount | ' | ' | 790,000 |
Gain (Loss) on Derivative Instruments Held for Trading Purposes, Net | -9,008 | -17 | ' |
Weighted-average Fixed Rate Swapped | 1.61% | ' | ' |
Interest Rate Swap [Member] | Not Designated as Hedging Instrument [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | -1,378 | ' | -1,336 |
Derivative Liability, Notional Amount | 325,000 | ' | 215,000 |
Derivative, Notional Amount | 850,000 | ' | ' |
Eurodollar Future [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Notional Amount | ' | ' | 9,000,000 |
Notional Amount of Derivative Instruments Added | 0 | ' | ' |
Notional Amount of Derivative Instruments Terminated | 0 | ' | ' |
Gain (Loss) on Derivative Instruments Held for Trading Purposes, Net | -4,414 | 0 | ' |
Eurodollar Future [Member] | Not Designated as Hedging Instrument [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | -9,759 | ' | -5,345 |
Derivative Liability, Notional Amount | 9,000,000 | ' | 9,000,000 |
Derivative, Notional Amount | 9,000,000 | ' | ' |
Interest Rate Swap Agreements, Maturities in Next 37-48 Months [Member] | Interest Rate Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Notional Amount | 185,000 | ' | ' |
Weighted-average Fixed Rate Swapped | 0.92% | ' | ' |
Interest Rate Swap Agreements, Maturities in Next 49-60 Months [Member] | Interest Rate Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Notional Amount | 350,000 | ' | ' |
Weighted-average Fixed Rate Swapped | 1.62% | ' | ' |
Interest Rate Swap Agreements, Maturities in Next 61-72 Months [Member] | Interest Rate Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Notional Amount | 35,000 | ' | ' |
Weighted-average Fixed Rate Swapped | 1.24% | ' | ' |
Interest Rate Swap Agreements, Maturities in Next 73-84 Months [Member] | Interest Rate Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Notional Amount | 100,000 | ' | ' |
Weighted-average Fixed Rate Swapped | 2.08% | ' | ' |
Interest Rate Swap Agreements, Maturities in Next 109-127 Months [Member] | Interest Rate Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Notional Amount | 180,000 | ' | ' |
Weighted-average Fixed Rate Swapped | 2.13% | ' | ' |
Interest Rate Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Notional Amount of Derivative Instruments Added | 75,000 | ' | ' |
Notional Amount of Derivative Instruments Terminated | $15,000 | ' | ' |
Derivatives_Derivative_Effect_
Derivatives Derivative Effect on Accumulated Other Comprehensive Income (Details) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Derivative [Line Items] | ' | ' |
Accumulated Other Comprehensive Income (Loss), Cumulative Changes in Net Gain (Loss) from Cash Flow Hedges, Effect Net of Tax | $7,077,000 | ' |
Derivative Instruments, Gain (Loss) Reclassified from Accumulated OCI into Income, Effective Portion, Net | ' | 4,103 |
Dedesignated cash flow hedge amortization | 0 | ' |
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | $5,525,000 | ' |
Offsetting_Assets_and_Liabilit3
Offsetting Assets and Liabilities Offsetting Assets (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Offsetting Assets [Line Items] | ' | ' |
Derivative Asset, Fair Value, Gross Asset | $12,064 | $18,488 |
Derivative Asset, Fair Value, Gross Liability | 0 | 0 |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 12,064 | 18,488 |
Derivative, Collateral, Obligation to Return Securities | -395 | -193 |
Derivative, Collateral, Obligation to Return Cash | -7,954 | -12,141 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | $3,715 | $6,154 |
Offsetting_Assets_and_Liabilit4
Offsetting Assets and Liabilities Offsettting Liabilities (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Offsetting Liabilities [Line Items] | ' | ' |
Derivative Liability, Fair Value, Gross Liability | $11,137 | $6,681 |
Derivative Liability, Fair Value, Gross Asset | 0 | 0 |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 11,137 | 6,681 |
Derivative, Collateral, Right to Reclaim Securities | -1,340 | -1,299 |
Derivative, Collateral, Right to Reclaim Cash | -9,797 | -5,382 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | 0 |
Securities Sold under Agreements to Repurchase, Gross | 3,485,544 | 3,580,754 |
Securities Sold under Agreements to Repurchase, Asset | 0 | 0 |
Repurchase agreements | 3,485,544 | 3,580,754 |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities | -3,485,544 | -3,580,754 |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Cash | 0 | 0 |
Securities Sold under Agreements to Repurchase, Amount Offset Against Collateral | 0 | 0 |
Derivative Liability, Securities Sold under Agreements to Resell, Securities Loaned, Gross | 3,496,681 | 3,587,435 |
Derivative Liability, Securities Sold under Agreements to Resell, Securities Loaned, Asset | 0 | 0 |
Derivative Liability, Securities Sold under Agreements to Resell, Securities Loaned | 3,496,681 | 3,587,435 |
Derivative Liability, Securities Sold under Agreements to Resell, Securities Loaned, Collateral, Right to Reclaim Securities | -3,486,884 | -3,582,053 |
Derivative Liability, Securities Sold under Agreements to Resell, Securities Loaned, Collateral, Right to Reclaim Cash | -9,797 | -5,382 |
Derivative Liability, Securities Sold under Agreements to Resell, Securities Loaned, Amount Offset Against Collateral | $0 | $0 |
Fair_Value_of_Financial_Instru2
Fair Value of Financial Instruments Fair Value on a Recurring Basis (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Mortgage-backed securities | $3,959,852 | $4,018,161 |
Derivative assets | 12,064 | 18,488 |
Derivative Liabilities | 11,137 | 6,681 |
Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Mortgage-backed securities | 3,959,852 | 4,018,161 |
Other Investments, Fair Value Disclosure | ' | 18,488 |
Derivative assets | 12,064 | ' |
Total assets carried at fair value | 3,971,916 | 4,036,649 |
Derivative Liabilities | 11,137 | 6,681 |
Total liabilities carried at fair value | 11,137 | 6,681 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Mortgage-backed securities | 0 | 0 |
Other Investments, Fair Value Disclosure | ' | 0 |
Derivative assets | 0 | ' |
Total assets carried at fair value | 0 | 0 |
Derivative Liabilities | 9,759 | 5,345 |
Total liabilities carried at fair value | 9,759 | 5,345 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Mortgage-backed securities | 3,893,465 | 3,944,681 |
Other Investments, Fair Value Disclosure | ' | 18,488 |
Derivative assets | 12,064 | ' |
Total assets carried at fair value | 3,905,529 | 3,963,169 |
Derivative Liabilities | 1,378 | 1,336 |
Total liabilities carried at fair value | 1,378 | 1,336 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Mortgage-backed securities | 66,387 | 73,480 |
Other Investments, Fair Value Disclosure | ' | 0 |
Derivative assets | 0 | ' |
Total assets carried at fair value | 66,387 | 73,480 |
Derivative Liabilities | 0 | 0 |
Total liabilities carried at fair value | $0 | $0 |
Fair_Value_of_Financial_Instru3
Fair Value of Financial Instruments Significant Unobservable Inputs Level 3 (Details) (Fair Value, Measurements, Recurring [Member], Fair Value, Inputs, Level 3 [Member]) | 3 Months Ended |
Mar. 31, 2014 | |
Commercial Mortgage Backed Securities [Member] | ' |
Fair Value Inputs, Quantitative Information [Abstract] | ' |
Fair Value Inputs, Prepayment Rate | 0.00% |
Fair Value Inputs, Probability of Default | 0.00% |
Fair Value Inputs, Loss Severity | 0.00% |
Fair Value Inputs, Discount Rate | 0.00% |
Residential Mortgage Backed Securities [Member] | ' |
Fair Value Inputs, Quantitative Information [Abstract] | ' |
Fair Value Inputs, Prepayment Rate | 0.00% |
Fair Value Inputs, Probability of Default | 0.00% |
Fair Value Inputs, Loss Severity | 0.00% |
Fair Value Inputs, Discount Rate | 0.00% |
Fair_Value_of_Financial_Instru4
Fair Value of Financial Instruments Level 3 (Details) (Fair Value, Measurements, Recurring [Member], Fair Value, Inputs, Level 3 [Member], USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2014 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' |
Balance at the beginning of the period | $73,480 |
Unrealized (loss) gain included in OCI | -99 |
Principal payments | -7,388 |
Amortization | 394 |
Balance at the end of the period | 66,387 |
Non-Agency CMBS [Member] | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' |
Balance at the beginning of the period | 70,733 |
Unrealized (loss) gain included in OCI | 27 |
Principal payments | -6,993 |
Amortization | 65 |
Balance at the end of the period | 63,832 |
Non-Agency RMBS [Member] | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' |
Balance at the beginning of the period | 2,747 |
Unrealized (loss) gain included in OCI | -126 |
Principal payments | -395 |
Amortization | 329 |
Balance at the end of the period | $2,555 |
Fair_Value_of_Financial_Instru5
Fair Value of Financial Instruments Recorded basis and Fair Value (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Derivative assets | $12,064 | $18,488 |
Derivative Liabilities, Fair Value Disclosure | 11,137 | 6,681 |
Carrying (Reported) Amount, Fair Value Disclosure [Member] | Fair Value, Measurements, Recurring [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Mortgage-backed securities, Fair Value Disclosure | 3,959,852 | 4,018,161 |
Mortgage loans held for investment, net, Fair Value Disclosure | 53,804 | 55,423 |
Derivative assets | 12,064 | 18,488 |
Repurchase Agreements, Fair Value Disclosure | 3,485,544 | 3,580,754 |
Non-recourse collateralized financing, Fair Value Disclosure | 12,394 | 12,914 |
Derivative Liabilities, Fair Value Disclosure | 11,137 | 6,681 |
Estimate of Fair Value, Fair Value Disclosure [Member] | Fair Value, Measurements, Recurring [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Mortgage-backed securities, Fair Value Disclosure | 3,959,852 | 4,018,161 |
Mortgage loans held for investment, net, Fair Value Disclosure | 45,188 | 46,383 |
Derivative assets | 12,064 | 18,488 |
Repurchase Agreements, Fair Value Disclosure | 3,485,683 | 3,580,997 |
Non-recourse collateralized financing, Fair Value Disclosure | 11,915 | 12,414 |
Derivative Liabilities, Fair Value Disclosure | $11,137 | $6,681 |
Shareholders_Equity_Details
Shareholders' Equity (Details) (USD $) | 3 Months Ended | 3 Months Ended | |||||||||
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2014 | Mar. 31, 2014 |
At the market progam [Member] | At the market progam [Member] | Series A Preferred Stock [Member] | Series A Preferred Stock [Member] | Series B Preferred Stock [Member] | Series B Preferred Stock [Member] | Common Stock [Member] | Restricted Stock [Member] | Four to five years [Member] | |||
At the market progam [Member] | Restricted Stock [Member] | ||||||||||
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Nonvested restricted stock, fair value remaining to be amortized | ' | ' | ' | ' | ' | ' | ' | ' | ' | $6,092 | $541 |
Preferred Stock, Dividend Rate, Percentage | ' | ' | ' | ' | 8.50% | ' | 7.63% | ' | ' | ' | ' |
Preferred Stock, Liquidation Preference Per Share | $25 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred Stock, Shares Issued | ' | ' | ' | ' | 2,300,000 | 2,300,000 | 2,250,000 | 2,250,000 | ' | ' | ' |
Shareholders' Equity, Common Stock [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance at beginning of period | 54,310,484 | 54,268,915 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock issued under DRIP | 3,938 | 298,304 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock issued under ATM program | ' | ' | 0 | 180,986 | ' | ' | ' | ' | ' | ' | ' |
Common stock issued or redeemed under Stock and Incentive Plans | 442,035 | 139,600 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock forfeited for tax withholding on share-based compensation | -59,150 | -52,385 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance at end of period | 54,697,307 | 54,835,420 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
ATM program, authorized shares remaining | ' | ' | ' | ' | ' | ' | ' | ' | 7,416,520 | ' | ' |
Dividend reinvestment plan, shares authorized | 3,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends declared per common share | $0.25 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock Repurchase Program, Authorized Amount | 50,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $42,145 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock issued during period, remaining shares available, dividend reinvestment plan | 2,462,960 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Shareholders_Equity_Sharebased
Shareholders' Equity Share-based Compensation (Details) (USD $) | 3 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' |
Share-based incentive plan, number of shares authorized for issuance | 2,500,000 | ' |
Share-based incentive plan, number of shares remaining for issuance | 1,108,083 | ' |
Total share-based compensation expense | $672 | $489 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options | ' | ' |
Granting and vesting of restricted stock | 672 | 456 |
Restricted Stock [Member] | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options | ' | ' |
Restricted stock outstanding at beginning of the period | 520,969 | 448,283 |
Restricted stock granted during the period | 428,363 | 139,600 |
Restricted stock vested during the period | -188,620 | -153,720 |
Restricted stock outstanding at end of the period | 760,712 | 434,163 |
Granting and vesting of restricted stock | 3,453 | 1,491 |
Nonvested restricted stock, fair value remaining to be amortized | 6,092 | ' |
Restricted Stock [Member] | Up to one year [Member] | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options | ' | ' |
Nonvested restricted stock, fair value remaining to be amortized | 1,902 | ' |
Restricted Stock [Member] | Two to three years [Member] | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options | ' | ' |
Nonvested restricted stock, fair value remaining to be amortized | 2,161 | ' |
Restricted Stock [Member] | Three to four years [Member] | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options | ' | ' |
Nonvested restricted stock, fair value remaining to be amortized | 1,452 | ' |
Restricted Stock [Member] | Four to five years [Member] | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options | ' | ' |
Nonvested restricted stock, fair value remaining to be amortized | 541 | ' |
Restricted Stock [Member] | Five years or more [Member] | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options | ' | ' |
Nonvested restricted stock, fair value remaining to be amortized | $36 | ' |