Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2016 | Jul. 31, 2016 | |
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-Q | |
Document Period End Date | Jun. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 49,146,918 | |
Entity Well-known Seasoned Issuer | No | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Assets: | ||
Mortgage-backed securities (including pledged of $3,116,798 and $3,361,635, respectively) | $ 3,208,735 | $ 3,493,701 |
Mortgage loans held for investment, net | 21,815 | 24,145 |
Investment in limited partnership | 0 | 10,835 |
Investment in FHLB stock | 5,260 | 11,475 |
Cash and cash equivalents | 96,897 | 33,935 |
Restricted cash | 83,679 | 51,190 |
Derivative assets | 18,421 | 7,835 |
Principal receivable on investments | 7,794 | 6,193 |
Accrued interest receivable | 19,619 | 22,764 |
Other assets, net | 6,853 | 7,975 |
Total assets | 3,469,073 | 3,670,048 |
Liabilities: | ||
Repurchase agreements | 2,600,480 | 2,589,420 |
FHLB advances | 263,000 | 520,000 |
Non-recourse collateralized financing | 7,520 | 8,442 |
Derivative liabilities | 90,260 | 41,205 |
Accrued interest payable | 1,714 | 1,743 |
Accrued dividends payable | 12,257 | 13,709 |
Other liabilities | 2,316 | 3,504 |
Total liabilities | 2,977,547 | 3,178,023 |
Shareholders' Equity: | ||
Common stock, par value $.01 per share, 200,000,000 shares authorized; 49,145,087 and 49,047,335 shares issued and outstanding, respectively | 491 | 490 |
Additional paid-in capital | 726,063 | 725,358 |
Accumulated other comprehensive income (loss) | 51,908 | (12,768) |
Accumulated deficit | (396,594) | (330,713) |
Total shareholders' equity | 491,526 | 492,025 |
Total liabilities and shareholders’ equity | 3,469,073 | 3,670,048 |
8.5% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share; 8,000,000 shares authorized; 2,300,000 shares issued and outstanding ($57,500 aggregate liquidation preference) | ||
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 |
7.625% Series B Preferred Stock, par value $0.01 per share; 7,000,000 share authorized; 2,250,000 shares issued and outstanding ($56,250 aggregate liquidation preference) | ||
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 | Jun. 30, 2016 | Dec. 31, 2015 |
Assets: | ||
Pledged MBS | $ 3,116,798 | $ 3,361,635 |
Shareholders' Equity: | ||
Common stock, par value | $ 0.01 | $ 0.01 |
Common Stock, Shares Authorized | 200,000,000 | 200,000,000 |
Common Stock, Shares, Issued | 49,145,087 | 49,047,335 |
Common stock, shares outstanding | 49,145,087 | 49,047,335 |
Series A Preferred Stock | ||
Shareholders' Equity: | ||
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 | ||
Shareholders' Equity: | ||
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 - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Interest income | $ 22,816 | $ 24,527 | $ 47,905 | $ 48,626 |
Interest expense | 6,100 | 5,542 | 12,410 | 10,913 |
Net interest income | 16,716 | 18,985 | 35,495 | 37,713 |
(Loss) gain on derivative instruments, net | (16,297) | 17,090 | (64,561) | (8,233) |
Loss on sale of investments, net | (297) | (1,491) | (4,238) | (183) |
Fair value adjustments, net | 28 | 20 | 51 | 59 |
Other income, net | 290 | 612 | 353 | 645 |
General and administrative expenses: | ||||
Compensation and benefits | (1,875) | (2,351) | (4,093) | (4,467) |
Other general and administrative | (1,796) | (2,403) | (3,669) | (4,544) |
Net (loss) income | (3,231) | 30,462 | (40,662) | 20,990 |
Preferred stock dividends | (2,294) | (2,294) | (4,588) | (4,588) |
Net (loss) income to common shareholders | (5,525) | 28,168 | (45,250) | 16,402 |
Other comprehensive income: | ||||
Change in net unrealized gain on available-for-sale investments | 22,730 | (42,027) | 60,491 | (18,722) |
Reclassification adjustment for loss on sale of investments, net | 297 | 1,491 | 4,238 | 183 |
Reclassification adjustment for de-designated cash flow hedges | (80) | 857 | (53) | 1,914 |
Total other comprehensive income (loss) | 22,947 | (39,679) | 64,676 | (16,625) |
Comprehensive income (loss) to common shareholders | $ 17,422 | $ (11,511) | $ 19,426 | $ (223) |
Net (loss) income per common share-basic and diluted | $ (0.11) | $ 0.52 | $ (0.92) | $ 0.30 |
Weighted average common shares-basic and diluted | 49,119 | 54,574 | 49,080 | 54,687 |
Consolidated Statements of Shar
Consolidated Statements of Shareholders' Equity Statement - 6 months ended Jun. 30, 2016 - USD ($) $ in Thousands | Total | Preferred Stock Including Additional Paid in Capital | Common Stock | Additional Paid-in Capital | Accumulated Other Comprehensive Income (Loss) | Accumulated Deficit | Total Shareholders' Equity |
Balance at Dec. 31, 2015 | $ 492,025 | $ 109,658 | $ 490 | $ 725,358 | $ (12,768) | $ (330,713) | $ 492,025 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Stock issuance | 0 | 0 | 77 | 77 | |||
Restricted stock granted, net of amortization | 2 | 1,441 | 1,443 | ||||
Adjustments for tax withholding on share-based compensation | (1) | (484) | (485) | ||||
Stock issuance costs amortization | (19) | (19) | |||||
Common stock repurchased | 0 | (310) | (310) | ||||
Net loss | (40,662) | (40,662) | (40,662) | ||||
Dividends on preferred stock | (4,588) | (4,588) | |||||
Dividends on common stock | (20,631) | (20,631) | |||||
Other comprehensive income | 64,676 | 64,676 | 64,676 | ||||
Balance at Jun. 30, 2016 | $ 491,526 | $ 109,658 | $ 491 | $ 726,063 | $ 51,908 | $ (396,594) | $ 491,526 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2015 | |
Operating activities: | ||
Net (loss) income | $ (40,662) | $ 20,990 |
Adjustments to reconcile net (loss) income to cash provided by operating activities: | ||
Decrease (increase) in accrued interest receivable | 3,145 | (158) |
(Decrease) increase in accrued interest payable | (29) | 120 |
Loss on derivative instruments, net | 64,561 | 8,233 |
Loss on sale of investments, net | 4,238 | 183 |
Fair value adjustments, net | (51) | (59) |
Amortization of investment premiums, net | 73,597 | 74,737 |
Other amortization and depreciation, net | 850 | 2,847 |
Stock-based compensation expense | 1,443 | 1,475 |
Other operating activities | (862) | 18 |
Net cash and cash equivalents provided by operating activities | 106,230 | 108,386 |
Investing activities: | ||
Purchase of investments | (4,970) | (1,000,070) |
Principal payments received on investments | 187,437 | 236,598 |
Proceeds from sales of investments | 94,033 | 233,238 |
Principal payments received on mortgage loans held for investment, net | 2,319 | 9,825 |
Payment to acquire interest in limited partnership | 0 | (6,000) |
Distributions received from limited partnership | 10,835 | 0 |
Net payments on derivatives, including terminations | (26,092) | (10,968) |
Other investing activities | (55) | (135) |
Net cash and cash equivalents provided by (used in) investing activities | 263,507 | (537,512) |
Financing activities: | ||
Borrowings under repurchase agreements and FHLB advances | 11,394,652 | 9,719,787 |
Repayments of repurchase agreement borrowings and FHLB advances | (11,640,592) | (9,221,857) |
Principal payments on non-recourse collateralized financing | (939) | (2,035) |
Increase in restricted cash | (32,489) | (15,617) |
Proceeds from issuance of common stock, net of issuance costs | 58 | 59 |
Payments related to tax withholding for stock-based compensation | (310) | (6,688) |
Payments related to tax withholding for stock-based compensation | (485) | (557) |
Dividends paid | (26,670) | (31,447) |
Net cash and cash equivalents (used in) provided by financing activities | (306,775) | 441,645 |
Net increase in cash and cash equivalents | 62,962 | 12,519 |
Cash and cash equivalents at beginning of period | 33,935 | 43,944 |
Cash and cash equivalents at end of period | 96,897 | 56,463 |
Supplemental Disclosure of Cash Activities: | ||
Cash paid for interest | $ 12,476 | $ 8,842 |
Organization and Summary of Sig
Organization and Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2016 | |
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 unaudited consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial information and with the instructions to the Quarterly Report on Form 10-Q and Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and notes required by GAAP for complete financial statements. In the opinion of management, all significant adjustments, consisting of normal recurring accruals, considered necessary for a fair presentation of the consolidated financial statements have been included. Operating results for the three and six months ended June 30, 2016 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2016. The unaudited consolidated financial statements included herein should be read in conjunction with the audited financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 filed with the SEC. Reclassifications Certain items in the prior periods' consolidated financial statements have been reclassified to conform to the current period's presentation. The Company's equity in income of limited partnership for the three and six months ended June 30, 2015 is now included within "other income (expense), net" on the Company's consolidated statements of comprehensive income. This presentation change has 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. 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. All intercompany accounts and transactions have been eliminated in consolidation. 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 (Loss) Per Common Share The Company calculates basic net income (loss) per common share by dividing net income (loss) to common shareholders for the period by weighted-average shares of common stock outstanding for that period. The Company did not have any potentially dilutive securities outstanding during the three or six months ended June 30, 2016 or June 30, 2015 . 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 common 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 include 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 6 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 in the process of liquidating its remaining interests in a limited partnership which is accounted for using the equity method. Secured Borrowings The Company's repurchase agreements and Federal Home Loan Bank (or "FHLB") advances, which are used to finance its purchases of MBS, 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. As a result of a final rule issued by the Federal Housing Finance Administration ("FHFA") in January 2016 regarding the exclusion of captive insurance entities from membership in the FHLB, the Company's wholly owned subsidiary, Mackinaw Insurance Company, LLC ("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 June 30, 2016 will be repaid before December 31, 2016. 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 4 for additional information regarding the Company's accounting for its derivative instruments. 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. The Company recognizes a liability 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 The Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2016-02, Leases , which includes the following amendments: • for operating and finance leases, a lessee is required to recognize a right-of-use asset and a lease liability, initially measured at the present value of the lease payments in its consolidated balance sheet; • for finance leases, a lessee is required to recognize interest on the lease liability separately from amortization of the right-of-use asset in the statement of comprehensive income; • for finance leases, a lessee is required to classify repayments of the principal portion of the lease liability within financing activities and payments of interest on the lease liability and variable lease payments within operating activities in the statement of cash flows; • for operating leases, a lessee is required to recognize a single lease cost, calculated so that the cost of the lease is allocated over the lease term on a generally straight-line basis in the statement of comprehensive income; and • for operating leases, a lessee is required to classify all cash payments within operating activities in the statement of cash flows. Under the new guidance, lessor accounting is largely unchanged. ASU No. 2016-02 is effective for public companies for fiscal years beginning after December 15, 2018, and early adoption is permitted. The Company does not expect this ASU to have a material impact on the Company's consolidated financial statements. The FASB issued ASU No. 2016-09, Compensation - Stock Compensation, which simplifies several aspects of the accounting for share-based payment award transactions, including income tax consequences, classification of awards as either equity or liabilities, and classification on the statement cash flows. The amendments are effective for public companies for fiscal years beginning after December 15, 2016, and early adoption is permitted. The Company does not expect this ASU to have a material impact on the Company's consolidated financial statements. The FASB issued ASU No. 2016-13, Financial Instruments - Credit Losses, which replaces the incurred loss impairment methodology in current GAAP with a methodology that reflects expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. For assets measured at amortized cost, the amendments in this ASU eliminate the probable initial recognition threshold in current GAAP and broaden the information that an entity must consider in developing its expected credit loss estimate to include the use of forecasted information. For assets classified as available-for-sale with changes in fair value recorded in other comprehensive income, measurement of credit losses will be similar to current GAAP. However, the amendments in this ASU require that credit losses be presented as an allowance rather than as a write-down, which is referred to in current GAAP as an other-than-temporary impairment. An entity will be able to record reversals of credit losses, if credit loss estimates decline, in net income for the current period. The amendments in this ASU will not permit an entity to use the length of time a debt security has been in an unrealized loss position to avoid recording a credit loss and removes the requirements to consider historical and implied volatility of the fair value of a security as well as recoveries or declines in fair value after the balance sheet date. The amendments in this ASU will affect an entity by varying degrees depending on the credit quality of the assets held by the entity, their duration, and how the entity applies current GAAP. These amendments will become effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years, and early adoption will be permitted as of the fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. An entity will apply the amendments in this ASU through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. The Company is currently evaluating the impact of this ASU on its consolidated financial statements. |
Mortgage Backed Securities Mort
Mortgage Backed Securities Mortgage backed securities | 6 Months Ended |
Jun. 30, 2016 | |
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 secured borrowings and derivative instruments. The following tables present the Company’s MBS by investment type as of the dates indicated: June 30, 2016 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) RMBS: Agency $ 1,329,159 $ 65,558 $ 1,394,717 $ 7,031 $ (8,545 ) $ 1,393,203 3.03 % Non-Agency 55,603 (29 ) 55,574 82 (418 ) 55,238 3.56 % 1,384,762 65,529 1,450,291 7,113 (8,963 ) 1,448,441 CMBS: Agency 856,352 10,713 867,065 37,329 (82 ) 904,312 3.40 % Non-Agency 117,696 (7,671 ) 110,025 8,511 — 118,536 5.00 % 974,048 3,042 977,090 45,840 (82 ) 1,022,848 CMBS IO (2) : Agency — 386,628 386,628 7,732 (889 ) 393,471 0.67 % Non-Agency — 342,101 342,101 3,606 (1,732 ) 343,975 0.60 % — 728,729 728,729 11,338 (2,621 ) 737,446 Total AFS securities: $ 2,358,810 $ 797,300 $ 3,156,110 $ 64,291 $ (11,666 ) $ 3,208,735 (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 $12,078,342 and $10,597,035 , respectively, as of June 30, 2016 . 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 the Agency CMBS IO and non-Agency CMBS IO was $12,180,291 and $10,328,628 , respectively, as of December 31, 2015 . Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities. The following table presents information regarding the sales included in "(loss) gain on sale of investments, net" on the Company's consolidated statements of comprehensive income for the periods indicated: Three Months Ended June 30, 2016 2015 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 10,287 $ (297 ) $ 96,025 $ (1,875 ) Agency CMBS — — 98,887 (822 ) Non-Agency CMBS IO — — 31,972 1,206 $ 10,287 $ (297 ) $ 226,884 $ (1,491 ) Six Months Ended June 30, 2016 2015 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 54,178 $ (3,010 ) $ 156,370 $ (2,196 ) Agency CMBS — — 98,887 (822 ) Non-Agency CMBS 33,640 (1,228 ) — — Agency CMBS IO — — 29,385 1,474 Non-Agency CMBS IO — — 44,764 1,361 $ 87,818 $ (4,238 ) $ 329,406 $ (183 ) The following table presents certain information for those MBS in an unrealized loss position as of the dates indicated: June 30, 2016 December 31, 2015 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 $ 322,585 $ (2,095 ) 45 $ 1,332,849 $ (19,062 ) 109 Non-Agency MBS 89,794 (807 ) 20 351,650 (5,347 ) 72 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 368,509 $ (7,421 ) 55 $ 775,484 $ (17,393 ) 72 Non-Agency MBS 92,521 (1,343 ) 28 8,306 (231 ) 7 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 June 30, 2016 and December 31, 2015 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 June 30, 2016 or December 31, 2015. |
Secured Borrowings
Secured Borrowings | 6 Months Ended |
Jun. 30, 2016 | |
Disclosure of Repurchase Agreements [Abstract] | |
Secured Borrowings | The Company’s secured borrowings, which consist of repurchase agreements and FHLB advances, that were outstanding as of June 30, 2016 and December 31, 2015 are summarized in the table below: June 30, 2016 Collateral Type Balance Weighted Average Rate Fair Value of Collateral Pledged Agency RMBS $ 1,284,519 0.67 % $ 1,334,785 Non-Agency RMBS 45,581 1.81 % 54,577 Agency CMBS 547,234 0.67 % 592,932 Non-Agency CMBS 101,795 1.37 % 117,564 Agency CMBS IO 331,263 1.30 % 388,185 Non-Agency CMBS IO 283,906 1.39 % 338,357 Securitization financing bond 6,182 1.80 % 6,685 Total repurchase agreements $ 2,600,480 0.88 % $ 2,833,085 FHLB advances (1) 263,000 0.51 % 283,295 Total secured borrowings $ 2,863,480 0.85 % $ 3,116,380 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 IOs 360,245 1.24 % 421,285 Non-Agency CMBS IOs 302,771 1.33 % 359,351 Securitization financing bond 7,035 1.65 % 8,054 Total repurchase agreements $ 2,589,420 0.75 % $ 2,825,641 FHLB advances (1) 520,000 0.40 % 541,771 Total secured borrowings $ 3,109,420 0.69 % $ 3,367,412 (1) As of June 30, 2016 and December 31, 2015, FHLB advances were collateralized primarily with Agency CMBS. As of June 30, 2016 , the weighted average remaining term to maturity of our repurchase agreements was 21 days compared to 22 days as of December 31, 2015. The remaining balance of FHLB advances is due in October 2016. The following table provides a summary of the original term to maturity of our secured borrowings as of June 30, 2016 and December 31, 2015 : Original Term to Maturity June 30, December 31, Less than 30 days $ 657,966 $ 551,643 30 to 90 days 1,846,757 782,393 91 to 180 days 95,757 1,512,384 181 to 364 days 263,000 — 1 year or longer — 263,000 $ 2,863,480 $ 3,109,420 The following table lists the counterparties with whom the Company had over 10% of its shareholders' equity at risk (defined as the excess of collateral pledged over the borrowings outstanding): June 30, 2016 Counterparty Name Balance Weighted Average Rate Equity at Risk Wells Fargo Bank, N. A. and affiliates $ 281,421 1.34 % $ 52,582 Of the amount outstanding with Wells Fargo Bank, N.A. and affiliates, $267,866 is under a committed repurchase facility which has an aggregate maximum borrowing capacity of $350,000 and is scheduled to mature on August 6, 2018, 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 June 30, 2016 was 1.34% . As of June 30, 2016 , the Company had repurchase agreement amounts outstanding with 19 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 June 30, 2016 , the Company was in compliance with all covenants. Please see Note 5 for the Company's disclosures related to offsetting assets and liabilities. |
Derivatives
Derivatives | 6 Months Ended |
Jun. 30, 2016 | |
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: June 30, 2016 Derivative Assets Derivative Liabilities Trading Instruments Fair Value Notional Fair Value Notional Interest rate swaps $ 18,421 $ 425,000 $ (44,791 ) $ 1,355,000 Eurodollar futures (1) — — (45,469 ) 6,300,000 Total $ 18,421 $ 425,000 $ (90,260 ) $ 7,655,000 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 (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 June 30, 2016 or as of December 31, 2015. The following table summarizes the contractual maturities remaining for the Company’s outstanding interest rate swap agreements as of June 30, 2016 : Remaining Maturity Pay-Fixed Interest Rate Swaps Pay-Fixed Weighted-Average Rate Receive-Fixed Interest Rate Swaps Receive-Fixed Weighted-Average Rate 12 months or less $ 185,000 0.92 % $ — — % 13-24 months — — % — — % 25-36 months 160,000 1.37 % — — % 37-48 months 335,000 1.61 % 250,000 1.91 % 49-60 months 50,000 1.35 % 150,000 1.71 % 61-72 months — — % — — % 73-84 months — — % — — % 85-96 months — — % — — % 97-108 months 375,000 2.83 % 25,000 2.71 % 109-120 months 250,000 2.43 % — — % The following table summarizes the volume of activity related to derivative instruments for the period indicated: For the six months ended June 30, 2016: Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Receive-fixed interest rate swaps $ 425,000 $ — $ — $ 425,000 Pay-fixed interest rate swaps (1) 2,955,000 1,250,000 (2,850,000 ) 1,355,000 Eurodollar futures 6,300,000 — — 6,300,000 $ 9,680,000 $ 1,250,000 $ (2,850,000 ) $ 8,080,000 (1) The notional amount of pay-fixed interest rate swaps that were forward starting as of June 30, 2016 was $625,000 . The table below provides detail of the Company's "(loss) gain on derivative instruments, net" by type of derivative for the periods indicated: Three Months Ended Six Months Ended June 30, June 30, Type of Derivative Instrument 2016 2015 2016 2015 Receive-fixed interest rate swaps $ 3,743 $ (1,746 ) $ 14,277 $ 2,782 Pay-fixed interest rate swaps (15,854 ) 16,263 (62,466 ) 2,900 Eurodollar futures (4,186 ) 2,573 (16,372 ) (13,915 ) (Loss) gain on derivative instruments, net $ (16,297 ) $ 17,090 $ (64,561 ) $ (8,233 ) There is a net unrealized gain of $868 remaining in AOCI on the Company's consolidated balance sheet as of June 30, 2016 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 $386 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 3 . With respect to interest rate agreements under which interest rate swaps were entered into as of June 30, 2016 , the Company was in compliance with all covenants. Please see Note 5 for the Company's disclosures related to offsetting assets and liabilities. |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities Offsetting Assets and Liabilities | 6 Months Ended |
Jun. 30, 2016 | |
Offsetting Assets and Liabilities [Abstract] | |
Offsetting Assets and Liabilities [Text Block] | OFFSETTING ASSETS AND LIABILITIES The Company's derivatives, repurchase agreements, and FHLB advances are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its assets and liabilities subject to these arrangements on a gross basis. The following tables present information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of June 30, 2016 and December 31, 2015: 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 June 30, 2016 Derivative assets $ 18,421 $ — $ 18,421 $ (18,421 ) $ — $ — December 31, 2015: Derivative assets $ 7,835 $ — $ 7,835 $ (7,835 ) $ — $ — 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 June 30, 2016 Derivative liabilities $ 90,260 $ — $ 90,260 $ (22,965 ) $ (66,914 ) $ 381 Repurchase agreements 2,600,480 — 2,600,480 (2,600,480 ) — — FHLB Advances 263,000 — 263,000 (263,000 ) — — $ 2,953,740 $ — $ 2,953,740 $ (2,886,445 ) $ (66,914 ) $ 381 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 (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 Instrum
Fair Value of Financial Instruments | 6 Months Ended |
Jun. 30, 2016 | |
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: June 30, 2016 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets: Mortgage-backed securities $ 3,208,735 $ — $ 3,194,840 $ 13,895 Derivative assets 18,421 — 18,421 — Total assets carried at fair value $ 3,227,156 $ — $ 3,213,261 $ 13,895 Liabilities: Derivative liabilities $ 90,260 $ 45,469 $ 44,791 $ — Total liabilities carried at fair value $ 90,260 $ 45,469 $ 44,791 $ — 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 $ — The Company did not have assets or liabilities measured at fair value on a non-recurring basis as of June 30, 2016 or December 31, 2015 . 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 pricing indicators or assumptions determined by the Company. 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 June 30, 2016 : 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 % 9.3 % Non-Agency RMBS 10 CPR 1.0 % 20.0 % 5.8 % (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, 2015 $ 14,903 $ 1,532 $ 16,435 Unrealized (loss) gain included in OCI (157 ) 15 (142 ) Principal payments (2,780 ) (140 ) (2,920 ) Accretion 522 — 522 Balance as of June 30, 2016 $ 12,488 $ 1,407 $ 13,895 The following table presents a summary of the carrying value and estimated fair values of the Company’s financial instruments as of the dates indicated: June 30, 2016 December 31, 2015 Carrying Value Fair Value Carrying Value Fair Value Assets: Mortgage-backed securities $ 3,208,735 $ 3,208,735 $ 3,493,701 $ 3,493,701 Mortgage loans held for investment, net (1) 21,815 18,415 24,145 20,849 Investment in FHLB stock 5,260 5,260 11,475 11,475 Derivative assets 18,421 18,421 7,835 7,835 Liabilities: Repurchase agreements (2) $ 2,600,480 $ 2,600,480 $ 2,589,420 $ 2,589,420 FHLB advances (2) 263,000 263,000 520,000 520,000 Non-recourse collateralized financing (1) 7,520 7,215 8,442 8,102 Derivative liabilities 90,260 90,260 41,205 41,205 (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 | 6 Months Ended |
Jun. 30, 2016 | |
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 June 30, 2016 (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 second quarter on July 15, 2016 to shareholders of record as of July 1, 2016. Common Stock The following table presents a summary of the changes in the number of common shares outstanding for the periods presented: Six Months Ended June 30, 2016 2015 Balance as of beginning of period 49,047,335 54,739,111 Common stock issued under DRIP 12,206 9,688 Common stock issued under stock and incentive plans 214,878 263,829 Common stock forfeited for tax withholding on share-based compensation (80,888 ) (67,296 ) Common stock repurchased during the period (48,444 ) (860,721 ) Balance as of end of period 49,145,087 54,084,611 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 June 30, 2016 . 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 2,415,332 shares remaining for issuance as of June 30, 2016 . The Company declared a second quarter common stock dividend of $0.21 per share payable on July 29, 2016 to shareholders of record as of July 6, 2016. There was no discount for shares purchased through the DRIP during the second quarter of 2016. Of the $50,000 authorized by the Company's Board of Directors for the repurchase of its common stock through December 31, 2016 , approximately $8,518 remains available for repurchase at the Company's option as of June 30, 2016 . 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 860,106 available for issuance as of June 30, 2016 . Total stock-based compensation expense recognized by the Company for the three and six months ended June 30, 2016 was $614 and $1,443 compared to $782 and $1,475 for the three and six months ended June 30, 2015 . The following table presents a rollforward of the restricted stock activity for the periods indicated: Three Months Ended Six Months Ended June 30, June 30, 2016 2015 2016 2015 Restricted stock outstanding as of beginning of period 547,486 696,819 696,597 731,809 Restricted stock granted 46,158 32,555 214,878 263,829 Restricted stock vested (32,555 ) (32,777 ) (350,386 ) (299,041 ) Restricted stock outstanding as of end of period 561,089 696,597 561,089 696,597 The combined grant date fair value of the restricted stock issued by the Company for the three and six months ended June 30, 2016 was $300 and $1,349 compared to $250 and $2,167 for the three and six months ended June 30, 2015 . As of June 30, 2016 , the fair value of the Company’s outstanding restricted stock remaining to be amortized into compensation expense is $3,404 which will be recognized over a weighted average period of 1.7 years . |
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 June 30, 2016 (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 second quarter on July 15, 2016 to shareholders of record as of July 1, 2016. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS Management has evaluated events and circumstances occurring as of and through the date this Quarterly Report on Form 10-Q was filed with the SEC and has determined that there have been no significant events or circumstances that qualify as a "recognized" or "nonrecognized" subsequent event as defined by ASC Topic 855. |
Organization and Summary of S15
Organization and Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Organization [Text Block] | Organization Dynex Capital, Inc., ("Company”) was incorporated in the Commonwealth of Virginia on December 18, 1987 and commenced operations in February 1988. The Company primarily earns income from investing on a leveraged basis in mortgage-backed securities ("MBS") that are issued or guaranteed by the U.S. Government or U.S. Government sponsored agencies ("Agency MBS") and MBS issued by others ("non-Agency MBS"). |
Basis of Presentation [Policy Text Block] | Basis of Presentation The accompanying unaudited consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial information and with the instructions to the Quarterly Report on Form 10-Q and Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and notes required by GAAP for complete financial statements. In the opinion of management, all significant adjustments, consisting of normal recurring accruals, considered necessary for a fair presentation of the consolidated financial statements have been included. Operating results for the three and six months ended June 30, 2016 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2016. The unaudited consolidated financial statements included herein should be read in conjunction with the audited financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 filed with the SEC. |
Reclassifications [Text Block] | Reclassifications Certain items in the prior periods' consolidated financial statements have been reclassified to conform to the current period's presentation. The Company's equity in income of limited partnership for the three and six months ended June 30, 2015 is now included within "other income (expense), net" on the Company's consolidated statements of comprehensive income. This presentation change has 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. 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. All intercompany accounts and transactions have been eliminated in consolidation. |
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 (Loss) Per Common Share The Company calculates basic net income (loss) per common share by dividing net income (loss) to common shareholders for the period by weighted-average shares of common stock outstanding for that period. The Company did not have any potentially dilutive securities outstanding during the three or six months ended June 30, 2016 or June 30, 2015 . 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 common 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 include 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 6 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 in the process of liquidating its remaining interests in a limited partnership which is accounted for using the equity method. |
Secured Borrowings [Policy Text Block] | Secured Borrowings The Company's repurchase agreements and Federal Home Loan Bank (or "FHLB") advances, which are used to finance its purchases of MBS, 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. As a result of a final rule issued by the Federal Housing Finance Administration ("FHFA") in January 2016 regarding the exclusion of captive insurance entities from membership in the FHLB, the Company's wholly owned subsidiary, Mackinaw Insurance Company, LLC ("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 June 30, 2016 will be repaid before December 31, 2016. |
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 4 for additional information regarding the Company's accounting for its derivative instruments. 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. The Company recognizes a liability 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 The Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2016-02, Leases , which includes the following amendments: • for operating and finance leases, a lessee is required to recognize a right-of-use asset and a lease liability, initially measured at the present value of the lease payments in its consolidated balance sheet; • for finance leases, a lessee is required to recognize interest on the lease liability separately from amortization of the right-of-use asset in the statement of comprehensive income; • for finance leases, a lessee is required to classify repayments of the principal portion of the lease liability within financing activities and payments of interest on the lease liability and variable lease payments within operating activities in the statement of cash flows; • for operating leases, a lessee is required to recognize a single lease cost, calculated so that the cost of the lease is allocated over the lease term on a generally straight-line basis in the statement of comprehensive income; and • for operating leases, a lessee is required to classify all cash payments within operating activities in the statement of cash flows. Under the new guidance, lessor accounting is largely unchanged. ASU No. 2016-02 is effective for public companies for fiscal years beginning after December 15, 2018, and early adoption is permitted. The Company does not expect this ASU to have a material impact on the Company's consolidated financial statements. The FASB issued ASU No. 2016-09, Compensation - Stock Compensation, which simplifies several aspects of the accounting for share-based payment award transactions, including income tax consequences, classification of awards as either equity or liabilities, and classification on the statement cash flows. The amendments are effective for public companies for fiscal years beginning after December 15, 2016, and early adoption is permitted. The Company does not expect this ASU to have a material impact on the Company's consolidated financial statements. The FASB issued ASU No. 2016-13, Financial Instruments - Credit Losses, which replaces the incurred loss impairment methodology in current GAAP with a methodology that reflects expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. For assets measured at amortized cost, the amendments in this ASU eliminate the probable initial recognition threshold in current GAAP and broaden the information that an entity must consider in developing its expected credit loss estimate to include the use of forecasted information. For assets classified as available-for-sale with changes in fair value recorded in other comprehensive income, measurement of credit losses will be similar to current GAAP. However, the amendments in this ASU require that credit losses be presented as an allowance rather than as a write-down, which is referred to in current GAAP as an other-than-temporary impairment. An entity will be able to record reversals of credit losses, if credit loss estimates decline, in net income for the current period. The amendments in this ASU will not permit an entity to use the length of time a debt security has been in an unrealized loss position to avoid recording a credit loss and removes the requirements to consider historical and implied volatility of the fair value of a security as well as recoveries or declines in fair value after the balance sheet date. The amendments in this ASU will affect an entity by varying degrees depending on the credit quality of the assets held by the entity, their duration, and how the entity applies current GAAP. These amendments will become effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years, and early adoption will be permitted as of the fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. An entity will apply the amendments in this ASU through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. The Company is currently evaluating the impact of this ASU on its consolidated financial statements. |
Mortgage Backed Securities Mo16
Mortgage Backed Securities Mortgage backed securities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | |
Available-for-sale Securities | The following tables present the Company’s MBS by investment type as of the dates indicated: June 30, 2016 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) RMBS: Agency $ 1,329,159 $ 65,558 $ 1,394,717 $ 7,031 $ (8,545 ) $ 1,393,203 3.03 % Non-Agency 55,603 (29 ) 55,574 82 (418 ) 55,238 3.56 % 1,384,762 65,529 1,450,291 7,113 (8,963 ) 1,448,441 CMBS: Agency 856,352 10,713 867,065 37,329 (82 ) 904,312 3.40 % Non-Agency 117,696 (7,671 ) 110,025 8,511 — 118,536 5.00 % 974,048 3,042 977,090 45,840 (82 ) 1,022,848 CMBS IO (2) : Agency — 386,628 386,628 7,732 (889 ) 393,471 0.67 % Non-Agency — 342,101 342,101 3,606 (1,732 ) 343,975 0.60 % — 728,729 728,729 11,338 (2,621 ) 737,446 Total AFS securities: $ 2,358,810 $ 797,300 $ 3,156,110 $ 64,291 $ (11,666 ) $ 3,208,735 (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 $12,078,342 and $10,597,035 , respectively, as of June 30, 2016 . 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 the Agency CMBS IO and non-Agency CMBS IO was $12,180,291 and $10,328,628 , respectively, as of December 31, 2015 . |
Schedule of Realized Gain (Loss) | The following table presents information regarding the sales included in "(loss) gain on sale of investments, net" on the Company's consolidated statements of comprehensive income for the periods indicated: Three Months Ended June 30, 2016 2015 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 10,287 $ (297 ) $ 96,025 $ (1,875 ) Agency CMBS — — 98,887 (822 ) Non-Agency CMBS IO — — 31,972 1,206 $ 10,287 $ (297 ) $ 226,884 $ (1,491 ) Six Months Ended June 30, 2016 2015 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 54,178 $ (3,010 ) $ 156,370 $ (2,196 ) Agency CMBS — — 98,887 (822 ) Non-Agency CMBS 33,640 (1,228 ) — — Agency CMBS IO — — 29,385 1,474 Non-Agency CMBS IO — — 44,764 1,361 $ 87,818 $ (4,238 ) $ 329,406 $ (183 ) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | The following table presents certain information for those MBS in an unrealized loss position as of the dates indicated: June 30, 2016 December 31, 2015 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 $ 322,585 $ (2,095 ) 45 $ 1,332,849 $ (19,062 ) 109 Non-Agency MBS 89,794 (807 ) 20 351,650 (5,347 ) 72 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 368,509 $ (7,421 ) 55 $ 775,484 $ (17,393 ) 72 Non-Agency MBS 92,521 (1,343 ) 28 8,306 (231 ) 7 |
Secured Borrowings Secured Borr
Secured Borrowings Secured Borrowings (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |
Schedule of Assets and Associated Liabilities Accounted for as Secured Borrowings | June 30, 2016 Collateral Type Balance Weighted Average Rate Fair Value of Collateral Pledged Agency RMBS $ 1,284,519 0.67 % $ 1,334,785 Non-Agency RMBS 45,581 1.81 % 54,577 Agency CMBS 547,234 0.67 % 592,932 Non-Agency CMBS 101,795 1.37 % 117,564 Agency CMBS IO 331,263 1.30 % 388,185 Non-Agency CMBS IO 283,906 1.39 % 338,357 Securitization financing bond 6,182 1.80 % 6,685 Total repurchase agreements $ 2,600,480 0.88 % $ 2,833,085 FHLB advances (1) 263,000 0.51 % 283,295 Total secured borrowings $ 2,863,480 0.85 % $ 3,116,380 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 IOs 360,245 1.24 % 421,285 Non-Agency CMBS IOs 302,771 1.33 % 359,351 Securitization financing bond 7,035 1.65 % 8,054 Total repurchase agreements $ 2,589,420 0.75 % $ 2,825,641 FHLB advances (1) 520,000 0.40 % 541,771 Total secured borrowings $ 3,109,420 0.69 % $ 3,367,412 (1) As of June 30, 2016 and December 31, 2015, FHLB advances were collateralized primarily with Agency CMBS. As of June 30, 2016 , the weighted average remaining term to maturity of our repurchase agreements was 21 days compared to 22 days as of December 31, 2015. The remaining balance of FHLB advances is due in October 2016. The following table provides a summary of the original term to maturity of our secured borrowings as of June 30, 2016 and December 31, 2015 : Original Term to Maturity June 30, December 31, Less than 30 days $ 657,966 $ 551,643 30 to 90 days 1,846,757 782,393 91 to 180 days 95,757 1,512,384 181 to 364 days 263,000 — 1 year or longer — 263,000 $ 2,863,480 $ 3,109,420 |
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity | The following table lists the counterparties with whom the Company had over 10% of its shareholders' equity at risk (defined as the excess of collateral pledged over the borrowings outstanding): June 30, 2016 Counterparty Name Balance Weighted Average Rate Equity at Risk Wells Fargo Bank, N. A. and affiliates $ 281,421 1.34 % $ 52,582 |
Derivatives (Tables)
Derivatives (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Derivative [Line Items] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | 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: June 30, 2016 Derivative Assets Derivative Liabilities Trading Instruments Fair Value Notional Fair Value Notional Interest rate swaps $ 18,421 $ 425,000 $ (44,791 ) $ 1,355,000 Eurodollar futures (1) — — (45,469 ) 6,300,000 Total $ 18,421 $ 425,000 $ (90,260 ) $ 7,655,000 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 (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 June 30, 2016 or as of December 31, 2015. |
Schedule of Derivative Instruments | The following table summarizes the contractual maturities remaining for the Company’s outstanding interest rate swap agreements as of June 30, 2016 : Remaining Maturity Pay-Fixed Interest Rate Swaps Pay-Fixed Weighted-Average Rate Receive-Fixed Interest Rate Swaps Receive-Fixed Weighted-Average Rate 12 months or less $ 185,000 0.92 % $ — — % 13-24 months — — % — — % 25-36 months 160,000 1.37 % — — % 37-48 months 335,000 1.61 % 250,000 1.91 % 49-60 months 50,000 1.35 % 150,000 1.71 % 61-72 months — — % — — % 73-84 months — — % — — % 85-96 months — — % — — % 97-108 months 375,000 2.83 % 25,000 2.71 % 109-120 months 250,000 2.43 % — — % |
Schedule of Notional Amounts of Outstanding Derivative Positions | The following table summarizes the volume of activity related to derivative instruments for the period indicated: For the six months ended June 30, 2016: Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Receive-fixed interest rate swaps $ 425,000 $ — $ — $ 425,000 Pay-fixed interest rate swaps (1) 2,955,000 1,250,000 (2,850,000 ) 1,355,000 Eurodollar futures 6,300,000 — — 6,300,000 $ 9,680,000 $ 1,250,000 $ (2,850,000 ) $ 8,080,000 |
Schedule of Derivative Instruments Included in Trading Activities | The table below provides detail of the Company's "(loss) gain on derivative instruments, net" by type of derivative for the periods indicated: Three Months Ended Six Months Ended June 30, June 30, Type of Derivative Instrument 2016 2015 2016 2015 Receive-fixed interest rate swaps $ 3,743 $ (1,746 ) $ 14,277 $ 2,782 Pay-fixed interest rate swaps (15,854 ) 16,263 (62,466 ) 2,900 Eurodollar futures (4,186 ) 2,573 (16,372 ) (13,915 ) (Loss) gain on derivative instruments, net $ (16,297 ) $ 17,090 $ (64,561 ) $ (8,233 ) |
Offsetting Assets and Liabili19
Offsetting Assets and Liabilities Offsetting Assets (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Offsetting Assets [Line Items] | |
Offsetting Assets | 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 June 30, 2016 Derivative assets $ 18,421 $ — $ 18,421 $ (18,421 ) $ — $ — December 31, 2015: Derivative assets $ 7,835 $ — $ 7,835 $ (7,835 ) $ — $ — |
Offsetting Assets and Liabili20
Offsetting Assets and Liabilities Offsetting Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Offsetting Liabilities [Line Items] | |
Offsetting Liabilities | 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 June 30, 2016 Derivative liabilities $ 90,260 $ — $ 90,260 $ (22,965 ) $ (66,914 ) $ 381 Repurchase agreements 2,600,480 — 2,600,480 (2,600,480 ) — — FHLB Advances 263,000 — 263,000 (263,000 ) — — $ 2,953,740 $ — $ 2,953,740 $ (2,886,445 ) $ (66,914 ) $ 381 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 |
Fair Value of Financial Instr21
Fair Value of Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | 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: June 30, 2016 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets: Mortgage-backed securities $ 3,208,735 $ — $ 3,194,840 $ 13,895 Derivative assets 18,421 — 18,421 — Total assets carried at fair value $ 3,227,156 $ — $ 3,213,261 $ 13,895 Liabilities: Derivative liabilities $ 90,260 $ 45,469 $ 44,791 $ — Total liabilities carried at fair value $ 90,260 $ 45,469 $ 44,791 $ — 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 $ — |
Fair Value Inputs, Assets, Quantitative Information | 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 June 30, 2016 : 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 % 9.3 % Non-Agency RMBS 10 CPR 1.0 % 20.0 % 5.8 % (1) Data presented are weighted averages. |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | 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, 2015 $ 14,903 $ 1,532 $ 16,435 Unrealized (loss) gain included in OCI (157 ) 15 (142 ) Principal payments (2,780 ) (140 ) (2,920 ) Accretion 522 — 522 Balance as of June 30, 2016 $ 12,488 $ 1,407 $ 13,895 |
Recorded basis and fair value | The following table presents a summary of the carrying value and estimated fair values of the Company’s financial instruments as of the dates indicated: June 30, 2016 December 31, 2015 Carrying Value Fair Value Carrying Value Fair Value Assets: Mortgage-backed securities $ 3,208,735 $ 3,208,735 $ 3,493,701 $ 3,493,701 Mortgage loans held for investment, net (1) 21,815 18,415 24,145 20,849 Investment in FHLB stock 5,260 5,260 11,475 11,475 Derivative assets 18,421 18,421 7,835 7,835 Liabilities: Repurchase agreements (2) $ 2,600,480 $ 2,600,480 $ 2,589,420 $ 2,589,420 FHLB advances (2) 263,000 263,000 520,000 520,000 Non-recourse collateralized financing (1) 7,520 7,215 8,442 8,102 Derivative liabilities 90,260 90,260 41,205 41,205 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Equity [Abstract] | |
Schedule of Common Stock Outstanding Roll Forward | The following table presents a summary of the changes in the number of common shares outstanding for the periods presented: Six Months Ended June 30, 2016 2015 Balance as of beginning of period 49,047,335 54,739,111 Common stock issued under DRIP 12,206 9,688 Common stock issued under stock and incentive plans 214,878 263,829 Common stock forfeited for tax withholding on share-based compensation (80,888 ) (67,296 ) Common stock repurchased during the period (48,444 ) (860,721 ) Balance as of end of period 49,145,087 54,084,611 |
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity | The following table presents a rollforward of the restricted stock activity for the periods indicated: Three Months Ended Six Months Ended June 30, June 30, 2016 2015 2016 2015 Restricted stock outstanding as of beginning of period 547,486 696,819 696,597 731,809 Restricted stock granted 46,158 32,555 214,878 263,829 Restricted stock vested (32,555 ) (32,777 ) (350,386 ) (299,041 ) Restricted stock outstanding as of end of period 561,089 696,597 561,089 696,597 |
Mortgage Backed Securities Mo23
Mortgage Backed Securities Mortgage backed securities designated as AFS (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | $ 2,358,810 | $ 2,358,810 | $ 2,635,705 | ||||||
Available-for-sale MBS, Unamortized Premium (Discount) | 797,300 | 797,300 | 870,102 | ||||||
Available-for-sale MBS, Amortized Cost | 3,156,110 | 3,156,110 | 3,505,807 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 64,291 | 64,291 | 29,927 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (11,666) | (11,666) | (42,033) | ||||||
Available-for-sale MBS, Fair Value | 3,208,735 | 3,208,735 | 3,493,701 | ||||||
Available-for-sale MBS, Sale Proceeds | 10,287 | $ 226,884 | 87,818 | $ 329,406 | |||||
Available-for-sale MBS, Gross Realized Gain (Loss) | (297) | (1,491) | (4,238) | (183) | |||||
RMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | 1,384,762 | 1,384,762 | 1,602,736 | ||||||
Available-for-sale MBS, Unamortized Premium (Discount) | 65,529 | 65,529 | 77,572 | ||||||
Available-for-sale MBS, Amortized Cost | 1,450,291 | 1,450,291 | 1,680,308 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 7,113 | 7,113 | 4,432 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (8,963) | (8,963) | (21,008) | ||||||
Available-for-sale MBS, Fair Value | 1,448,441 | 1,448,441 | 1,663,732 | ||||||
CMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | 974,048 | 974,048 | 1,032,969 | ||||||
Available-for-sale MBS, Unamortized Premium (Discount) | 3,042 | 3,042 | 5,119 | ||||||
Available-for-sale MBS, Amortized Cost | 977,090 | 977,090 | 1,038,088 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 45,840 | 45,840 | 17,581 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (82) | (82) | (15,555) | ||||||
Available-for-sale MBS, Fair Value | 1,022,848 | 1,022,848 | 1,040,114 | ||||||
CMBS IO | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | 0 | 0 | 0 | ||||||
Available-for-sale MBS, Unamortized Premium (Discount) | 728,729 | 728,729 | 787,411 | ||||||
Available-for-sale MBS, Amortized Cost | 728,729 | 728,729 | 787,411 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 11,338 | 11,338 | 7,914 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (2,621) | (2,621) | (5,470) | ||||||
Available-for-sale MBS, Fair Value | 737,446 | 737,446 | 789,855 | ||||||
Agency MBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Fair Value | 322,585 | 322,585 | 1,332,849 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss | $ (2,095) | $ (2,095) | $ (19,062) | ||||||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for less than 12 months | 45 | 45 | 109 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Fair Value | $ 368,509 | $ 368,509 | $ 775,484 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss | $ (7,421) | $ (7,421) | $ (17,393) | ||||||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer | 55 | 55 | 72 | ||||||
Agency MBS | RMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | $ 1,329,159 | $ 1,329,159 | $ 1,536,733 | ||||||
Available-for-sale MBS, Unamortized Premium (Discount) | 65,558 | 65,558 | 77,617 | ||||||
Available-for-sale MBS, Amortized Cost | 1,394,717 | 1,394,717 | 1,614,350 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 7,031 | 7,031 | 4,362 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (8,545) | (8,545) | (20,190) | ||||||
Available-for-sale MBS, Fair Value | $ 1,393,203 | $ 1,393,203 | $ 1,598,522 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 3.03% | 3.03% | 3.03% | |||||
Available-for-sale MBS, Sale Proceeds | $ 10,287 | 96,025 | $ 54,178 | 156,370 | |||||
Available-for-sale MBS, Gross Realized Losses | (297) | (1,875) | (3,010) | (2,196) | |||||
Agency MBS | CMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | 856,352 | 856,352 | $ 876,751 | ||||||
Available-for-sale MBS, Unamortized Premium (Discount) | 10,713 | 10,713 | 13,252 | ||||||
Available-for-sale MBS, Amortized Cost | 867,065 | 867,065 | 890,003 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 37,329 | 37,329 | 10,542 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (82) | (82) | (14,614) | ||||||
Available-for-sale MBS, Fair Value | $ 904,312 | $ 904,312 | $ 885,931 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 3.40% | 3.40% | 3.45% | |||||
Available-for-sale MBS, Sale Proceeds | 98,887 | 98,887 | |||||||
Available-for-sale MBS, Gross Realized Losses | (822) | (822) | |||||||
Agency MBS | CMBS IO | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | $ 0 | [2] | $ 0 | [2] | $ 0 | [3] | |||
Available-for-sale MBS, Unamortized Premium (Discount) | 386,628 | 386,628 | 421,857 | ||||||
Available-for-sale MBS, Amortized Cost | 386,628 | 386,628 | 421,857 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 7,732 | 7,732 | 5,922 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (889) | (889) | (1,651) | ||||||
Available-for-sale MBS, Fair Value | $ 393,471 | $ 393,471 | $ 426,128 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 0.67% | 0.67% | 0.80% | |||||
Notional balance for interest only securities | $ 12,078,342 | $ 12,078,342 | $ 12,180,291 | ||||||
Available-for-sale MBS, Sale Proceeds | 29,385 | ||||||||
Available-for-sale Securities, Gross Realized Gains | 1,474 | ||||||||
Non-Agency MBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Fair Value | 89,794 | 89,794 | 351,650 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss | $ (807) | $ (807) | $ (5,347) | ||||||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for less than 12 months | 20 | 20 | 72 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Fair Value | $ 92,521 | $ 92,521 | $ 8,306 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss | $ (1,343) | $ (1,343) | $ (231) | ||||||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer | 28 | 28 | 7 | ||||||
Non-Agency MBS | RMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | $ 55,603 | $ 55,603 | $ 66,003 | ||||||
Available-for-sale MBS, Unamortized Premium (Discount) | (29) | (29) | (45) | ||||||
Available-for-sale MBS, Amortized Cost | 55,574 | 55,574 | 65,958 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 82 | 82 | 70 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (418) | (418) | (818) | ||||||
Available-for-sale MBS, Fair Value | $ 55,238 | $ 55,238 | $ 65,210 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 3.56% | 3.56% | 3.25% | |||||
Non-Agency MBS | CMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | $ 117,696 | $ 117,696 | $ 156,218 | ||||||
Available-for-sale MBS, Unamortized Premium (Discount) | (7,671) | (7,671) | (8,133) | ||||||
Available-for-sale MBS, Amortized Cost | 110,025 | 110,025 | 148,085 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 8,511 | 8,511 | 7,039 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | 0 | 0 | (941) | ||||||
Available-for-sale MBS, Fair Value | $ 118,536 | $ 118,536 | $ 154,183 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 5.00% | 5.00% | 4.29% | |||||
Available-for-sale MBS, Sale Proceeds | $ 33,640 | ||||||||
Available-for-sale MBS, Gross Realized Losses | (1,228) | ||||||||
Non-Agency MBS | CMBS IO | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | [2] | $ 0 | 0 | ||||||
Available-for-sale MBS, Unamortized Premium (Discount) | 342,101 | 342,101 | $ 365,554 | ||||||
Available-for-sale MBS, Amortized Cost | 342,101 | 342,101 | 365,554 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 3,606 | 3,606 | 1,992 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (1,732) | (1,732) | (3,819) | ||||||
Available-for-sale MBS, Fair Value | $ 343,975 | $ 343,975 | $ 363,727 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 0.60% | 0.60% | 0.71% | |||||
Notional balance for interest only securities | $ 10,597,035 | $ 10,597,035 | $ 10,328,628 | ||||||
Available-for-sale MBS, Sale Proceeds | 31,972 | 44,764 | |||||||
Available-for-sale Securities, Gross Realized Gains | $ 1,206 | $ 1,361 | |||||||
[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 $12,078,342 and $10,597,035, respectively, as of June 30, 2016. | ||||||||
[3] | The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $12,180,291 and $10,328,628, respectively, as of December 31, 2015. |
Secured Borrowings (Details)
Secured Borrowings (Details) - USD ($) $ in Thousands | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 2,863,480 | $ 3,109,420 | ||
Secured borrowing, weighted average interest rate | 0.85% | 0.69% | ||
Fair Value of Collateral Pledged | $ 3,116,380 | $ 3,367,412 | ||
Weighted average maturity remaining | 21 days | 22 days | ||
Securitization financing bond | ||||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 6,182 | $ 7,035 | ||
Secured borrowing, weighted average interest rate | 1.80% | 1.65% | ||
Fair Value of Collateral Pledged | $ 6,685 | $ 8,054 | ||
RMBS | Agency MBS | ||||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 1,284,519 | $ 1,439,436 | ||
Secured borrowing, weighted average interest rate | 0.67% | 0.47% | ||
Fair Value of Collateral Pledged | $ 1,334,785 | $ 1,483,152 | ||
RMBS | Non-Agency MBS | ||||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 45,581 | $ 52,128 | ||
Secured borrowing, weighted average interest rate | 1.81% | 1.77% | ||
Fair Value of Collateral Pledged | $ 54,577 | $ 64,286 | ||
CMBS | Agency MBS | ||||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 547,234 | $ 301,427 | ||
Secured borrowing, weighted average interest rate | 0.67% | 0.49% | ||
Fair Value of Collateral Pledged | $ 592,932 | $ 345,728 | ||
CMBS | Non-Agency MBS | ||||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 101,795 | $ 126,378 | ||
Secured borrowing, weighted average interest rate | 1.37% | 1.26% | ||
Fair Value of Collateral Pledged | $ 117,564 | $ 143,785 | ||
CMBS IO | Agency MBS | ||||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 331,263 | $ 360,245 | ||
Secured borrowing, weighted average interest rate | 1.30% | 1.24% | ||
Fair Value of Collateral Pledged | $ 388,185 | $ 421,285 | ||
CMBS IO | Non-Agency MBS | ||||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 283,906 | $ 302,771 | ||
Secured borrowing, weighted average interest rate | 1.39% | 1.33% | ||
Fair Value of Collateral Pledged | $ 338,357 | $ 359,351 | ||
Repurchase agreements | ||||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 2,600,480 | $ 2,589,420 | ||
Secured borrowing, weighted average interest rate | 0.88% | 0.75% | ||
Fair Value of Collateral Pledged | $ 2,833,085 | $ 2,825,641 | ||
Federal Home Loan Bank Advances [Member] | ||||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 263,000 | $ 520,000 | ||
Secured borrowing, weighted average interest rate | 0.51% | 0.40% | ||
Fair Value of Collateral Pledged | $ 283,295 | $ 541,771 | [1] | |
[1] | As of June 30, 2016 and December 31, 2015, FHLB advances were collateralized primarily with Agency CMBS. |
Secured Borrowings Secured Bo25
Secured Borrowings Secured Borrowings, Term to Original Maturity (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 2,863,480 | $ 3,109,420 |
Less than 30 days | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | 657,966 | 551,643 |
30 to 90 days | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | 1,846,757 | 782,393 |
91 to 180 days | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | 95,757 | 1,512,384 |
181 to 364 days | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | 263,000 | 0 |
1 year or longer | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 0 | $ 263,000 |
Secured Borrowings Secured Bo26
Secured Borrowings Secured Borrowings, Counterparty Information (Details) $ in Thousands | Jun. 30, 2016USD ($)Agreements |
Counterparty Information [Line Items] | |
Line of Credit Facility, Amount Outstanding | $ 267,866 |
Line of Credit Facility, Maximum Borrowing Capacity | $ 350,000 |
Line of Credit Facility, Interest Rate at Period End | 1.34% |
Number of Counterparties with Borrowings Outstanding | Agreements | 19 |
Available Repurchase Agreement Counterparties | Agreements | 32 |
Wells Fargo Bank, N. A. and affiliates | |
Counterparty Information [Line Items] | |
Repurchase Agreement Counterparty, Amount at Risk | $ 52,582 |
Borrowings outstanding with counterparty | $ 281,421 |
WAVG interest rate for amount outstanding with named counterparty | 1.34% |
Derivatives (Details)
Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | ||||
Derivative [Line Items] | ||||||||
Derivative assets, fair value | $ 7,835 | |||||||
Derivative assets, aggregate notional amount | $ 425,000 | $ 425,000 | 460,000 | |||||
Derivative liabilities, fair value | (90,260) | (90,260) | (41,205) | |||||
Derivative liabilities, aggregate notional amount | 7,655,000 | 7,655,000 | 9,220,000 | |||||
Derivative assets | 18,421 | 18,421 | 7,835 | |||||
Derivative, Notional Amount | 8,080,000 | 8,080,000 | 9,680,000 | |||||
(Loss) gain on derivative instruments, net | (16,297) | $ 17,090 | (64,561) | $ (8,233) | ||||
Interest Rate Swap | ||||||||
Derivative [Line Items] | ||||||||
Derivative assets, fair value | 18,421 | 18,421 | 7,835 | |||||
Derivative assets, aggregate notional amount | 425,000 | 425,000 | 460,000 | |||||
Derivative liabilities, fair value | (44,791) | (44,791) | (12,108) | |||||
Derivative liabilities, aggregate notional amount | 1,355,000 | 1,355,000 | 2,920,000 | |||||
Eurodollar Future | ||||||||
Derivative [Line Items] | ||||||||
Derivative assets, fair value | 0 | 0 | 0 | |||||
Derivative assets, aggregate notional amount | 0 | [1] | 0 | [1] | 0 | |||
Derivative liabilities, fair value | (45,469) | (45,469) | (29,097) | |||||
Derivative liabilities, aggregate notional amount | [1] | 6,300,000 | 6,300,000 | 6,300,000 | ||||
Derivative, Notional Amount | 6,300,000 | 6,300,000 | 6,300,000 | |||||
(Loss) gain on derivative instruments, net | (4,186) | 2,573 | (16,372) | (13,915) | ||||
Receive-fixed interest rate swap | ||||||||
Derivative [Line Items] | ||||||||
Derivative, Notional Amount | 425,000 | 425,000 | 425,000 | |||||
(Loss) gain on derivative instruments, net | 3,743 | (1,746) | 14,277 | 2,782 | ||||
Pay-fixed interest rate swap | ||||||||
Derivative [Line Items] | ||||||||
Derivative, Notional Amount | 1,355,000 | [2] | 1,355,000 | [2] | $ 2,955,000 | |||
(Loss) gain on derivative instruments, net | $ (15,854) | $ 16,263 | $ (62,466) | $ 2,900 | ||||
[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 June 30, 2016 or as of December 31, 2015. | |||||||
[2] | The notional amount of pay-fixed interest rate swaps that were forward starting as of June 30, 2016 was $625,000. |
Derivatives Derivatives, Contra
Derivatives Derivatives, Contractual Maturities (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 8,080,000 | $ 9,680,000 | |
Pay-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 1,355,000 | [1] | 2,955,000 |
Receive-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 425,000 | $ 425,000 | |
12 months or less | Pay-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 185,000 | ||
Derivative, Average Fixed Interest Rate | 0.92% | ||
12 months or less | Receive-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative, Average Fixed Interest Rate | 0.00% | ||
13-24 months | Pay-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative, Average Fixed Interest Rate | 0.00% | ||
13-24 months | Receive-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative, Average Fixed Interest Rate | 0.00% | ||
25-36 months | Pay-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 160,000 | ||
Derivative, Average Fixed Interest Rate | 1.37% | ||
25-36 months | Receive-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative, Average Fixed Interest Rate | 0.00% | ||
37-48 months | Pay-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 335,000 | ||
Derivative, Average Fixed Interest Rate | 1.61% | ||
37-48 months | Receive-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 250,000 | ||
Derivative, Average Fixed Interest Rate | 1.91% | ||
49-60 months | Pay-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 50,000 | ||
Derivative, Average Fixed Interest Rate | 1.35% | ||
49-60 months | Receive-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 150,000 | ||
Derivative, Average Fixed Interest Rate | 1.71% | ||
61-72 months | Pay-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative, Average Fixed Interest Rate | 0.00% | ||
61-72 months | Receive-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative, Average Fixed Interest Rate | 0.00% | ||
73-84 months | Pay-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative, Average Fixed Interest Rate | 0.00% | ||
73-84 months | Receive-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative, Average Fixed Interest Rate | 0.00% | ||
85-96 months | Pay-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative, Average Fixed Interest Rate | 0.00% | ||
85-96 months | Receive-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative, Average Fixed Interest Rate | 0.00% | ||
97-108 months | Pay-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 375,000 | ||
Derivative, Average Fixed Interest Rate | 2.83% | ||
97-108 months | Receive-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 25,000 | ||
Derivative, Average Fixed Interest Rate | 2.71% | ||
109-120 months | Pay-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 250,000 | ||
Derivative, Average Fixed Interest Rate | 2.43% | ||
109-120 months | Receive-fixed interest rate swap | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative, Average Fixed Interest Rate | 0.00% | ||
[1] | The notional amount of pay-fixed interest rate swaps that were forward starting as of June 30, 2016 was $625,000. |
Derivatives Derivatives, Volume
Derivatives Derivatives, Volume of Activity (Details) | 6 Months Ended | |
Jun. 30, 2016USD ($) | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | $ 9,680,000,000 | |
Notional Amount of Derivative Instruments Added | 1,250,000,000 | |
Notional Amount of Derivative Instruments Terminated | (2,850,000,000) | |
End of Period Notional Amount | 8,080,000,000 | |
Receive-fixed interest rate swap | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | 425,000,000 | |
Notional Amount of Derivative Instruments Added | 0 | |
Notional Amount of Derivative Instruments Terminated | 0 | |
End of Period Notional Amount | 425,000,000 | |
Pay-fixed interest rate swap | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | 2,955,000,000 | |
Notional Amount of Derivative Instruments Added | 1,250,000,000 | |
Notional Amount of Derivative Instruments Terminated | (2,850,000,000) | |
End of Period Notional Amount | 1,355,000,000 | [1] |
Eurodollar Future | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | 6,300,000,000 | |
Notional Amount of Derivative Instruments Added | 0 | |
Notional Amount of Derivative Instruments Terminated | 0 | |
End of Period Notional Amount | 6,300,000,000 | |
Forward Contracts [Member] | Pay-fixed interest rate swap | ||
Derivative [Line Items] | ||
End of Period Notional Amount | $ 625,000 | [1] |
[1] | The notional amount of pay-fixed interest rate swaps that were forward starting as of June 30, 2016 was $625,000. |
Derivatives Derivative Effect o
Derivatives Derivative Effect on Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Mar. 31, 2017 | Jun. 30, 2016 | |
Derivative [Line Items] | ||
Accumulated Other Comprehensive Income (Loss), Cumulative Changes in Net Gain (Loss) from Cash Flow Hedges, Effect Net of Tax | $ 868 | |
Scenario, Forecast [Member] | ||
Derivative [Line Items] | ||
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | $ 386 |
Offsetting Assets and Liabili31
Offsetting Assets and Liabilities Offsetting Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Offsetting Assets [Line Items] | |||
Derivative assets, fair value, gross asset | $ 18,421 | $ 7,835 | |
Derivative assets, fair value, gross liability | 0 | 0 | |
Derivative assets, fair value, amount not offset against collateral | 18,421 | 7,835 | |
Derivative assets, gross amount not offset in the balance sheet, financial instruments received as collateral | [1] | (18,421) | (7,835) |
Derivative assets, gross amounts not offset in the balance sheet, cash received as collateral | [1] | 0 | 0 |
Derivative assets, fair value, net amount offset against collateral | $ 0 | $ 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. |
Offsetting Assets and Liabili32
Offsetting Assets and Liabilities Offsettting Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Offsetting Liabilities [Line Items] | |||
Derivative liabilities, fair value, gross liability | $ 90,260 | $ 41,205 | |
Derivative liabilities, fair value, gross amount offset in balance sheet | 0 | 0 | |
Derivative liabilities, fair value, amount not offset against collateral | 90,260 | 41,205 | |
Derivative liabilities, gross amount not offset in the balance sheet, financial instruments posted as collateral | [1] | (22,965) | (9,079) |
Derivative liabilties, gross amount not offset in the balance sheet, cash posted as collateral | [1] | (66,914) | (32,111) |
Derivative liabilities, fair value, net amount offset against collateral | 381 | 15 | |
Repurchase agreements, amount not offset against collateral | 2,600,480 | 2,589,420 | |
Total gross liabilities | 2,953,740 | 3,150,625 | |
Total gross liabilities, gross amount offset in balance sheet | 0 | 0 | |
Total liabilities, amount not offset against collateral | 2,953,740 | 3,150,625 | |
Total liabilities, gross amount not offset in balance sheet, financial instruments posted as collateral | [1] | (2,886,445) | (3,118,499) |
Total liabilities, gross amount not offset in the balance sheet, cash posted as collateral | [1] | (66,914) | (32,111) |
Total liabilities, net amount offset against collateral | 381 | 15 | |
Repurchase agreements | |||
Offsetting Liabilities [Line Items] | |||
Repurchase agreements, gross liability | 2,600,480 | 2,589,420 | |
Repurchase agreements, gross amount offset in balance sheet | 0 | 0 | |
Repurchase agreements, amount not offset against collateral | 2,600,480 | 2,589,420 | |
Repurchase agreements, gross amount not offset in balance sheet, financial instruments posted as collateral | [1] | (2,600,480) | (2,589,420) |
Repurchase agreements, gross amount not offset in balance sheet, cash posted as collateral | [1] | 0 | 0 |
Repurchase agreements, net amount offset against collateral | 0 | 0 | |
FHLB advances | |||
Offsetting Liabilities [Line Items] | |||
Repurchase agreements, gross liability | 520,000 | ||
Repurchase agreements, gross amount offset in balance sheet | 0 | 0 | |
Repurchase agreements, amount not offset against collateral | 263,000 | 520,000 | |
Repurchase agreements, gross amount not offset in balance sheet, financial instruments posted as collateral | [1] | (263,000) | (520,000) |
Repurchase agreements, gross amount not offset in balance sheet, cash posted as collateral | [1] | 0 | 0 |
Repurchase agreements, net amount offset against collateral | $ 0 | $ 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 Instr33
Fair Value of Financial Instruments Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | $ 3,208,735 | $ 3,493,701 |
Derivative assets | 18,421 | 7,835 |
Derivative liabilities | 90,260 | 41,205 |
Fair Value, Measurements, Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 3,208,735 | 3,493,701 |
Derivative assets | 18,421 | 7,835 |
Total assets carried at fair value | 3,227,156 | 3,501,536 |
Derivative liabilities | 90,260 | 41,205 |
Total liabilities carried at fair value | 90,260 | 41,205 |
Fair Value, Measurements, Recurring | Level 1 | ||
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 | 45,469 | 29,097 |
Total liabilities carried at fair value | 45,469 | 29,097 |
Fair Value, Measurements, Recurring | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 3,194,840 | 3,477,266 |
Derivative assets | 18,421 | 7,835 |
Total assets carried at fair value | 3,213,261 | 3,485,101 |
Derivative liabilities | 44,791 | 12,108 |
Total liabilities carried at fair value | 44,791 | 12,108 |
Fair Value, Measurements, Recurring | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 13,895 | 16,435 |
Derivative assets | 0 | 0 |
Total assets carried at fair value | 13,895 | 16,435 |
Derivative liabilities | 0 | 0 |
Total liabilities carried at fair value | $ 0 | $ 0 |
Fair Value of Financial Instr34
Fair Value of Financial Instruments Significant Unobservable Inputs Level 3 (Details) - Fair Value, Measurements, Recurring - Level 3 | 6 Months Ended | |
Jun. 30, 2016 | [1] | |
CMBS | ||
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 | 9.30% | |
RMBS | ||
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 | 5.80% | |
[1] | Data presented are weighted averages. |
Fair Value of Financial Instr35
Fair Value of Financial Instruments Level 3 (Details) - Fair Value, Measurements, Recurring - Level 3 $ in Thousands | 6 Months Ended |
Jun. 30, 2016USD ($) | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Balance at the beginning of the period | $ 16,435 |
Unrealized (loss) gain included in OCI | (142) |
Principal payments | (2,920) |
Accretion | 522 |
Balance at the end of the period | 13,895 |
Non-Agency CMBS | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Balance at the beginning of the period | 14,903 |
Unrealized (loss) gain included in OCI | (157) |
Principal payments | (2,780) |
Accretion | 522 |
Balance at the end of the period | 12,488 |
Non-Agency RMBS | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Balance at the beginning of the period | 1,532 |
Unrealized (loss) gain included in OCI | 15 |
Principal payments | (140) |
Accretion | 0 |
Balance at the end of the period | $ 1,407 |
Fair Value of Financial Instr36
Fair Value of Financial Instruments Recorded basis and Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Derivative assets | $ 18,421 | $ 7,835 | |
Derivative liabilities | 90,260 | 41,205 | |
Carrying Value | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | 3,208,735 | 3,493,701 | |
Mortgage loans held for investment, net, Fair Value Disclosure | 21,815 | 24,145 | |
Investment in FHLB stock, Fair Value Disclosure | 5,260 | 11,475 | |
Derivative assets | 18,421 | 7,835 | |
Repurchase agreements, Fair Value Disclosure | 2,600,480 | 2,589,420 | |
FHLB advances, Fair Value Disclosure | 263,000 | 520,000 | |
Non-recourse collateralized financing, Fair Value | 7,520 | 8,442 | |
Derivative liabilities | 90,260 | 41,205 | |
Fair Value | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | 3,208,735 | 3,493,701 | |
Mortgage loans held for investment, net, Fair Value Disclosure | [1] | 18,415 | 20,849 |
Investment in FHLB stock, Fair Value Disclosure | [2] | 5,260 | 11,475 |
Derivative assets | 18,421 | 7,835 | |
Repurchase agreements, Fair Value Disclosure | [2] | 2,600,480 | 2,589,420 |
FHLB advances, Fair Value Disclosure | [2] | 263,000 | 520,000 |
Non-recourse collateralized financing, Fair Value | [1] | 7,215 | 8,102 |
Derivative liabilities | $ 90,260 | $ 41,205 | |
[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 | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Class of Stock [Line Items] | ||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | ||
Balance as of beginning of period | 49,047,335 | 54,739,111 | ||
Common stock issued under DRIP | 12,206 | 9,688 | ||
Common stock issued under stock and incentive plans | 214,878 | 263,829 | ||
Common stock forfeited for tax withholding on share-based compensation | (80,888) | (67,296) | ||
Common stock repurchased during the period | (48,444) | (860,721) | ||
Balance as of end of period | 49,145,087 | 49,145,087 | 54,084,611 | |
Dividend reinvestment plan, shares authorized | 3,000,000 | 3,000,000 | ||
Stock issued during period, remaining shares available, dividend reinvestment plan | 2,415,332 | 2,415,332 | ||
Dividends declared per common share | $ 0.21 | |||
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 | $ 9,000 | $ 9,000 | ||
Series A Preferred Stock | ||||
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 | |
Series B Preferred Stock | ||||
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 | |
Common Stock | At the market progam [Member] | ||||
Class of Stock [Line Items] | ||||
ATM program, authorized shares remaining | 7,416,520 | 7,416,520 |
Shareholders' Equity Share-base
Shareholders' Equity Share-based Compensation (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based incentive plan, number of shares authorized for issuance | 2,500,000 | 2,500,000 | ||
Share-based incentive plan, number of shares remaining for issuance | 860,106 | 860,106 | ||
Stock-based compensation expense | $ 1 | $ 782 | $ 1,443 | $ 1,475 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Rollforward] | ||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Period for Recognition | 1 year 7 months 27 days | |||
Restricted Stock | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Rollforward] | ||||
Restricted stock outstanding as of beginning of period | 547,486 | 696,819 | 696,597 | 731,809 |
Restricted stock granted | 46,158 | 32,555 | 214,878 | 263,829 |
Restricted stock vested | (32,555) | (32,777) | (350,386) | (299,041) |
Restricted stock outstanding as of end of period | 561,089 | 696,597 | 561,089 | 696,597 |
Grant date fair value | $ 300 | $ 250 | $ 1,349 | $ 2,167 |
Nonvested restricted stock, fair value remaining to be amortized | $ 3,404 | $ 3,404 |