Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Feb. 29, 2016 | Jun. 30, 2015 | |
Entity Information [Line Items] | |||
Entity Registrant Name | DYNEX CAPITAL INC | ||
Entity Central Index Key | 826,675 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Accelerated Filer | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2015 | ||
Document Fiscal Year Focus | 2,015 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Entity Common Stock, Shares Outstanding | 48,952,860 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 376,818,281 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
ASSETS | ||
Mortgage-backed securities (including pledged of $3,361,635 and $3,265,979, respectively) | $ 3,493,701 | $ 3,516,239 |
Mortgage loans held for investment, net | 24,145 | 39,700 |
Investment in limited partnership | 10,835 | 4,000 |
Investment in FHLB stock | 11,475 | 0 |
Cash and cash equivalents | 33,935 | 43,944 |
Restricted cash | 51,190 | 42,263 |
Derivative assets | 7,835 | 5,727 |
Principal receivable on investments | 6,193 | 7,420 |
Accrued interest receivable | 22,764 | 21,157 |
Other assets, net | 7,975 | 7,861 |
Total assets | 3,670,048 | 3,688,311 |
Liabilities: | ||
Repurchase agreements | 2,589,420 | 3,013,110 |
FHLB advances | 520,000 | 0 |
Non-recourse collateralized financing | 8,442 | 10,786 |
Derivative liabilities | 41,205 | 35,898 |
Accrued interest payable | 1,743 | 1,947 |
Accrued dividends payable | 13,709 | 15,622 |
Other liabilities | 3,504 | 3,646 |
Total liabilities | 3,178,023 | 3,081,009 |
Shareholders’ equity: | ||
Common stock, par value $.01 per share, 200,000,000 shares authorized; 49,047,335 and 54,739,111 shares issued and outstanding, respectively | 490 | 547 |
Additional paid-in capital | 725,358 | 763,935 |
Accumulated other comprehensive (loss) income | (12,768) | 21,316 |
Accumulated deficit | (330,713) | (288,154) |
Total shareholders' equity | 492,025 | 607,302 |
Total liabilities and shareholders’ equity | 3,670,048 | 3,688,311 |
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 ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
ASSETS | ||
Pledged MBS | $ 3,361,635 | $ 3,265,979 |
Common stock, par value | $ 0.01 | $ 0.01 |
Common Stock, Shares Authorized | 200,000,000 | 200,000,000 |
Common Stock, Shares, Issued | 49,047,335 | 54,739,111 |
Common stock, shares outstanding | 49,047,335 | 54,739,111 |
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 Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Interest income: | |||
Mortgage-backed securities | $ 98,936 | $ 102,881 | $ 123,629 |
Mortgage loans held for investment | 1,308 | 2,763 | 3,503 |
Total interest income | 100,244 | 105,644 | 127,132 |
Interest expense: | |||
Repurchase agreements and FHLB advances | 22,507 | 25,821 | 38,102 |
Non-recourse collateralized financing | 98 | 94 | 926 |
Total interest expense | 22,605 | 25,915 | 39,028 |
Net interest income | 77,639 | 79,729 | 88,104 |
Loss on derivative instruments, net | (43,128) | (53,393) | (10,076) |
(Loss) gain on sale of investments, net | (978) | 16,223 | 3,354 |
Fair value adjustments, net | 69 | 208 | (652) |
Equity in income of limited partnership | 835 | 0 | 0 |
Other (expense) income, net | (225) | 1,046 | 397 |
General and administrative expenses: | |||
Compensation and benefits | (9,103) | (9,509) | (7,004) |
Other general and administrative | (8,565) | (6,498) | (6,054) |
Net income | 16,544 | 27,806 | 68,069 |
Preferred stock dividends | (9,176) | (9,176) | (7,902) |
Net income to common shareholders | 7,368 | 18,630 | 60,167 |
Change in net unrealized gain on available-for-sale investments | (38,561) | 64,567 | (113,343) |
Reclassification adjustment for loss (gain) on sale of investments, net | 978 | (16,223) | (3,354) |
Change in fair value of cash flow hedges | 0 | 0 | 16,381 |
Reclassification adjustment for de-designated cash flow hedges | 3,499 | 6,788 | 13,989 |
Total other comprehensive (loss) income | (34,084) | 55,132 | (86,327) |
Comprehensive (loss) income to common shareholders | $ (26,716) | $ 73,762 | $ (26,160) |
Net income per common share - basic and diluted | $ 0.14 | $ 0.34 | $ 1.10 |
Weighted average common shares - basic and diluted | 52,847 | 54,701 | 54,648 |
Consolidated Statements of Shar
Consolidated Statements of Shareholders' Equity Statement - USD ($) $ in Thousands | Total | Preferred Stock Including Additional Paid in Capital [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Accumulated Deficit [Member] | Total Shareholders' Equity [Member] |
Balance at Dec. 31, 2012 | $ 55,407 | $ 543 | $ 759,214 | $ 52,511 | $ (250,965) | $ 616,710 | |
Stock issuance | 54,459 | 7 | 7,548 | 62,014 | |||
Stock Issued During Period, Shares, Restricted Stock Award, Gross | 3 | 2,376 | 2,379 | ||||
Adjustments for tax withholding on share-based compensation | 1 | 545 | (546) | ||||
Stock issuance costs amortization | (208) | (119) | (327) | ||||
Common stock repurchased | (9) | (6,924) | (6,933) | ||||
Net income | $ 68,069 | 68,069 | 68,069 | ||||
Dividends on preferred stock | (7,902) | (7,902) | |||||
Dividends on common stock | (61,261) | (61,261) | |||||
Other comprehensive income (loss) | (86,327) | (86,327) | (86,327) | ||||
Balance at Dec. 31, 2013 | 109,658 | 543 | 761,550 | (33,816) | (252,059) | 585,876 | |
Stock issuance | 0 | 1 | 251 | 252 | |||
Stock Issued During Period, Shares, Restricted Stock Award, Gross | 4 | 2,715 | 2,719 | ||||
Adjustments for tax withholding on share-based compensation | 1 | 506 | (507) | ||||
Stock issuance costs amortization | (75) | (75) | |||||
Net income | 27,806 | 27,806 | 27,806 | ||||
Dividends on preferred stock | (9,176) | (9,176) | |||||
Dividends on common stock | (54,725) | (54,725) | |||||
Other comprehensive income (loss) | 55,132 | 55,132 | 55,132 | ||||
Balance at Dec. 31, 2014 | 607,302 | 109,658 | 547 | 763,935 | 21,316 | (288,154) | 607,302 |
Stock issuance | 0 | 0 | 166 | 166 | |||
Stock Issued During Period, Shares, Restricted Stock Award, Gross | 3 | 2,962 | 2,965 | ||||
Adjustments for tax withholding on share-based compensation | 1 | 556 | (557) | ||||
Stock issuance costs amortization | (37) | (37) | |||||
Common stock repurchased | (59) | (41,112) | (41,171) | ||||
Net income | 16,544 | 16,544 | 16,544 | ||||
Dividends on preferred stock | (9,176) | (9,176) | |||||
Dividends on common stock | (49,927) | (49,927) | |||||
Other comprehensive income (loss) | (34,084) | (34,084) | (34,084) | ||||
Balance at Dec. 31, 2015 | $ 492,025 | $ 109,658 | $ 490 | $ 725,358 | $ (12,768) | $ (330,713) | $ 492,025 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Operating activities: | |||
Net income | $ 16,544 | $ 27,806 | $ 68,069 |
Adjustments to reconcile net income to cash provided by operating activities: | |||
Decrease in accrued interest receivable | (1,607) | 546 | 1,370 |
Decrease in accrued interest payable | (204) | (600) | (347) |
Loss on derivative instruments, net | 43,128 | 53,393 | 10,076 |
Loss (gain) on sale of investments, net | 978 | (16,223) | (3,354) |
Fair value adjustments, net | (69) | (208) | 652 |
Amortization of investment premiums, net | 152,308 | 137,837 | 128,865 |
Other amortization and depreciation | 5,338 | 8,900 | 7,743 |
Stock-based compensation expense | 2,965 | 2,719 | 2,314 |
Other operating activities | (2,393) | 381 | (6,628) |
Net cash and cash equivalents provided by operating activities | 216,988 | 214,551 | 208,760 |
Investing activities: | |||
Purchase of investments | (1,122,970) | (599,381) | (1,419,060) |
Principal payments received on investments | 494,275 | 518,303 | 913,210 |
Proceeds from sales of investments | 449,921 | 503,918 | 358,090 |
Principal payments received on mortgage loans held for investment, net | 15,570 | 16,787 | 15,828 |
Payment to acquire interest in limited partnership | (6,000) | (4,000) | 0 |
Net payments on derivatives, including terminations | (39,929) | (11,415) | (39,097) |
Other investing activities | (237) | (7) | 5,891 |
Net cash and cash equivalents (used in) provided by investing activities | (209,370) | 424,205 | (165,138) |
Financing activities: | |||
Borrowings under repurchase agreements and FHLB advances | 23,555,007 | 22,547,991 | 29,176,511 |
Repayments of repurchase agreement borrowings and FHLB advances | (23,458,697) | (23,115,878) | (29,160,302) |
Principal payments on non-recourse collateralized financing | (2,395) | (2,167) | (17,840) |
Increase in restricted cash | (8,927) | (28,878) | (13,346) |
Proceeds from issuance of preferred stock | 0 | 0 | 54,251 |
Proceeds from issuance of common stock, net of issuance costs | 129 | 177 | 7,436 |
Cash paid for repurchases of common stock | (41,171) | 0 | (6,934) |
Payments related to tax withholding for share-based compensation | (557) | (507) | (545) |
Dividends paid | (61,016) | (64,880) | (69,332) |
Net cash and cash equivalents provided by (used in) financing activities | (17,627) | (664,142) | (30,101) |
Net decrease in cash and cash equivalents | (10,009) | (25,386) | 13,521 |
Cash and cash equivalents at beginning of period | 43,944 | 69,330 | 55,809 |
Cash and cash equivalents at end of period | 33,935 | 43,944 | 69,330 |
Supplemental Disclosure of Cash Activities: | |||
Cash paid for interest | $ 19,260 | $ 19,445 | $ 33,517 |
Organization and Summary of Sig
Organization and Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Organization and Summary of Significant Accounting Policies | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Organization Dynex Capital, Inc., ("Company”) was incorporated in the Commonwealth of Virginia on December 18, 1987 and commenced operations in February 1988. The Company primarily earns income from investing on a leveraged basis in mortgage-backed securities ("MBS") that are issued or guaranteed by the U.S. Government or U.S. Government sponsored agencies ("Agency MBS") and MBS issued by others ("non-Agency MBS"). Basis of Presentation The accompanying consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) the instructions to the Annual Report on Form 10-K and Article 3 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Reclassifications Certain items in the prior periods' consolidated financial statements have been reclassified to conform to the current year's presentation. Because the Company's provision for loan loss was immaterial for the years ended December 31, 2015, 2014, and 2013, this amount is now included within "other income (expense), net" on the Company's consolidated statements of comprehensive income. 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 ("VIE") for which it is the primary beneficiary. As a primary beneficiary, the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. All intercompany accounts and transactions have been eliminated in consolidation. 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 the Company's securitized mortgage loans is provided in Note 3 . 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 ("NOL") 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 capital gains 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 Accounting Standards Codification ("ASC") Topic 740. The Company records these liabilities, if any, to the extent they are deemed more likely than not to have been incurred. Net Income Per Common Share The Company did not have any potentially dilutive securities outstanding during the years ended December 31, 2015 , December 31, 2014 , or December 31, 2013. 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 Topic 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. Because the Company's 8.50% Series A Cumulative Redeemable Preferred Stock (the “Series A Preferred Stock”) and 7.625% Series B Cumulative Redeemable Preferred Stock (the “Series B 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 and their related dividends is excluded from the calculation of diluted net income (loss) per common share. Cash and Cash Equivalents Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less. Restricted Cash Restricted cash consists of cash the Company has pledged to cover initial and variation margin with its financing and derivative counterparties. Mortgage-Backed Securities The Company invests in Agency and non-Agency RMBS, CMBS and CMBS IO securities, all of which are designated as available-for-sale ("AFS"). All of the Company’s MBS are recorded at fair value on the consolidated balance sheet. Changes in unrealized gain (loss) on the Company's MBS 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. 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 certain non-Agency MBS that had credit ratings of less than 'AA' at the time of purchase or were not rated by any of the nationally recognized credit rating agencies. A portion of these non-Agency MBS were purchased at discounts to their par value, which management does not believe to be substantial. The discount is accreted into income over the security's expected life, which reflects management's estimate of the security's projected cash flows. 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 8 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 2 for additional information related to the Company's evaluation for OTTI. Investment in Limited Partnership The Company is a limited partner with a less than 50% interest in a limited partnership for which it does not have substantive participating or kick-out rights that overcome the general partner's presumption of control. The Company accounts for its investment in this limited partnership using the equity method of accounting, which requires initially recording an investment in the equity of an investee at cost and subsequently adjusting the carrying amount of the investment to recognize the investor's share of the earnings or losses, capital contributions and distributions, and other changes in equity. Secured Borrowings Secured borrowings, including repurchase agreements and Federal Home Loan Bank (or "FHLB") advances, 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. The Company’s wholly-owned captive insurance subsidiary, Mackinaw Insurance Company, LLC (“Mackinaw”), has obtained advances from the Federal Home Loan Bank of Indianapolis (“FHLBI”) under an advances, pledge and security agreement which includes collateral requirements similar to the Company’s repurchase agreement borrowings, including the FHLBI’s right to require additional pledges of collateral. The agreement also requires Mackinaw to observe the rules of FHLBI membership and is subject to the FHLBI’s credit policies. The FHLBI requires Mackinaw to pledge additional securities or cash as collateral for advances in the event the value of the collateral held by the FHLBI falls below specified levels and gives the FHLBI the right to demand additional collateral in certain circumstances. Please see Note 13 for important information related to the Company's FHLB advances. Derivative Instruments The Company's derivative instruments, which currently include interest rate swaps and Eurodollar futures, are accounted for at fair value and recognized accordingly as either derivative assets or derivative liabilities on the Company's consolidated balance sheet. All periodic interest costs and changes in fair value of derivative instruments, including gains and losses realized upon termination, are recorded in "gain (loss) on derivative instruments, net" on the Company's consolidated statement of comprehensive income. Please refer to Note 6 for additional information regarding the Company's accounting for its derivative instruments. 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". Although MBS have characteristics that meet the definition of a derivative instrument, ASC Topic 815 specifically excludes these instruments from its scope because they are accounted for as debt securities under ASC Topic 320. Share-Based Compensation Pursuant to the Company’s 2009 Stock and Incentive Plan, 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. 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 time-based restricted stock 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 may be 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. Recent Accounting Pronouncements In January 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2016-01, Financial Instruments-Overall (Subtopic 825-10); Recognition and Measurement of Financial Assets and Financial Liabilities, which includes the following amendments: • equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) are to be measured at fair value with changes in fair value recognized in net income. • simplify the impairment assessment of equity investments without readily determinable fair values by requiring a qualitative assessment to identify impairment. When a qualitative assessment indicates that impairment exists, an entity is required to measure the investment at fair value. • the exit price notion is to be used by public business entities when measuring the fair value of financial instruments for disclosure purposes. • separate presentation of financial assets and financial liabilities by measurement category and form of financial asset (i.e. securities or loans and receivables) on the balance sheet or the accompanying notes to the financial statements. • elimination of the requirement for public business entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measure at amortized cost. • a requirement for the entity to present separately in OCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. • clarification that an entity should evaluate the need for a valuation allowance on a deferred tax asset related to AFS securities in combination with the entity's other deferred tax assets. ASU No. 2016-01 is effective for public companies for fiscal years beginning after December 15, 2017. Management has evaluated this ASU, and its adoption is not expected to have a material impact on the Company's consolidated financial statements. |
Mortgage Backed Securities Mort
Mortgage Backed Securities Mortgage backed securities (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-backed securities | MORTGAGE-BACKED SECURITIES The majority of the Company's MBS are pledged as collateral to cover initial and variation margins for the Company's repurchase agreements, FHLB advances, and derivative instruments. The following tables present the Company’s MBS by investment type as of the dates indicated: December 31, 2015 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) RMBS: Agency $ 1,536,733 $ 77,617 $ 1,614,350 $ 4,362 $ (20,190 ) $ 1,598,522 3.03 % Non-Agency 66,003 (45 ) 65,958 70 (818 ) 65,210 3.25 % 1,602,736 77,572 1,680,308 4,432 (21,008 ) 1,663,732 CMBS: Agency 876,751 13,252 890,003 10,542 (14,614 ) 885,931 3.45 % Non-Agency 156,218 (8,133 ) 148,085 7,039 (941 ) 154,183 4.29 % 1,032,969 5,119 1,038,088 17,581 (15,555 ) 1,040,114 CMBS IO (2) : Agency — 421,857 421,857 5,922 (1,651 ) 426,128 0.80 % Non-Agency — 365,554 365,554 1,992 (3,819 ) 363,727 0.71 % — 787,411 787,411 7,914 (5,470 ) 789,855 Total AFS securities: $ 2,635,705 $ 870,102 $ 3,505,807 $ 29,927 $ (42,033 ) $ 3,493,701 (1) The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security). (2) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $12,180,291 and $10,328,628 , respectively, as of December 31, 2015 . December 31, 2014 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) RMBS: Agency $ 2,086,807 $ 113,635 $ 2,200,442 $ 8,473 $ (22,215 ) $ 2,186,700 3.09 % Non-Agency 22,432 (17 ) 22,415 107 (74 ) 22,448 3.83 % 2,109,239 113,618 2,222,857 8,580 (22,289 ) 2,209,148 CMBS: Agency 301,943 18,042 319,985 15,288 (76 ) 335,197 5.21 % Non-Agency 210,358 (8,520 ) 201,838 6,679 (479 ) 208,038 4.33 % 512,301 9,522 521,823 21,967 (555 ) 543,235 CMBS IO (2) : Agency — 426,564 426,564 12,252 (79 ) 438,737 0.80 % Non-Agency — 319,280 319,280 6,069 (230 ) 325,119 0.72 % — 745,844 745,844 18,321 (309 ) 763,856 Total AFS securities: $ 2,621,540 $ 868,984 $ 3,490,524 $ 48,868 $ (23,153 ) $ 3,516,239 (1) The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security). (2) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $10,460,113 and $7,868,896 , respectively, as of December 31, 2014 . The Company's sale proceeds for MBS were $449,921 , $503,918 , and $357,892 for the years ended December 31, 2015 , 2014, and 2013, respectively. The following table presents the gross realized gains (losses) of those sales included in "(loss) gain on sale of investments, net" on the Company's consolidated statements of comprehensive income (loss) for the periods indicated: Year Ended December 31, ($ in thousands) 2015 2014 2013 Gross realized gains on sales of MBS $ 3,552 $ 22,492 $ 8,670 Gross realized losses on sales of MBS (4,530 ) (6,269 ) (5,316 ) (Loss) gain on sale of investments, net $ (978 ) $ 16,223 $ 3,354 The following table presents certain information for those Agency MBS in an unrealized loss position as of the dates indicated: December 31, 2015 December 31, 2014 Fair Value Gross Unrealized Losses # of Securities Fair Value Gross Unrealized Losses # of Securities Continuous unrealized loss position for less than 12 months: Agency MBS $ 1,332,849 $ (19,062 ) 109 $ 322,741 $ (879 ) 24 Non-Agency MBS 351,650 (5,347 ) 72 111,778 (625 ) 24 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 775,484 $ (17,393 ) 72 $ 1,321,323 $ (21,491 ) 113 Non-Agency MBS 8,306 (231 ) 7 18,037 (159 ) 5 Because the principal related to Agency MBS is 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 December 31, 2015 and December 31, 2014 were temporary. The Company 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 December 31, 2015 or December 31, 2014. |
Mortgage Loans Held for Investm
Mortgage Loans Held for Investment, Net and Related Non-Recourse Collateralized Financing (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Mortgage Loans Held for Investment, Net and Related Non-Recourse Collateralized Financing [Abstract] | |
Mortgage loans held for investment, net and related non-recourse collateralized financing | MORTGAGE LOANS HELD FOR INVESTMENT, NET AND RELATED NON-RECOURSE COLLATERALIZED FINANCING The Company's mortgage loans held for investment, net consist of securitized and unsecuritized mortgage loans originated or purchased by the Company from 1992 through 1998 and are reported at amortized cost. The following table provides detail by type of collateral as of the periods indicated: December 31, 2015 December 31, 2014 Single-family mortgage loans held for investment, amortized cost $ 24,189 $ 30,214 Commercial mortgage loans held for investment, amortized cost 148 9,736 Allowance for loan losses (192 ) (250 ) Total mortgage loans held for investment, net $ 24,145 $ 39,700 Commercial securitized mortgage loans are evaluated individually for impairment when the debt service coverage ratio on the mortgage loan is less than 1:1 or when the mortgage loan is delinquent. Commercial mortgage loans not evaluated for individual impairment are evaluated for a general allowance. There were no securitized commercial mortgage loans identified as seriously delinquent (60 or more days past due) on the Company's consolidated balance sheets as of December 31, 2015 or as of December 31, 2014. Single-family mortgage loans are considered homogeneous and are evaluated on a pool basis for a general allowance. The unpaid principal balance of the Company's securitized single-family mortgage loans identified as seriously delinquent as of December 31, 2015 was $1,343 compared to $2,221 as of December 31, 2014. The Company continues to accrue interest on its seriously delinquent securitized single-family mortgage loans because the primary servicer continues to advance the interest and/or principal due on the loan. The Company considers various factors in determining its specific and general allowance requirements, including whether a loan is delinquent, the Company’s historical experience with similar types of loans, historical cure rates of delinquent loans, and historical and anticipated loss severity of the mortgage loans as they are liquidated. The factors may differ by mortgage loan type (e.g., single-family versus commercial) and collateral type (e.g., multifamily versus office property). The allowance for loan losses is evaluated and adjusted periodically by management based on the actual and estimated timing and amount of probable credit losses, using the above factors, as well as industry loss experience. The Company recorded $180 , $0 , and $261 as provision for loan losses for the years ended December 31, 2015, 2014, and 2013, respectively, which is included within "other (expense) income, net" on the Company's consolidated statements of comprehensive income (loss). The majority of the Company's mortgage loans held for investment, net are securitized mortgage loans and are pledged as collateral for the one remaining class of the Company's single-family securitization financing bond, which is recorded on the Company's balance sheet as "non-recourse collateralized financing". As of December 31, 2015, $9,220 of the principal balance of the single-family mortgage loans held for investment was pledged as collateral for the Company's non-recourse collateralized financing which had a remaining principal balance of $8,573 . As of December 31, 2014, $11,902 of the principal balance of the Company's mortgage loans held for investment was pledged as collateral for the remaining principal balance of the outstanding bonds of $10,967 . The interest rate on this bond is based on 1-month LIBOR plus 0.30%. |
Repurchase Agreements (Notes)
Repurchase Agreements (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | REPURCHASE AGREEMENTS The Company finances its purchases of investments primarily using repurchase agreements which bear interest at a rate based on a spread to London Interbank Offered Rate ("LIBOR"). The Company’s repurchase agreement borrowings outstanding as of December 31, 2015 and December 31, 2014 are summarized in the table below by the fair value and type of securities pledged as collateral: December 31, 2015 Collateral Type Balance Weighted Average Rate Fair Value of Collateral Pledged Agency RMBS $ 1,439,436 0.47 % $ 1,483,152 Non-Agency RMBS 52,128 1.77 % 64,286 Agency CMBS 301,427 0.49 % 345,728 Non-Agency CMBS 126,378 1.26 % 143,785 Agency CMBS IO 360,245 1.24 % 421,285 Non-Agency CMBS IO 302,771 1.33 % 359,351 Securitization financing bond 7,035 1.65 % 8,054 $ 2,589,420 0.75 % $ 2,825,641 December 31, 2014 Collateral Type Balance Weighted Average Rate Fair Value of Collateral Pledged Agency RMBS $ 1,977,338 0.39 % $ 2,064,704 Non-Agency RMBS 17,594 1.57 % 21,787 Agency CMBS 253,857 0.36 % 291,103 Non-Agency CMBS 114,895 1.15 % 140,216 Agency CMBS IOs 372,609 0.92 % 430,638 Non-Agency CMBS IOs 266,983 1.04 % 315,149 Securitization financing bond 9,834 1.51 % 11,000 $ 3,013,110 0.55 % $ 3,274,597 As of December 31, 2015 , the weighted average remaining term to maturity of our repurchase agreements was 22 days compared to 88 days as of December 31, 2014. The following table provides a summary of the original term to maturity of our repurchase agreements as of December 31, 2015 and December 31, 2014 : Original Term to Maturity December 31, December 31, Less than 30 days $ 551,643 $ 250,635 30 to 90 days 782,393 617,399 91 to 180 days 1,255,384 904,830 181 to 364 days — 1,030,569 1 year or longer — 209,677 $ 2,589,420 $ 3,013,110 As of December 31, 2015 , the Company had approximately $56,193 of its shareholders' equity at risk (defined as the excess of collateral pledged over the borrowings outstanding) with Wells Fargo Bank National Association together with its affiliate Wells Fargo Securities, LLC. The borrowings outstanding with that counterparty and its affiliate as of December 31, 2015 were $297,916 with a weighted average borrowing rate of 1.30% . Of the amount outstanding with this counterparty and its affiliate, $283,655 is under a committed repurchase facility with Wells Fargo Bank National Association. This facility has an aggregate maximum borrowing capacity of $300,000 and is scheduled to expire on August 6, 2016, 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 December 31, 2015 was 1.30% . Shareholders' equity at risk did not exceed 10% for any of the Company's other counterparties. As of December 31, 2015 , the Company had repurchase agreement amounts outstanding with 17 of its 32 available repurchase agreement 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. With respect to outstanding repurchase agreement and FHLB advance financings as of December 31, 2015 , the Company was in compliance with all covenants. Please see Note 7 for the Company's disclosures related to offsetting assets and liabilities. |
FHLB Advances (Notes)
FHLB Advances (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | |
FHLB Advances, Disclosure [Text Block] | FHLB ADVANCES The Company’s wholly owned subsidiary, Mackinaw Insurance Company, LLC (or "Mackinaw") is a member of the FHLB of Indianapolis (or "FHLBI"). Please refer to Note 13 for important information regarding the Company's ability to continue using FHLB advances in the future. The following table summarizes certain information about the Company's FHLB advances outstanding as of December 31, 2015: December 31, 2015 Remaining Term to Maturity Agency RMBS Collateral Agency CMBS Collateral Total Weighted Average Rate 30 to 90 days $ 17,000 $ 240,000 $ 257,000 0.28 % 91 days to 1 year — 263,000 263,000 0.51 % $ 17,000 $ 503,000 $ 520,000 0.40 % The Company had MBS with a fair value of $541,771 pledged as collateral for its FHLB advances as of December 31, 2015 and had interest expense of $541 related to its FHLB advances for the year ended December 31, 2015. As a condition to membership in the FHLBI, the Company had stock in the FHLBI totaling $11,475 as of December 31, 2015 which is shown on the Company's consolidated balance sheet as "Investment in FHLB stock". FHLB stock is considered a non-marketable, long-term investment, is carried at cost and is subject to recoverability testing under applicable accounting standards. This stock can only be redeemed or sold at its par value and only to the FHLBI. |
Derivatives
Derivatives | 12 Months Ended |
Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives | DERIVATIVES The Company utilizes derivative instruments to economically hedge a portion of its exposure to 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 some portion of 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: December 31, 2015 Derivative Assets Derivative Liabilities Trading Instruments Fair Value Notional Fair Value Notional Interest rate swaps $ 7,835 $ 460,000 $ (12,108 ) $ 2,920,000 Eurodollar futures (1) — — (29,097 ) 6,300,000 Total $ 7,835 $ 460,000 $ (41,205 ) $ 9,220,000 December 31, 2014 Derivative Assets Derivative Liabilities Trading Instruments Fair Value Notional Fair Value Notional Interest rate swaps $ 5,727 $ 440,000 $ (3,002 ) $ 485,000 Eurodollar futures (2) — — (32,896 ) 16,600,000 Total $ 5,727 $ 440,000 $ (35,898 ) $ 17,085,000 (1) The Eurodollar futures aggregate notional amount represents the total notional of the 3-month contracts with expiration dates from 2017 to 2020. The maximum notional outstanding for any future 3-month period did not exceed $725,000 as of December 31, 2015 . (2) 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 December 31, 2014. The following table summarizes the contractual maturities remaining for the Company’s outstanding interest rate swap agreements as of December 31, 2015 : Remaining Maturity Pay-Fixed Interest Rate Swaps Pay-Fixed Weighted-Average Rate Receive-Fixed Interest Rate Swaps Receive-Fixed Weighted-Average Rate 13-24 months $ 1,435,000 1.18 % $ — — % 25-36 months — — % — — % 37-48 months 160,000 1.37 % 250,000 1.91 % 49-60 months 685,000 1.71 % 50,000 1.75 % 61-72 months — — % 100,000 1.69 % 73-84 months 75,000 1.77 % — — % 85-96 months 125,000 1.98 % — — % 97-108 months — — % 25,000 2.71 % 109-120 months 475,000 2.86 % — — % The following table summarizes the volume of activity related to derivative instruments for the period indicated: For the year ended December 31, 2015: Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Receive-fixed interest rate swaps $ 275,000 $ 150,000 $ — $ 425,000 Pay-fixed interest rate swaps 650,000 3,135,000 (830,000 ) 2,955,000 Eurodollar futures 16,600,000 — (10,300,000 ) 6,300,000 $ 17,525,000 $ 3,285,000 $ (11,130,000 ) $ 9,680,000 The table below provides detail of the Company's "loss on derivative instruments, net" by type of interest rate derivative for the periods indicated: Year Ended December 31, Type of Derivative Instrument 2015 2014 2013 Receive-fixed interest rate swaps $ 6,522 $ 4,912 $ — Pay-fixed interest rate swaps (28,687 ) (30,754 ) 9,315 Eurodollar futures (20,963 ) (27,551 ) (19,391 ) Loss on derivative instruments, net $ (43,128 ) $ (53,393 ) $ (10,076 ) There is a net unrealized gain of $921 remaining in AOCI on the Company's consolidated balance sheet as of December 31, 2015 which represents the activity related to 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. The Company estimates a credit of $251 will be reclassified to net income as a reduction of "interest expense" within the next 12 months. A portion of the Company's interest rate swaps were entered into under bilateral agreements which contain cross-default provisions with other agreements between the parties. In addition, these bilateral agreements contain financial and operational covenants similar to those contained in our repurchase agreements, as described in Note 4 . With respect to interest rate agreements under which interest rate swaps were entered into as of December 31, 2015, the Company was in compliance with all covenants. Please see Note 7 for the Company's disclosures related to offsetting assets and liabilities. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
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 Topic 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: December 31, 2015 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets: Mortgage-backed securities $ 3,493,701 $ — $ 3,477,266 $ 16,435 Derivative assets 7,835 — 7,835 — Total assets carried at fair value $ 3,501,536 $ — $ 3,485,101 $ 16,435 Liabilities: Derivative liabilities $ 41,205 $ 29,097 $ 12,108 $ — Total liabilities carried at fair value $ 41,205 $ 29,097 $ 12,108 $ — December 31, 2014 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets: Mortgage-backed securities $ 3,516,239 $ — $ 3,472,282 $ 43,957 Derivative assets 5,727 — 5,727 — Total assets carried at fair value $ 3,521,966 $ — $ 3,478,009 $ 43,957 Liabilities: Derivative liabilities $ 35,898 $ 32,896 $ 3,002 $ — Total liabilities carried at fair value $ 35,898 $ 32,896 $ 3,002 $ — The Company did not have assets or liabilities measured at fair value on a non-recurring basis as of December 31, 2015 or December 31, 2014 . 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, the fair values of these financial futures are classified as Level 1 measurements. 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. Level 3 assets are generally 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 December 31, 2015 : Quantitative Information about Level 3 Fair Value Measurements (1) Prepayment Speed Default Rate Severity Discount Rate Non-Agency CMBS 20 CPY 2.0 % 35.0 % 10.1 % Non-Agency RMBS 10 CPR 1.0 % 20.0 % 6.5 % (1) Data presented are weighted averages. The activity of the instruments measured at fair value on a recurring basis using Level 3 inputs is presented in the following table for the period indicated: Level 3 Fair Value Non-Agency CMBS Non-Agency RMBS Total assets Balance as of December 31, 2014 $ 42,033 $ 1,924 $ 43,957 Unrealized gain (loss) included in OCI 2,628 (20 ) 2,608 Principal payments (30,230 ) (372 ) (30,602 ) Accretion 472 — 472 Balance as of December 31, 2015 $ 14,903 $ 1,532 $ 16,435 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: December 31, 2015 December 31, 2014 Recorded Basis Fair Value Recorded Basis Fair Value Assets: Mortgage-backed securities $ 3,493,701 $ 3,493,701 $ 3,516,239 $ 3,516,239 Mortgage loans held for investment, net (1) 24,145 20,849 39,700 35,024 Investment in FHLB Stock 11,475 11,475 — — Derivative assets 7,835 7,835 5,727 5,727 Liabilities: Repurchase agreements (2) $ 2,589,420 $ 2,589,420 $ 3,013,110 $ 3,013,110 FHLB advances (2) 520,000 520,000 — — Non-recourse collateralized financing (1) 8,442 8,102 10,786 10,366 Derivative liabilities 41,205 41,205 35,898 35,898 (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 the fair value of the Company's Level 3 non-Agency MBS. (2) The carrying value of repurchase agreements and FHLB advances generally approximates fair value due to their short term maturities. |
Shareholders' Equity
Shareholders' Equity | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Shareholders' Equity | SHAREHOLDERS' EQUITY Preferred Stock The Company has 2,300,000 shares of its 8.50% Series A Preferred Stock and 2,250,000 shares of its 7.625% Series B Preferred Stock issued and outstanding as of December 31, 2015 (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 fourth quarter on January 15, 2016 to shareholders of record as of January 1, 2016. Common Stock The following table presents a summary of the changes in the number of common shares outstanding for the periods presented: Year Ended December 31, 2015 2014 Balance as of beginning of period 54,739,111 54,310,484 Common stock issued under DRIP 22,607 16,753 Common stock issued under stock and incentive plans 263,829 471,210 Common stock forfeited for tax withholding on share-based compensation (67,296 ) (59,336 ) Common stock repurchased during the period (5,910,916 ) — Balance as of end of period 49,047,335 54,739,111 The Company had 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 December 31, 2015 . 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 2,427,538 shares remaining for issuance as of December 31, 2015 . The Company declared a fourth quarter common stock dividend of $0.24 per share payable on January 29, 2016 to shareholders of record as of December 31, 2015. There was no discount for shares purchased through the DRIP during the fourth quarter of 2015. Of the $50,000 authorized by the Company's Board of Directors for the repurchase of its common stock through December 31, 2016 , approximately $8,829 remains available for repurchase at the Company's option as of December 31, 2015 . 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 994,096 available for issuance as of December 31, 2015 . Total stock-based compensation expense recognized by the Company for the year ended December 31, 2015 was $2,965 compared to $2,719 and $2,354 for the years ended December 31, 2014 and December 31, 2013, respectively. The following table presents a rollforward of the restricted stock activity for the periods indicated: Year Ended December 31, 2015 2014 Restricted stock outstanding as of beginning of period 731,809 520,987 Restricted stock granted 263,829 457,538 Restricted stock vested (299,041 ) (246,716 ) Restricted stock outstanding as of end of period 696,597 731,809 (1) The beginning balance shown for the year ended December 31, 2014 has been adjusted from amount previously disclosed to correct computational errors relating to vesting terms on grants made in the first quarter of 2013. The combined grant date fair value of the restricted stock issued by the Company for the year ended December 31, 2015 was $2,167 compared to $3,703 for the year ended December 31, 2014 . As of December 31, 2015 , the fair value of the Company’s outstanding restricted stock remaining to be amortized into compensation expense is $3,497 which will be recognized over a weighted average period of 1.7 years . |
Income Taxes (Notes)
Income Taxes (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Income Taxes [Abstract] | |
Income Tax Disclosure [Text Block] | INCOME TAXES The Company's estimated REIT taxable income before consideration of its NOL carryforward was $52,964 for the year ended December 31, 2015, $79,229 for the year ended December 31, 2014, and $71,765 for the year ended December 31, 2013. After common and preferred dividend distributions during those years as well as utilization of the Company's NOL carryforward to offset taxable earnings, the Company does not expect to incur any income tax liability for the year ended December 31, 2015 and did not incur any material income tax liability for the years ending December 31, 2014 or December 31, 2013. The Company's estimated NOL carryforward as of December 31, 2015 is $89,775 . Because the Company incurred an "ownership change" under Section 382 of the Internal Revenue Code ("Section 382"), the Company's ability to utilize its NOL carryforward to offset its taxable income after any required dividend distributions is limited to approximately $13,451 per year with any unused amounts being accumulated and carried forward for use in subsequent years. As of December 31, 2015, the Company had $25,190 of NOL that is not subject to the existing Section 382 limitations available to offset any future taxable income. The NOL will expire beginning in 2020 to the extent it is not used. After reviewing for any potentially uncertain income tax positions, the Company has concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of December 31, 2015, December 31, 2014, or December 31, 2013, although its tax returns for those tax years are open to examination by the IRS. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. |
Related Party Transactions (Not
Related Party Transactions (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Related Party Transactions [Abstract] | |
Related Party Transactions Disclosure [Text Block] | RELATED PARTY TRANSACTIONS The Company and DCI Commercial, Inc. ("DCI"), a former affiliate of the Company and formerly known as Dynex Commercial, Inc., were jointly named in litigation regarding the activities of DCI while it was an operating subsidiary of an affiliate of the Company. In May 2013, the Fifth Circuit Court of Appeals in Dallas, Texas (the “Fifth Circuit”) affirmed the trial court’s decision with respect to a take nothing judgment against the Company. With respect to DCI, the Fifth Circuit remanded the case to the trial court for entry of judgment and a $25.6 million damage award against DCI and for a new trial with respect to attorneys’ fees and for costs and pre- and post-judgment interest as determined by the trial court. In December 2000, the Company and DCI entered into a Litigation Cost Sharing Agreement whereby the parties set forth how the costs of defending against such litigation would be shared, and whereby the Company agreed to advance DCI's portion of the costs of defending against such litigation. The Litigation Cost Sharing Agreement remains in effect as of December 31, 2015. DCI costs advanced by the Company are loans and bear simple interest at the rate of Prime plus 8.0% per annum. As of December 31, 2015, the total amount due to the Company under the Litigation Cost Sharing Agreement, including interest, was $9,630 , which has been fully reserved for collectability by the Company. DCI is currently wholly owned by a company unaffiliated with the Company. An executive of the Company is the sole shareholder of this unaffiliated company. |
Selected Quarterly Information
Selected Quarterly Information (Unaudited) (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Selected Quarterly Information (Unaudited) [Abstract] | |
Quarterly Financial Information [Text Block] | SELECTED QUARTERLY INFORMATION (UNAUDITED) Year Ended December 31, 2015 First Quarter Second Quarter Third Quarter Fourth Quarter Operating results: Interest income $ 24,099 $ 24,527 $ 26,096 $ 25,522 Interest expense 5,371 5,542 5,859 5,833 Net interest income 18,728 18,985 20,237 19,689 (Loss) gain on derivatives instruments, net (25,323 ) 17,090 (52,749 ) 17,854 Gain (loss) on sale of investments, net 1,308 (1,491 ) 113 (908 ) Fair value adjustments and other income (expense) amounts, net 72 632 (199 ) 174 General and administrative expenses (4,257 ) (4,754 ) (4,379 ) (4,278 ) Preferred stock dividends (2,294 ) (2,294 ) (2,294 ) (2,294 ) Net (loss) income to common shareholders (11,766 ) 28,168 (39,271 ) 30,237 Other comprehensive income (loss) 23,054 (39,679 ) 27,418 (44,877 ) Comprehensive income (loss) to common shareholders $ 11,288 $ (11,511 ) $ (11,853 ) $ (14,640 ) Net (loss) income per common share $ (0.21 ) $ 0.52 $ (0.74 ) $ 0.61 Dividends declared per common share $ 0.24 $ 0.24 $ 0.24 $ 0.24 Year Ended December 31, 2014 First Quarter Second Quarter Third Quarter Fourth Quarter Operating results: Interest income $ 27,640 $ 27,718 $ 26,000 $ 24,286 Interest expense 7,633 6,572 6,058 5,652 Net interest income 20,007 21,146 19,942 18,634 (Loss) gain on derivatives instruments, net (13,422 ) (23,074 ) 4,842 (21,739 ) (Loss) gain on sale of investments, net (3,307 ) (477 ) 9,057 10,950 Fair value adjustments and other income (expense) amounts, net 107 225 939 (17 ) General and administrative expenses (4,119 ) (3,819 ) (3,914 ) (4,155 ) Preferred stock dividends (2,294 ) (2,294 ) (2,294 ) (2,294 ) Net (loss) income to common shareholders (3,028 ) (8,293 ) 28,572 1,379 Other comprehensive income (loss) 29,560 35,199 (14,482 ) 4,855 Comprehensive income to common shareholders $ 26,532 $ 26,906 $ 14,090 $ 6,234 Net (loss) income per common share $ (0.06 ) $ (0.15 ) $ 0.52 $ 0.03 Dividends declared per common share $ 0.25 $ 0.25 $ 0.25 $ 0.25 |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS Management has evaluated events and circumstances occurring as of and through the date this Annual Report on Form 10-K was filed with the SEC and has determined that there have been no significant events or circumstances that qualify as a "recognized" subsequent event as defined by ASC Topic 855. Management has determined that the following events or circumstances qualify as "nonrecognized" subsequent events as defined by ASC Topic 855: As a result of a final rule issued by the FHFA in January 2016 regarding the exclusion of captive insurance entities from membership in the FHLB, the Company's wholly owned subsidiary, Mackinaw, must terminate its membership in the FHLB of Indianapolis by February 19, 2017 and will no longer be permitted new advances or renewals of existing advances. FHLB advances outstanding on the Company's consolidated balance sheet as of December 31, 2015 will be repaid at or before their respective maturities. Each FHLB advance matures before the end of 2016. |
Organization and Summary of S19
Organization and Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Organization [Text Block] | Organization Dynex Capital, Inc., ("Company”) was incorporated in the Commonwealth of Virginia on December 18, 1987 and commenced operations in February 1988. The Company primarily earns income from investing on a leveraged basis in mortgage-backed securities ("MBS") that are issued or guaranteed by the U.S. Government or U.S. Government sponsored agencies ("Agency MBS") and MBS issued by others ("non-Agency MBS"). |
Basis of Presentation [Policy Text Block] | Basis of Presentation The accompanying consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) the instructions to the Annual Report on Form 10-K and Article 3 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). |
Reclassifications [Text Block] | Reclassifications Certain items in the prior periods' consolidated financial statements have been reclassified to conform to the current year's presentation. Because the Company's provision for loan loss was immaterial for the years ended December 31, 2015, 2014, and 2013, this amount is now included within "other income (expense), net" on the Company's consolidated statements of comprehensive income. 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 ("VIE") for which it is the primary beneficiary. As a primary beneficiary, the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. All intercompany accounts and transactions have been eliminated in consolidation. 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 the Company's securitized mortgage loans is provided in Note 3 . |
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. |
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 ("NOL") 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 capital gains 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 Accounting Standards Codification ("ASC") Topic 740. The Company records these liabilities, if any, to the extent they are deemed more likely than not to have been incurred. |
Net Income (Loss) Per Common Share [Text Block] | Net Income Per Common Share The Company did not have any potentially dilutive securities outstanding during the years ended December 31, 2015 , December 31, 2014 , or December 31, 2013. 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 Topic 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. Because the Company's 8.50% Series A Cumulative Redeemable Preferred Stock (the “Series A Preferred Stock”) and 7.625% Series B Cumulative Redeemable Preferred Stock (the “Series B 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 and their related dividends is excluded from the calculation of diluted net income (loss) per common share. |
Cash and Cash Equivalents [Policy Text Block] | Cash and Cash Equivalents Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less. |
Restricted Cash [Policy Text Block] | Restricted Cash Restricted cash consists of cash the Company has pledged to cover initial and variation margin with its financing and derivative counterparties. |
Mortgage-Backed Securities [Policy Text Block] | Mortgage-Backed Securities The Company invests in Agency and non-Agency RMBS, CMBS and CMBS IO securities, all of which are designated as available-for-sale ("AFS"). All of the Company’s MBS are recorded at fair value on the consolidated balance sheet. Changes in unrealized gain (loss) on the Company's MBS 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. 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 certain non-Agency MBS that had credit ratings of less than 'AA' at the time of purchase or were not rated by any of the nationally recognized credit rating agencies. A portion of these non-Agency MBS were purchased at discounts to their par value, which management does not believe to be substantial. The discount is accreted into income over the security's expected life, which reflects management's estimate of the security's projected cash flows. 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 8 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 2 for additional information related to the Company's evaluation for OTTI. |
Investment in Limited Partnership [Policy Text Block] | Investment in Limited Partnership The Company is a limited partner with a less than 50% interest in a limited partnership for which it does not have substantive participating or kick-out rights that overcome the general partner's presumption of control. The Company accounts for its investment in this limited partnership using the equity method of accounting, which requires initially recording an investment in the equity of an investee at cost and subsequently adjusting the carrying amount of the investment to recognize the investor's share of the earnings or losses, capital contributions and distributions, and other changes in equity. |
Secured Borrowings [Policy Text Block] | Secured Borrowings Secured borrowings, including repurchase agreements and Federal Home Loan Bank (or "FHLB") advances, 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. The Company’s wholly-owned captive insurance subsidiary, Mackinaw Insurance Company, LLC (“Mackinaw”), has obtained advances from the Federal Home Loan Bank of Indianapolis (“FHLBI”) under an advances, pledge and security agreement which includes collateral requirements similar to the Company’s repurchase agreement borrowings, including the FHLBI’s right to require additional pledges of collateral. The agreement also requires Mackinaw to observe the rules of FHLBI membership and is subject to the FHLBI’s credit policies. The FHLBI requires Mackinaw to pledge additional securities or cash as collateral for advances in the event the value of the collateral held by the FHLBI falls below specified levels and gives the FHLBI the right to demand additional collateral in certain circumstances. Please see Note 13 for important information related to the Company's FHLB advances. |
Derivative Instruments [Policy Text Block] | Derivative Instruments The Company's derivative instruments, which currently include interest rate swaps and Eurodollar futures, are accounted for at fair value and recognized accordingly as either derivative assets or derivative liabilities on the Company's consolidated balance sheet. All periodic interest costs and changes in fair value of derivative instruments, including gains and losses realized upon termination, are recorded in "gain (loss) on derivative instruments, net" on the Company's consolidated statement of comprehensive income. Please refer to Note 6 for additional information regarding the Company's accounting for its derivative instruments. 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". Although MBS have characteristics that meet the definition of a derivative instrument, ASC Topic 815 specifically excludes these instruments from its scope because they are accounted for as debt securities under ASC Topic 320. |
Stock-based Compensation [Policy Text Block] | Share-Based Compensation Pursuant to the Company’s 2009 Stock and Incentive Plan, 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. 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 time-based restricted stock 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 may be 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. |
Recent Accounting Pronouncements [Text Block] | Recent Accounting Pronouncements In January 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2016-01, Financial Instruments-Overall (Subtopic 825-10); Recognition and Measurement of Financial Assets and Financial Liabilities, which includes the following amendments: • equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) are to be measured at fair value with changes in fair value recognized in net income. • simplify the impairment assessment of equity investments without readily determinable fair values by requiring a qualitative assessment to identify impairment. When a qualitative assessment indicates that impairment exists, an entity is required to measure the investment at fair value. • the exit price notion is to be used by public business entities when measuring the fair value of financial instruments for disclosure purposes. • separate presentation of financial assets and financial liabilities by measurement category and form of financial asset (i.e. securities or loans and receivables) on the balance sheet or the accompanying notes to the financial statements. • elimination of the requirement for public business entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measure at amortized cost. • a requirement for the entity to present separately in OCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. • clarification that an entity should evaluate the need for a valuation allowance on a deferred tax asset related to AFS securities in combination with the entity's other deferred tax assets. ASU No. 2016-01 is effective for public companies for fiscal years beginning after December 15, 2017. Management has evaluated this ASU, and its adoption is not expected to have a material impact on the Company's consolidated financial statements. |
Mortgage Backed Securities Mo20
Mortgage Backed Securities Mortgage backed securities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |
Available-for-sale Securities [Table Text Block] | The following tables present the Company’s MBS by investment type as of the dates indicated: December 31, 2015 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) RMBS: Agency $ 1,536,733 $ 77,617 $ 1,614,350 $ 4,362 $ (20,190 ) $ 1,598,522 3.03 % Non-Agency 66,003 (45 ) 65,958 70 (818 ) 65,210 3.25 % 1,602,736 77,572 1,680,308 4,432 (21,008 ) 1,663,732 CMBS: Agency 876,751 13,252 890,003 10,542 (14,614 ) 885,931 3.45 % Non-Agency 156,218 (8,133 ) 148,085 7,039 (941 ) 154,183 4.29 % 1,032,969 5,119 1,038,088 17,581 (15,555 ) 1,040,114 CMBS IO (2) : Agency — 421,857 421,857 5,922 (1,651 ) 426,128 0.80 % Non-Agency — 365,554 365,554 1,992 (3,819 ) 363,727 0.71 % — 787,411 787,411 7,914 (5,470 ) 789,855 Total AFS securities: $ 2,635,705 $ 870,102 $ 3,505,807 $ 29,927 $ (42,033 ) $ 3,493,701 (1) The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security). (2) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $12,180,291 and $10,328,628 , respectively, as of December 31, 2015 . December 31, 2014 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) RMBS: Agency $ 2,086,807 $ 113,635 $ 2,200,442 $ 8,473 $ (22,215 ) $ 2,186,700 3.09 % Non-Agency 22,432 (17 ) 22,415 107 (74 ) 22,448 3.83 % 2,109,239 113,618 2,222,857 8,580 (22,289 ) 2,209,148 CMBS: Agency 301,943 18,042 319,985 15,288 (76 ) 335,197 5.21 % Non-Agency 210,358 (8,520 ) 201,838 6,679 (479 ) 208,038 4.33 % 512,301 9,522 521,823 21,967 (555 ) 543,235 CMBS IO (2) : Agency — 426,564 426,564 12,252 (79 ) 438,737 0.80 % Non-Agency — 319,280 319,280 6,069 (230 ) 325,119 0.72 % — 745,844 745,844 18,321 (309 ) 763,856 Total AFS securities: $ 2,621,540 $ 868,984 $ 3,490,524 $ 48,868 $ (23,153 ) $ 3,516,239 (1) The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security). (2) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $10,460,113 and $7,868,896 , respectively, as of December 31, 2014 . |
Schedule of Realized Gain (Loss) [Table Text Block] | The Company's sale proceeds for MBS were $449,921 , $503,918 , and $357,892 for the years ended December 31, 2015 , 2014, and 2013, respectively. The following table presents the gross realized gains (losses) of those sales included in "(loss) gain on sale of investments, net" on the Company's consolidated statements of comprehensive income (loss) for the periods indicated: Year Ended December 31, ($ in thousands) 2015 2014 2013 Gross realized gains on sales of MBS $ 3,552 $ 22,492 $ 8,670 Gross realized losses on sales of MBS (4,530 ) (6,269 ) (5,316 ) (Loss) gain on sale of investments, net $ (978 ) $ 16,223 $ 3,354 |
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 the dates indicated: December 31, 2015 December 31, 2014 Fair Value Gross Unrealized Losses # of Securities Fair Value Gross Unrealized Losses # of Securities Continuous unrealized loss position for less than 12 months: Agency MBS $ 1,332,849 $ (19,062 ) 109 $ 322,741 $ (879 ) 24 Non-Agency MBS 351,650 (5,347 ) 72 111,778 (625 ) 24 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 775,484 $ (17,393 ) 72 $ 1,321,323 $ (21,491 ) 113 Non-Agency MBS 8,306 (231 ) 7 18,037 (159 ) 5 |
Mortgage Loans Held for Inves21
Mortgage Loans Held for Investment, Net and Related Non-Recourse Collateralized Financing (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Mortgage Loans Held for Investment, Net and Related Non-Recourse Collateralized Financing [Abstract] | |
Assets that Continue to be Recognized, Transferred Financial Assets and Other Financial Assets Managed Together [Table Text Block] | The Company's mortgage loans held for investment, net consist of securitized and unsecuritized mortgage loans originated or purchased by the Company from 1992 through 1998 and are reported at amortized cost. The following table provides detail by type of collateral as of the periods indicated: December 31, 2015 December 31, 2014 Single-family mortgage loans held for investment, amortized cost $ 24,189 $ 30,214 Commercial mortgage loans held for investment, amortized cost 148 9,736 Allowance for loan losses (192 ) (250 ) Total mortgage loans held for investment, net $ 24,145 $ 39,700 |
Repurchase Agreements Repurchas
Repurchase Agreements Repurchase Agreements (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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] | December 31, 2015 Collateral Type Balance Weighted Average Rate Fair Value of Collateral Pledged Agency RMBS $ 1,439,436 0.47 % $ 1,483,152 Non-Agency RMBS 52,128 1.77 % 64,286 Agency CMBS 301,427 0.49 % 345,728 Non-Agency CMBS 126,378 1.26 % 143,785 Agency CMBS IO 360,245 1.24 % 421,285 Non-Agency CMBS IO 302,771 1.33 % 359,351 Securitization financing bond 7,035 1.65 % 8,054 $ 2,589,420 0.75 % $ 2,825,641 December 31, 2014 Collateral Type Balance Weighted Average Rate Fair Value of Collateral Pledged Agency RMBS $ 1,977,338 0.39 % $ 2,064,704 Non-Agency RMBS 17,594 1.57 % 21,787 Agency CMBS 253,857 0.36 % 291,103 Non-Agency CMBS 114,895 1.15 % 140,216 Agency CMBS IOs 372,609 0.92 % 430,638 Non-Agency CMBS IOs 266,983 1.04 % 315,149 Securitization financing bond 9,834 1.51 % 11,000 $ 3,013,110 0.55 % $ 3,274,597 As of December 31, 2015 , the weighted average remaining term to maturity of our repurchase agreements was 22 days compared to 88 days as of December 31, 2014. The following table provides a summary of the original term to maturity of our repurchase agreements as of December 31, 2015 and December 31, 2014 : Original Term to Maturity December 31, December 31, Less than 30 days $ 551,643 $ 250,635 30 to 90 days 782,393 617,399 91 to 180 days 1,255,384 904,830 181 to 364 days — 1,030,569 1 year or longer — 209,677 $ 2,589,420 $ 3,013,110 |
FHLB Advances (Tables)
FHLB Advances (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Federal Home Loan Bank, Advances [Line Items] | |
Schedule of Federal Home Loan Bank, Advances, by Branch of FHLB Bank [Table Text Block] | The following table summarizes certain information about the Company's FHLB advances outstanding as of December 31, 2015: December 31, 2015 Remaining Term to Maturity Agency RMBS Collateral Agency CMBS Collateral Total Weighted Average Rate 30 to 90 days $ 17,000 $ 240,000 $ 257,000 0.28 % 91 days to 1 year — 263,000 263,000 0.51 % $ 17,000 $ 503,000 $ 520,000 0.40 % |
Derivatives (Tables)
Derivatives (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Derivative [Line Items] | |
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: December 31, 2015 Derivative Assets Derivative Liabilities Trading Instruments Fair Value Notional Fair Value Notional Interest rate swaps $ 7,835 $ 460,000 $ (12,108 ) $ 2,920,000 Eurodollar futures (1) — — (29,097 ) 6,300,000 Total $ 7,835 $ 460,000 $ (41,205 ) $ 9,220,000 December 31, 2014 Derivative Assets Derivative Liabilities Trading Instruments Fair Value Notional Fair Value Notional Interest rate swaps $ 5,727 $ 440,000 $ (3,002 ) $ 485,000 Eurodollar futures (2) — — (32,896 ) 16,600,000 Total $ 5,727 $ 440,000 $ (35,898 ) $ 17,085,000 (1) The Eurodollar futures aggregate notional amount represents the total notional of the 3-month contracts with expiration dates from 2017 to 2020. The maximum notional outstanding for any future 3-month period did not exceed $725,000 as of December 31, 2015 . (2) 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 December 31, 2014. |
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 December 31, 2015 : Remaining Maturity Pay-Fixed Interest Rate Swaps Pay-Fixed Weighted-Average Rate Receive-Fixed Interest Rate Swaps Receive-Fixed Weighted-Average Rate 13-24 months $ 1,435,000 1.18 % $ — — % 25-36 months — — % — — % 37-48 months 160,000 1.37 % 250,000 1.91 % 49-60 months 685,000 1.71 % 50,000 1.75 % 61-72 months — — % 100,000 1.69 % 73-84 months 75,000 1.77 % — — % 85-96 months 125,000 1.98 % — — % 97-108 months — — % 25,000 2.71 % 109-120 months 475,000 2.86 % — — % |
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 period indicated: For the year ended December 31, 2015: Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Receive-fixed interest rate swaps $ 275,000 $ 150,000 $ — $ 425,000 Pay-fixed interest rate swaps 650,000 3,135,000 (830,000 ) 2,955,000 Eurodollar futures 16,600,000 — (10,300,000 ) 6,300,000 $ 17,525,000 $ 3,285,000 $ (11,130,000 ) $ 9,680,000 |
Schedule of Derivative Instruments Included in Trading Activities [Table Text Block] | The table below provides detail of the Company's "loss on derivative instruments, net" by type of interest rate derivative for the periods indicated: Year Ended December 31, Type of Derivative Instrument 2015 2014 2013 Receive-fixed interest rate swaps $ 6,522 $ 4,912 $ — Pay-fixed interest rate swaps (28,687 ) (30,754 ) 9,315 Eurodollar futures (20,963 ) (27,551 ) (19,391 ) Loss on derivative instruments, net $ (43,128 ) $ (53,393 ) $ (10,076 ) |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities Offsetting Assets (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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 (1) Net Amount Financial Instruments Received as Collateral Cash Received as Collateral December 31, 2015: Derivative assets $ 7,835 $ — $ 7,835 $ (7,835 ) $ — $ — December 31, 2014: Derivative assets $ 5,727 $ — $ 5,727 $ (1,073 ) $ (4,521 ) $ 133 |
Offsetting Assets and Liabili26
Offsetting Assets and Liabilities Offsetting Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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 (1) Net Amount Financial Instruments Posted as Collateral Cash Posted as Collateral December 31, 2015: Derivative liabilities $ 41,205 $ — $ 41,205 $ (9,079 ) $ (32,111 ) $ 15 Repurchase agreements 2,589,420 — 2,589,420 (2,589,420 ) — — FHLB Advances 520,000 — 520,000 (520,000 ) — — $ 3,150,625 $ — $ 3,150,625 $ (3,118,499 ) $ (32,111 ) $ 15 December 31, 2014: Derivative liabilities $ 35,898 $ — $ 35,898 $ (2,494 ) $ (32,994 ) $ 410 Repurchase agreements 3,013,110 — 3,013,110 (3,013,110 ) — — $ 3,049,008 $ — $ 3,049,008 $ (3,015,604 ) $ (32,994 ) $ 410 |
Fair Value of Financial Instr27
Fair Value of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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: December 31, 2015 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets: Mortgage-backed securities $ 3,493,701 $ — $ 3,477,266 $ 16,435 Derivative assets 7,835 — 7,835 — Total assets carried at fair value $ 3,501,536 $ — $ 3,485,101 $ 16,435 Liabilities: Derivative liabilities $ 41,205 $ 29,097 $ 12,108 $ — Total liabilities carried at fair value $ 41,205 $ 29,097 $ 12,108 $ — December 31, 2014 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets: Mortgage-backed securities $ 3,516,239 $ — $ 3,472,282 $ 43,957 Derivative assets 5,727 — 5,727 — Total assets carried at fair value $ 3,521,966 $ — $ 3,478,009 $ 43,957 Liabilities: Derivative liabilities $ 35,898 $ 32,896 $ 3,002 $ — Total liabilities carried at fair value $ 35,898 $ 32,896 $ 3,002 $ — |
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 December 31, 2015 : Quantitative Information about Level 3 Fair Value Measurements (1) Prepayment Speed Default Rate Severity Discount Rate Non-Agency CMBS 20 CPY 2.0 % 35.0 % 10.1 % Non-Agency RMBS 10 CPR 1.0 % 20.0 % 6.5 % (1) Data presented are weighted averages. |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | The activity of the instruments measured at fair value on a recurring basis using Level 3 inputs is presented in the following table for the period indicated: Level 3 Fair Value Non-Agency CMBS Non-Agency RMBS Total assets Balance as of December 31, 2014 $ 42,033 $ 1,924 $ 43,957 Unrealized gain (loss) included in OCI 2,628 (20 ) 2,608 Principal payments (30,230 ) (372 ) (30,602 ) Accretion 472 — 472 Balance as of December 31, 2015 $ 14,903 $ 1,532 $ 16,435 |
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: December 31, 2015 December 31, 2014 Recorded Basis Fair Value Recorded Basis Fair Value Assets: Mortgage-backed securities $ 3,493,701 $ 3,493,701 $ 3,516,239 $ 3,516,239 Mortgage loans held for investment, net (1) 24,145 20,849 39,700 35,024 Investment in FHLB Stock 11,475 11,475 — — Derivative assets 7,835 7,835 5,727 5,727 Liabilities: Repurchase agreements (2) $ 2,589,420 $ 2,589,420 $ 3,013,110 $ 3,013,110 FHLB advances (2) 520,000 520,000 — — Non-recourse collateralized financing (1) 8,442 8,102 10,786 10,366 Derivative liabilities 41,205 41,205 35,898 35,898 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Preferred Stock [Text Block] | The Company has 2,300,000 shares of its 8.50% Series A Preferred Stock and 2,250,000 shares of its 7.625% Series B Preferred Stock issued and outstanding as of December 31, 2015 (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 $25.00 liquidation preference per share each year. Because the Preferred Stock is redeemable only at the option of the issuer, it is classified as equity on the Company's consolidated balance sheet. The Company announced that it will pay its regular quarterly dividends on its Preferred Stock for the fourth quarter on January 15, 2016 to shareholders of record as of January 1, 2016. |
Schedule of Common Stock Outstanding Roll Forward [Table Text Block] | The following table presents a summary of the changes in the number of common shares outstanding for the periods presented: Year Ended December 31, 2015 2014 Balance as of beginning of period 54,739,111 54,310,484 Common stock issued under DRIP 22,607 16,753 Common stock issued under stock and incentive plans 263,829 471,210 Common stock forfeited for tax withholding on share-based compensation (67,296 ) (59,336 ) Common stock repurchased during the period (5,910,916 ) — Balance as of end of period 49,047,335 54,739,111 |
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity [Table Text Block] | The following table presents a rollforward of the restricted stock activity for the periods indicated: Year Ended December 31, 2015 2014 Restricted stock outstanding as of beginning of period 731,809 520,987 Restricted stock granted 263,829 457,538 Restricted stock vested (299,041 ) (246,716 ) Restricted stock outstanding as of end of period 696,597 731,809 |
Mortgage Backed Securities Mo29
Mortgage Backed Securities Mortgage backed securities designated as AFS (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Par Balance | $ 2,635,705 | $ 2,621,540 | |||
Available-for-sale MBS, Unamortized Premium (Discount) | 870,102 | 868,984 | |||
Available-for-sale MBS, Amortized Cost | 3,505,807 | 3,490,524 | |||
Available-for-sale MBS, Gross Unrealized Gain | 29,927 | 48,868 | |||
Available-for-sale MBS, Gross Unrealized Loss | (42,033) | (23,153) | |||
Available-for-sale MBS, Fair Value | 3,493,701 | 3,516,239 | |||
Available-for-sale MBS, Sale Proceeds | 449,921 | 503,918 | $ 357,892 | ||
Available-for-sale MBS, Gross Realized Gains | 3,552 | 22,492 | 8,670 | ||
Available-for-sale MBS, Gross Realized Losses | (4,530) | (6,269) | (5,316) | ||
Available-for-sale MBS, Gross Realized Gain (Loss) | (978) | 16,223 | $ 3,354 | ||
RMBS [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Par Balance | 1,602,736 | 2,109,239 | |||
Available-for-sale MBS, Unamortized Premium (Discount) | 77,572 | 113,618 | |||
Available-for-sale MBS, Amortized Cost | 1,680,308 | 2,222,857 | |||
Available-for-sale MBS, Gross Unrealized Gain | 4,432 | 8,580 | |||
Available-for-sale MBS, Gross Unrealized Loss | (21,008) | (22,289) | |||
Available-for-sale MBS, Fair Value | 1,663,732 | 2,209,148 | |||
CMBS [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Par Balance | 1,032,969 | 512,301 | |||
Available-for-sale MBS, Unamortized Premium (Discount) | 5,119 | 9,522 | |||
Available-for-sale MBS, Amortized Cost | 1,038,088 | 521,823 | |||
Available-for-sale MBS, Gross Unrealized Gain | 17,581 | 21,967 | |||
Available-for-sale MBS, Gross Unrealized Loss | (15,555) | (555) | |||
Available-for-sale MBS, Fair Value | 1,040,114 | 543,235 | |||
CMBS IO [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Par Balance | 0 | 0 | |||
Available-for-sale MBS, Unamortized Premium (Discount) | 787,411 | 745,844 | |||
Available-for-sale MBS, Amortized Cost | 787,411 | 745,844 | |||
Available-for-sale MBS, Gross Unrealized Gain | 7,914 | 18,321 | |||
Available-for-sale MBS, Gross Unrealized Loss | (5,470) | (309) | |||
Available-for-sale MBS, Fair Value | 789,855 | 763,856 | |||
Agency MBS [Member] | RMBS [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Par Balance | 1,536,733 | 2,086,807 | |||
Available-for-sale MBS, Unamortized Premium (Discount) | 77,617 | 113,635 | |||
Available-for-sale MBS, Amortized Cost | 1,614,350 | 2,200,442 | |||
Available-for-sale MBS, Gross Unrealized Gain | 4,362 | 8,473 | |||
Available-for-sale MBS, Gross Unrealized Loss | (20,190) | (22,215) | |||
Available-for-sale MBS, Fair Value | $ 1,598,522 | $ 2,186,700 | |||
Available-for-sale MBS, Weighted Average Coupon | 3.03% | [1] | 3.09% | ||
Agency MBS [Member] | CMBS [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Par Balance | $ 876,751 | $ 301,943 | |||
Available-for-sale MBS, Unamortized Premium (Discount) | 13,252 | 18,042 | |||
Available-for-sale MBS, Amortized Cost | 890,003 | 319,985 | |||
Available-for-sale MBS, Gross Unrealized Gain | 10,542 | 15,288 | |||
Available-for-sale MBS, Gross Unrealized Loss | (14,614) | (76) | |||
Available-for-sale MBS, Fair Value | $ 885,931 | $ 335,197 | |||
Available-for-sale MBS, Weighted Average Coupon | 3.45% | [1] | 5.21% | ||
Agency MBS [Member] | CMBS IO [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Par Balance | $ 0 | [2] | $ 0 | ||
Available-for-sale MBS, Unamortized Premium (Discount) | 421,857 | 426,564 | |||
Available-for-sale MBS, Amortized Cost | 421,857 | 426,564 | |||
Available-for-sale MBS, Gross Unrealized Gain | 5,922 | 12,252 | |||
Available-for-sale MBS, Gross Unrealized Loss | (1,651) | (79) | |||
Available-for-sale MBS, Fair Value | $ 426,128 | $ 438,737 | |||
Available-for-sale MBS, Weighted Average Coupon | 0.80% | [1] | 0.80% | ||
Notional balance for interest only securities | $ 12,180,291 | $ 10,460,113 | |||
Non-Agency MBS [Member] | RMBS [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Par Balance | 66,003 | 22,432 | |||
Available-for-sale MBS, Unamortized Premium (Discount) | (45) | (17) | |||
Available-for-sale MBS, Amortized Cost | 65,958 | 22,415 | |||
Available-for-sale MBS, Gross Unrealized Gain | 70 | 107 | |||
Available-for-sale MBS, Gross Unrealized Loss | (818) | (74) | |||
Available-for-sale MBS, Fair Value | $ 65,210 | $ 22,448 | |||
Available-for-sale MBS, Weighted Average Coupon | 3.25% | [1] | 3.83% | ||
Non-Agency MBS [Member] | CMBS [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Par Balance | $ 156,218 | $ 210,358 | |||
Available-for-sale MBS, Unamortized Premium (Discount) | (8,133) | (8,520) | |||
Available-for-sale MBS, Amortized Cost | 148,085 | 201,838 | |||
Available-for-sale MBS, Gross Unrealized Gain | 7,039 | 6,679 | |||
Available-for-sale MBS, Gross Unrealized Loss | (941) | (479) | |||
Available-for-sale MBS, Fair Value | $ 154,183 | $ 208,038 | |||
Available-for-sale MBS, Weighted Average Coupon | 4.29% | [1] | 4.33% | ||
Non-Agency MBS [Member] | CMBS IO [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Par Balance | [2] | $ 0 | |||
Available-for-sale MBS, Unamortized Premium (Discount) | 365,554 | $ 319,280 | |||
Available-for-sale MBS, Amortized Cost | 365,554 | 319,280 | |||
Available-for-sale MBS, Gross Unrealized Gain | 1,992 | 6,069 | |||
Available-for-sale MBS, Gross Unrealized Loss | (3,819) | (230) | |||
Available-for-sale MBS, Fair Value | $ 363,727 | $ 325,119 | |||
Available-for-sale MBS, Weighted Average Coupon | 0.71% | [1] | 0.72% | ||
Notional balance for interest only securities | $ 10,328,628 | $ 7,868,896 | |||
Agency MBS [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Fair Value | 1,332,849 | 322,741 | |||
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss | $ (19,062) | $ (879) | |||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for less than 12 months | 109 | 24 | |||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Fair Value | $ 775,484 | $ 1,321,323 | |||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss | $ (17,393) | $ (21,491) | |||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer | 72 | 113 | |||
Non-Agency MBS [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Fair Value | $ 351,650 | $ 111,778 | |||
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss | $ (5,347) | $ (625) | |||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for less than 12 months | 72 | 24 | |||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Fair Value | $ 8,306 | $ 18,037 | |||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss | $ (231) | $ (159) | |||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer | 7 | 5 | |||
[1] | The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security). | ||||
[2] | The notional balance for Agency CMBS IO and non-Agency CMBS IO was $12,180,291 and $10,328,628, respectively, as of December 31, 2015. |
Mortgage Loans Held for Inves30
Mortgage Loans Held for Investment, Net and Related Non-Recourse Collateralized Financing (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Mortgage Loans Held for Investment, Net and Related Non-Recourse Collateralized Financing [Abstract] | |||
Single-family mortgage loans held for investment, amortized cost | $ 24,189 | $ 30,214 | |
Commercial mortgage loans held for investment, amortized cost | 148 | 9,736 | |
Allowance for loan losses | (192) | (250) | |
Total mortgage loans held for investment, net | 24,145 | 39,700 | |
Delinquent amount of single-family securitized mortgage loans | 1 | 2,221 | |
Provision for Loan and Lease Losses | 200 | 0 | $ 300 |
Principal balance pledged as collateral for non-recourse debt | 9,220 | 11,902 | |
Non-Recourse Debt | $ 8,573 | $ 10,967 |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Repurchase Agreements Accounted for as Secured Borrowings | $ 2,589,420 | $ 3,013,110 |
Repurchage agreement, Weighted Average Interest Rate | 0.75% | 0.55% |
Fair Value of Collateral Pledged | $ 2,825,641 | $ 3,274,597 |
Weighted average maturity remaining | 22 days | 88 days |
Securitization financing bond [Member] | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Repurchase Agreements Accounted for as Secured Borrowings | $ 7,035 | $ 9,834 |
Repurchage agreement, Weighted Average Interest Rate | 1.65% | 1.51% |
Fair Value of Collateral Pledged | $ 8,054 | $ 11,000 |
RMBS [Member] | Agency MBS [Member] | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Repurchase Agreements Accounted for as Secured Borrowings | $ 1,439,436 | $ 1,977,338 |
Repurchage agreement, Weighted Average Interest Rate | 0.47% | 0.39% |
Fair Value of Collateral Pledged | $ 1,483,152 | $ 2,064,704 |
RMBS [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 | $ 52,128 | $ 17,594 |
Repurchage agreement, Weighted Average Interest Rate | 1.77% | 1.57% |
Fair Value of Collateral Pledged | $ 64,286 | $ 21,787 |
CMBS [Member] | Agency MBS [Member] | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Repurchase Agreements Accounted for as Secured Borrowings | $ 301,427 | $ 253,857 |
Repurchage agreement, Weighted Average Interest Rate | 0.49% | 0.36% |
Fair Value of Collateral Pledged | $ 345,728 | $ 291,103 |
CMBS [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 | $ 126,378 | $ 114,895 |
Repurchage agreement, Weighted Average Interest Rate | 1.26% | 1.15% |
Fair Value of Collateral Pledged | $ 143,785 | $ 140,216 |
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 | $ 360,245 | $ 372,609 |
Repurchage agreement, Weighted Average Interest Rate | 1.24% | 0.92% |
Fair Value of Collateral Pledged | $ 421,285 | $ 430,638 |
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 | $ 302,771 | $ 266,983 |
Repurchage agreement, Weighted Average Interest Rate | 1.33% | 1.04% |
Fair Value of Collateral Pledged | $ 359,351 | $ 315,149 |
Repurchase Agreements Repurch32
Repurchase Agreements Repurchase Agreements, Term to Original Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 2,589,420 | $ 3,013,110 |
Less than 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 | 551,643 | 250,635 |
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 | 782,393 | 617,399 |
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 | 1,255,384 | 904,830 |
181 to 364 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 | 0 | 1,030,569 |
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 | $ 0 | $ 209,677 |
Repurchase Agreements Repurch33
Repurchase Agreements Repurchase Agreements, Counterparty Information (Details) $ in Thousands | Dec. 31, 2015USD ($)Agreements |
Counterparty Information [Line Items] | |
Repurchase Agreement Counterparty, Amount at Risk | $ 56,193 |
Borrowings outstanding with counterparty | $ 297,916 |
WAVG interest rate for amount outstanding with named counterparty | 1.30% |
Line of Credit Facility, Amount Outstanding | $ 283,655 |
Line of Credit Facility, Maximum Borrowing Capacity | $ 300,000 |
Line of Credit Facility, Interest Rate at Period End | 1.30% |
Number of Counterparties with Borrowings Outstanding | Agreements | 17 |
Available Repurchase Agreement Counterparties | Agreements | 32 |
FHLB Advances (Details)
FHLB Advances (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Interest Expense, Federal Home Loan Bank and Federal Reserve Bank Advances, Short-term | $ 541 | |
Investment in FHLB stock | 11,475 | $ 0 |
Federal Home Loan Bank of Indianapolis [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | 541,771 | |
FHLB advances | 520,000 | |
Investment in FHLB stock | $ 11,475 | |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Weighted Average Interest Rate | 0.40% | |
RMBS [Member] | Federal Home Loan Bank of Indianapolis [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
FHLB advances | $ 17,000 | |
CMBS [Member] | Federal Home Loan Bank of Indianapolis [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
FHLB advances | 503,000 | |
30 to 90 days [Member] | Federal Home Loan Bank of Indianapolis [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
FHLB advances | $ 257,000 | |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Weighted Average Interest Rate | 0.28% | |
30 to 90 days [Member] | RMBS [Member] | Federal Home Loan Bank of Indianapolis [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
FHLB advances | $ 17,000 | |
30 to 90 days [Member] | CMBS [Member] | Federal Home Loan Bank of Indianapolis [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
FHLB advances | 240,000 | |
Maturity Greater than 90 Days [Member] | Federal Home Loan Bank of Indianapolis [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
FHLB advances | $ 263,000 | |
Federal Home Loan Bank, Advances, Branch of FHLB Bank, Weighted Average Interest Rate | 0.51% | |
Maturity Greater than 90 Days [Member] | RMBS [Member] | Federal Home Loan Bank of Indianapolis [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
FHLB advances | $ 0 | |
Maturity Greater than 90 Days [Member] | CMBS [Member] | Federal Home Loan Bank of Indianapolis [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
FHLB advances | $ 263,000 |
Derivatives (Details)
Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||||
Derivative [Line Items] | |||||||||||||||
Derivative assets, fair value | $ 5,727 | $ 5,727 | |||||||||||||
Derivative assets, aggregate notional amount | $ 460,000 | 440,000 | $ 460,000 | 440,000 | |||||||||||
Derivative liabilities, fair value | (41,205) | (35,898) | (41,205) | (35,898) | |||||||||||
Derivative liabilities, aggregate notional amount | 9,220,000 | 17,085,000 | 9,220,000 | 17,085,000 | |||||||||||
Derivative assets | 7,835 | 5,727 | 7,835 | 5,727 | |||||||||||
Beginning of period notional amount | $ 17,525,000 | 17,525,000 | |||||||||||||
Notional Amount of Derivative Instruments Added | 3,285,000 | ||||||||||||||
Notional Amount of Derivative Instruments Terminated | (11,130,000) | ||||||||||||||
End of period notional amount | 9,680,000 | 17,525,000 | 9,680,000 | 17,525,000 | |||||||||||
Loss on derivative instruments, net | 17,854 | $ (52,749) | $ 17,090 | (25,323) | (21,739) | $ 4,842 | $ (23,074) | $ (13,422) | (43,128) | (53,393) | $ (10,076) | ||||
Interest Rate Swap [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
Derivative assets, fair value | 7,835 | 5,727 | 7,835 | 5,727 | |||||||||||
Derivative assets, aggregate notional amount | 460,000 | 440,000 | 460,000 | 440,000 | |||||||||||
Derivative liabilities, fair value | (12,108) | (3,002) | (12,108) | (3,002) | |||||||||||
Derivative liabilities, aggregate notional amount | 2,920,000 | 485,000 | 2,920,000 | 485,000 | |||||||||||
Eurodollar Future [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
Derivative assets, fair value | 0 | 0 | 0 | 0 | |||||||||||
Derivative assets, aggregate notional amount | 0 | [1] | 0 | [2] | 0 | [1] | 0 | [2] | |||||||
Derivative liabilities, fair value | (29,097) | (32,896) | (29,097) | (32,896) | |||||||||||
Derivative liabilities, aggregate notional amount | 6,300,000 | [1] | 16,600,000 | [2] | 6,300,000 | [1] | 16,600,000 | [2] | |||||||
Beginning of period notional amount | 16,600,000 | 16,600,000 | |||||||||||||
Notional Amount of Derivative Instruments Added | 0 | ||||||||||||||
Notional Amount of Derivative Instruments Terminated | (10,300,000) | ||||||||||||||
End of period notional amount | 6,300,000 | 16,600,000 | 6,300,000 | 16,600,000 | |||||||||||
Loss on derivative instruments, net | (20,963) | (27,551) | (19,391) | ||||||||||||
Receive-fixed interest rate swap [Member] | Interest Rate Swap [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
Beginning of period notional amount | 275,000 | 275,000 | |||||||||||||
Notional Amount of Derivative Instruments Added | 150,000 | ||||||||||||||
Notional Amount of Derivative Instruments Terminated | 0 | ||||||||||||||
End of period notional amount | 425,000 | 275,000 | 425,000 | 275,000 | |||||||||||
Loss on derivative instruments, net | 6,522 | 4,912 | 0 | ||||||||||||
Receive-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 13-24 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 0 | $ 0 | |||||||||||||
Weighted-average Fixed Pay Rate | 0.00% | 0.00% | |||||||||||||
Weighted-average Fixed Receive Rate | 0.00% | 0.00% | |||||||||||||
Receive-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 37-48 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 250,000 | $ 250,000 | |||||||||||||
Weighted-average Fixed Pay Rate | 1.91% | 1.91% | |||||||||||||
Weighted-average Fixed Receive Rate | 1.91% | 1.91% | |||||||||||||
Receive-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 49-60 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 50,000 | $ 50,000 | |||||||||||||
Weighted-average Fixed Pay Rate | 1.75% | 1.75% | |||||||||||||
Weighted-average Fixed Receive Rate | 1.75% | 1.75% | |||||||||||||
Receive-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 61-72 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 100,000 | $ 100,000 | |||||||||||||
Weighted-average Fixed Pay Rate | 1.69% | 1.69% | |||||||||||||
Weighted-average Fixed Receive Rate | 1.69% | 1.69% | |||||||||||||
Receive-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 73-84 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 0 | $ 0 | |||||||||||||
Weighted-average Fixed Pay Rate | 0.00% | 0.00% | |||||||||||||
Weighted-average Fixed Receive Rate | 0.00% | 0.00% | |||||||||||||
Receive-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 85-96 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 0 | $ 0 | |||||||||||||
Weighted-average Fixed Pay Rate | 0.00% | 0.00% | |||||||||||||
Weighted-average Fixed Receive Rate | 0.00% | 0.00% | |||||||||||||
Receive-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 97-108 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 25,000 | $ 25,000 | |||||||||||||
Weighted-average Fixed Pay Rate | 2.71% | 2.71% | |||||||||||||
Weighted-average Fixed Receive Rate | 2.71% | 2.71% | |||||||||||||
Receive-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 109-120 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 0 | $ 0 | |||||||||||||
Weighted-average Fixed Pay Rate | 0.00% | 0.00% | |||||||||||||
Weighted-average Fixed Receive Rate | 0.00% | 0.00% | |||||||||||||
Pay-fixed interest rate swap [Member] | Interest Rate Swap [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
Beginning of period notional amount | $ 650,000 | $ 650,000 | |||||||||||||
Notional Amount of Derivative Instruments Added | 3,135,000 | ||||||||||||||
Notional Amount of Derivative Instruments Terminated | (830,000) | ||||||||||||||
End of period notional amount | $ 2,955,000 | $ 650,000 | 2,955,000 | 650,000 | |||||||||||
Loss on derivative instruments, net | (28,687) | $ (30,754) | $ 9,315 | ||||||||||||
Pay-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 13-24 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 1,435,000 | $ 1,435,000 | |||||||||||||
Weighted-average Fixed Pay Rate | 1.18% | 1.18% | |||||||||||||
Weighted-average Fixed Receive Rate | 1.18% | 1.18% | |||||||||||||
Pay-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 37-48 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 160,000 | $ 160,000 | |||||||||||||
Weighted-average Fixed Pay Rate | 1.37% | 1.37% | |||||||||||||
Weighted-average Fixed Receive Rate | 1.37% | 1.37% | |||||||||||||
Pay-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 49-60 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 685,000 | $ 685,000 | |||||||||||||
Weighted-average Fixed Pay Rate | 1.71% | 1.71% | |||||||||||||
Weighted-average Fixed Receive Rate | 1.71% | 1.71% | |||||||||||||
Pay-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 73-84 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 75,000 | $ 75,000 | |||||||||||||
Weighted-average Fixed Pay Rate | 1.77% | 1.77% | |||||||||||||
Weighted-average Fixed Receive Rate | 1.77% | 1.77% | |||||||||||||
Pay-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 85-96 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 125,000 | $ 125,000 | |||||||||||||
Weighted-average Fixed Pay Rate | 1.98% | 1.98% | |||||||||||||
Weighted-average Fixed Receive Rate | 1.98% | 1.98% | |||||||||||||
Pay-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 97-108 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 0 | $ 0 | |||||||||||||
Weighted-average Fixed Pay Rate | 0.00% | 0.00% | |||||||||||||
Weighted-average Fixed Receive Rate | 0.00% | 0.00% | |||||||||||||
Pay-fixed interest rate swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap Agreements, Maturities in Next 109-120 Months [Member] | |||||||||||||||
Derivative [Line Items] | |||||||||||||||
End of period notional amount | $ 475,000 | $ 475,000 | |||||||||||||
Weighted-average Fixed Pay Rate | 2.86% | 2.86% | |||||||||||||
Weighted-average Fixed Receive Rate | 2.86% | 2.86% | |||||||||||||
[1] | The Eurodollar futures aggregate notional amount represents the total notional of the 3-month contracts with expiration dates from 2017 to 2020. The maximum notional outstanding for any future 3-month period did not exceed $725,000 as of December 31, 2015 | ||||||||||||||
[2] | 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 $1,300,000 as of December 31, 2014. |
Derivatives Derivative Effect o
Derivatives Derivative Effect on Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | ||
Accumulated Other Comprehensive Income (Loss), Cumulative Changes in Net Gain (Loss) from Cash Flow Hedges, Effect Net of Tax | $ 921 | |
Scenario, Forecast [Member] | ||
Derivative [Line Items] | ||
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | $ 251 |
Offsetting Assets and Liabili37
Offsetting Assets and Liabilities Offsetting Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Offsetting Assets [Line Items] | |||
Derivative assets, fair value, gross asset | $ 7,835 | $ 5,727 | |
Derivative assets, fair value, gross liability | 0 | 0 | |
Derivative assets, fair value, amount not offset against collateral | 7,835 | 5,727 | |
Derivative assets, Collateral, Obligation to Return Securities | [1] | (7,835) | (1,073) |
Derivative assets, Collateral, Obligation to Return Cash | [1] | 0 | (4,521) |
Derivative assets, fair value, amount offset against collateral | $ 0 | $ 133 | |
[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 Liabili38
Offsetting Assets and Liabilities Offsettting Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Offsetting Liabilities [Line Items] | |||
Derivative liabilities, fair value, gross liability | $ 41,205 | $ 35,898 | |
Derivative liabilities, fair value, gross amount offset in balance sheet | 0 | 0 | |
Derivative liabilities, fair value, amount not offset against collateral | 41,205 | 35,898 | |
Derivative, Collateral, Right to Reclaim Securities | [1] | (9,079) | (2,494) |
Derivative, Collateral, Right to Reclaim Cash | [1] | (32,111) | (32,994) |
Derivative liabilities, fair value, amount offset against collateral | 15 | 410 | |
Repurchase agreements, amount not offset against collateral | 2,589,420 | 3,013,110 | |
Total gross liabilities | 3,150,625 | 3,049,008 | |
Total gross liabilities, gross amount offset in balance sheet | 0 | 0 | |
Total liabilities, amount not offset against collateral | 3,150,625 | 3,049,008 | |
Total liabilities, Collateral, Right to Reclaim Securities | [1] | (3,118,499) | (3,015,604) |
Total liabilities, Collateral, Right to Reclaim Cash | [1] | (32,111) | (32,994) |
Total liabilities, amount offset against collateral | 15 | 410 | |
Repurchase agreements [Member] | |||
Offsetting Liabilities [Line Items] | |||
Repurchase agreements, gross liability | 2,589,420 | 3,013,110 | |
Repurchase agreements, gross amount offset in balance sheet | 0 | 0 | |
Repurchase agreements, amount not offset against collateral | 2,589,420 | 3,013,110 | |
Repurchase agreements, Collateral, Right to Reclaim Securities | [1] | (2,589,420) | (3,013,110) |
Repurchase agreements, Collateral, Right to Reclaim Cash | [1] | 0 | 0 |
Repurchase agreements, amount offset against collateral | 0 | $ 0 | |
Federal Home Loan Bank Certificates and Obligations (FHLB) [Member] | |||
Offsetting Liabilities [Line Items] | |||
Repurchase agreements, gross liability | 520,000 | ||
Repurchase agreements, gross amount offset in balance sheet | 0 | ||
Repurchase agreements, amount not offset against collateral | 520,000 | ||
Repurchase agreements, Collateral, Right to Reclaim Securities | [1] | (520,000) | |
Repurchase agreements, Collateral, Right to Reclaim Cash | [1] | 0 | |
Repurchase agreements, amount offset against collateral | $ 0 | ||
[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 Instr39
Fair Value of Financial Instruments Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | $ 3,493,701 | $ 3,516,239 |
Derivative assets | 7,835 | 5,727 |
Derivative liabilities | 41,205 | 35,898 |
Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 3,493,701 | 3,516,239 |
Derivative assets | 7,835 | 5,727 |
Total assets carried at fair value | 3,501,536 | 3,521,966 |
Derivative liabilities | 41,205 | 35,898 |
Total liabilities carried at fair value | 41,205 | 35,898 |
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 | 0 | 0 |
Total assets carried at fair value | 0 | 0 |
Derivative liabilities | 29,097 | 32,896 |
Total liabilities carried at fair value | 29,097 | 32,896 |
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 | 3,477,266 | 3,472,282 |
Derivative assets | 7,835 | 5,727 |
Total assets carried at fair value | 3,485,101 | 3,478,009 |
Derivative liabilities | 12,108 | 3,002 |
Total liabilities carried at fair value | 12,108 | 3,002 |
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 | 16,435 | 43,957 |
Derivative assets | 0 | 0 |
Total assets carried at fair value | 16,435 | 43,957 |
Derivative liabilities | 0 | 0 |
Total liabilities carried at fair value | $ 0 | $ 0 |
Fair Value of Financial Instr40
Fair Value of Financial Instruments Significant Unobservable Inputs Level 3 (Details) - Fair Value, Measurements, Recurring [Member] - Fair Value, Inputs, Level 3 [Member] | 12 Months Ended | |
Dec. 31, 2015 | [1] | |
CMBS [Member] | ||
Fair Value Inputs, Quantitative Information [Abstract] | ||
Fair Value Inputs, Prepayment Rate | 20.00% | |
Fair Value Inputs, Probability of Default | 2.00% | |
Fair Value Inputs, Loss Severity | 35.00% | |
Fair Value Inputs, Discount Rate | 10.10% | |
RMBS [Member] | ||
Fair Value Inputs, Quantitative Information [Abstract] | ||
Fair Value Inputs, Prepayment Rate | 10.00% | |
Fair Value Inputs, Probability of Default | 1.00% | |
Fair Value Inputs, Loss Severity | 20.00% | |
Fair Value Inputs, Discount Rate | 6.50% | |
[1] | Data presented are weighted averages. |
Fair Value of Financial Instr41
Fair Value of Financial Instruments Level 3 (Details) - Fair Value, Measurements, Recurring [Member] - Fair Value, Inputs, Level 3 [Member] $ in Thousands | 12 Months Ended |
Dec. 31, 2015USD ($) | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Balance at the beginning of the period | $ 43,957 |
Unrealized (loss) gain included in OCI | 2,608 |
Principal payments | (30,602) |
Accretion | 472 |
Balance at the end of the period | 16,435 |
Non-Agency CMBS [Member] | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Balance at the beginning of the period | 42,033 |
Unrealized (loss) gain included in OCI | 2,628 |
Principal payments | (30,230) |
Accretion | 472 |
Balance at the end of the period | 14,903 |
Non-Agency RMBS [Member] | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Balance at the beginning of the period | 1,924 |
Unrealized (loss) gain included in OCI | (20) |
Principal payments | (372) |
Accretion | 0 |
Balance at the end of the period | $ 1,532 |
Fair Value of Financial Instr42
Fair Value of Financial Instruments Recorded basis and Fair Value (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Derivative assets | $ 7,835 | $ 5,727 | |
Derivative liabilities | 41,205 | 35,898 | |
Recorded Basis [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | 3,493,701 | 3,516,239 | |
Cost Method Investments, Fair Value Disclosure | 24,145 | 39,700 | |
Investment in Federal Home Loan Bank Stock, Fair Value Disclosure | 11,475 | 0 | |
Derivative assets | 7,835 | 5,727 | |
Securities Loaned or Sold under Agreements to Repurchase, Fair Value Disclosure | 2,589,420 | 3,013,110 | |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 520,000 | 0 | |
Long-term Debt, Fair Value | 8,442 | 10,786 | |
Derivative liabilities | 41,205 | 35,898 | |
Fair Value, Fair Value Disclosure [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | 3,493,701 | 3,516,239 | |
Cost Method Investments, Fair Value Disclosure | [1] | 20,849 | 35,024 |
Investment in Federal Home Loan Bank Stock, Fair Value Disclosure | 11,475 | 0 | |
Derivative assets | 7,835 | 5,727 | |
Securities Loaned or Sold under Agreements to Repurchase, Fair Value Disclosure | [2] | 2,589,420 | 3,013,110 |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | [2] | 520,000 | 0 |
Long-term Debt, Fair Value | [1] | 8,102 | 10,366 |
Derivative liabilities | $ 41,205 | $ 35,898 | |
[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 the fair value of the Company's Level 3 non-Agency MBS. | ||
[2] | The carrying value of repurchase agreements and FHLB advances generally approximates fair value due to their short term maturities |
Shareholders' Equity (Details)
Shareholders' Equity (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | |
Class of Stock [Line Items] | ||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | ||||||||
Shareholders' Equity, Common Stock [Roll Forward] | ||||||||||
Balance as of beginning of period | 54,739,111 | 54,310,484 | 54,739,111 | 54,310,484 | ||||||
Common stock issued under DRIP | 22,607 | 16,753 | ||||||||
Common stock issued or redeemed under stock and incentive Plans | 263,829 | 471,210 | ||||||||
Common stock forfeited for tax withholding on share-based compensation | (67,296) | (59,336) | ||||||||
Stock Repurchased During Period, Shares | (5,910,916) | 0 | ||||||||
Balance as of end of period | 49,047,335 | 54,739,111 | 49,047,335 | 54,739,111 | ||||||
Dividend reinvestment plan, shares authorized | 3,000,000 | 3,000,000 | ||||||||
Stock issued during period, remaining shares available, dividend reinvestment plan | 2,427,538 | 2,427,538 | ||||||||
Dividends declared per common share | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.25 | $ 0.25 | $ 0.25 | $ 0.25 | ||
Stock Repurchase Program, Authorized Amount | $ 50,000,000 | $ 50,000,000 | ||||||||
Stock Repurchase Program Expiration Date | Dec. 31, 2016 | |||||||||
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $ 8,829,000 | $ 8,829,000 | ||||||||
Series A Preferred Stock [Member] | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred Stock, Dividend Rate, Percentage | 8.50% | |||||||||
Preferred Stock, Shares Issued | 2,300,000 | 2,300,000 | 2,300,000 | 2,300,000 | ||||||
Series B Preferred Stock [Member] | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred Stock, Dividend Rate, Percentage | 7.625% | |||||||||
Preferred Stock, Shares Issued | 2,250,000 | 2,250,000 | 2,250,000 | 2,250,000 | ||||||
Common Stock [Member] | At the market progam [Member] | ||||||||||
Shareholders' Equity, Common Stock [Roll Forward] | ||||||||||
ATM program, authorized shares remaining | 7,416,520 | 7,416,520 |
Shareholders' Equity Share-base
Shareholders' Equity Share-based Compensation (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Share-based incentive plan, number of shares authorized for issuance | 2,500,000 | ||
Share-based incentive plan, number of shares remaining for issuance | 994,096 | ||
Total share-based compensation expense | $ 2,965 | $ 2,719 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options | |||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Period for Recognition | 1 year 7 months 27 days | ||
Restricted Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Grant date fair value | $ 2,167 | $ 3,703 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options | |||
Restricted stock outstanding as of beginning of the period | 731,809 | 520,987 | [1] |
Restricted stock granted during the period | 263,829 | 457,538 | |
Restricted stock vested during the period | (299,041) | (246,716) | |
Restricted stock outstanding as of end of the period | 696,597 | 731,809 | |
Nonvested restricted stock, fair value remaining to be amortized | $ 3,497 | ||
[1] | (1) The beginning balance shown for the year ended December 31, 2014 has been adjusted from amount previously disclosed to correct computational errors relating to vesting terms on grants made in the first quarter of 2013. |
Income Taxes (Details)
Income Taxes (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Income Taxes [Abstract] | |||
Estimated REIT taxable income | $ 52,964 | $ 79,229 | $ 71,765 |
Operating Loss Carryforwards | $ 89,775,000 | ||
Operating Loss Carryforwards, Limitations on Use | Because the Company incurred an "ownership change" under Section 382 of the Internal Revenue Code ("Section 382"), the Company's ability to utilize its NOL carryforward to offset its taxable income after any required dividend distributions is limited to approximately $13,451 per year with any unused amounts being accumulated and carried forward for use in subsequent years. As of December 31, 2015, the Company had $25,190 of NOL that is not subject to the existing Section 382 limitations available to offset any future taxable income. |
Related Party Transactions (Det
Related Party Transactions (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2015USD ($) | |
Related Party Transactions [Abstract] | |
Related Party Transaction, Rate | 8.00% |
Due from Officers or Stockholders | $ 9,630 |
Selected Quarterly Informatio47
Selected Quarterly Information (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Selected Quarterly Information (Unaudited) [Abstract] | |||||||||||
Interest income | $ 25,522 | $ 26,096 | $ 24,527 | $ 24,099 | $ 24,286 | $ 26,000 | $ 27,718 | $ 27,640 | $ 100,244 | $ 105,644 | $ 127,132 |
Interest Expense | 5,833 | 5,859 | 5,542 | 5,371 | 5,652 | 6,058 | 6,572 | 7,633 | 22,605 | 25,915 | 39,028 |
Net interest income | 19,689 | 20,237 | 18,985 | 18,728 | 18,634 | 19,942 | 21,146 | 20,007 | 77,639 | 79,729 | 88,104 |
(Loss) gain on derivative instruments, net | (17,854) | 52,749 | (17,090) | 25,323 | 21,739 | (4,842) | 23,074 | 13,422 | 43,128 | 53,393 | 10,076 |
Gain (loss) on sale of investments, net | 908 | (113) | 1,491 | (1,308) | (10,950) | (9,057) | 477 | 3,307 | 978 | (16,223) | (3,354) |
Fair value adjustments and other income (expense) amounts, net | 174 | (199) | 632 | 72 | (17) | 939 | 225 | 107 | |||
Other General and Administrative Expense | (4,278) | (4,379) | (4,754) | (4,257) | (4,155) | (3,914) | (3,819) | (4,119) | |||
Preferred stock dividends | (2,294) | (2,294) | (2,294) | (2,294) | (2,294) | (2,294) | (2,294) | (2,294) | (9,176) | (9,176) | (7,902) |
Net income to common shareholders | 30,237 | (39,271) | 28,168 | (11,766) | 1,379 | 28,572 | (8,293) | (3,028) | 7,368 | 18,630 | 60,167 |
Other comprehensive income (loss) | (44,877) | 27,418 | (39,679) | 23,054 | 4,855 | (14,482) | 35,199 | 29,560 | (34,084) | 55,132 | (86,327) |
Comprehensive (loss) income to common shareholders | $ (14,640) | $ (11,853) | $ (11,511) | $ 11,288 | $ 6,234 | $ 14,090 | $ 26,906 | $ 26,532 | $ (26,716) | $ 73,762 | $ (26,160) |
Net (loss) income per common share | $ 0.61 | $ (0.74) | $ 0.52 | $ (0.21) | $ 0.03 | $ 0.52 | $ (0.15) | $ (0.06) | $ 0.14 | $ 0.34 | $ 1.10 |
Dividends declared per common share | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.24 | $ 0.25 | $ 0.25 | $ 0.25 | $ 0.25 |
Subsequent Events FHLB Membersh
Subsequent Events FHLB Membership Termination (Details) | 2 Months Ended |
Mar. 08, 2016 | |
Subsequent Event [Member] | |
Subsequent Event [Line Items] | |
FHLB Membership Termination | As a result of a final rule issued by the FHFA in January 2016 regarding the exclusion of captive insurance entities from membership in the FHLB, the Company's wholly owned subsidiary, Mackinaw, must terminate its membership in the FHLB of Indianapolis by February 19, 2017 and will no longer be permitted new advances or renewals of existing advances. FHLB advances outstanding on the Company's consolidated balance sheet as of December 31, 2015 will be repaid at or before their respective maturities. Each FHLB advance matures before the end of 2016. |