Document_and_Entity_Informatio
Document and Entity Information (USD $) | 9 Months Ended | ||
Sep. 30, 2014 | Nov. 03, 2014 | Jun. 30, 2013 | |
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 | 30-Sep-14 | ' | ' |
Document Fiscal Year Focus | '2014 | ' | ' |
Document Fiscal Period Focus | 'Q3 | ' | ' |
Amendment Flag | 'false | ' | ' |
Entity Common Stock, Shares Outstanding | ' | 54,736,663 | ' |
Entity Well-known Seasoned Issuer | 'No | ' | ' |
Entity Voluntary Filers | 'No | ' | ' |
Entity Current Reporting Status | 'Yes | ' | ' |
Entity Public Float | ' | ' | $518,414,092 |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
ASSETS | ' | ' |
Mortgage-backed securities | $3,615,393 | $4,018,161 |
Mortgage loans held for investment, net | 41,454 | 55,423 |
Cash and cash equivalents | 56,639 | 69,330 |
Restricted cash | 32,755 | 13,385 |
Derivative assets | 7,297 | 18,488 |
Receivable for securities sold | 16,321 | 0 |
Principal receivable on investments | 11,124 | 12,999 |
Accrued interest receivable | 20,986 | 21,703 |
Other assets, net | 11,542 | 7,648 |
Total assets | 3,813,511 | 4,217,137 |
Liabilities: | ' | ' |
Repurchase agreements | 3,150,254 | 3,580,754 |
Payable for unsettled mortgage-backed securities | 0 | 10,358 |
Non recourse collateralized financing | 11,194 | 12,914 |
Derivative Liabilities | 18,058 | 6,681 |
Accrued interest payable | 1,492 | 2,548 |
Accrued dividends payable | 15,621 | 16,601 |
Other liabilities | 2,845 | 1,405 |
Total liabilities | 3,199,464 | 3,631,261 |
Shareholders’ equity: | ' | ' |
Common stock, par value $.01 per share, 200,000,000 shares authorized; 54,734,817 and 54,310,484 shares issued and outstanding, respectively | 547 | 543 |
Additional paid-in capital | 763,228 | 761,550 |
Accumulated other comprehensive income (loss) | 16,462 | -33,816 |
Accumulated deficit | -275,848 | -252,059 |
Total shareholders' equity | 614,047 | 585,876 |
Total liabilities and shareholders’ equity | 3,813,511 | 4,217,137 |
Series A Preferred Stock [Member] | ' | ' |
Shareholders’ equity: | ' | ' |
Preferred Stock, par value $.01 per share, 8.5% Series A Cumulative Redeemable; 8,000,000 shares authorized; 2,300,000 shares issued and outstanding ($57,500 aggregate liquidation preference) | 55,407 | 55,407 |
Preferred Stock, par value $.01 per share, 7.625% Series B Cumulative Redeemable; 7,000,000 shares authorized 2,250,000 shares issued and outstanding ($56,250 aggregate liquidation preference) | 55,407 | 55,407 |
Series B Preferred Stock [Member] | ' | ' |
Shareholders’ equity: | ' | ' |
Preferred Stock, par value $.01 per share, 8.5% Series A Cumulative Redeemable; 8,000,000 shares authorized; 2,300,000 shares issued and outstanding ($57,500 aggregate liquidation preference) | 54,251 | 54,251 |
Preferred Stock, par value $.01 per share, 7.625% Series B Cumulative Redeemable; 7,000,000 shares authorized 2,250,000 shares issued and outstanding ($56,250 aggregate liquidation preference) | $54,251 | $54,251 |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, except Share data, unless otherwise specified | ||
ASSETS | ' | ' |
Pledged MBS | $3,420,668 | $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 | 54,734,817 | 54,310,484 |
Common stock, shares outstanding | 54,734,817 | 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 | 9 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Interest income: | ' | ' | ' | ' |
Mortgage-backed securities | $25,207 | $30,820 | $79,104 | $95,827 |
Mortgage loans held for investment | 793 | 846 | 2,255 | 2,711 |
Total interest income | 26,000 | 31,666 | 81,359 | 98,538 |
Interest expense: | ' | ' | ' | ' |
Repurchase agreements | 6,028 | 8,477 | 20,187 | 29,860 |
Non recourse collateralized financing | 30 | 241 | 76 | 760 |
Total interest expense | 6,058 | 8,718 | 20,263 | 30,620 |
Net interest income | 19,942 | 22,948 | 61,096 | 67,918 |
Provision for loan losses | 0 | 0 | 0 | -261 |
Gain (loss) on derivative instruments, net | 4,842 | -24,019 | -31,654 | -12,683 |
Gain (loss) on sale of investments, net | 9,057 | -825 | 5,273 | 2,597 |
Fair value adjustments, net | 42 | 150 | 162 | -590 |
Other income, net | 897 | 748 | 1,108 | 761 |
General and administrative expenses: | ' | ' | ' | ' |
Compensation and benefits | -2,351 | -2,282 | -7,232 | -6,948 |
Other general and administrative | -1,563 | -1,347 | -4,620 | -4,284 |
Net income (loss) | 30,866 | -4,627 | 24,133 | 46,510 |
Preferred Stock Dividends | -2,294 | -2,294 | -6,882 | -5,608 |
Net income (loss) to common shareholders | 28,572 | -6,921 | 17,251 | 40,902 |
Change in fair value of available-for-sale investments | -6,867 | -2,671 | 50,212 | -112,037 |
Reclassification adjustment for (gain) loss on sale of investments, net | -9,057 | 825 | -5,273 | -2,597 |
Change in fair value of cash flow hedges | 0 | 0 | 0 | 16,381 |
Reclassification adjustment for cash flow hedges (including de-designated hedges) | 1,442 | 2,583 | 5,339 | 11,379 |
Other comprehensive (loss) income | -14,482 | 737 | 50,278 | -86,874 |
Comprehensive income (loss) to common shareholders | $14,090 | ($6,184) | $67,529 | ($45,972) |
Weighted average common shares - basic and diluted | 54,731,414 | 54,903,637 | 54,689,762 | 54,727,950 |
Net income (loss) per common share - basic and diluted | $0.52 | ($0.13) | $0.32 | $0.75 |
Dividends declared per common share | $0.25 | $0.27 | $0.75 | $0.85 |
Consolidated_Statements_of_Sha
Consolidated Statements of Shareholders' Equity Statement (USD $) | Total | Preferred Stock Including Additional Paid in Capital [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | Accumulated Other Comprehensive (Loss) Income [Member] | Retained Earnings [Member] | Shareholders' Equity [Member] |
In Thousands | |||||||
Total shareholders' equity, beginning balance at Dec. 31, 2013 | $585,876 | $109,658 | $543 | $761,550 | ($33,816) | ($252,059) | $585,876 |
Stock issuance | ' | 0 | 1 | 215 | ' | ' | 216 |
Granting and vesting of restricted stock | ' | ' | 4 | 2,041 | ' | ' | 2,045 |
Amortization of stock issuance costs | ' | ' | ' | -72 | ' | ' | -72 |
Adjustments for tax withholding on share-based compensation | ' | ' | -1 | -506 | ' | ' | -507 |
Net income (loss) | 24,133 | ' | ' | ' | ' | 24,133 | 24,133 |
Dividends on preferred stock | ' | ' | ' | ' | ' | -6,882 | -6,882 |
Dividends on common stock | ' | ' | ' | ' | ' | -41,040 | -41,040 |
Other comprehensive (loss) income | 50,278 | ' | ' | ' | ' | ' | 50,278 |
Total shareholders' equity, ending balance at Sep. 30, 2014 | 614,047 | 109,658 | 547 | 763,228 | ' | -275,848 | 614,047 |
Total shareholders' equity, beginning balance at Jun. 30, 2014 | ' | ' | ' | ' | ' | ' | ' |
Other comprehensive (loss) income | -14,482 | ' | ' | ' | 50,278 | ' | ' |
Total shareholders' equity, ending balance at Sep. 30, 2014 | $614,047 | ' | ' | ' | $16,462 | ' | ' |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 |
Operating activities: | ' | ' |
Net income (loss) | $24,133 | $46,510 |
Adjustments to reconcile net income to cash provided by operating activities: | ' | ' |
Decrease (increase) in accrued interest receivable | -717 | -906 |
(Decrease) increase in accrued interest payable | -1,056 | -462 |
Provision for loan losses | 0 | 261 |
Loss (gain) on derivative instruments, net | -31,654 | -12,683 |
Loss (gain) on sale of investments, net | 5,273 | 2,597 |
Fair value adjustments, net | 162 | -590 |
Amortization of investment premiums, net | 104,293 | 97,860 |
Other amortization and depreciation | 7,007 | 4,398 |
Stock-based compensation expense | 2,045 | 1,762 |
Other operating activities | 3,708 | 3,907 |
Net cash and cash equivalents provided by operating activities | 159,650 | 158,004 |
Investing activities: | ' | ' |
Purchase of investments | 457,008 | 1,325,082 |
Principal payments received on investments | 404,464 | 742,551 |
Proceeds from sales of investments | 376,278 | 327,962 |
Principal payments received on mortgage loans held for investment, net | 14,150 | 10,775 |
Net payments on derivatives not designated as hedges | 9,086 | 23,644 |
Other investing activities | 8 | -5,402 |
Net cash and cash equivalents used in investing activities | 328,790 | -262,036 |
Financing activities: | ' | ' |
(Repayments of) borrowings under repurchase agreements, net | -430,743 | 110,409 |
Principal payments on non-recourse collateralized financing | -1,753 | -9,502 |
Increase in restricted cash | -19,370 | -15,849 |
Proceeds from issuance of preferred stock | 0 | 54,251 |
Proceeds from issuance of common stock | 144 | 7,375 |
Cash paid for repurchases of common stock | 0 | 5,965 |
Payments Related to tax withholding for share-based compensation | 507 | 545 |
Dividends paid | 48,902 | 52,343 |
Net cash and cash equivalents provided by (used in) financing activities | -501,131 | 87,831 |
Net increase (decrease) in cash and cash equivalents | -12,691 | -16,201 |
Cash and cash equivalents at beginning of period | 69,330 | 55,809 |
Cash and cash equivalents at end of period | 56,639 | 39,608 |
Supplemental Disclosure of Cash Activities: | ' | ' |
Cash paid for interest | $15,703 | $22,065 |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 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 unaudited consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or the “Company”) have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial information and 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 GAAP for complete financial statements. 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 and nine months ended September 30, 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 statements of income for the three and nine months ended September 30, 2013 is now presented together as "interest income-mortgage loans held for investment" on its consolidated statements of comprehensive income for the three and nine months ended September 30, 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 and the accounts of its majority owned subsidiaries and variable interest entities for which it is the primary beneficiary. All significant intercompany accounts and transactions have been eliminated in consolidation. | |
In accordance with Accounting Standards Codification ("ASC") Topic 810, the Company consolidates certain trusts through which it has securitized mortgage loans as a result of not meeting the sale criteria under GAAP at the time the financial assets were transferred to the trust. 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, 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. | |
Income Taxes | |
The Company has elected to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986 and the corresponding provisions of state law. To qualify as a REIT, the Company must meet certain tests including investing in primarily real estate-related assets and the required distribution of at least 90% of its annual REIT taxable income to stockholders after consideration of its net operating loss carryforward and not including taxable income retained in its taxable subsidiaries. As a REIT, the Company 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 assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities in accordance with ASC Topic 740. The Company records these liabilities, if any, to the extent they are deemed more likely than not to have been incurred. | |
Mortgage-Backed Securities | |
In accordance with ASC Topic 320, the Company has designated its investments in MBS as available-for-sale ("AFS"). All of the Company’s MBS are recorded at fair value on the consolidated balance sheet. Changes in fair value for the Company's AFS securities are reported in other comprehensive income ("OCI") until each 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 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. | |
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 cash payments as well as changes in projected future cash payments in accordance with ASC Topic 310-20. The Company's projections of future cash payments 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 holds non-Agency MBS that were rated less than 'AA' at the time of purchase by at least one national rating agency. These non-Agency MBS were purchased at discounts to their par value, which management does not believe to be substantial. The Company accretes the discount 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. | |
Determination of MBS Fair Value. The Company estimates the fair value of 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. Refer to Note 7 for further discussion of MBS fair value measurements. | |
Other-than-Temporary Impairment. MBS is considered impaired when its fair value is less than its amortized cost. The Company evaluates all of its impaired MBS for other-than-temporary impairments ("OTTI") on at least a quarterly basis. An impairment is considered other-than-temporary if: (1) the Company intends to sell the MBS; (2) it is more likely than not that the Company will be required to sell the MBS before its fair value recovers; or (3) the Company does not expect to recover the full amortized cost basis of the MBS. If either of the first two conditions is met, the entire amount of the impairment is recognized in earnings. If the impairment is solely due to the inability to fully recover the amortized cost basis, the security is further analyzed to quantify any credit loss, which is the difference between the present value of cash flows expected to be collected on the MBS and its amortized cost. The credit loss, if any, is then recognized in earnings, while the balance of impairment related to other factors is recognized in other comprehensive income. | |
Following the recognition of an OTTI through earnings, a new cost basis is established for the security. Any subsequent recoveries in fair value may be accreted back into the amortized cost basis of the MBS on a prospective basis through interest income. 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, net consist of mortgage loans originated or purchased by the Company from 1992-1998, and these mortgage loans are reported at amortized cost in accordance with ASC Topic 310-10. Substantially all of these loans have been pledged as collateral 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 "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. An allowance has been established for currently existing and probable losses on the Company's mortgage loans held for investment. | |
Repurchase Agreements | |
Repurchase agreements are accounted for as secured borrowings 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's derivative instruments, which currently include interest rate swaps and Eurodollar futures, are accounted for in accordance with ASC Topic 815, which requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. All periodic interest costs and other changes in fair value, including gains and losses recognized upon termination, associated with derivative instruments are recorded in "gain (loss) on derivative instruments, net" on the Company's consolidated statement of comprehensive income. | |
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 "gain (loss) on derivative instruments, net". | |
The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. The Company attempts to minimize this risk by limiting its counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. | |
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. | |
Share-Based Compensation | |
Pursuant to the Company’s 2009 Stock and Incentive Plan ("SIP"), the Company may grant share-based compensation to eligible employees, directors or consultants or advisers to the Company, including stock awards, stock options, stock appreciation rights, 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 and recognized as compensation cost over the requisite service period with a corresponding credit to shareholders' equity as required by ASC Topic 718. The requisite service period is the period during which an employee is required to provide service in exchange for an award, which is equivalent to the vesting period specified in the terms of the share-based based award. None of the Company's restricted stock awards have performance based conditions. The Company does not currently have any share-based compensation issued or outstanding other than restricted stock. | |
Contingencies | |
In the normal course of business, there are various lawsuits, claims, and other contingencies pending against the Company. On a quarterly basis, the Company evaluates 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. | |
The Company and its subsidiaries are parties to various legal proceedings of which the ultimate outcome cannot be ascertained at this time. Although the results of those 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. | |
The Company has not been named as a party to any additional legal proceedings during the three or nine months ended September 30, 2014. | |
Recent Accounting Pronouncements | |
In June 2014, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, which changes the accounting for repurchase-to-maturity transactions and repurchase financing arrangements. The guidance eliminates sale accounting for repurchase-to-maturity transactions and supersedes the guidance under which a transfer of a financial asset and a contemporaneous repurchase financing could be accounted for on a combined basis as a forward agreement, which has resulted in outcomes referred to as off-balance-sheet accounting. All of the Company's repurchase agreement transactions are accounted for as secured borrowings; therefore the accounting changes required by ASU No. 2014-11 do not impact the Company's consolidated financial statements. ASU No. 2014-11 also requires two additional disclosures about repurchase agreements and other similar transactions. The first disclosure requires an entity to disclose information on transfers accounted for as sales in transactions that are economically similar to repurchase agreements. The Company does not account for any of its repurchase agreement transactions as sales; therefore this new disclosure does not impact the Company's current disclosures. The second disclosure requires the following disclosures for repurchase agreements, securities lending transactions, and repurchase-to-maturity transactions that are accounted for as secured borrowings: a disaggregation of the gross obligation by the class of collateral pledged; the remaining contractual tenor of the agreements; and a discussion of the potential risks associated with the agreements and the related collateral pledged, including obligations arising from a decline in the fair value of the collateral pledged and how those risks are managed. The Company already provides these disclosures in its "Notes to the Unaudited Consolidated Financial Statements" and within "Liquidity and Capital Resources" in Item 2, "Management's Discussion and Analysis of Financial Condition and Results of Operations" of this Quarterly Report on Form 10-Q. The amendments provided in ASU No. 2014-11 are effective for public business entities for the first interim or annual period beginning after December 15, 2014. ASU No. 2014-11 will not have a material impact on the Company's consolidated financial statements. | |
In addition, the FASB issued ASU No. 2014-12, Compensation - Stock Compensation (Topic 718): Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. The amendments in this ASU are effective for annual periods and interim periods within those annual periods beginning after December 15, 2015. The Company has not issued and does not anticipate issuing any share-based payments with terms that require a performance-based target; therefore this ASU will not have an impact on the Company's consolidated financial statements. | |
The FASB issued ASU No. 2014-13, Consolidation (Topic 810): Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity, which provides an alternative to Topic 820, Fair Value Measurement, for measuring the financial assets and the financial liabilities of a consolidated collateralized financing entity to eliminate the difference in the fair value of the financial assets of a collateralized financing entity, as determined under GAAP, when they differ from the fair value of its financial liabilities even when the financial liabilities have recourse only to the financial assets. When the measurement alternative is elected, both the financial assets and the financial liabilities of the collateralized financing entity should be measured using the more observable of the fair value of the financial assets or the fair value of the financial liabilities. The amendments clarify that when the measurement alternative is elected, a reporting entity's consolidated net income (loss) should reflect the reporting entity's own economic interests in the collateralized financing entity, including; (1) changes in the fair value of the beneficial interests retained by the reporting entity, and (2) beneficial interests that represent compensation for services. The measurement alternative provided in ASU No. 2014-13 may be applied using a modified retrospective approach by recording a cumulative-effect adjustment to equity as of the beginning of the annual period of adoption. The amendments may also be applied retrospectively to all relevant prior periods beginning with the annual period in which ASU No. 2009-17 was initially adopted. ASU No. 2014-13 is effective for public entities for annual periods, and interim periods within those annual periods, beginning after December 15, 2015, and early adoption is permitted as of the beginning of an annual period. Management has evaluated ASU No. 2014-13 and has determined that if the Company elects to adopt this measurement alternative in the future for its currently existing consolidated collateralized financing entity, it will not have a material impact on the Company's consolidated financial statements. | |
The FASB issued ASU No. 2014-15, Presentation of Financial Statements-Going Concern (Subtopic 205-40): Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern, which provides guidance about management's responsibility under GAAP to evaluate whether there is substantial doubt about an organization's ability to continue as a going concern and to provide related footnote disclosures. Specifically, the ASU (1) provides a definition of the term "substantial doubt", (2) requires an evaluation by management every reporting period including interim periods, (3) provides principles for considering the mitigating effect of management's plans, (4) requires certain disclosures when substantial doubt exists regardless of the success of any mitigating plans or actions, (5) requires an express statement and other disclosures when substantial doubt is not alleviated, and (6) requires an assessment for a period of one year after the date that the financial statements are issued. The amendments in this ASU are effective for the annual period ending after December 15, 2016, and for annual periods and interim periods thereafter. Early application is permitted. Management intends to comply with the requirements set forth in ASU No. 2014-15. |
Net_Income_Per_Common_Share
Net Income Per Common Share | 9 Months Ended | |||||||||||||||
Sep. 30, 2014 | ||||||||||||||||
Earnings Per Share, Basic and Diluted [Abstract] | ' | |||||||||||||||
Net Income per Common Share | ' | |||||||||||||||
NET INCOME (LOSS) PER COMMON SHARE | ||||||||||||||||
Net income (loss) per common share is presented on both a basic and diluted basis. The Company does not currently have any potentially dilutive securities outstanding. 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 income (loss) per common share. Holders of unvested shares of the Company's 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 income (loss) 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 stock 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 income (loss) per common share for the periods indicated: | ||||||||||||||||
For the Three Months Ended | ||||||||||||||||
September 30, 2014 | September 30, 2013 | |||||||||||||||
Net | Weighted-Average Common Shares | Net Loss | Weighted- | |||||||||||||
Income | Average | |||||||||||||||
Common | ||||||||||||||||
Shares | ||||||||||||||||
Net income (loss) | $ | 30,866 | $ | (4,627 | ) | |||||||||||
Preferred stock dividends | (2,294 | ) | (2,294 | ) | ||||||||||||
Net income (loss) to common shareholders | 28,572 | 54,731,414 | (6,921 | ) | 54,903,637 | |||||||||||
Effect of dilutive instruments | — | — | — | — | ||||||||||||
Diluted net income (loss) to common shareholders | $ | 28,572 | 54,731,414 | $ | (6,921 | ) | 54,903,637 | |||||||||
Net income (loss) per common share: | ||||||||||||||||
Basic and diluted | $ | 0.52 | $ | (0.13 | ) | |||||||||||
For the Nine Months Ended | ||||||||||||||||
September 30, 2014 | September 30, 2013 | |||||||||||||||
Net | Weighted-Average Common Shares | Net | Weighted- | |||||||||||||
Income | Income | Average | ||||||||||||||
Common | ||||||||||||||||
Shares | ||||||||||||||||
Net income (loss) | $ | 24,133 | $ | 46,510 | ||||||||||||
Preferred stock dividends | (6,882 | ) | (5,608 | ) | ||||||||||||
Net income (loss) to common shareholders | 17,251 | 54,689,762 | 40,902 | 54,727,950 | ||||||||||||
Effect of dilutive instruments | — | — | — | — | ||||||||||||
Diluted net income (loss) to common shareholders | $ | 17,251 | 54,689,762 | $ | 40,902 | 54,727,950 | ||||||||||
Net income (loss) per common share: | ||||||||||||||||
Basic and diluted | $ | 0.32 | $ | 0.75 | ||||||||||||
Mortgage_Backed_Securities_Mor
Mortgage Backed Securities Mortgage backed securities (Notes) | 9 Months Ended | ||||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | ||||||||||||||||||||||||||
Mortgage-backed securities | ' | ||||||||||||||||||||||||||
MORTGAGE-BACKED SECURITIES | |||||||||||||||||||||||||||
The following tables present the components and weighted average coupon ("WAC") for the portion of the Company’s MBS designated as AFS as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||||
Par | Net Premium (Discount) | Amortized Cost | Gross Unrealized Gain | Gross Unrealized Loss | Fair Value | WAC | |||||||||||||||||||||
Agency: | |||||||||||||||||||||||||||
RMBS | $ | 2,200,149 | $ | 120,667 | $ | 2,320,816 | $ | 7,593 | $ | (31,105 | ) | $ | 2,297,304 | 3.14 | % | ||||||||||||
CMBS | 305,566 | 19,186 | $ | 324,752 | 13,803 | (224 | ) | 338,331 | 5.22 | % | |||||||||||||||||
CMBS IO (1) | — | 400,886 | $ | 400,886 | 10,944 | (113 | ) | 411,717 | 0.83 | % | |||||||||||||||||
Total Agency AFS: | $ | 2,505,715 | $ | 540,739 | $ | 3,046,454 | $ | 32,340 | $ | (31,442 | ) | $ | 3,047,352 | ||||||||||||||
Non-Agency: | |||||||||||||||||||||||||||
RMBS | $ | 9,522 | $ | (4 | ) | $ | 9,518 | $ | 118 | $ | (81 | ) | $ | 9,555 | 4.2 | % | |||||||||||
CMBS | 266,596 | (12,374 | ) | 254,222 | 16,397 | (346 | ) | 270,273 | 4.89 | % | |||||||||||||||||
CMBS IO (1) | — | 282,890 | 282,890 | 5,636 | (313 | ) | 288,213 | 0.69 | % | ||||||||||||||||||
Total non-Agency AFS: | $ | 276,118 | $ | 270,512 | $ | 546,630 | $ | 22,151 | $ | (740 | ) | $ | 568,041 | ||||||||||||||
Total AFS securities | $ | 2,781,833 | $ | 811,251 | $ | 3,593,084 | $ | 54,491 | $ | (32,182 | ) | $ | 3,615,393 | ||||||||||||||
-1 | The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,461,823 and $7,246,832, respectively, as of September 30, 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 (1) | 273,830 | 19,061 | 292,891 | 10,793 | (900 | ) | 302,784 | 5.07 | % | ||||||||||||||||||
CMBS IO (2) | — | 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 (2) | — | 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 | As of December 31, 2013, the Company had Agency CMBS with an amortized cost of $26,920 and fair value of $28,717 which were designated as trading securities and are not included in this table. The Company changed the designation of these Agency CMBS to AFS during the three months ended June 30, 2014. Changes in the fair value of these MBS while they were designated as trading were recognized in net income within "fair value adjustments, net". Changes in the fair value of these MBS, which are now designated as AFS, are recognized in "other comprehensive income". As of September 30, 2014, the Company does not have any MBS designated as trading. | ||||||||||||||||||||||||||
-2 | 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 following table presents certain information for those Agency MBS in an unrealized loss position as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
30-Sep-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 | $ | 155,501 | $ | (1,142 | ) | 25 | $ | 1,912,937 | $ | (43,543 | ) | 150 | |||||||||||||||
Non-Agency MBS | 74,239 | (427 | ) | 17 | 162,558 | (5,435 | ) | 39 | |||||||||||||||||||
Continuous unrealized loss position for 12 months or longer: | |||||||||||||||||||||||||||
Agency MBS | $ | 1,701,638 | $ | (30,299 | ) | 129 | $ | 670,402 | $ | (20,433 | ) | 67 | |||||||||||||||
Non-Agency MBS | 31,348 | (313 | ) | 8 | 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 which 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 September 30, 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 September 30, 2014 or December 31, 2013. |
Repurchase_Agreements_Notes
Repurchase Agreements (Notes) | 9 Months Ended | |||||||||||
Sep. 30, 2014 | ||||||||||||
Disclosure of Repurchase Agreements [Abstract] | ' | |||||||||||
Repurchase Agreements | ' | |||||||||||
REPURCHASE AGREEMENTS | ||||||||||||
The following tables present the components of the Company’s repurchase agreements as of September 30, 2014 and December 31, 2013 by the fair value and type of securities pledged as collateral: | ||||||||||||
September 30, 2014 | ||||||||||||
Collateral Type | Balance | Weighted | Fair Value of | |||||||||
Average Rate | Collateral Pledged | |||||||||||
Agency RMBS | $ | 2,081,924 | 0.36 | % | 2,168,095 | |||||||
Agency CMBS | 258,024 | 0.33 | % | 302,352 | ||||||||
Agency CMBS IOs | 351,518 | 0.94 | % | 411,686 | ||||||||
Non-Agency RMBS | 7,724 | 1.67 | % | 8,803 | ||||||||
Non-Agency CMBS | 198,203 | 1.16 | % | 240,802 | ||||||||
Non-Agency CMBS IO | 242,458 | 1.03 | % | 288,202 | ||||||||
Securitization financing bonds | 10,403 | 1.5 | % | 11,885 | ||||||||
$ | 3,150,254 | 0.53 | % | $ | 3,431,825 | |||||||
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 was 106 days as of September 30, 2014 compared to 114 days as of December 31, 2013. The following table provides a summary of the original maturities as of September 30, 2014 and December 31, 2013: | ||||||||||||
Original Maturity | September 30, | December 31, | ||||||||||
2014 | 2013 | |||||||||||
Less than 30 days | $ | 574,164 | $ | 4,736 | ||||||||
30 to 90 days | 566,959 | 1,176,631 | ||||||||||
91 to 180 days | 1,514,454 | 1,439,225 | ||||||||||
181 to 364 days | 329,232 | 960,405 | ||||||||||
1 year or longer | 165,445 | — | ||||||||||
Deferred costs | — | (243 | ) | |||||||||
$ | 3,150,254 | $ | 3,580,754 | |||||||||
As of September 30, 2014, shareholders' equity at risk did not exceed 10% for any of the Company's counterparties. The Company had $131,275 of its repurchase agreement balance as of September 30, 2014 outstanding under a two-year repurchase facility with Wells Fargo Bank National Association. This 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 September 30, 2014 was 1.06%. | ||||||||||||
As of September 30, 2014, the Company had repurchase agreement amounts outstanding with 21 of its 33 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 September 30, 2014. | ||||||||||||
Please see Note 6 for the Company's disclosures related to offsetting assets and liabilities. |
Derivatives
Derivatives | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||
Derivatives | ' | ||||||||||||||||
DERIVATIVES | |||||||||||||||||
The Company utilizes derivative instruments to economically hedge a portion of its exposure to market risks, primarily interest rate risk. The Company primarily uses pay-fixed interest rate swaps and Eurodollar contracts to hedge its exposure to changes in interest rates and uses receive-fixed interest rate swaps to offset a portion of its pay-fixed interest rate swaps in order to manage its overall hedge position. The objective of the Company's risk management strategy is to mitigate declines in book value resulting from fluctuations in the fair value of the Company's assets from changing interest rates and to protect the Company's earnings from rising interest rates. 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 treated as trading instruments on its consolidated balance sheet as of the dates indicated: | |||||||||||||||||
September 30, 2014 | |||||||||||||||||
Derivative Assets | Derivative Liabilities | ||||||||||||||||
Trading Instruments | Fair Value | Notional | Fair Value | Notional | |||||||||||||
Interest rate swaps | $ | 6,958 | $ | 800,000 | $ | (437 | ) | $ | 150,000 | ||||||||
Eurodollar futures (1) | 339 | 3,900,000 | (17,621 | ) | 12,700,000 | ||||||||||||
Total | $ | 7,297 | $ | 4,700,000 | $ | (18,058 | ) | $ | 12,850,000 | ||||||||
December 31, 2013 | |||||||||||||||||
Derivative Assets | Derivative Liabilities | ||||||||||||||||
Trading Instruments | Fair Value | Notional | Fair Value | Notional | |||||||||||||
Interest rate swaps | $ | 18,488 | $ | 575,000 | $ | (1,336 | ) | $ | 215,000 | ||||||||
Eurodollar futures (1) | — | — | (5,345 | ) | 9,000,000 | ||||||||||||
Total | $ | 18,488 | $ | 575,000 | $ | (6,681 | ) | $ | 9,215,000 | ||||||||
-1 | The Eurodollar futures aggregate notional amount represents the total notional of the 3-month contracts with expiration dates from 2015 to 2020. The maximum notional outstanding for any future 3-month period did not exceed $1,300,000 as of September 30, 2014 and $1,175,000 as of December 31, 2013. | ||||||||||||||||
The following table summarizes the contractual maturities remaining for the Company’s outstanding interest rate swap agreements as of September 30, 2014: | |||||||||||||||||
Remaining | Pay-Fixed Interest Rate Swaps | Pay-Fixed | Receive Fixed Interest Rate Swaps | Receive-Fixed | |||||||||||||
Maturity | Weighted-Average Rate(1) | Weighted-Average Rate | |||||||||||||||
37-48 months | $ | 185,000 | 0.92 | % | $ | — | — | % | |||||||||
49-60 months | 235,000 | 1.45 | % | 250,000 | 1.91 | % | |||||||||||
61-72 months | 25,000 | 1.61 | % | — | — | % | |||||||||||
73-84 months | 50,000 | 2.2 | % | — | — | % | |||||||||||
85-96 months | — | — | % | — | — | % | |||||||||||
97-108 months | 30,000 | 1.93 | % | — | — | % | |||||||||||
109-120 months | 150,000 | 2.17 | % | 25,000 | 2.71 | % | |||||||||||
The following table summarizes the volume of activity related to derivative instruments for the periods indicated: | |||||||||||||||||
For the nine months ended September 30, 2014: | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | |||||||||||||
Receive-fixed interest rate swaps | $ | — | $ | 275,000 | $ | — | $ | 275,000 | |||||||||
Pay-fixed interest rate swaps | 790,000 | 75,000 | (190,000 | ) | 675,000 | ||||||||||||
Eurodollar futures | 9,000,000 | 7,600,000 | — | 16,600,000 | |||||||||||||
$ | 9,790,000 | $ | 7,950,000 | $ | (190,000 | ) | $ | 17,550,000 | |||||||||
The table below provides detail of the Company's "gain (loss) on derivative instruments, net" by type of interest rate derivative for the periods indicated: | |||||||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||||||
September 30, | September 30, | ||||||||||||||||
Type of Derivative Instrument | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Receive-fixed interest rate swaps | $ | 339 | $ | — | $ | 339 | $ | — | |||||||||
Pay-fixed interest rate swaps | 646 | (6,225 | ) | (20,056 | ) | 5,111 | |||||||||||
Eurodollar futures | 3,857 | (17,794 | ) | (11,937 | ) | (17,794 | ) | ||||||||||
Gain (loss) on derivative instruments, net | $ | 4,842 | $ | (24,019 | ) | $ | (31,654 | ) | $ | (12,683 | ) | ||||||
Effective June 30, 2013, the Company de-designated certain interest rate swap agreements as cash flow hedges under ASC Topic 815. There is a net unrealized loss of $4,026 remaining in AOCI on the Company's consolidated balance sheet as of September 30, 2014 which represents the activity related to these interest rate swap agreements while they were previously designated as cash flow hedges, and this amount 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 $4,156. | |||||||||||||||||
The table below describes the components of the reclassification adjustments out of AOCI related to certain interest rate swaps that were formerly designated as cash flow hedges and recognized as a portion of "interest expense" on the Company statements of comprehensive income for the periods indicated: | |||||||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||||||
September 30, | September 30, | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
Reclassification adjustment due to amortization of de-designated cash flow hedges | $ | 1,442 | $ | 2,583 | $ | 5,339 | $ | 2,583 | |||||||||
Reclassification adjustment due to recognition of interest expense from cash flow hedges | — | — | — | 8,796 | |||||||||||||
Total reclassification adjustment related to cash flow hedges | $ | 1,442 | $ | 2,583 | $ | 5,339 | $ | 11,379 | |||||||||
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 September 30, 2014. | |||||||||||||||||
Please see Note 6 for the Company's disclosures related to offsetting assets and liabilities. |
Fair_Value_of_Financial_Instru
Fair Value of Financial Instruments (Notes) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 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. | |||||||||||||||||||||||
• | 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. | |||||||||||||||||||||||
• | 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 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: | ||||||||||||||||||||||||
September 30, 2014 | ||||||||||||||||||||||||
Fair Value | Level 1 - Unadjusted Quoted Prices in Active Markets | Level 2 - Observable Inputs | Level 3 - Unobservable Inputs | |||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 3,615,393 | $ | — | $ | 3,563,819 | $ | 51,574 | ||||||||||||||||
Derivative assets | 7,297 | 339 | 6,958 | — | ||||||||||||||||||||
Total assets carried at fair value | $ | 3,622,690 | $ | 339 | $ | 3,570,777 | $ | 51,574 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Derivative liabilities | $ | 18,058 | $ | 17,621 | $ | 437 | $ | — | ||||||||||||||||
Total liabilities carried at fair value | $ | 18,058 | $ | 17,621 | $ | 437 | $ | — | ||||||||||||||||
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 September 30, 2014 or December 31, 2013. | ||||||||||||||||||||||||
The Company's derivative assets and liabilities include interest rate swaps and Eurodollar futures. Interest rate swaps are valued using the income approach with the primary input being the forward interest rate swap curve, which is considered an observable input and thus their fair values are considered Level 2 measurements. Eurodollar futures are valued based on closing exchange prices on these contracts. Accordingly, these financial futures are classified as Level 1. | ||||||||||||||||||||||||
Agency MBS, as well a majority of 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 September 30, 2014: | ||||||||||||||||||||||||
Quantitative Information about Level 3 Fair Value Measurements (1) | ||||||||||||||||||||||||
Prepayment Speed | Default Rate | Severity | Discount Rate | |||||||||||||||||||||
Non-Agency CMBS | 20 CPY | 2 | % | 35 | % | 9.4 | % | |||||||||||||||||
Non-Agency RMBS | 10 CPR | 1 | % | 20 | % | 6.6 | % | |||||||||||||||||
-1 | Data presented are weighted averages. | |||||||||||||||||||||||
The following table presents the activity of the instruments fair valued at Level 3 during the three and nine months ended September 30, 2014: | ||||||||||||||||||||||||
Level 3 Fair Values | ||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||
September 30, 2014 | September 30, 2014 | |||||||||||||||||||||||
Non-Agency CMBS | Non-Agency RMBS | Total assets | Non-Agency CMBS | Non-Agency RMBS | Total assets | |||||||||||||||||||
Balance as of beginning of period | $ | 62,744 | $ | 2,498 | $ | 65,242 | $ | 70,733 | $ | 2,747 | $ | 73,480 | ||||||||||||
Unrealized gain (loss) included in OCI | 878 | (15 | ) | 863 | 1,078 | (138 | ) | 940 | ||||||||||||||||
Principal payments | (14,290 | ) | (298 | ) | (14,588 | ) | (22,598 | ) | (753 | ) | (23,351 | ) | ||||||||||||
Accretion | 57 | — | 57 | 176 | 329 | 505 | ||||||||||||||||||
Balance as of end of period | $ | 49,389 | $ | 2,185 | $ | 51,574 | $ | 49,389 | $ | 2,185 | $ | 51,574 | ||||||||||||
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: | ||||||||||||||||||||||||
September 30, 2014 | December 31, 2013 | |||||||||||||||||||||||
Recorded Basis | Fair Value | Recorded Basis | Fair Value | |||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 3,615,393 | $ | 3,615,393 | $ | 4,018,161 | $ | 4,018,161 | ||||||||||||||||
Mortgage loans held for investment, net (1) | 41,454 | 36,590 | 55,423 | 46,383 | ||||||||||||||||||||
Derivative assets | 7,297 | 7,297 | 18,488 | 18,488 | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Repurchase agreements (2) | $ | 3,150,254 | $ | 3,150,254 | $ | 3,580,754 | $ | 3,580,997 | ||||||||||||||||
Non-recourse collateralized financing (1) | 11,194 | 10,757 | 12,914 | 12,414 | ||||||||||||||||||||
Derivative liabilities | 18,058 | 18,058 | 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 as of December 31, 2013 is the unamortized deferred costs remaining for the 2-year repurchase facility. |
Shareholders_Equity
Shareholders' Equity | 9 Months Ended | |||||||||||
Sep. 30, 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 September 30, 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. The Company announced that it will pay its regular quarterly dividends on its Preferred Stock for the third quarter on October 15, 2014 to shareholders of record as of October 1, 2014. | ||||||||||||
Common Stock | ||||||||||||
The following table presents a summary of the changes in the number of common shares outstanding for the periods presented: | ||||||||||||
Nine Months Ended | ||||||||||||
September 30, | ||||||||||||
2014 | 2013 | |||||||||||
Balance as of beginning of period | 54,310,484 | 54,268,915 | ||||||||||
Common stock issued under DRIP | 12,459 | 509,831 | ||||||||||
Common stock issued under ATM program | — | 180,986 | ||||||||||
Common stock issued or redeemed under stock and incentive plans | 471,210 | 270,158 | ||||||||||
Common stock forfeited for tax withholding on share-based compensation | (59,336 | ) | (52,385 | ) | ||||||||
Common stock repurchased during the period | — | (751,456 | ) | |||||||||
Balance as of end of period | 54,734,817 | 54,426,049 | ||||||||||
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 2,454,439 shares remaining for issuance as of September 30, 2014. The Company declared a third quarter common stock dividend of $0.25 per share payable on October 31, 2014 to shareholders of record as of October 3, 2014. There was no discount for shares purchased through the DRIP during the third quarter of 2014. | ||||||||||||
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 September 30, 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 September 30, 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 1,078,908 available for issuance as of September 30, 2014. Total stock-based compensation expense recognized by the Company for the three and nine months ended September 30, 2014 was $690 and $2,045 compared to $612 and $1,726 for the three and nine months ended September 30, 2013. | ||||||||||||
The following table presents a rollforward of the restricted stock activity for the periods indicated: | ||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||
September 30, | September 30, | |||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||
Restricted stock outstanding as of beginning of period | 746,830 | 526,803 | 520,969 | 448,283 | ||||||||
Restricted stock granted | — | — | 457,538 | 255,158 | ||||||||
Restricted stock vested | (2,917 | ) | (2,917 | ) | (234,594 | ) | (179,555 | ) | ||||
Restricted stock outstanding as of end of period | 743,913 | 523,886 | 743,913 | 523,886 | ||||||||
The combined grant date fair value of the restricted stock issued by the Company for the nine months ended September 30, 2014 was $3,703 compared to $2,708 for the nine months ended September 30, 2013. The following table presents the amortization schedule for the Company's non-vested restricted stock remaining to be amortized into compensation expense as of September 30, 2014: | ||||||||||||
Restricted Stock Amortization | ||||||||||||
To Be Recognized | ||||||||||||
Within 12 months | $ | 2,411 | ||||||||||
13-24 months | 1,663 | |||||||||||
25-36 months | 750 | |||||||||||
37-48 months | 145 | |||||||||||
Total restricted stock amortization remaining | $ | 4,969 | ||||||||||
Subsequent_Events
Subsequent Events | 9 Months Ended |
Sep. 30, 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) | 9 Months Ended |
Sep. 30, 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 unaudited consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or the “Company”) have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial information and 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 GAAP for complete financial statements. 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 and nine months ended September 30, 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 statements of income for the three and nine months ended September 30, 2013 is now presented together as "interest income-mortgage loans held for investment" on its consolidated statements of comprehensive income for the three and nine months ended September 30, 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 and the accounts of its majority owned subsidiaries and variable interest entities for which it is the primary beneficiary. All significant intercompany accounts and transactions have been eliminated in consolidation. | |
In accordance with Accounting Standards Codification ("ASC") Topic 810, the Company consolidates certain trusts through which it has securitized mortgage loans as a result of not meeting the sale criteria under GAAP at the time the financial assets were transferred to the trust. 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, 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] | ' |
Income Taxes | |
The Company has elected to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986 and the corresponding provisions of state law. To qualify as a REIT, the Company must meet certain tests including investing in primarily real estate-related assets and the required distribution of at least 90% of its annual REIT taxable income to stockholders after consideration of its net operating loss carryforward and not including taxable income retained in its taxable subsidiaries. As a REIT, the Company 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 assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities in accordance with ASC Topic 740. The Company records these liabilities, if any, to the extent they are deemed more likely than not to have been incurred. | |
Mortgage Backed Securities [Policy Text Block] | ' |
Mortgage-Backed Securities | |
In accordance with ASC Topic 320, the Company has designated its investments in MBS as available-for-sale ("AFS"). All of the Company’s MBS are recorded at fair value on the consolidated balance sheet. Changes in fair value for the Company's AFS securities are reported in other comprehensive income ("OCI") until each 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 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. | |
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 cash payments as well as changes in projected future cash payments in accordance with ASC Topic 310-20. The Company's projections of future cash payments 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 holds non-Agency MBS that were rated less than 'AA' at the time of purchase by at least one national rating agency. These non-Agency MBS were purchased at discounts to their par value, which management does not believe to be substantial. The Company accretes the discount 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. | |
Determination of MBS Fair Value. The Company estimates the fair value of 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. Refer to Note 7 for further discussion of MBS fair value measurements. | |
Other-than-Temporary Impairment. MBS is considered impaired when its fair value is less than its amortized cost. The Company evaluates all of its impaired MBS for other-than-temporary impairments ("OTTI") on at least a quarterly basis. An impairment is considered other-than-temporary if: (1) the Company intends to sell the MBS; (2) it is more likely than not that the Company will be required to sell the MBS before its fair value recovers; or (3) the Company does not expect to recover the full amortized cost basis of the MBS. If either of the first two conditions is met, the entire amount of the impairment is recognized in earnings. If the impairment is solely due to the inability to fully recover the amortized cost basis, the security is further analyzed to quantify any credit loss, which is the difference between the present value of cash flows expected to be collected on the MBS and its amortized cost. The credit loss, if any, is then recognized in earnings, while the balance of impairment related to other factors is recognized in other comprehensive income. | |
Following the recognition of an OTTI through earnings, a new cost basis is established for the security. Any subsequent recoveries in fair value may be accreted back into the amortized cost basis of the MBS on a prospective basis through interest income. 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, net consist of mortgage loans originated or purchased by the Company from 1992-1998, and these mortgage loans are reported at amortized cost in accordance with ASC Topic 310-10. Substantially all of these loans have been pledged as collateral 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 "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. An allowance has been established for currently existing and probable losses on the Company's mortgage loans held for investment. | |
Repurchase Agreements [Policy Text Block] | ' |
Repurchase Agreements | |
Repurchase agreements are accounted for as secured borrowings 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's derivative instruments, which currently include interest rate swaps and Eurodollar futures, are accounted for in accordance with ASC Topic 815, which requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. All periodic interest costs and other changes in fair value, including gains and losses recognized upon termination, associated with derivative instruments are recorded in "gain (loss) on derivative instruments, net" on the Company's consolidated statement of comprehensive income. | |
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 "gain (loss) on derivative instruments, net". | |
The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. The Company attempts to minimize this risk by limiting its counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. | |
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] | ' |
Share-Based Compensation | |
Pursuant to the Company’s 2009 Stock and Incentive Plan ("SIP"), the Company may grant share-based compensation to eligible employees, directors or consultants or advisers to the Company, including stock awards, stock options, stock appreciation rights, 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 and recognized as compensation cost over the requisite service period with a corresponding credit to shareholders' equity as required by ASC Topic 718. The requisite service period is the period during which an employee is required to provide service in exchange for an award, which is equivalent to the vesting period specified in the terms of the share-based based award. None of the Company's restricted stock awards have performance based conditions. The Company does not currently have any share-based compensation issued or outstanding other than restricted stock. | |
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, the Company evaluates 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. | |
The Company and its subsidiaries are parties to various legal proceedings of which the ultimate outcome cannot be ascertained at this time. Although the results of those 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. | |
The Company has not been named as a party to any additional legal proceedings during the three or nine months ended September 30, 2014. | |
Recent Accounting Pronouncements [Text Block] | ' |
Recent Accounting Pronouncements | |
In June 2014, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, which changes the accounting for repurchase-to-maturity transactions and repurchase financing arrangements. The guidance eliminates sale accounting for repurchase-to-maturity transactions and supersedes the guidance under which a transfer of a financial asset and a contemporaneous repurchase financing could be accounted for on a combined basis as a forward agreement, which has resulted in outcomes referred to as off-balance-sheet accounting. All of the Company's repurchase agreement transactions are accounted for as secured borrowings; therefore the accounting changes required by ASU No. 2014-11 do not impact the Company's consolidated financial statements. ASU No. 2014-11 also requires two additional disclosures about repurchase agreements and other similar transactions. The first disclosure requires an entity to disclose information on transfers accounted for as sales in transactions that are economically similar to repurchase agreements. The Company does not account for any of its repurchase agreement transactions as sales; therefore this new disclosure does not impact the Company's current disclosures. The second disclosure requires the following disclosures for repurchase agreements, securities lending transactions, and repurchase-to-maturity transactions that are accounted for as secured borrowings: a disaggregation of the gross obligation by the class of collateral pledged; the remaining contractual tenor of the agreements; and a discussion of the potential risks associated with the agreements and the related collateral pledged, including obligations arising from a decline in the fair value of the collateral pledged and how those risks are managed. The Company already provides these disclosures in its "Notes to the Unaudited Consolidated Financial Statements" and within "Liquidity and Capital Resources" in Item 2, "Management's Discussion and Analysis of Financial Condition and Results of Operations" of this Quarterly Report on Form 10-Q. The amendments provided in ASU No. 2014-11 are effective for public business entities for the first interim or annual period beginning after December 15, 2014. ASU No. 2014-11 will not have a material impact on the Company's consolidated financial statements. | |
In addition, the FASB issued ASU No. 2014-12, Compensation - Stock Compensation (Topic 718): Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. The amendments in this ASU are effective for annual periods and interim periods within those annual periods beginning after December 15, 2015. The Company has not issued and does not anticipate issuing any share-based payments with terms that require a performance-based target; therefore this ASU will not have an impact on the Company's consolidated financial statements. | |
The FASB issued ASU No. 2014-13, Consolidation (Topic 810): Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity, which provides an alternative to Topic 820, Fair Value Measurement, for measuring the financial assets and the financial liabilities of a consolidated collateralized financing entity to eliminate the difference in the fair value of the financial assets of a collateralized financing entity, as determined under GAAP, when they differ from the fair value of its financial liabilities even when the financial liabilities have recourse only to the financial assets. When the measurement alternative is elected, both the financial assets and the financial liabilities of the collateralized financing entity should be measured using the more observable of the fair value of the financial assets or the fair value of the financial liabilities. The amendments clarify that when the measurement alternative is elected, a reporting entity's consolidated net income (loss) should reflect the reporting entity's own economic interests in the collateralized financing entity, including; (1) changes in the fair value of the beneficial interests retained by the reporting entity, and (2) beneficial interests that represent compensation for services. The measurement alternative provided in ASU No. 2014-13 may be applied using a modified retrospective approach by recording a cumulative-effect adjustment to equity as of the beginning of the annual period of adoption. The amendments may also be applied retrospectively to all relevant prior periods beginning with the annual period in which ASU No. 2009-17 was initially adopted. ASU No. 2014-13 is effective for public entities for annual periods, and interim periods within those annual periods, beginning after December 15, 2015, and early adoption is permitted as of the beginning of an annual period. Management has evaluated ASU No. 2014-13 and has determined that if the Company elects to adopt this measurement alternative in the future for its currently existing consolidated collateralized financing entity, it will not have a material impact on the Company's consolidated financial statements. | |
The FASB issued ASU No. 2014-15, Presentation of Financial Statements-Going Concern (Subtopic 205-40): Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern, which provides guidance about management's responsibility under GAAP to evaluate whether there is substantial doubt about an organization's ability to continue as a going concern and to provide related footnote disclosures. Specifically, the ASU (1) provides a definition of the term "substantial doubt", (2) requires an evaluation by management every reporting period including interim periods, (3) provides principles for considering the mitigating effect of management's plans, (4) requires certain disclosures when substantial doubt exists regardless of the success of any mitigating plans or actions, (5) requires an express statement and other disclosures when substantial doubt is not alleviated, and (6) requires an assessment for a period of one year after the date that the financial statements are issued. The amendments in this ASU are effective for the annual period ending after December 15, 2016, and for annual periods and interim periods thereafter. Early application is permitted. Management intends to comply with the requirements set forth in ASU No. 2014-15. |
Net_Income_Per_Common_Share_Ta
Net Income Per Common Share (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 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 income (loss) per common share for the periods indicated: | ||||||||||||||||
For the Three Months Ended | ||||||||||||||||
September 30, 2014 | September 30, 2013 | |||||||||||||||
Net | Weighted-Average Common Shares | Net Loss | Weighted- | |||||||||||||
Income | Average | |||||||||||||||
Common | ||||||||||||||||
Shares | ||||||||||||||||
Net income (loss) | $ | 30,866 | $ | (4,627 | ) | |||||||||||
Preferred stock dividends | (2,294 | ) | (2,294 | ) | ||||||||||||
Net income (loss) to common shareholders | 28,572 | 54,731,414 | (6,921 | ) | 54,903,637 | |||||||||||
Effect of dilutive instruments | — | — | — | — | ||||||||||||
Diluted net income (loss) to common shareholders | $ | 28,572 | 54,731,414 | $ | (6,921 | ) | 54,903,637 | |||||||||
Net income (loss) per common share: | ||||||||||||||||
Basic and diluted | $ | 0.52 | $ | (0.13 | ) | |||||||||||
For the Nine Months Ended | ||||||||||||||||
September 30, 2014 | September 30, 2013 | |||||||||||||||
Net | Weighted-Average Common Shares | Net | Weighted- | |||||||||||||
Income | Income | Average | ||||||||||||||
Common | ||||||||||||||||
Shares | ||||||||||||||||
Net income (loss) | $ | 24,133 | $ | 46,510 | ||||||||||||
Preferred stock dividends | (6,882 | ) | (5,608 | ) | ||||||||||||
Net income (loss) to common shareholders | 17,251 | 54,689,762 | 40,902 | 54,727,950 | ||||||||||||
Effect of dilutive instruments | — | — | — | — | ||||||||||||
Diluted net income (loss) to common shareholders | $ | 17,251 | 54,689,762 | $ | 40,902 | 54,727,950 | ||||||||||
Net income (loss) per common share: | ||||||||||||||||
Basic and diluted | $ | 0.32 | $ | 0.75 | ||||||||||||
Mortgage_Backed_Securities_Mor1
Mortgage Backed Securities Mortgage backed securities (Tables) | 9 Months Ended | ||||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | ||||||||||||||||||||||||||
Available-for-sale Securities [Table Text Block] | ' | ||||||||||||||||||||||||||
The following tables present the components and weighted average coupon ("WAC") for the portion of the Company’s MBS designated as AFS as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||||
Par | Net Premium (Discount) | Amortized Cost | Gross Unrealized Gain | Gross Unrealized Loss | Fair Value | WAC | |||||||||||||||||||||
Agency: | |||||||||||||||||||||||||||
RMBS | $ | 2,200,149 | $ | 120,667 | $ | 2,320,816 | $ | 7,593 | $ | (31,105 | ) | $ | 2,297,304 | 3.14 | % | ||||||||||||
CMBS | 305,566 | 19,186 | $ | 324,752 | 13,803 | (224 | ) | 338,331 | 5.22 | % | |||||||||||||||||
CMBS IO (1) | — | 400,886 | $ | 400,886 | 10,944 | (113 | ) | 411,717 | 0.83 | % | |||||||||||||||||
Total Agency AFS: | $ | 2,505,715 | $ | 540,739 | $ | 3,046,454 | $ | 32,340 | $ | (31,442 | ) | $ | 3,047,352 | ||||||||||||||
Non-Agency: | |||||||||||||||||||||||||||
RMBS | $ | 9,522 | $ | (4 | ) | $ | 9,518 | $ | 118 | $ | (81 | ) | $ | 9,555 | 4.2 | % | |||||||||||
CMBS | 266,596 | (12,374 | ) | 254,222 | 16,397 | (346 | ) | 270,273 | 4.89 | % | |||||||||||||||||
CMBS IO (1) | — | 282,890 | 282,890 | 5,636 | (313 | ) | 288,213 | 0.69 | % | ||||||||||||||||||
Total non-Agency AFS: | $ | 276,118 | $ | 270,512 | $ | 546,630 | $ | 22,151 | $ | (740 | ) | $ | 568,041 | ||||||||||||||
Total AFS securities | $ | 2,781,833 | $ | 811,251 | $ | 3,593,084 | $ | 54,491 | $ | (32,182 | ) | $ | 3,615,393 | ||||||||||||||
-1 | The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,461,823 and $7,246,832, respectively, as of September 30, 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 (1) | 273,830 | 19,061 | 292,891 | 10,793 | (900 | ) | 302,784 | 5.07 | % | ||||||||||||||||||
CMBS IO (2) | — | 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 (2) | — | 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 | As of December 31, 2013, the Company had Agency CMBS with an amortized cost of $26,920 and fair value of $28,717 which were designated as trading securities and are not included in this table. The Company changed the designation of these Agency CMBS to AFS during the three months ended June 30, 2014. Changes in the fair value of these MBS while they were designated as trading were recognized in net income within "fair value adjustments, net". Changes in the fair value of these MBS, which are now designated as AFS, are recognized in "other comprehensive income". As of September 30, 2014, the Company does not have any MBS designated as trading. | ||||||||||||||||||||||||||
-2 | 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 September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
30-Sep-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 | $ | 155,501 | $ | (1,142 | ) | 25 | $ | 1,912,937 | $ | (43,543 | ) | 150 | |||||||||||||||
Non-Agency MBS | 74,239 | (427 | ) | 17 | 162,558 | (5,435 | ) | 39 | |||||||||||||||||||
Continuous unrealized loss position for 12 months or longer: | |||||||||||||||||||||||||||
Agency MBS | $ | 1,701,638 | $ | (30,299 | ) | 129 | $ | 670,402 | $ | (20,433 | ) | 67 | |||||||||||||||
Non-Agency MBS | 31,348 | (313 | ) | 8 | 6,310 | (155 | ) | 6 | |||||||||||||||||||
Repurchase_Agreements_Repurcha
Repurchase Agreements Repurchase Agreements (Tables) | 9 Months Ended | |||||||||||
Sep. 30, 2014 | ||||||||||||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | |||||||||||
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 September 30, 2014 and December 31, 2013 by the fair value and type of securities pledged as collateral: | ||||||||||||
September 30, 2014 | ||||||||||||
Collateral Type | Balance | Weighted | Fair Value of | |||||||||
Average Rate | Collateral Pledged | |||||||||||
Agency RMBS | $ | 2,081,924 | 0.36 | % | 2,168,095 | |||||||
Agency CMBS | 258,024 | 0.33 | % | 302,352 | ||||||||
Agency CMBS IOs | 351,518 | 0.94 | % | 411,686 | ||||||||
Non-Agency RMBS | 7,724 | 1.67 | % | 8,803 | ||||||||
Non-Agency CMBS | 198,203 | 1.16 | % | 240,802 | ||||||||
Non-Agency CMBS IO | 242,458 | 1.03 | % | 288,202 | ||||||||
Securitization financing bonds | 10,403 | 1.5 | % | 11,885 | ||||||||
$ | 3,150,254 | 0.53 | % | $ | 3,431,825 | |||||||
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 was 106 days as of September 30, 2014 compared to 114 days as of December 31, 2013. The following table provides a summary of the original maturities as of September 30, 2014 and December 31, 2013: | ||||||||||||
Original Maturity | September 30, | December 31, | ||||||||||
2014 | 2013 | |||||||||||
Less than 30 days | $ | 574,164 | $ | 4,736 | ||||||||
30 to 90 days | 566,959 | 1,176,631 | ||||||||||
91 to 180 days | 1,514,454 | 1,439,225 | ||||||||||
181 to 364 days | 329,232 | 960,405 | ||||||||||
1 year or longer | 165,445 | — | ||||||||||
Deferred costs | — | (243 | ) | |||||||||
$ | 3,150,254 | $ | 3,580,754 | |||||||||
Derivatives_Tables
Derivatives (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 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 treated as trading instruments on its consolidated balance sheet as of the dates indicated: | |||||||||||||||||
September 30, 2014 | |||||||||||||||||
Derivative Assets | Derivative Liabilities | ||||||||||||||||
Trading Instruments | Fair Value | Notional | Fair Value | Notional | |||||||||||||
Interest rate swaps | $ | 6,958 | $ | 800,000 | $ | (437 | ) | $ | 150,000 | ||||||||
Eurodollar futures (1) | 339 | 3,900,000 | (17,621 | ) | 12,700,000 | ||||||||||||
Total | $ | 7,297 | $ | 4,700,000 | $ | (18,058 | ) | $ | 12,850,000 | ||||||||
December 31, 2013 | |||||||||||||||||
Derivative Assets | Derivative Liabilities | ||||||||||||||||
Trading Instruments | Fair Value | Notional | Fair Value | Notional | |||||||||||||
Interest rate swaps | $ | 18,488 | $ | 575,000 | $ | (1,336 | ) | $ | 215,000 | ||||||||
Eurodollar futures (1) | — | — | (5,345 | ) | 9,000,000 | ||||||||||||
Total | $ | 18,488 | $ | 575,000 | $ | (6,681 | ) | $ | 9,215,000 | ||||||||
-1 | The Eurodollar futures aggregate notional amount represents the total notional of the 3-month contracts with expiration dates from 2015 to 2020. The maximum notional outstanding for any future 3-month period did not exceed $1,300,000 as of September 30, 2014 and $1,175,000 as of December 31, 2013. | ||||||||||||||||
Schedule of Derivative Instruments [Table Text Block] | ' | ||||||||||||||||
The following table summarizes the contractual maturities remaining for the Company’s outstanding interest rate swap agreements as of September 30, 2014: | |||||||||||||||||
Remaining | Pay-Fixed Interest Rate Swaps | Pay-Fixed | Receive Fixed Interest Rate Swaps | Receive-Fixed | |||||||||||||
Maturity | Weighted-Average Rate(1) | Weighted-Average Rate | |||||||||||||||
37-48 months | $ | 185,000 | 0.92 | % | $ | — | — | % | |||||||||
49-60 months | 235,000 | 1.45 | % | 250,000 | 1.91 | % | |||||||||||
61-72 months | 25,000 | 1.61 | % | — | — | % | |||||||||||
73-84 months | 50,000 | 2.2 | % | — | — | % | |||||||||||
85-96 months | — | — | % | — | — | % | |||||||||||
97-108 months | 30,000 | 1.93 | % | — | — | % | |||||||||||
109-120 months | 150,000 | 2.17 | % | 25,000 | 2.71 | % | |||||||||||
Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block] | ' | ||||||||||||||||
The following table summarizes the volume of activity related to derivative instruments for the periods indicated: | |||||||||||||||||
For the nine months ended September 30, 2014: | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | |||||||||||||
Receive-fixed interest rate swaps | $ | — | $ | 275,000 | $ | — | $ | 275,000 | |||||||||
Pay-fixed interest rate swaps | 790,000 | 75,000 | (190,000 | ) | 675,000 | ||||||||||||
Eurodollar futures | 9,000,000 | 7,600,000 | — | 16,600,000 | |||||||||||||
$ | 9,790,000 | $ | 7,950,000 | $ | (190,000 | ) | $ | 17,550,000 | |||||||||
Schedule of Derivative Instruments Included in Trading Activities [Table Text Block] | ' | ||||||||||||||||
The table below provides detail of the Company's "gain (loss) on derivative instruments, net" by type of interest rate derivative for the periods indicated: | |||||||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||||||
September 30, | September 30, | ||||||||||||||||
Type of Derivative Instrument | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Receive-fixed interest rate swaps | $ | 339 | $ | — | $ | 339 | $ | — | |||||||||
Pay-fixed interest rate swaps | 646 | (6,225 | ) | (20,056 | ) | 5,111 | |||||||||||
Eurodollar futures | 3,857 | (17,794 | ) | (11,937 | ) | (17,794 | ) | ||||||||||
Gain (loss) on derivative instruments, net | $ | 4,842 | $ | (24,019 | ) | $ | (31,654 | ) | $ | (12,683 | ) | ||||||
Reclassification out of Accumulated Other Comprehensive Income [Table Text Block] | ' | ||||||||||||||||
The table below describes the components of the reclassification adjustments out of AOCI related to certain interest rate swaps that were formerly designated as cash flow hedges and recognized as a portion of "interest expense" on the Company statements of comprehensive income for the periods indicated: | |||||||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||||||
September 30, | September 30, | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
Reclassification adjustment due to amortization of de-designated cash flow hedges | $ | 1,442 | $ | 2,583 | $ | 5,339 | $ | 2,583 | |||||||||
Reclassification adjustment due to recognition of interest expense from cash flow hedges | — | — | — | 8,796 | |||||||||||||
Total reclassification adjustment related to cash flow hedges | $ | 1,442 | $ | 2,583 | $ | 5,339 | $ | 11,379 | |||||||||
Offsetting_Assets_and_Liabilit
Offsetting Assets and Liabilities Offsetting Assets (Tables) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 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 | |||||||||||||||||||||||
September 30, 2014: | ||||||||||||||||||||||||
Derivative assets | $ | 7,297 | $ | — | $ | 7,297 | $ | (478 | ) | $ | (2,672 | ) | $ | 4,147 | ||||||||||
December 31, 2013: | ||||||||||||||||||||||||
Derivative assets | $ | 18,488 | $ | — | $ | 18,488 | $ | (193 | ) | $ | (12,141 | ) | $ | 6,154 | ||||||||||
Offsetting_Assets_and_Liabilit1
Offsetting Assets and Liabilities Offsetting Liabilities (Tables) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 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 | |||||||||||||||||||||||
September 30, 2014: | ||||||||||||||||||||||||
Derivative liabilities | $ | 18,058 | $ | — | $ | 18,058 | $ | (777 | ) | $ | (17,281 | ) | $ | — | ||||||||||
Repurchase agreements | 3,150,254 | — | 3,150,254 | (3,150,254 | ) | — | — | |||||||||||||||||
$ | 3,168,312 | $ | — | $ | 3,168,312 | $ | (3,151,031 | ) | $ | (17,281 | ) | $ | — | |||||||||||
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) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 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: | ||||||||||||||||||||||||
September 30, 2014 | ||||||||||||||||||||||||
Fair Value | Level 1 - Unadjusted Quoted Prices in Active Markets | Level 2 - Observable Inputs | Level 3 - Unobservable Inputs | |||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 3,615,393 | $ | — | $ | 3,563,819 | $ | 51,574 | ||||||||||||||||
Derivative assets | 7,297 | 339 | 6,958 | — | ||||||||||||||||||||
Total assets carried at fair value | $ | 3,622,690 | $ | 339 | $ | 3,570,777 | $ | 51,574 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Derivative liabilities | $ | 18,058 | $ | 17,621 | $ | 437 | $ | — | ||||||||||||||||
Total liabilities carried at fair value | $ | 18,058 | $ | 17,621 | $ | 437 | $ | — | ||||||||||||||||
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 September 30, 2014: | ||||||||||||||||||||||||
Quantitative Information about Level 3 Fair Value Measurements (1) | ||||||||||||||||||||||||
Prepayment Speed | Default Rate | Severity | Discount Rate | |||||||||||||||||||||
Non-Agency CMBS | 20 CPY | 2 | % | 35 | % | 9.4 | % | |||||||||||||||||
Non-Agency RMBS | 10 CPR | 1 | % | 20 | % | 6.6 | % | |||||||||||||||||
-1 | Data presented are weighted averages. | |||||||||||||||||||||||
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 and nine months ended September 30, 2014: | ||||||||||||||||||||||||
Level 3 Fair Values | ||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||
September 30, 2014 | September 30, 2014 | |||||||||||||||||||||||
Non-Agency CMBS | Non-Agency RMBS | Total assets | Non-Agency CMBS | Non-Agency RMBS | Total assets | |||||||||||||||||||
Balance as of beginning of period | $ | 62,744 | $ | 2,498 | $ | 65,242 | $ | 70,733 | $ | 2,747 | $ | 73,480 | ||||||||||||
Unrealized gain (loss) included in OCI | 878 | (15 | ) | 863 | 1,078 | (138 | ) | 940 | ||||||||||||||||
Principal payments | (14,290 | ) | (298 | ) | (14,588 | ) | (22,598 | ) | (753 | ) | (23,351 | ) | ||||||||||||
Accretion | 57 | — | 57 | 176 | 329 | 505 | ||||||||||||||||||
Balance as of end of period | $ | 49,389 | $ | 2,185 | $ | 51,574 | $ | 49,389 | $ | 2,185 | $ | 51,574 | ||||||||||||
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: | ||||||||||||||||||||||||
September 30, 2014 | December 31, 2013 | |||||||||||||||||||||||
Recorded Basis | Fair Value | Recorded Basis | Fair Value | |||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 3,615,393 | $ | 3,615,393 | $ | 4,018,161 | $ | 4,018,161 | ||||||||||||||||
Mortgage loans held for investment, net (1) | 41,454 | 36,590 | 55,423 | 46,383 | ||||||||||||||||||||
Derivative assets | 7,297 | 7,297 | 18,488 | 18,488 | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Repurchase agreements (2) | $ | 3,150,254 | $ | 3,150,254 | $ | 3,580,754 | $ | 3,580,997 | ||||||||||||||||
Non-recourse collateralized financing (1) | 11,194 | 10,757 | 12,914 | 12,414 | ||||||||||||||||||||
Derivative liabilities | 18,058 | 18,058 | 6,681 | 6,681 | ||||||||||||||||||||
Shareholders_Equity_Tables
Shareholders' Equity (Tables) | 9 Months Ended | |||||||||||
Sep. 30, 2014 | ||||||||||||
Equity [Abstract] | ' | |||||||||||
Preferred Stock [Text Block] | ' | |||||||||||
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 September 30, 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. | ||||||||||||
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: | ||||||||||||
Nine Months Ended | ||||||||||||
September 30, | ||||||||||||
2014 | 2013 | |||||||||||
Balance as of beginning of period | 54,310,484 | 54,268,915 | ||||||||||
Common stock issued under DRIP | 12,459 | 509,831 | ||||||||||
Common stock issued under ATM program | — | 180,986 | ||||||||||
Common stock issued or redeemed under stock and incentive plans | 471,210 | 270,158 | ||||||||||
Common stock forfeited for tax withholding on share-based compensation | (59,336 | ) | (52,385 | ) | ||||||||
Common stock repurchased during the period | — | (751,456 | ) | |||||||||
Balance as of end of period | 54,734,817 | 54,426,049 | ||||||||||
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 | Nine Months Ended | |||||||||||
September 30, | September 30, | |||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||
Restricted stock outstanding as of beginning of period | 746,830 | 526,803 | 520,969 | 448,283 | ||||||||
Restricted stock granted | — | — | 457,538 | 255,158 | ||||||||
Restricted stock vested | (2,917 | ) | (2,917 | ) | (234,594 | ) | (179,555 | ) | ||||
Restricted stock outstanding as of end of period | 743,913 | 523,886 | 743,913 | 523,886 | ||||||||
Schedule of Unrecognized Compensation Cost, Nonvested Awards [Table Text Block] | ' | |||||||||||
The following table presents the amortization schedule for the Company's non-vested restricted stock remaining to be amortized into compensation expense as of September 30, 2014: | ||||||||||||
Restricted Stock Amortization | ||||||||||||
To Be Recognized | ||||||||||||
Within 12 months | $ | 2,411 | ||||||||||
13-24 months | 1,663 | |||||||||||
25-36 months | 750 | |||||||||||
37-48 months | 145 | |||||||||||
Total restricted stock amortization remaining | $ | 4,969 | ||||||||||
Net_Income_Per_Common_Share_De
Net Income Per Common Share (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ' | ' | ' | ' |
Net income (loss) | $30,866 | ($4,627) | $24,133 | $46,510 |
Preferred Stock Dividends | -2,294 | -2,294 | -6,882 | -5,608 |
Net income (loss) to common shareholders | 28,572 | -6,921 | 17,251 | 40,902 |
Weighted average common shares - basic and diluted | 54,731,414 | 54,903,637 | 54,689,762 | 54,727,950 |
Effect of dilutive stock options on net income (loss) | 0 | 0 | 0 | 0 |
Diluted net income (loss) to common shareholders | $28,572 | ($6,921) | $17,251 | $40,902 |
Effect of dilutive instruments on weighted average common shares | 0 | 0 | 0 | 0 |
Diluted, Weighted Average Number Common Shares | 54,731,414 | 54,903,637 | 54,689,762 | 54,727,950 |
Net income (loss) per common share - basic and diluted | $0.52 | ($0.13) | $0.32 | $0.75 |
Mortgage_Backed_Securities_Mor2
Mortgage Backed Securities Mortgage backed securities designated as AFS (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Available-for-sale MBS, Par Balance | $2,781,833 | $3,254,946 | ||
Available-for-sale MBS, Unamortized Premium (Discount) | 811,251 | 758,950 | ||
Available-for-sale MBS, Amortized Cost | 3,593,084 | 4,013,896 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 54,491 | 45,114 | ||
Available-for-sale MBS, Gross Unrealized Loss | -32,182 | -69,566 | ||
Available-for-sale MBS, Fair Value | 3,615,393 | 3,989,444 | ||
Agency MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Available-for-sale MBS, Par Balance | 2,505,715 | 2,865,398 | ||
Available-for-sale MBS, Unamortized Premium (Discount) | 540,739 | 627,047 | ||
Available-for-sale MBS, Amortized Cost | 3,046,454 | 3,492,445 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 32,340 | 26,792 | ||
Available-for-sale MBS, Gross Unrealized Loss | -31,442 | -63,976 | ||
Available-for-sale MBS, Fair Value | 3,047,352 | 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 | 2,200,149 | 2,591,568 | ||
Available-for-sale MBS, Unamortized Premium (Discount) | 120,667 | 154,220 | ||
Available-for-sale MBS, Amortized Cost | 2,320,816 | 2,745,788 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 7,593 | 6,104 | ||
Available-for-sale MBS, Gross Unrealized Loss | -31,105 | -59,742 | ||
Available-for-sale MBS, Fair Value | 2,297,304 | 2,692,150 | ||
Available-for-sale MBS, Weighted Average Coupon | 3.14% | 3.22% | ||
Agency MBS [Member] | Commercial Mortgage Backed Securities [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Available-for-sale MBS, Par Balance | 305,566 | 273,830 | ||
Available-for-sale MBS, Unamortized Premium (Discount) | 19,186 | 19,061 | ||
Available-for-sale MBS, Amortized Cost | 324,752 | 292,891 | [1] | |
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 13,803 | 10,793 | ||
Available-for-sale MBS, Gross Unrealized Loss | -224 | -900 | ||
Available-for-sale MBS, Fair Value | 338,331 | 302,784 | [1] | |
Available-for-sale MBS, Weighted Average Coupon | 5.22% | 5.07% | ||
Agency MBS [Member] | CMBS IO [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Available-for-sale MBS, Par Balance | 0 | [2] | 0 | [3] |
Available-for-sale MBS, Unamortized Premium (Discount) | 400,886 | 453,766 | ||
Available-for-sale MBS, Amortized Cost | 400,886 | 453,766 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 10,944 | 9,895 | ||
Available-for-sale MBS, Gross Unrealized Loss | -113 | -3,334 | ||
Available-for-sale MBS, Fair Value | 411,717 | 460,327 | ||
Available-for-sale MBS, Weighted Average Coupon | 0.83% | 0.83% | ||
Notional balance for interest only securities | 9,461,823 | 10,160,502 | ||
Non-Agency MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Available-for-sale MBS, Par Balance | 276,118 | 389,548 | ||
Available-for-sale MBS, Unamortized Premium (Discount) | 270,512 | 131,903 | ||
Available-for-sale MBS, Amortized Cost | 546,630 | 521,451 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 22,151 | 18,322 | ||
Available-for-sale MBS, Gross Unrealized Loss | -740 | -5,590 | ||
Available-for-sale MBS, Fair Value | 568,041 | 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 | 9,522 | 13,845 | ||
Available-for-sale MBS, Unamortized Premium (Discount) | -4 | -338 | ||
Available-for-sale MBS, Amortized Cost | 9,518 | 13,507 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 118 | 338 | ||
Available-for-sale MBS, Gross Unrealized Loss | -81 | -80 | ||
Available-for-sale MBS, Fair Value | 9,555 | 13,765 | ||
Available-for-sale MBS, Weighted Average Coupon | 4.20% | 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 | 266,596 | 375,703 | ||
Available-for-sale MBS, Unamortized Premium (Discount) | -12,374 | -18,277 | ||
Available-for-sale MBS, Amortized Cost | 254,222 | 357,426 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 16,397 | 15,366 | ||
Available-for-sale MBS, Gross Unrealized Loss | -346 | -3,511 | ||
Available-for-sale MBS, Fair Value | 270,273 | 369,281 | ||
Available-for-sale MBS, Weighted Average Coupon | 4.89% | 5.10% | ||
Non-Agency MBS [Member] | CMBS IO [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Available-for-sale MBS, Par Balance | 0 | [2] | 0 | [3] |
Available-for-sale MBS, Unamortized Premium (Discount) | 282,890 | 150,518 | ||
Available-for-sale MBS, Amortized Cost | 282,890 | 150,518 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 5,636 | 2,618 | ||
Available-for-sale MBS, Gross Unrealized Loss | -313 | -1,999 | ||
Available-for-sale MBS, Fair Value | 288,213 | 151,137 | ||
Available-for-sale MBS, Weighted Average Coupon | 0.69% | 0.66% | ||
Notional balance for interest only securities | 7,246,832 | 4,274,957 | ||
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 | 155,501 | 1,912,937 | ||
Available-for-sale MBS, Continuous Unrealized Loss Position, Less than 12 Months, Gross Unrealized Losses | -1,142 | -43,543 | ||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for Less than One Year | 25 | 150 | ||
Available-for-sale MBS, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 1,701,638 | 670,402 | ||
Available-for-sale MBS, Continuous Unrealized Loss Position, 12 Months or Longer, Gross Unrealized Losses | -30,299 | -20,433 | ||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for Greater than or Equal to One Year | 129 | 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 | 74,239 | 162,558 | ||
Available-for-sale MBS, Continuous Unrealized Loss Position, Less than 12 Months, Gross Unrealized Losses | -427 | -5,435 | ||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for Less than One Year | 17 | 39 | ||
Available-for-sale MBS, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 31,348 | 6,310 | ||
Available-for-sale MBS, Continuous Unrealized Loss Position, 12 Months or Longer, Gross Unrealized Losses | ($313) | ($155) | ||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for Greater than or Equal to One Year | 8 | 6 | ||
[1] | (1) As of December 31, 2013, the Company had Agency CMBS with an amortized cost of $26,920 and fair value of $28,717 which were designated as trading securities and are not included in this table. The Company changed the designation of these Agency CMBS to AFS during the three months ended June 30, 2014. Changes in the fair value of these MBS while they were designated as trading were recognized in net income within "fair value adjustments, net". Changes in the fair value of these MBS, which are now designated as AFS, are recognized in "other comprehensive income". As of September 30, 2014, the Company does not have any MBS designated as trading. | |||
[2] | (1)The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,461,823 and $7,246,832, respectively, as of September 30, 2014. December 31, 2013 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WACAgency: RMBS$2,591,568 $154,220 $2,745,788 $6,104 $(59,742) $2,692,150 3.22%CMBS (1)273,830 19,061 292,891 10,793 (900) 302,784 5.07%CMBS IO (2)— 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: RMBS13,845 (338) 13,507 338 (80) 13,765 4.61%CMBS375,703 (18,277) 357,426 15,366 (3,511) 369,281 5.10%CMBS IO (2)— 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 | |||
[3] | (2) 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. |
Mortgage_Backed_Securities_Mor3
Mortgage Backed Securities Mortgage backed securities designated as Trading (Details) (USD $) | Dec. 31, 2013 |
In Thousands, unless otherwise specified | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' |
MBS designated as trading, amortized cost | $27 |
MBS designated as trading, fair value | $29 |
Repurchase_Agreements_Details
Repurchase Agreements (Details) (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements Accounted for as Secured Borrowings | $3,150,254 | $3,580,754 |
Repurchage agreement, Weighted Average Interest Rate | 0.53% | 0.61% |
Fair Value of Collateral Pledged | ' | 3,890,066 |
Deferred Costs | 0 | -243 |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | '106 days | '114 days |
Collateralized Mortgage Obligations [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements Accounted for as Secured Borrowings | ' | 20,651 |
Repurchage agreement, Weighted Average Interest Rate | 1.50% | 1.59% |
Fair Value of Collateral Pledged | ' | 19,686 |
Residential Mortgage Backed Securities [Member] | Agency MBS [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements Accounted for as Secured Borrowings | 2,081,924 | 2,522,503 |
Repurchage agreement, Weighted Average Interest Rate | 0.36% | 0.42% |
Fair Value of Collateral Pledged | 2,168,095 | 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 Agreements Accounted for as Secured Borrowings | 7,724 | 10,569 |
Repurchage agreement, Weighted Average Interest Rate | 1.67% | 1.80% |
Fair Value of Collateral Pledged | 8,803 | 12,746 |
Commercial Mortgage Backed Securities [Member] | Agency MBS [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements Accounted for as Secured Borrowings | 258,024 | 246,849 |
Repurchage agreement, Weighted Average Interest Rate | 0.33% | 0.39% |
Fair Value of Collateral Pledged | 302,352 | 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 Agreements Accounted for as Secured Borrowings | 198,203 | 303,674 |
Repurchage agreement, Weighted Average Interest Rate | 1.16% | 1.27% |
Fair Value of Collateral Pledged | 240,802 | 367,859 |
CMBS IO [Member] | Agency MBS [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements Accounted for as Secured Borrowings | 351,518 | 369,948 |
Repurchage agreement, Weighted Average Interest Rate | 0.94% | 1.16% |
Fair Value of Collateral Pledged | 411,686 | 449,072 |
CMBS IO [Member] | Non-Agency MBS [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Repurchase Agreements Accounted for as Secured Borrowings | 242,458 | 106,803 |
Repurchage agreement, Weighted Average Interest Rate | 1.03% | 1.27% |
Fair Value of Collateral Pledged | $288,202 | $136,227 |
Repurchase_Agreements_Repurcha1
Repurchase Agreements Repurchase Agreements, Term to Original Maturity (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $3,150,254 | $3,580,754 |
Deferred Costs | 0 | -243 |
Maturity up to 30 days [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | 574,164 | 4,736 |
Maturity 30 to 90 Days [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | 566,959 | 1,176,631 |
Maturity 91 to 180 days [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | 1,514,454 | 1,439,225 |
Maturity 181 days up to 1 year [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | 329,232 | 960,405 |
Maturity 1 year or longer [Member] | ' | ' |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ' | ' |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $165,445 | $0 |
Repurchase_Agreements_Repurcha2
Repurchase Agreements Repurchase Agreements, Counterparty Information (Details) (USD $) | Sep. 30, 2014 |
In Thousands, unless otherwise specified | Agreements |
Counterparty Information [Line Items] | ' |
Line of Credit Facility, Amount Outstanding | $131,275 |
Line of Credit Facility, Maximum Borrowing Capacity | $250,000 |
Line of Credit Facility, Interest Rate at Period End | 1.06% |
Number of Counterparties with Borrowings Outstanding | 21 |
Available Repurchase Agreement Counterparties | 33 |
Derivatives_Details
Derivatives (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivative assets, fair value | $7,297 | ' | $7,297 | ' | $18,488 | |||
Derivative liabilities, fair value | -18,058 | ' | -18,058 | ' | -6,681 | |||
Notional amount of derivative instruments added | ' | ' | 7,950,000 | ' | ' | |||
Notional amount of derivative instruments terminated | ' | ' | -190,000 | ' | ' | |||
Derivatives, notional amount | 17,550,000 | ' | 17,550,000 | ' | 9,790,000 | |||
Gain (loss) on derivative instruments, net | 4,842 | -24,019 | -31,654 | -12,683 | ' | |||
Not Designated as Hedging Instrument [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivative assets, aggregate notional amount | 4,700,000 | ' | 4,700,000 | ' | 575,000 | |||
Derivative liabilities, aggregate notional amount | 12,850,000 | ' | 12,850,000 | ' | 9,215,000 | |||
Interest Rate Swap [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivative assets, fair value | 6,958 | ' | 6,958 | ' | 18,488 | |||
Derivative liabilities, fair value | -437 | ' | -437 | ' | -1,336 | |||
Interest Rate Swap [Member] | Not Designated as Hedging Instrument [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivative assets, aggregate notional amount | 800,000 | ' | 800,000 | ' | 575,000 | |||
Derivative liabilities, aggregate notional amount | 150,000 | ' | 150,000 | ' | 215,000 | |||
Eurodollar Future [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivative assets, fair value | 339 | ' | 339 | ' | ' | |||
Derivative liabilities, fair value | -17,621 | ' | -17,621 | ' | -5,345 | |||
Notional amount of derivative instruments added | ' | ' | 7,600,000 | ' | ' | |||
Notional amount of derivative instruments terminated | ' | ' | 0 | ' | ' | |||
Derivatives, notional amount | 16,600,000 | ' | 16,600,000 | ' | 9,000,000 | |||
Gain (loss) on derivative instruments, net | 3,857 | -17,794 | -11,937 | -17,794 | ' | |||
Eurodollar Future [Member] | Not Designated as Hedging Instrument [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivative assets, aggregate notional amount | 3,900,000 | [1] | ' | 3,900,000 | [1] | ' | ' | |
Derivative liabilities, aggregate notional amount | 12,700,000 | [1] | ' | 12,700,000 | [1] | ' | 9,000,000 | [1] |
Long [Member] | Interest Rate Swap [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Notional amount of derivative instruments added | ' | ' | 275,000 | ' | ' | |||
Notional amount of derivative instruments terminated | ' | ' | 0 | ' | ' | |||
Derivatives, notional amount | 275,000 | ' | 275,000 | ' | 0 | |||
Gain (loss) on derivative instruments, net | 339 | 0 | 339 | 0 | ' | |||
Long [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 37-48 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | 0 | ' | 0 | ' | ' | |||
Weighted-average Fixed Pay Rate | 0.00% | ' | 0.00% | ' | ' | |||
Weighted-average Fixed Receive Rate | 0.00% | ' | 0.00% | ' | ' | |||
Long [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 49-60 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | 250,000 | ' | 250,000 | ' | ' | |||
Weighted-average Fixed Pay Rate | 2.00% | ' | 2.00% | ' | ' | |||
Weighted-average Fixed Receive Rate | 2.00% | ' | 2.00% | ' | ' | |||
Long [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 61-72 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | 0 | ' | 0 | ' | ' | |||
Weighted-average Fixed Pay Rate | 0.00% | ' | 0.00% | ' | ' | |||
Weighted-average Fixed Receive Rate | 0.00% | ' | 0.00% | ' | ' | |||
Long [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 73-84 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | 0 | ' | 0 | ' | ' | |||
Weighted-average Fixed Pay Rate | 0.00% | ' | 0.00% | ' | ' | |||
Weighted-average Fixed Receive Rate | 0.00% | ' | 0.00% | ' | ' | |||
Long [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 97-108 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | 0 | ' | 0 | ' | ' | |||
Weighted-average Fixed Pay Rate | 0.00% | ' | 0.00% | ' | ' | |||
Weighted-average Fixed Receive Rate | 0.00% | ' | 0.00% | ' | ' | |||
Long [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 109-120 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | 25,000 | ' | 25,000 | ' | ' | |||
Weighted-average Fixed Pay Rate | 3.00% | ' | 3.00% | ' | ' | |||
Weighted-average Fixed Receive Rate | 3.00% | ' | 3.00% | ' | ' | |||
Short [Member] | Interest Rate Swap [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Notional amount of derivative instruments added | ' | ' | 75,000 | ' | ' | |||
Notional amount of derivative instruments terminated | ' | ' | -190,000 | ' | ' | |||
Derivatives, notional amount | 675,000 | ' | 675,000 | ' | 790,000 | |||
Gain (loss) on derivative instruments, net | 646 | -6,225 | -20,056 | 5,111 | ' | |||
Short [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 37-48 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | 185,000 | ' | 185,000 | ' | ' | |||
Weighted-average Fixed Pay Rate | 0.92% | ' | 0.92% | ' | ' | |||
Weighted-average Fixed Receive Rate | 0.92% | ' | 0.92% | ' | ' | |||
Short [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 49-60 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | 235,000 | ' | 235,000 | ' | ' | |||
Weighted-average Fixed Pay Rate | 1.45% | ' | 1.45% | ' | ' | |||
Weighted-average Fixed Receive Rate | 1.45% | ' | 1.45% | ' | ' | |||
Short [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 61-72 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | 25,000 | ' | 25,000 | ' | ' | |||
Weighted-average Fixed Pay Rate | 1.61% | ' | 1.61% | ' | ' | |||
Weighted-average Fixed Receive Rate | 1.61% | ' | 1.61% | ' | ' | |||
Short [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 73-84 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | 50,000 | ' | 50,000 | ' | ' | |||
Weighted-average Fixed Pay Rate | 2.20% | ' | 2.20% | ' | ' | |||
Weighted-average Fixed Receive Rate | 2.20% | ' | 2.20% | ' | ' | |||
Short [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 97-108 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | 30,000 | ' | 30,000 | ' | ' | |||
Weighted-average Fixed Pay Rate | 1.93% | ' | 1.93% | ' | ' | |||
Weighted-average Fixed Receive Rate | 1.93% | ' | 1.93% | ' | ' | |||
Short [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 109-120 Months [Member] | ' | ' | ' | ' | ' | |||
Derivative [Line Items] | ' | ' | ' | ' | ' | |||
Derivatives, notional amount | $150,000 | ' | $150,000 | ' | ' | |||
Weighted-average Fixed Pay Rate | 2.17% | ' | 2.17% | ' | ' | |||
Weighted-average Fixed Receive Rate | 2.17% | ' | 2.17% | ' | ' | |||
[1] | The Eurodollar futures aggregate notional amount represents the total notional of the 3-month contracts with expiration dates from 2015 to 2020. The maximum notional outstanding for any future 3-month period did not exceed $1,300,000 as of September 30, 2014 and $1,175,000 as of December 31, 2013. |
Derivatives_Derivative_Effect_
Derivatives Derivative Effect on Accumulated Other Comprehensive Income (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ' | ' | ' |
Reclassification adjustment for cash flow hedges (including de-designated hedges) | $1,442 | $2,583 | $5,339 | $11,379 |
Derivative [Line Items] | ' | ' | ' | ' |
Accumulated Other Comprehensive Income (Loss), Cumulative Changes in Net Gain (Loss) from Cash Flow Hedges, Effect Net of Tax | 4,026 | ' | 4,026 | ' |
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | ' | ' | 4,156 | ' |
Dedesignated cash flow hedge amortization | 1,442 | 2,583 | 5,339 | 2,583 |
Derivative Instruments, Gain (Loss) Reclassified from Accumulated OCI into Income, Effective Portion, Net | $0 | $0 | $0 | $8,796 |
Offsetting_Assets_and_Liabilit2
Offsetting Assets and Liabilities Offsetting Assets (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Offsetting Assets [Line Items] | ' | ' | ||
Derivative assets, fair value, gross asset | $7,297 | $18,488 | ||
Derivative assets, fair value, gross liability | 0 | 0 | ||
Derivative assets, fair value, amount not offset against collateral | 7,297 | 18,488 | ||
Derivative assets, Collateral, Obligation to Return Securities | -478 | [1] | -193 | [1] |
Derivative assets, Collateral, Obligation to Return Cash | -2,672 | [1] | -12,141 | [1] |
Derivative assets, fair value, amount offset against collateral | $4,147 | $6,154 | ||
[1] | 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. |
Offsetting_Assets_and_Liabilit3
Offsetting Assets and Liabilities Offsettting Liabilities (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Offsetting Liabilities [Line Items] | ' | ' | ||
Derivative liabilities, fair value, gross liability | $18,058 | $6,681 | ||
Derivative liabilities, fair value, gross amount offset in balance sheet | 0 | 0 | ||
Derivative liabilities, fair value, amount not offset against collateral | 18,058 | 6,681 | ||
Derivative, Collateral, Right to Reclaim Securities | -777 | [1] | -1,299 | [1] |
Derivative, Collateral, Right to Reclaim Cash | -17,281 | [1] | -5,382 | [1] |
Derivative liabilities, fair value, amount offset against collateral | 0 | 0 | ||
Repurchase agreements, gross liability | 3,150,254 | 3,580,754 | ||
Repurchase agreements, gross amount offset in balance sheet | 0 | 0 | ||
Repurchase agreements, amount not offset against collateral | 3,150,254 | 3,580,754 | ||
Repurchase agreements, Collateral, Right to Reclaim Securities | -3,150,254 | [1] | -3,580,754 | [1] |
Repurchase agreements, Collateral, Right to Reclaim Cash | 0 | [1] | 0 | [1] |
Repurchase agreements, amount offset against collateral | 0 | 0 | ||
Total gross liabilities | 3,168,312 | 3,587,435 | ||
Total gross liabilities, gross amount offset in balance sheet | 0 | 0 | ||
Total liabilities, amount not offset against collateral | 3,168,312 | 3,587,435 | ||
Total liabilities, Collateral, Right to Reclaim Securities | -3,151,031 | [1] | -3,582,053 | [1] |
Total liabilities, Collateral, Right to Reclaim Cash | -17,281 | [1] | -5,382 | [1] |
Total liabilities, amount offset against collateral | $0 | $0 | ||
[1] | 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_Instru2
Fair Value of Financial Instruments Fair Value on a Recurring Basis (Details) (USD $) | Sep. 30, 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 | $3,615,393 | $4,018,161 |
Derivative assets | 7,297 | 18,488 |
Derivative Liabilities | 18,058 | 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 | 3,615,393 | 4,018,161 |
Derivative assets | 7,297 | 18,488 |
Total assets carried at fair value | 3,622,690 | 4,036,649 |
Derivative Liabilities | 18,058 | 6,681 |
Total liabilities carried at fair value | 18,058 | 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 |
Derivative assets | 339 | 0 |
Total assets carried at fair value | 339 | 0 |
Derivative Liabilities | 17,621 | 5,345 |
Total liabilities carried at fair value | 17,621 | 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 | 3,563,819 | 3,944,681 |
Derivative assets | 6,958 | 18,488 |
Total assets carried at fair value | 3,570,777 | 3,963,169 |
Derivative Liabilities | 437 | 1,336 |
Total liabilities carried at fair value | 437 | 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 | 51,574 | 73,480 |
Derivative assets | 0 | 0 |
Total assets carried at fair value | 51,574 | 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 | |
Sep. 30, 2014 | ||
Commercial Mortgage Backed Securities [Member] | ' | |
Fair Value Inputs, Quantitative Information [Abstract] | ' | |
Fair Value Inputs, Prepayment Rate | 20.00% | [1] |
Fair Value Inputs, Probability of Default | 2.00% | [1] |
Fair Value Inputs, Loss Severity | 35.00% | [1] |
Fair Value Inputs, Discount Rate | 9.40% | [1] |
Residential Mortgage Backed Securities [Member] | ' | |
Fair Value Inputs, Quantitative Information [Abstract] | ' | |
Fair Value Inputs, Prepayment Rate | 10.00% | [1] |
Fair Value Inputs, Probability of Default | 1.00% | [1] |
Fair Value Inputs, Loss Severity | 20.00% | [1] |
Fair Value Inputs, Discount Rate | 6.60% | [1] |
[1] | Data presented are weighted averages. |
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 | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2014 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' |
Balance at the beginning of the period | $65,242 | $73,480 |
Unrealized (loss) gain included in OCI | 863 | 940 |
Principal payments | -14,588 | -23,351 |
Accretion | 57 | 505 |
Balance at the end of the period | 51,574 | 51,574 |
Non-Agency CMBS [Member] | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' |
Balance at the beginning of the period | 62,744 | 70,733 |
Unrealized (loss) gain included in OCI | 878 | 1,078 |
Principal payments | -14,290 | -22,598 |
Accretion | 57 | 176 |
Balance at the end of the period | 49,389 | 49,389 |
Non-Agency RMBS [Member] | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' |
Balance at the beginning of the period | 2,498 | 2,747 |
Unrealized (loss) gain included in OCI | -15 | -138 |
Principal payments | -298 | -753 |
Accretion | 0 | 329 |
Balance at the end of the period | $2,185 | $2,185 |
Fair_Value_of_Financial_Instru5
Fair Value of Financial Instruments Recorded basis and Fair Value (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Derivative assets | $7,297 | $18,488 | ||
Derivative Liabilities, Fair Value Disclosure | 18,058 | 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 | 3,615,393 | 4,018,161 | ||
Mortgage loans held for investment, net, Fair Value Disclosure | 41,454 | 55,423 | ||
Derivative assets | 7,297 | 18,488 | ||
Repurchase Agreements, Fair Value Disclosure | 3,150,254 | 3,580,754 | ||
Non-recourse collateralized financing, Fair Value Disclosure | 11,194 | 12,914 | ||
Derivative Liabilities, Fair Value Disclosure | 18,058 | 6,681 | [1] | |
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 | 3,615,393 | 4,018,161 | ||
Mortgage loans held for investment, net, Fair Value Disclosure | 36,590 | [2] | 46,383 | [2] |
Derivative assets | 7,297 | 18,488 | ||
Repurchase Agreements, Fair Value Disclosure | 3,150,254 | 3,580,997 | [1] | |
Non-recourse collateralized financing, Fair Value Disclosure | 10,757 | [2] | 12,414 | [2] |
Derivative Liabilities, Fair Value Disclosure | $18,058 | $6,681 | [1] | |
[1] | (2) The difference between the recorded basis of repurchase agreements and their fair value as of December 31, 2013 is the unamortized deferred costs remaining for the 2-year repurchase facility. | |||
[2] | (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. |
Shareholders_Equity_Details
Shareholders' Equity (Details) (USD $) | 3 Months Ended | 9 Months Ended | 9 Months Ended | ||||||||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 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] | |||||
At the market progam [Member] | |||||||||||
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred Stock, Dividend Rate, Percentage | ' | ' | ' | ' | ' | ' | 8.50% | ' | 7.63% | ' | ' |
Preferred Stock, Liquidation Preference Per Share | $25 | ' | $25 | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred Stock, Shares Issued | ' | ' | ' | ' | ' | ' | 2,300,000 | 2,300,000 | 2,250,000 | 2,250,000 | ' |
Shareholders' Equity, Common Stock [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance as of beginning of period | ' | ' | 54,310,484 | 54,268,915 | ' | ' | ' | ' | ' | ' | ' |
Common stock issued under DRIP | ' | ' | 12,459 | 509,831 | ' | ' | ' | ' | ' | ' | ' |
Common stock issued under ATM program | ' | ' | ' | ' | 0 | 180,986 | ' | ' | ' | ' | ' |
Common stock issued or redeemed under stock and incentive Plans | ' | ' | 471,210 | 270,158 | ' | ' | ' | ' | ' | ' | ' |
Common stock forfeited for tax withholding on share-based compensation | ' | ' | -59,336 | -52,385 | ' | ' | ' | ' | ' | ' | ' |
Balance as of end of period | 54,734,817 | 54,426,049 | 54,734,817 | 54,426,049 | ' | ' | ' | ' | ' | ' | ' |
Dividend reinvestment plan, shares authorized | 3,000,000 | ' | 3,000,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Stock issued during period, remaining shares available, dividend reinvestment plan | 2,454,439 | ' | 2,454,439 | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends declared per common share | $0.25 | $0.27 | $0.75 | $0.85 | ' | ' | ' | ' | ' | ' | ' |
ATM program, authorized shares remaining | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 7,416,520 |
Stock Repurchase Program, Authorized Amount | $50,000,000 | ' | $50,000,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $42,145,000 | ' | $42,145,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Stock Repurchased During Period, Shares | ' | ' | 0 | -751,456 | ' | ' | ' | ' | ' | ' | ' |
Shareholders_Equity_Sharebased
Shareholders' Equity Share-based Compensation (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 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 | ' | 2,500,000 | ' |
Share-based incentive plan, number of shares remaining for issuance | 1,078,908 | ' | 1,078,908 | ' |
Total share-based compensation expense | $690 | $612 | $2,045 | $1,726 |
Restricted Stock [Member] | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' |
Grant date fair value | ' | ' | 3,703 | 2,708 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options | ' | ' | ' | ' |
Restricted stock outstanding as of beginning of the period | 746,830 | 526,803 | 520,969 | 448,283 |
Restricted stock granted during the period | 0 | 0 | 457,538 | 255,158 |
Restricted stock vested during the period | -2,917 | -2,917 | -234,594 | -179,555 |
Restricted stock outstanding as of end of the period | 743,913 | 523,886 | 743,913 | 523,886 |
Nonvested restricted stock, fair value remaining to be amortized | 4,969 | ' | 4,969 | ' |
Restricted Stock [Member] | Within twelve months [Member] | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options | ' | ' | ' | ' |
Nonvested restricted stock, fair value remaining to be amortized | 2,411 | ' | 2,411 | ' |
Restricted Stock [Member] | One to two 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 | 1,663 | ' | 1,663 | ' |
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 | 750 | ' | 750 | ' |
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 | $145 | ' | $145 | ' |