Document and Entity Information
Document and Entity Information - USD ($) | 6 Months Ended | ||
Jun. 30, 2017 | Aug. 02, 2017 | Jun. 30, 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, 2017 | ||
Document Fiscal Year Focus | 2,017 | ||
Document Fiscal Period Focus | Q2 | ||
Amendment Flag | false | ||
Entity Common Stock, Shares Outstanding | 49,234,232 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 310,217,722 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Assets: | ||
Mortgage-backed securities (including pledged of $2,743,850 and $3,150,610, respectively) | $ 2,864,026 | $ 3,212,084 |
Mortgage loans held for investment, net | 17,345 | 19,036 |
Cash and cash equivalents | 100,863 | 74,120 |
Restricted cash | 45,377 | 24,769 |
Derivative assets | 267 | 28,534 |
Principal receivable on investments | 5,812 | 11,978 |
Accrued interest receivable | 19,295 | 20,396 |
Other assets, net | 7,235 | 6,814 |
Total assets | 3,060,220 | 3,397,731 |
Liabilities: | ||
Repurchase agreements | 2,540,759 | 2,898,952 |
Non-recourse collateralized financing | 5,892 | 6,440 |
Derivative liabilities | 1,686 | 6,922 |
Accrued interest payable | 1,524 | 3,156 |
Accrued dividends payable | 11,121 | 12,268 |
Other liabilities | 1,963 | 2,809 |
Total liabilities | 2,562,945 | 2,930,547 |
Shareholders' Equity: | ||
Preferred stock, par value $.01 per share; 50,000,000 shares authorized; 5,348,658 and 4,571,937 shares issued and outstanding, respectively ($133,716 and $114,298 aggregate liquidation preference, respectively) | 128,165 | 110,005 |
Common stock, par value $.01 per share, 200,000,000 shares authorized; 49,234,493 and 49,153,463 shares issued and outstanding, respectively | 492 | 492 |
Additional paid-in capital | 728,124 | 727,369 |
Accumulated other comprehensive loss | (257) | (32,609) |
Accumulated deficit | (359,249) | (338,073) |
Total shareholders' equity | 497,275 | 467,184 |
Total liabilities and shareholders’ equity | $ 3,060,220 | $ 3,397,731 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Assets: | ||
Pledged MBS | $ 2,743,850 | $ 3,150,610 |
Shareholders' Equity: | ||
Preferred Stock, Par Value Per Share | $ 0.01 | $ 0.01 |
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 |
Preferred Stock, Shares Issued | 5,348,658 | 4,571,937 |
Preferred Stock, Shares Outstanding | 5,348,658 | 4,571,937 |
Preferred Stock, aggregate liquidation preference | $ 133,716 | $ 114,298 |
Common stock, par value | $ 0.01 | $ 0.01 |
Common Stock, Shares Authorized | 200,000,000 | 200,000,000 |
Common Stock, Shares, Issued | 49,234,493 | 49,153,463 |
Common stock, shares outstanding | 49,234,493 | 49,153,463 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Interest income | $ 24,856 | $ 22,816 | $ 47,275 | $ 47,905 |
Interest expense | 8,714 | 6,100 | 16,233 | 12,410 |
Net interest income | 16,142 | 16,716 | 31,042 | 35,495 |
Loss on derivative instruments, net | (15,802) | (16,297) | (15,627) | (64,561) |
Loss on sale of investments, net | (3,709) | (297) | (5,417) | (4,238) |
Fair value adjustments, net | 30 | 28 | 40 | 51 |
Other income (loss), net | 4 | 290 | (42) | 353 |
General and administrative expenses: | ||||
Compensation and benefits | (2,041) | (1,875) | (4,286) | (4,093) |
Other general and administrative | (2,056) | (1,796) | (4,091) | (3,669) |
Net (loss) income | (7,432) | (3,231) | 1,619 | (40,662) |
Preferred stock dividends | (2,641) | (2,294) | (5,077) | (4,588) |
Net loss to common shareholders | (10,073) | (5,525) | (3,458) | (45,250) |
Other comprehensive income: | ||||
Unrealized gain on available-for-sale investments, net | 8,739 | 22,730 | 27,107 | 60,491 |
Reclassification adjustment for loss on sale of investments, net | 3,709 | 297 | 5,417 | 4,238 |
Reclassification adjustment for de-designated cash flow hedges | (73) | (80) | (172) | (53) |
Total other comprehensive income | 12,375 | 22,947 | 32,352 | 64,676 |
Comprehensive income to common shareholders | $ 2,302 | $ 17,422 | $ 28,894 | $ 19,426 |
Net loss per common share-basic and diluted | $ (0.20) | $ (0.11) | $ (0.07) | $ (0.92) |
Weighted average common shares-basic and diluted | 49,218 | 49,119 | 49,197 | 49,080 |
Consolidated Statements of Shar
Consolidated Statements of Shareholders' Equity Statement - 6 months ended Jun. 30, 2017 - USD ($) $ in Thousands | Total | Preferred Stock | Preferred Stock Including Additional Paid in Capital | Common Stock | Additional Paid-in Capital | Accumulated Other Comprehensive Loss | Accumulated Deficit |
Balance, Preferred stock, Shares outstanding at Dec. 31, 2016 | 4,571,937 | 4,571,937 | |||||
Balance, Common stock, shares outstanding at Dec. 31, 2016 | 49,153,463 | 49,153,463 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Stock Issued During Period, Shares, New Issues | 776,721 | 20,431 | |||||
Stock Issued During Period, Shares, Restricted Stock Award, Gross | 138,166 | ||||||
Shares Paid for Tax Withholding for Share Based Compensation | (77,567) | ||||||
Balance, Preferred stock, Shares outstanding at Jun. 30, 2017 | 5,348,658 | 5,348,658 | |||||
Balance, Common stock, shares outstanding at Jun. 30, 2017 | 49,234,493 | 49,234,493 | |||||
Balance at Dec. 31, 2016 | $ 467,184 | $ 110,005 | $ 492 | $ 727,369 | $ (32,609) | $ (338,073) | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Stock issuance | 18,351 | 18,212 | 0 | 139 | |||
Restricted stock granted, net of amortization | 1,178 | 1 | 1,177 | ||||
Adjustments for tax withholding on share-based compensation | (521) | (1) | (520) | ||||
Stock issuance costs | (93) | (52) | (41) | ||||
Net income | 1,619 | 1,619 | |||||
Dividends on preferred stock | (5,077) | (5,077) | |||||
Dividends on common stock | (17,718) | (17,718) | |||||
Other comprehensive income | 32,352 | 32,352 | |||||
Balance at Jun. 30, 2017 | $ 497,275 | $ 128,165 | $ 492 | $ 728,124 | $ (257) | $ (359,249) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Operating activities: | ||
Net income (loss) | $ 1,619 | $ (40,662) |
Adjustments to reconcile net income (loss) to cash provided by operating activities: | ||
Decrease in accrued interest receivable | 1,101 | 3,145 |
Decrease in accrued interest payable | (1,633) | (29) |
Loss on derivative instruments, net | 15,627 | 64,561 |
Loss on sale of investments, net | (5,417) | (4,238) |
Fair value adjustments, net | (40) | (51) |
Amortization of investment premiums, net | 81,188 | 73,597 |
Other amortization and depreciation, net | 682 | 850 |
Stock-based compensation expense | 1,179 | 1,443 |
Decrease in other assets and liabilities, net | (2,120) | (881) |
Net cash and cash equivalents provided by operating activities | 103,020 | 106,211 |
Investing activities: | ||
Purchase of investments | (282,943) | (4,970) |
Principal payments received on investments | 183,636 | 187,437 |
Proceeds from sales of investments | 399,483 | 94,033 |
Principal payments received on mortgage loans held for investment, net | 1,876 | 2,319 |
Distributions received from limited partnership | 0 | 10,835 |
Net receipts (payments) on derivatives, including terminations | 7,405 | (26,092) |
Other investing activities | (212) | (55) |
Net cash and cash equivalents provided by investing activities | 309,245 | 263,507 |
Financing activities: | ||
Borrowings under repurchase agreements | 39,007,126 | 11,394,652 |
Repayments of repurchase agreement borrowings and FHLB advances | (39,365,319) | (11,640,592) |
Principal payments on non-recourse collateralized financing | (557) | (939) |
Increase in restricted cash | 20,608 | 32,489 |
Proceeds from issuance of preferred stock | 18,212 | 0 |
Proceeds from issuance of common stock | 139 | 77 |
Cash paid for stock issuance costs | (52) | 0 |
Cash paid for repurchases of common stock | 0 | (310) |
Payments related to tax withholding for stock-based compensation | (521) | (485) |
Dividends paid | (23,942) | (26,670) |
Net cash and cash equivalents used in financing activities | (385,522) | (306,756) |
Net increase in cash and cash equivalents | 26,743 | 62,962 |
Cash and cash equivalents at beginning of period | 74,120 | 33,935 |
Cash and cash equivalents at end of period | 100,863 | 96,897 |
Supplemental Disclosure of Cash Activity: | ||
Cash paid for interest | $ 18,029 | $ 12,476 |
Organization and Summary of Sig
Organization and Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2017 | |
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 Agency and non-Agency mortgage-backed securities (“MBS”) consisting of residential MBS (“RMBS”), commercial MBS (“CMBS”) and CMBS interest-only ("IO") securities 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"). We may also invest in other types of mortgage-related securities, such as to-be-announced (“TBA”) forward contracts for the purchase or sale of generic 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 months ended June 30, 2017 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2017. 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, 2016 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 has reclassified amortization of stock issuance costs which was previously recorded in "proceeds from issuance of common stock, net of issuance costs" in the financing activities section of the Company's consolidated statements of cash flows for six months ended June 30, 2016 . Amortization of stock issuance costs is now presented within "other operating activities" in the operating activities section of the Company's consolidated statements of cash flows. This presentation change had no effect on reported financial condition or results of operations and did not have a material impact on cash flows from operating or financing 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, amortization of premiums and discounts, fair value measurements of its investments, and other-than-temporary impairments. 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, 2017 or June 30, 2016 . 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 represents one unrestricted 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's investments in Agency and non-Agency RMBS, CMBS, and CMBS IO securities are designated as available-for-sale ("AFS") and are recorded at fair value on the Company's 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 as collateral 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 or accreted into interest income over the expected life of such securities using the effective yield method and adjustments to premium amortization and discount accretion 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 loan prepayment rates, fluctuations in interest rates, credit losses, 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 based on 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 5 for further discussion of MBS fair value measurements. Other-than-Temporary Impairment. An 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. Repurchase Agreements The Company's repurchase agreements, 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. Derivative Instruments The Company's derivative instruments include interest rate swaps and forward contracts for the purchase or sale of generic Agency RMBS, commonly referred to as "TBA securities" or "TBA contracts". Derivative instruments are accounted for at the fair value of their unit of account. Derivative instruments in a gain position are reported as derivative assets and derivative instruments in a loss position are reported as 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, maturity, or settlement are recorded in "gain (loss) on derivative instruments, net" on the Company's consolidated statement of comprehensive income. Cash receipts and payments related to derivative instruments are classified in the investing activities section of our consolidated statements of cash flows in accordance with the underlying nature or purpose of the derivative transactions. Our interest rate swap agreements are privately negotiated in the over-the-counter ("OTC") market and the majority of these agreements are centrally cleared through the Chicago Mercantile Exchange ("CME") with the rest being subject to bilateral agreements between the Company and the swap counterparty. The Company's CME cleared swaps require that the Company post initial margin as determined by the CME, and in addition, variation margin is exchanged, typically in cash, for changes in the fair value of the CME cleared swaps. Beginning in January 2017, as a result of a change in the CME's rulebook, the exchange of variation margin for CME cleared swaps is legally considered to be the settlement of the derivative itself as opposed to a pledge of collateral. Accordingly, beginning in 2017, the Company accounts for the daily exchange of variation margin associated with its CME cleared interest rate swaps as a direct increase or decrease to the carrying value of the related derivative asset or liability. The carrying value of CME cleared interest rate swaps on the Company's consolidated balance sheets is the unsettled fair value of those instruments. A TBA security is a forward contract for the purchase or sale of a generic Agency MBS at a predetermined price with certain principal and interest terms and certain types of collateral, but the particular Agency securities to be delivered are not identified until shortly before the TBA settlement date. The Company executes TBA dollar roll transactions which effectively delay the settlement of a forward purchase of a TBA Agency RMBS by entering into an offsetting short position (referred to as a "pair off"), net settling the paired-off positions in cash, and simultaneously entering a similar TBA contract for a later settlement date. TBA securities purchased for a forward settlement month are generally priced at a discount relative to TBA securities sold for settlement in the current month. This discount, often referred to as “drop income” is the economic equivalent of net interest interest income on the underlying Agency securities over the roll period (interest income less implied financing cost). The Company accounts for TBA securities as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA contract that its settlement will result in physical delivery of the underlying Agency RMBS, or the individual TBA contract will not settle in the shortest time period possible. Please refer to Note 4 for additional information regarding the Company's derivative instruments as well as Note 5 for information on how the fair value of these instruments are calculated. 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 issued to its employees, officers, and directors. 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. 2017-08, Receivables-Nonrefundable Fees and Other Costs, which shortens the amortization period for certain callable debt securities held at a premium, requiring the premium to be amortized to the earliest call date. The amendments in this ASU are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018 and early adoption is permitted. The amendments in this Update should be applied using the modified-retrospective transition approach and will require disclosures for the change in accounting principle. 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, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-backed securities | MORTGAGE-BACKED SECURITIES The majority of the Company's MBS are pledged as collateral for the Company's secured borrowings. The following tables present the Company’s MBS by investment type as of the dates indicated: June 30, 2017 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) CMBS: Agency $ 1,315,974 $ 14,110 1,330,084 $ 6,026 $ (15,492 ) 1,320,618 3.04 % Non-Agency 41,142 (4,855 ) 36,287 3,280 — 39,567 5.53 % 1,357,116 9,255 1,366,371 9,306 (15,492 ) 1,360,185 CMBS IO (2) : Agency — 413,368 413,368 6,719 (322 ) 419,765 0.63 % Non-Agency — 339,493 339,493 5,401 (578 ) 344,316 0.62 % — 752,861 752,861 12,120 (900 ) 764,081 RMBS: Agency 715,015 29,074 744,089 1,959 (7,464 ) 738,584 2.98 % Non-Agency 1,156 — 1,156 46 (26 ) 1,176 6.75 % 716,171 29,074 745,245 2,005 (7,490 ) 739,760 Total AFS securities: $ 2,073,287 $ 791,190 $ 2,864,477 $ 23,431 $ (23,882 ) $ 2,864,026 (1) The 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 $14,248,128 and $11,126,737 , respectively, as of June 30, 2017 . December 31, 2016 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) CMBS: Agency $ 1,152,586 $ 13,868 $ 1,166,454 $ 6,209 $ (28,108 ) $ 1,144,555 3.12 % Non-Agency 79,467 (6,718 ) 72,749 5,467 — 78,216 4.72 % 1,232,053 7,150 1,239,203 11,676 (28,108 ) 1,222,771 CMBS IO (2) : Agency — 411,737 411,737 3,523 (3,362 ) 411,898 0.67 % Non-Agency — 346,155 346,155 1,548 (5,055 ) 342,648 0.61 % — 757,892 757,892 5,071 (8,417 ) 754,546 RMBS: Agency $ 1,157,258 $ 57,066 $ 1,214,324 $ 2,832 $ (15,951 ) $ 1,201,205 3.05 % Non-Agency 33,572 (24 ) 33,548 64 (50 ) 33,562 3.58 % 1,190,830 57,042 1,247,872 2,896 (16,001 ) 1,234,767 Total AFS securities: $ 2,422,883 $ 822,084 $ 3,244,967 $ 19,643 $ (52,526 ) $ 3,212,084 (1) The 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 $13,106,912 and $10,884,964 , respectively, as of December 31, 2016 . 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 on sale of investments, net" on the Company's consolidated statements of comprehensive income for the periods indicated: Three Months Ended June 30, 2017 2016 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 265,893 $ (5,524 ) $ 10,287 $ (297 ) Agency CMBS 24,305 574 — — Non-Agency CMBS 35,705 1,199 — — Non-Agency RMBS 16,407 42 — — $ 342,310 $ (3,709 ) $ 10,287 $ (297 ) Six Months Ended June 30, 2017 2016 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 323,057 $ (7,232 ) $ 54,178 $ (3,010 ) Agency CMBS 24,305 574 — — Non-Agency CMBS 35,705 1,199 33,640 (1,228 ) Non-Agency RMBS 16,407 42 — — $ 399,474 $ (5,417 ) $ 87,818 $ (4,238 ) The following table presents certain information for those MBS in an unrealized loss position as of the dates indicated: June 30, 2017 December 31, 2016 Fair Value Gross Unrealized Losses # of Securities Fair Value Gross Unrealized Losses # of Securities Continuous unrealized loss position for less than 12 months: Agency MBS $ 1,254,502 $ (20,694 ) 101 $ 1,738,094 $ (38,469 ) 133 Non-Agency MBS 19,542 (154 ) 3 205,484 (2,773 ) 48 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 186,382 $ (2,584 ) 28 $ 427,405 $ (8,952 ) 72 Non-Agency MBS 40,122 (450 ) 16 81,660 (2,332 ) 26 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 in accordance with GAAP. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s leverage and liquidity position. Based on this analysis, the Company has determined that the unrealized losses on its Agency MBS as of June 30, 2017 and December 31, 2016 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 the non-Agency MBS, the credit characteristics of the mortgage loans collateralizing these securities, and the estimated future cash flows including projected collateral losses. The Company performed this evaluation for its 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, 2017 or December 31, 2016 . |
Repurchase Agreements
Repurchase Agreements | 6 Months Ended |
Jun. 30, 2017 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase agreements | REPURCHASE AGREEMENTS The Company’s repurchase agreements outstanding as of June 30, 2017 and December 31, 2016 are summarized in the following tables: June 30, 2017 December 31, 2016 Collateral Type Balance Weighted Average Rate Fair Value of Collateral Pledged Balance Weighted Average Rate Fair Value of Collateral Pledged Agency CMBS $ 1,192,447 1.21 % $ 1,252,560 $ 1,005,726 0.82 % $ 1,095,002 Non-Agency CMBS 31,407 2.23 % 38,934 66,881 1.63 % 77,840 Agency CMBS IO 353,922 2.04 % 415,988 346,892 1.57 % 407,481 Non-Agency CMBS IO 293,725 2.13 % 343,600 291,199 1.67 % 341,139 Agency RMBS 665,346 1.29 % 692,126 1,157,302 0.82 % 1,191,147 Non-Agency RMBS — — % — 26,149 1.98 % 31,952 Securitization financing bond 3,912 2.45 % 4,249 4,803 2.00 % 5,278 Total repurchase agreements $ 2,540,759 1.47 % $ 2,747,457 $ 2,898,952 1.03 % $ 3,149,839 As of June 30, 2017 , the weighted average remaining term to maturity of our repurchase agreements was 19 days compared to 20 days as of December 31, 2016. The following table provides a summary of the original term to maturity of our secured borrowings as of June 30, 2017 and December 31, 2016 : Original Term to Maturity June 30, December 31, Less than 30 days $ 1,215,553 $ 910,937 30 to 90 days 1,268,716 533,112 91 to 180 days 56,490 1,454,903 $ 2,540,759 $ 2,898,952 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, 2017 Counterparty Name Balance Weighted Average Rate Equity at Risk Wells Fargo Bank, N. A. and affiliates $ 371,660 2.09 % $ 65,366 Of the amount outstanding with Wells Fargo Bank, N.A. and affiliates, $359,263 is under a committed repurchase facility which has an aggregate maximum borrowing capacity of $400,000 and is scheduled to mature on May 12, 2019, 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, 2017 was 2.09% . As of June 30, 2017 , the Company had repurchase agreement amounts outstanding with 18 of its 34 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. The Company was in full compliance with all covenants as of June 30, 2017 . The Company's repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its repurchase agreements to these arrangements on a gross basis. The following tables present information regarding the Company's repurchase agreements as if the Company had presented them on a net basis as of June 30, 2017 and December 31, 2016: 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, 2017 Repurchase agreements $ 2,540,759 $ — $ 2,540,759 $ (2,540,759 ) $ — $ — December 31, 2016: Repurchase agreements $ 2,898,952 $ — $ 2,898,952 $ (2,898,952 ) $ — $ — (1) Amounts 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. Please see Note 4 for information related to the Company's derivatives which are also subject to underlying agreements with master netting or similar arrangements. |
Derivatives
Derivatives | 6 Months Ended |
Jun. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives | DERIVATIVES As of June 30, 2017 , the Company's derivative instruments include interest rate swaps and TBA securities. The Company utilizes interest rate swaps to economically hedge a portion of its exposure to interest rate risk. 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. During the second quarter of 2017, the Company began investing in TBA securities for the purchase or sale of Agency RMBS on a non-specified pool basis. TBA securities are forward contracts which are accounted for as derivative instruments, however, management views TBA securities as the economic equivalent of investing in and financing generic Agency fixed-rate RMBS through the repurchase agreement markets. 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 fair value by type of derivative instrument on the Company's consolidated balance sheets as of the dates indicated: June 30, 2017 December 31, 2016 Type of Derivative Instruments Balance Sheet Location Fair Value Fair Value (1) Interest rate swaps Derivative assets $ 267 $ 28,534 TBA securities Derivative assets — — $ 267 $ 28,534 Interest rate swaps Derivative liabilities $ (18 ) $ (6,922 ) TBA securities Derivative liabilities (1,668 ) — $ (1,686 ) $ (6,922 ) (1) Refer to Note 1 regarding information on a change in the CME rulebook. Amounts reported on the consolidated balance sheet as of June 30, 2017 for its interest rate swaps reflect the netting of the derivative asset or liability with the related collateral received or posted, respectively. The net amounts comparable to June 30, 2017 for the derivative asset and derivative liabilities as of December 31, 2016 were $104 and $(576) , respectively. The following tables present information about the Company's interest rate swaps as of the dates indicated: June 30, 2017 Weighted-Average: Years to Maturity: Net Notional Amount (1) Pay Rate (2) Life Remaining (in Years) Fair Value < 3 years $ 3,060,000 1.39 % 1.1 $ 249 >3 and < 6 years 1,050,000 1.63 % 4.3 — >6 and < 10 years 1,175,000 2.45 % 8.3 — Total $ 5,285,000 1.67 % 3.4 $ 249 December 31, 2016 Weighted-Average: Years to Maturity: Net Notional Amount (1) Pay Rate (2) Life Remaining (in Years) Fair Value < 3 years $ 595,000 0.73 % 2.3 $ 4,348 >3 and < 6 years 1,185,000 1.47 % 4.3 8,631 >6 and < 10 years 1,250,000 2.42 % 8.9 8,633 Total $ 3,030,000 1.58 % 5.3 $ 21,612 (1) The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of receive-fixed interest rate swaps and include $2,425,000 and $2,725,000 of pay-fixed forward starting interest rate swaps as of June 30, 2017 and December 31, 2016 , respectively. (2) Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.31% and 0.73% as of June 30, 2017 and December 31, 2016, respectively. The following table summarizes information about the Company's TBA securities as of June 30, 2017: June 30, 2017 By Coupon: Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) 30-year TBA securities: 3.0% $ 100,000 $ 100,656 $ 99,867 $ (789 ) 4.0% 300,000 315,656 314,777 (879 ) Total 30-year TBA securities $ 400,000 $ 416,312 $ 414,644 $ (1,668 ) (1) Notional amount represents the par value (or principal balance) of the underlying Agency MBS. (2) Cost basis represents the forward price to be paid for the underlying Agency MBS as if settled. (3) Market value is the current fair value of the TBA contract and represents the estimated fair value of the underlying Agency security as of the end of the period. (4) Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of the end of the period and is included on the consolidated balance sheets within "derivative assets (liabilities)". The tables below summarize changes in our derivative instruments for the periods indicated: Type of Derivative Instrument Notional Amount as of December 31, 2016 Additions Settlements, Terminations, or Pair-Offs Notional Amount as of June 30, 2017 Receive-fixed interest rate swaps $ 425,000 $ — $ (325,000 ) $ 100,000 Pay-fixed interest rate swaps 3,455,000 2,750,000 (820,000 ) 5,385,000 TBA securities — 1,300,000 (900,000 ) 400,000 The table below provides detail of the Company's "loss 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 2017 2016 2017 2016 Receive-fixed interest rate swaps $ 979 $ 3,743 $ 845 $ 14,277 Pay-fixed interest rate swaps (18,498 ) (15,854 ) (18,189 ) (62,466 ) TBA securities 1,717 — 1,717 — Eurodollar futures — (4,186 ) — (16,372 ) Loss on derivative instruments, net $ (15,802 ) $ (16,297 ) $ (15,627 ) $ (64,561 ) There is a net unrealized gain of $499 remaining in AOCI on the Company's consolidated balance sheet as of June 30, 2017 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 an adjustment to "interest expense" over the remaining contractual life of the agreements. The Company estimates a credit of $193 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 . The Company was in compliance with all covenants with respect to bilateral agreements under which interest rate swaps were entered into as of June 30, 2017 . The Company's derivatives 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 derivative assets and liabilities subject to these arrangements on a gross basis. The following tables present information regarding those derivative assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of June 30, 2017 and December 31, 2016: 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, 2017 Interest rate swaps $ 267 $ — $ 267 $ (4 ) $ — $ 263 TBA securities — — — — — — Derivative assets $ 267 $ — $ 267 $ (4 ) $ — $ 263 December 31, 2016: Interest rate swaps $ 28,534 $ — $ 28,534 $ (6,449 ) $ (22,085 ) $ — TBA securities — — — — — — Derivative assets $ 28,534 $ — $ 28,534 $ (6,449 ) $ (22,085 ) $ — 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, 2017 Interest rate swaps $ 18 $ — $ 18 $ (18 ) $ — $ — TBA securities 1,668 — 1,668 — (961 ) 707 Derivative liabilities $ 1,686 $ — $ 1,686 $ (18 ) $ (961 ) $ 707 December 31, 2016: Interest rate swaps $ 6,922 $ — $ 6,922 $ (6,913 ) $ — $ 9 TBA securities — — — — — — Derivative liabilities $ 6,922 $ — $ 6,922 $ (6,913 ) $ — $ 9 (1) Amounts 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. Please see Note 3 for information related to the Company's repurchase agreements which are also subject to underlying agreements with master netting or similar arrangements. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 6 Months Ended |
Jun. 30, 2017 | |
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 Company reviews the classification of its financial instruments within the fair value hierarchy on a quarterly basis, and management may conclude that its financial instruments should be reclassified to a different level in the future if a change in type of inputs occurs. The following table presents the fair value of the Company’s financial instruments 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, 2017 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets: Mortgage-backed securities $ 2,864,026 $ — $ 2,856,229 $ 7,797 Interest rate swaps 267 — 267 — Total assets carried at fair value $ 2,864,293 $ — $ 2,856,496 $ 7,797 Liabilities: Interest rate swaps $ 18 $ — $ 18 $ — TBA securities 1,668 — 1,668 — Total liabilities carried at fair value $ 1,686 $ — $ 1,686 $ — December 31, 2016 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets: Mortgage-backed securities $ 3,212,084 $ — $ 3,201,157 $ 10,927 Interest rate swaps 28,534 — 28,534 — Total assets carried at fair value $ 3,240,618 $ — $ 3,229,691 $ 10,927 Liabilities: Interest rate swaps $ 6,922 $ — $ 6,922 $ — Total liabilities carried at fair value $ 6,922 $ — $ 6,922 $ — The fair value measurements for a majority of the Company's MBS are considered Level 2. These Level 2 securities are substantially similar to securities that either are actively traded or have been recently traded in their respective markets. The Company determines the fair value of its Level 2 securities based on prices received from the Company's primary pricing service as well as other pricing services and brokers. The Company evaluates the third party prices it receives to assess their reasonableness. Although the Company does not adjust third party prices, they may be excluded from use in the determination of a security's fair value if they are significantly different from other observable market data. In valuing a security, the primary pricing service uses either a market approach, which uses observable prices and other relevant information that is generated by market transactions of identical or similar securities, or an income approach, which uses valuation techniques to convert future amounts to a single, discounted present value amount. The Company also reviews the assumptions and inputs utilized in the valuation techniques of its primary pricing service. Examples of these observable inputs and assumptions include market interest rates, credit spreads, and projected prepayment speeds, among other things. The fair value of interest rate swaps are measured 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 as of June 30, 2017 and December 31, 2016. The fair value of TBA securities are estimated using methods similar those used to fair value the Company's Level 2 MBS. The Company owns certain non-Agency MBS for which there are not sufficiently recent trades of substantially similar securities, and their fair value measurements are thus considered Level 3. The Company determines the fair value of its Level 3 securities by discounting the estimated future cash flows derived from cash flow models using significant inputs which are determined by the Company when market observable inputs are not available. 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 may result in a significantly different fair value measurement. Level 3 assets are generally most sensitive to the default rate and severity assumptions. 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 Balance as of December 31, 2016 $ 9,669 $ 1,258 $ 10,927 Unrealized loss included in OCI (1) (1,250 ) 8 (1,242 ) Principal payments (3,535 ) (90 ) (3,625 ) Accretion 1,737 — 1,737 Balance as of June 30, 2017 $ 6,621 $ 1,176 $ 7,797 (1) Amount included in "unrealized gain on available-for-sale investments, net" on consolidated statements of comprehensive income (loss). 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, 2017 December 31, 2016 Carrying Value Fair Value Carrying Value Fair Value Assets: Mortgage-backed securities $ 2,864,026 $ 2,864,026 $ 3,212,084 $ 3,212,084 Mortgage loans held for investment, net (1) 17,345 14,329 19,036 15,971 Derivative assets 267 267 28,534 28,534 Liabilities: Repurchase agreements (2) $ 2,540,759 $ 2,540,759 $ 2,898,952 $ 2,898,952 Non-recourse collateralized financing (1) 5,892 5,873 6,440 6,357 Derivative liabilities 1,686 1,686 6,922 6,922 (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 generally approximates fair value due to their short term maturities. |
Shareholders' Equity
Shareholders' Equity | 6 Months Ended |
Jun. 30, 2017 | |
Equity [Abstract] | |
Shareholders' Equity | SHAREHOLDERS' EQUITY AND SHARE-BASED COMPENSATION Preferred Stock The Company's articles of incorporation authorize the issuance of up to 50,000,000 shares of preferred stock, par value $0.01 per share, of which the Company's Board of Directors has designated 8,000,000 shares of 8.50% Series A Preferred Stock and 7,000,000 shares of 7.625% Series B Preferred Stock, (the Series A Preferred Stock and the Series B Preferred Stock collectively, the "Preferred Stock"). The Company had 2,300,000 shares of its Series A Preferred Stock and 3,048,658 shares of its Series B Preferred Stock issued and outstanding as of June 30, 2017 compared to 2,300,000 shares of Series A Preferred Stock and 2,271,937 shares of Series B Preferred Stock as of December 31, 2016. 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, 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. 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 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. The Company paid its regular quarterly dividends on its Preferred Stock for the second quarter on July 17, 2017 to shareholders of record as of July 1, 2017 . Common Stock The Company declared a second quarter common stock dividend of $0.18 per share that was paid on July 28, 2017 to shareholders of record as of July 6, 2017 . 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 785,962 available for issuance as of June 30, 2017 . Total stock-based compensation expense recognized by the Company for the three and six months ended June 30, 2017 was $642 and $1,179 , respectively, compared to $614 and $1,443 for the three and six months ended June 30, 2016 , respectively. The following table presents a rollforward of the restricted stock activity for the periods indicated: Three Months Ended June 30, 2017 2016 Shares Weighted Average Grant Date Fair Value Per Share Shares Weighted Average Grant Date Fair Value Per Share Restricted stock outstanding as of beginning of period 386,151 $ 7.05 547,486 $ 7.63 Restricted stock granted 29,720 6.73 46,158 6.50 Restricted stock vested (62,768 ) 7.14 (32,555 ) 7.68 Restricted stock outstanding as of end of period 353,103 $ 7.01 561,089 $ 7.54 Six Months Ended June 30, 2017 2016 Shares Weighted Average Grant Date Fair Value Per Share Shares Weighted Average Grant Date Fair Value Per Share Restricted stock outstanding as of beginning of period 553,396 $ 7.55 696,597 $ 8.54 Restricted stock granted 138,166 6.76 214,878 6.28 Restricted stock vested (338,459 ) 7.80 (350,386 ) 8.76 Restricted stock outstanding as of end of period 353,103 $ 7.01 561,089 $ 7.54 As of June 30, 2017 , the grant date fair value of the Company’s remaining nonvested restricted stock is $1,892 which will be amortized into compensation expense over a weighted average period of 1.6 years . |
Preferred Stock | The Company had 2,300,000 shares of its Series A Preferred Stock and 3,048,658 shares of its Series B Preferred Stock issued and outstanding as of June 30, 2017 compared to 2,300,000 shares of Series A Preferred Stock and 2,271,937 shares of Series B Preferred Stock as of December 31, 2016. 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, 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. 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 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. The Company paid its regular quarterly dividends on its Preferred Stock for the second quarter on July 17, 2017 to shareholders of record as of July 1, 2017 . |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2017 | |
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 S14
Organization and Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2017 | |
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 Agency and non-Agency mortgage-backed securities (“MBS”) consisting of residential MBS (“RMBS”), commercial MBS (“CMBS”) and CMBS interest-only ("IO") securities 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"). We may also invest in other types of mortgage-related securities, such as to-be-announced (“TBA”) forward contracts for the purchase or sale of generic 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 months ended June 30, 2017 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2017. 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, 2016 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 has reclassified amortization of stock issuance costs which was previously recorded in "proceeds from issuance of common stock, net of issuance costs" in the financing activities section of the Company's consolidated statements of cash flows for six months ended June 30, 2016 . Amortization of stock issuance costs is now presented within "other operating activities" in the operating activities section of the Company's consolidated statements of cash flows. This presentation change had no effect on reported financial condition or results of operations and did not have a material impact on cash flows from operating or financing 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, amortization of premiums and discounts, fair value measurements of its investments, and other-than-temporary impairments. 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, 2017 or June 30, 2016 . 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 represents one unrestricted 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's investments in Agency and non-Agency RMBS, CMBS, and CMBS IO securities are designated as available-for-sale ("AFS") and are recorded at fair value on the Company's 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 as collateral 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 or accreted into interest income over the expected life of such securities using the effective yield method and adjustments to premium amortization and discount accretion 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 loan prepayment rates, fluctuations in interest rates, credit losses, 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 based on 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 5 for further discussion of MBS fair value measurements. Other-than-Temporary Impairment. An 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. |
Repurchase Agreements [Policy Text Block] | Repurchase Agreements The Company's repurchase agreements, 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. |
Derivative Instruments [Policy Text Block] | Derivative Instruments The Company's derivative instruments include interest rate swaps and forward contracts for the purchase or sale of generic Agency RMBS, commonly referred to as "TBA securities" or "TBA contracts". Derivative instruments are accounted for at the fair value of their unit of account. Derivative instruments in a gain position are reported as derivative assets and derivative instruments in a loss position are reported as 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, maturity, or settlement are recorded in "gain (loss) on derivative instruments, net" on the Company's consolidated statement of comprehensive income. Cash receipts and payments related to derivative instruments are classified in the investing activities section of our consolidated statements of cash flows in accordance with the underlying nature or purpose of the derivative transactions. Our interest rate swap agreements are privately negotiated in the over-the-counter ("OTC") market and the majority of these agreements are centrally cleared through the Chicago Mercantile Exchange ("CME") with the rest being subject to bilateral agreements between the Company and the swap counterparty. The Company's CME cleared swaps require that the Company post initial margin as determined by the CME, and in addition, variation margin is exchanged, typically in cash, for changes in the fair value of the CME cleared swaps. Beginning in January 2017, as a result of a change in the CME's rulebook, the exchange of variation margin for CME cleared swaps is legally considered to be the settlement of the derivative itself as opposed to a pledge of collateral. Accordingly, beginning in 2017, the Company accounts for the daily exchange of variation margin associated with its CME cleared interest rate swaps as a direct increase or decrease to the carrying value of the related derivative asset or liability. The carrying value of CME cleared interest rate swaps on the Company's consolidated balance sheets is the unsettled fair value of those instruments. A TBA security is a forward contract for the purchase or sale of a generic Agency MBS at a predetermined price with certain principal and interest terms and certain types of collateral, but the particular Agency securities to be delivered are not identified until shortly before the TBA settlement date. The Company executes TBA dollar roll transactions which effectively delay the settlement of a forward purchase of a TBA Agency RMBS by entering into an offsetting short position (referred to as a "pair off"), net settling the paired-off positions in cash, and simultaneously entering a similar TBA contract for a later settlement date. TBA securities purchased for a forward settlement month are generally priced at a discount relative to TBA securities sold for settlement in the current month. This discount, often referred to as “drop income” is the economic equivalent of net interest interest income on the underlying Agency securities over the roll period (interest income less implied financing cost). The Company accounts for TBA securities as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA contract that its settlement will result in physical delivery of the underlying Agency RMBS, or the individual TBA contract will not settle in the shortest time period possible. Please refer to Note 4 for additional information regarding the Company's derivative instruments as well as Note 5 for information on how the fair value of these instruments are calculated. |
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 issued to its employees, officers, and directors. |
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. 2017-08, Receivables-Nonrefundable Fees and Other Costs, which shortens the amortization period for certain callable debt securities held at a premium, requiring the premium to be amortized to the earliest call date. The amendments in this ASU are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018 and early adoption is permitted. The amendments in this Update should be applied using the modified-retrospective transition approach and will require disclosures for the change in accounting principle. The Company is currently evaluating the impact of this ASU on its consolidated financial statements. |
Mortgage Backed Securities Mo15
Mortgage Backed Securities Mortgage backed securities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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, 2017 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) CMBS: Agency $ 1,315,974 $ 14,110 1,330,084 $ 6,026 $ (15,492 ) 1,320,618 3.04 % Non-Agency 41,142 (4,855 ) 36,287 3,280 — 39,567 5.53 % 1,357,116 9,255 1,366,371 9,306 (15,492 ) 1,360,185 CMBS IO (2) : Agency — 413,368 413,368 6,719 (322 ) 419,765 0.63 % Non-Agency — 339,493 339,493 5,401 (578 ) 344,316 0.62 % — 752,861 752,861 12,120 (900 ) 764,081 RMBS: Agency 715,015 29,074 744,089 1,959 (7,464 ) 738,584 2.98 % Non-Agency 1,156 — 1,156 46 (26 ) 1,176 6.75 % 716,171 29,074 745,245 2,005 (7,490 ) 739,760 Total AFS securities: $ 2,073,287 $ 791,190 $ 2,864,477 $ 23,431 $ (23,882 ) $ 2,864,026 (1) The 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 $14,248,128 and $11,126,737 , respectively, as of June 30, 2017 . December 31, 2016 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) CMBS: Agency $ 1,152,586 $ 13,868 $ 1,166,454 $ 6,209 $ (28,108 ) $ 1,144,555 3.12 % Non-Agency 79,467 (6,718 ) 72,749 5,467 — 78,216 4.72 % 1,232,053 7,150 1,239,203 11,676 (28,108 ) 1,222,771 CMBS IO (2) : Agency — 411,737 411,737 3,523 (3,362 ) 411,898 0.67 % Non-Agency — 346,155 346,155 1,548 (5,055 ) 342,648 0.61 % — 757,892 757,892 5,071 (8,417 ) 754,546 RMBS: Agency $ 1,157,258 $ 57,066 $ 1,214,324 $ 2,832 $ (15,951 ) $ 1,201,205 3.05 % Non-Agency 33,572 (24 ) 33,548 64 (50 ) 33,562 3.58 % 1,190,830 57,042 1,247,872 2,896 (16,001 ) 1,234,767 Total AFS securities: $ 2,422,883 $ 822,084 $ 3,244,967 $ 19,643 $ (52,526 ) $ 3,212,084 (1) The 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 $13,106,912 and $10,884,964 , respectively, as of December 31, 2016 . |
Schedule of Realized Gain (Loss) | The following table presents information regarding the sales included in "loss on sale of investments, net" on the Company's consolidated statements of comprehensive income for the periods indicated: Three Months Ended June 30, 2017 2016 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 265,893 $ (5,524 ) $ 10,287 $ (297 ) Agency CMBS 24,305 574 — — Non-Agency CMBS 35,705 1,199 — — Non-Agency RMBS 16,407 42 — — $ 342,310 $ (3,709 ) $ 10,287 $ (297 ) Six Months Ended June 30, 2017 2016 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 323,057 $ (7,232 ) $ 54,178 $ (3,010 ) Agency CMBS 24,305 574 — — Non-Agency CMBS 35,705 1,199 33,640 (1,228 ) Non-Agency RMBS 16,407 42 — — $ 399,474 $ (5,417 ) $ 87,818 $ (4,238 ) |
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, 2017 December 31, 2016 Fair Value Gross Unrealized Losses # of Securities Fair Value Gross Unrealized Losses # of Securities Continuous unrealized loss position for less than 12 months: Agency MBS $ 1,254,502 $ (20,694 ) 101 $ 1,738,094 $ (38,469 ) 133 Non-Agency MBS 19,542 (154 ) 3 205,484 (2,773 ) 48 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 186,382 $ (2,584 ) 28 $ 427,405 $ (8,952 ) 72 Non-Agency MBS 40,122 (450 ) 16 81,660 (2,332 ) 26 |
Repurchase Agreements Repurchas
Repurchase Agreements Repurchase Agreements (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |
Schedule of Assets and Associated Liabilities Accounted for as Secured Borrowings | The Company’s repurchase agreements outstanding as of June 30, 2017 and December 31, 2016 are summarized in the following tables: June 30, 2017 December 31, 2016 Collateral Type Balance Weighted Average Rate Fair Value of Collateral Pledged Balance Weighted Average Rate Fair Value of Collateral Pledged Agency CMBS $ 1,192,447 1.21 % $ 1,252,560 $ 1,005,726 0.82 % $ 1,095,002 Non-Agency CMBS 31,407 2.23 % 38,934 66,881 1.63 % 77,840 Agency CMBS IO 353,922 2.04 % 415,988 346,892 1.57 % 407,481 Non-Agency CMBS IO 293,725 2.13 % 343,600 291,199 1.67 % 341,139 Agency RMBS 665,346 1.29 % 692,126 1,157,302 0.82 % 1,191,147 Non-Agency RMBS — — % — 26,149 1.98 % 31,952 Securitization financing bond 3,912 2.45 % 4,249 4,803 2.00 % 5,278 Total repurchase agreements $ 2,540,759 1.47 % $ 2,747,457 $ 2,898,952 1.03 % $ 3,149,839 |
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, 2017 Counterparty Name Balance Weighted Average Rate Equity at Risk Wells Fargo Bank, N. A. and affiliates $ 371,660 2.09 % $ 65,366 |
Derivatives (Tables)
Derivatives (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Derivative [Line Items] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The table below summarizes information about the fair value by type of derivative instrument on the Company's consolidated balance sheets as of the dates indicated: June 30, 2017 December 31, 2016 Type of Derivative Instruments Balance Sheet Location Fair Value Fair Value (1) Interest rate swaps Derivative assets $ 267 $ 28,534 TBA securities Derivative assets — — $ 267 $ 28,534 Interest rate swaps Derivative liabilities $ (18 ) $ (6,922 ) TBA securities Derivative liabilities (1,668 ) — $ (1,686 ) $ (6,922 ) (1) Refer to Note 1 regarding information on a change in the CME rulebook. Amounts reported on the consolidated balance sheet as of June 30, 2017 for its interest rate swaps reflect the netting of the derivative asset or liability with the related collateral received or posted, respectively. The net amounts comparable to June 30, 2017 for the derivative asset and derivative liabilities as of December 31, 2016 were $104 and $(576) , respectively. |
Schedule of Notional Amounts of Outstanding Derivative Positions | The tables below summarize changes in our derivative instruments for the periods indicated: Type of Derivative Instrument Notional Amount as of December 31, 2016 Additions Settlements, Terminations, or Pair-Offs Notional Amount as of June 30, 2017 Receive-fixed interest rate swaps $ 425,000 $ — $ (325,000 ) $ 100,000 Pay-fixed interest rate swaps 3,455,000 2,750,000 (820,000 ) 5,385,000 TBA securities — 1,300,000 (900,000 ) 400,000 |
Derivative Instruments, Gain (Loss) | The table below provides detail of the Company's "loss 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 2017 2016 2017 2016 Receive-fixed interest rate swaps $ 979 $ 3,743 $ 845 $ 14,277 Pay-fixed interest rate swaps (18,498 ) (15,854 ) (18,189 ) (62,466 ) TBA securities 1,717 — 1,717 — Eurodollar futures — (4,186 ) — (16,372 ) Loss on derivative instruments, net $ (15,802 ) $ (16,297 ) $ (15,627 ) $ (64,561 ) |
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, 2017 Interest rate swaps $ 267 $ — $ 267 $ (4 ) $ — $ 263 TBA securities — — — — — — Derivative assets $ 267 $ — $ 267 $ (4 ) $ — $ 263 December 31, 2016: Interest rate swaps $ 28,534 $ — $ 28,534 $ (6,449 ) $ (22,085 ) $ — TBA securities — — — — — — Derivative assets $ 28,534 $ — $ 28,534 $ (6,449 ) $ (22,085 ) $ — |
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, 2017 Interest rate swaps $ 18 $ — $ 18 $ (18 ) $ — $ — TBA securities 1,668 — 1,668 — (961 ) 707 Derivative liabilities $ 1,686 $ — $ 1,686 $ (18 ) $ (961 ) $ 707 December 31, 2016: Interest rate swaps $ 6,922 $ — $ 6,922 $ (6,913 ) $ — $ 9 TBA securities — — — — — — Derivative liabilities $ 6,922 $ — $ 6,922 $ (6,913 ) $ — $ 9 |
Interest Rate Swap | |
Derivative [Line Items] | |
Schedule of Derivative Instruments | The following tables present information about the Company's interest rate swaps as of the dates indicated: June 30, 2017 Weighted-Average: Years to Maturity: Net Notional Amount (1) Pay Rate (2) Life Remaining (in Years) Fair Value < 3 years $ 3,060,000 1.39 % 1.1 $ 249 >3 and < 6 years 1,050,000 1.63 % 4.3 — >6 and < 10 years 1,175,000 2.45 % 8.3 — Total $ 5,285,000 1.67 % 3.4 $ 249 December 31, 2016 Weighted-Average: Years to Maturity: Net Notional Amount (1) Pay Rate (2) Life Remaining (in Years) Fair Value < 3 years $ 595,000 0.73 % 2.3 $ 4,348 >3 and < 6 years 1,185,000 1.47 % 4.3 8,631 >6 and < 10 years 1,250,000 2.42 % 8.9 8,633 Total $ 3,030,000 1.58 % 5.3 $ 21,612 (1) The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of receive-fixed interest rate swaps and include $2,425,000 and $2,725,000 of pay-fixed forward starting interest rate swaps as of June 30, 2017 and December 31, 2016 , respectively. (2) Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.31% and 0.73% as of June 30, 2017 and December 31, 2016, respectively. |
TBA security | |
Derivative [Line Items] | |
Schedule of Derivative Instruments | The following table summarizes information about the Company's TBA securities as of June 30, 2017: June 30, 2017 By Coupon: Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) 30-year TBA securities: 3.0% $ 100,000 $ 100,656 $ 99,867 $ (789 ) 4.0% 300,000 315,656 314,777 (879 ) Total 30-year TBA securities $ 400,000 $ 416,312 $ 414,644 $ (1,668 ) (1) Notional amount represents the par value (or principal balance) of the underlying Agency MBS. (2) Cost basis represents the forward price to be paid for the underlying Agency MBS as if settled. (3) Market value is the current fair value of the TBA contract and represents the estimated fair value of the underlying Agency security as of the end of the period. (4) Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of the end of the period and is included on the consolidated balance sheets within "derivative assets (liabilities)". |
Fair Value of Financial Instr18
Fair Value of Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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 financial instruments 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, 2017 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets: Mortgage-backed securities $ 2,864,026 $ — $ 2,856,229 $ 7,797 Interest rate swaps 267 — 267 — Total assets carried at fair value $ 2,864,293 $ — $ 2,856,496 $ 7,797 Liabilities: Interest rate swaps $ 18 $ — $ 18 $ — TBA securities 1,668 — 1,668 — Total liabilities carried at fair value $ 1,686 $ — $ 1,686 $ — December 31, 2016 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets: Mortgage-backed securities $ 3,212,084 $ — $ 3,201,157 $ 10,927 Interest rate swaps 28,534 — 28,534 — Total assets carried at fair value $ 3,240,618 $ — $ 3,229,691 $ 10,927 Liabilities: Interest rate swaps $ 6,922 $ — $ 6,922 $ — Total liabilities carried at fair value $ 6,922 $ — $ 6,922 $ — |
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 Balance as of December 31, 2016 $ 9,669 $ 1,258 $ 10,927 Unrealized loss included in OCI (1) (1,250 ) 8 (1,242 ) Principal payments (3,535 ) (90 ) (3,625 ) Accretion 1,737 — 1,737 Balance as of June 30, 2017 $ 6,621 $ 1,176 $ 7,797 |
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, 2017 December 31, 2016 Carrying Value Fair Value Carrying Value Fair Value Assets: Mortgage-backed securities $ 2,864,026 $ 2,864,026 $ 3,212,084 $ 3,212,084 Mortgage loans held for investment, net (1) 17,345 14,329 19,036 15,971 Derivative assets 267 267 28,534 28,534 Liabilities: Repurchase agreements (2) $ 2,540,759 $ 2,540,759 $ 2,898,952 $ 2,898,952 Non-recourse collateralized financing (1) 5,892 5,873 6,440 6,357 Derivative liabilities 1,686 1,686 6,922 6,922 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Equity [Abstract] | |
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 June 30, 2017 2016 Shares Weighted Average Grant Date Fair Value Per Share Shares Weighted Average Grant Date Fair Value Per Share Restricted stock outstanding as of beginning of period 386,151 $ 7.05 547,486 $ 7.63 Restricted stock granted 29,720 6.73 46,158 6.50 Restricted stock vested (62,768 ) 7.14 (32,555 ) 7.68 Restricted stock outstanding as of end of period 353,103 $ 7.01 561,089 $ 7.54 Six Months Ended June 30, 2017 2016 Shares Weighted Average Grant Date Fair Value Per Share Shares Weighted Average Grant Date Fair Value Per Share Restricted stock outstanding as of beginning of period 553,396 $ 7.55 696,597 $ 8.54 Restricted stock granted 138,166 6.76 214,878 6.28 Restricted stock vested (338,459 ) 7.80 (350,386 ) 8.76 Restricted stock outstanding as of end of period 353,103 $ 7.01 561,089 $ 7.54 |
Mortgage Backed Securities Mo20
Mortgage Backed Securities Mortgage backed securities designated as AFS (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||||||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | $ 2,073,287 | $ 2,073,287 | $ 2,422,883 | ||||||
Available-for-sale MBS, Net Premium (Discount) | 791,190 | 791,190 | 822,084 | ||||||
Available-for-sale MBS, Amortized Cost | 2,864,477 | 2,864,477 | 3,244,967 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 23,431 | 23,431 | 19,643 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (23,882) | (23,882) | (52,526) | ||||||
Available-for-sale MBS, Fair Value | 2,864,026 | 2,864,026 | 3,212,084 | ||||||
Available-for-sale MBS, Sale Proceeds | 342,310 | $ 10,287 | 399,474 | $ 87,818 | |||||
Available-for-sale MBS, Gross Realized Gain (Loss) | 3,709 | (297) | (5,417) | (4,238) | |||||
CMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | 1,357,116 | 1,357,116 | 1,232,053 | ||||||
Available-for-sale MBS, Net Premium (Discount) | 9,255 | 9,255 | 7,150 | ||||||
Available-for-sale MBS, Amortized Cost | 1,366,371 | 1,366,371 | 1,239,203 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 9,306 | 9,306 | 11,676 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (15,492) | (15,492) | (28,108) | ||||||
Available-for-sale MBS, Fair Value | 1,360,185 | 1,360,185 | 1,222,771 | ||||||
CMBS IO | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | 0 | 0 | 0 | ||||||
Available-for-sale MBS, Net Premium (Discount) | 752,861 | 752,861 | 757,892 | ||||||
Available-for-sale MBS, Amortized Cost | 752,861 | 752,861 | 757,892 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 12,120 | 12,120 | 5,071 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (900) | (900) | (8,417) | ||||||
Available-for-sale MBS, Fair Value | 764,081 | 764,081 | 754,546 | ||||||
RMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | 716,171 | 716,171 | 1,190,830 | ||||||
Available-for-sale MBS, Net Premium (Discount) | 29,074 | 29,074 | 57,042 | ||||||
Available-for-sale MBS, Amortized Cost | 745,245 | 745,245 | 1,247,872 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 2,005 | 2,005 | 2,896 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (7,490) | (7,490) | (16,001) | ||||||
Available-for-sale MBS, Fair Value | 739,760 | 739,760 | 1,234,767 | ||||||
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 | 1,254,502 | 1,254,502 | 1,738,094 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss | $ (20,694) | $ (20,694) | $ (38,469) | ||||||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for less than 12 months | 101 | 101 | 133 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Fair Value | $ 186,382 | $ 186,382 | $ 427,405 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss | $ (2,584) | $ (2,584) | $ (8,952) | ||||||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer | 28 | 28 | 72 | ||||||
Agency MBS | CMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | $ 1,315,974 | $ 1,315,974 | $ 1,152,586 | ||||||
Available-for-sale MBS, Net Premium (Discount) | 14,110 | 14,110 | 13,868 | ||||||
Available-for-sale MBS, Amortized Cost | 1,330,084 | 1,330,084 | 1,166,454 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 6,026 | 6,026 | 6,209 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (15,492) | (15,492) | (28,108) | ||||||
Available-for-sale MBS, Fair Value | $ 1,320,618 | $ 1,320,618 | $ 1,144,555 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 3.04% | 3.04% | 3.12% | |||||
Available-for-sale MBS, Sale Proceeds | $ 24,305 | $ 24,305 | |||||||
Available-for-sale Securities MBS, Gross Realized Gains | 574 | ||||||||
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, Net Premium (Discount) | 413,368 | 413,368 | 411,737 | ||||||
Available-for-sale MBS, Amortized Cost | 413,368 | 413,368 | 411,737 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 6,719 | 6,719 | 3,523 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (322) | (322) | (3,362) | ||||||
Available-for-sale MBS, Fair Value | $ 419,765 | $ 419,765 | $ 411,898 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 0.63% | 0.63% | 0.67% | |||||
Notional balance for interest only securities | $ 14,248,128 | $ 14,248,128 | $ 13,106,912 | ||||||
Agency MBS | RMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | 715,015 | 715,015 | 1,157,258 | ||||||
Available-for-sale MBS, Net Premium (Discount) | 29,074 | 29,074 | 57,066 | ||||||
Available-for-sale MBS, Amortized Cost | 744,089 | 744,089 | 1,214,324 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 1,959 | 1,959 | 2,832 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (7,464) | (7,464) | (15,951) | ||||||
Available-for-sale MBS, Fair Value | $ 738,584 | $ 738,584 | $ 1,201,205 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 2.98% | 2.98% | 3.05% | |||||
Available-for-sale MBS, Sale Proceeds | $ 265,893 | 10,287 | $ 323,057 | 54,178 | |||||
Available-for-sale MBS, Gross Realized Losses | (5,524) | $ (297) | (7,232) | (3,010) | |||||
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 | 19,542 | 19,542 | $ 205,484 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss | $ (154) | $ (154) | $ (2,773) | ||||||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for less than 12 months | 3 | 3 | 48 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Fair Value | $ 40,122 | $ 40,122 | $ 81,660 | ||||||
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss | $ (450) | $ (450) | $ (2,332) | ||||||
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer | 16 | 16 | 26 | ||||||
Non-Agency MBS | CMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | $ 41,142 | $ 41,142 | $ 79,467 | ||||||
Available-for-sale MBS, Net Premium (Discount) | (4,855) | (4,855) | (6,718) | ||||||
Available-for-sale MBS, Amortized Cost | 36,287 | 36,287 | 72,749 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 3,280 | 3,280 | 5,467 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | 0 | 0 | 0 | ||||||
Available-for-sale MBS, Fair Value | $ 39,567 | $ 39,567 | $ 78,216 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 5.53% | 5.53% | 4.72% | |||||
Available-for-sale MBS, Sale Proceeds | $ 35,705 | $ 35,705 | 33,640 | ||||||
Available-for-sale MBS, Gross Realized Losses | $ (1,228) | ||||||||
Available-for-sale Securities MBS, Gross Realized Gains | 1,199 | 1,199 | |||||||
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, Net Premium (Discount) | 339,493 | 339,493 | $ 346,155 | ||||||
Available-for-sale MBS, Amortized Cost | 339,493 | 339,493 | 346,155 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 5,401 | 5,401 | 1,548 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (578) | (578) | (5,055) | ||||||
Available-for-sale MBS, Fair Value | $ 344,316 | $ 344,316 | $ 342,648 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 0.62% | 0.62% | 0.61% | |||||
Notional balance for interest only securities | $ 11,126,737 | $ 11,126,737 | $ 10,884,964 | ||||||
Non-Agency MBS | RMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale MBS, Par Balance | 1,156 | 1,156 | 33,572 | ||||||
Available-for-sale MBS, Net Premium (Discount) | 0 | 0 | (24) | ||||||
Available-for-sale MBS, Amortized Cost | 1,156 | 1,156 | 33,548 | ||||||
Available-for-sale MBS, Gross Unrealized Gain | 46 | 46 | 64 | ||||||
Available-for-sale MBS, Gross Unrealized Loss | (26) | (26) | (50) | ||||||
Available-for-sale MBS, Fair Value | $ 1,176 | $ 1,176 | $ 33,562 | ||||||
Available-for-sale MBS, Weighted Average Coupon | [1] | 6.75% | 6.75% | 3.58% | |||||
Available-for-sale MBS, Sale Proceeds | $ 16,407 | $ 16,407 | |||||||
Available-for-sale Securities MBS, Gross Realized Gains | $ 42 | $ 42 | |||||||
[1] | The 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 $14,248,128 and $11,126,737, respectively, as of June 30, 2017. | ||||||||
[3] | The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $13,106,912 and $10,884,964, respectively, as of December 31, 2016. |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 2,540,759 | $ 2,898,952 | |
Secured borrowing, weighted average interest rate | 1.47% | 1.03% | |
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 2,747,457 | $ 3,149,839 | |
Weighted average maturity remaining | 19 days | 20 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 | $ 3,912 | $ 4,803 | |
Secured borrowing, weighted average interest rate | 2.45% | 2.00% | |
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 4,249 | $ 5,278 | |
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 | $ 1,192,447 | $ 1,005,726 | |
Secured borrowing, weighted average interest rate | 1.21% | 0.82% | |
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 1,252,560 | $ 1,095,002 | |
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 | $ 31,407 | $ 66,881 | |
Secured borrowing, weighted average interest rate | 2.23% | 1.63% | |
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 38,934 | $ 77,840 | |
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 | $ 353,922 | $ 346,892 | |
Secured borrowing, weighted average interest rate | 2.04% | 1.57% | |
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 415,988 | $ 407,481 | |
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 | $ 293,725 | $ 291,199 | |
Secured borrowing, weighted average interest rate | 2.13% | 1.67% | |
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 343,600 | $ 341,139 | |
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 | $ 665,346 | $ 1,157,302 | |
Secured borrowing, weighted average interest rate | 1.29% | 0.82% | |
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 692,126 | $ 1,191,147 | |
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 | $ 0 | $ 26,149 | |
Secured borrowing, weighted average interest rate | 0.00% | 1.98% | |
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 0 | $ 31,952 |
Repurchase Agreements Repurch22
Repurchase Agreements Repurchase Agreements, Term to Original Maturity (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 2,540,759 | $ 2,898,952 |
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 | 1,215,553 | 910,937 |
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 | 1,268,716 | 533,112 |
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 | $ 56,490 | $ 1,454,903 |
Repurchase Agreements Repurch23
Repurchase Agreements Repurchase Agreements, Counterparty Information (Details) $ in Thousands | Jun. 30, 2017USD ($)Agreements |
Counterparty Information [Line Items] | |
Line of Credit Facility, Amount Outstanding | $ 359,263 |
Line of Credit Facility, Maximum Borrowing Capacity | $ 400,000 |
Line of Credit Facility, Interest Rate at Period End | 2.09% |
Number of Counterparties with Borrowings Outstanding | Agreements | 18 |
Available Repurchase Agreement Counterparties | Agreements | 34 |
Wells Fargo Bank, N. A. and affiliates | |
Counterparty Information [Line Items] | |
Borrowings outstanding with counterparty | $ 371,660 |
WAVG interest rate for amount outstanding with named counterparty | 2.09% |
Repurchase Agreement Counterparty, Amount at Risk | $ 65,366 |
Repurchase Agreements Offsettin
Repurchase Agreements Offsetting (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
Offsetting Liabilities [Line Items] | |||
Gross Amount of Recognized Liabilities | $ 2,540,759 | $ 2,898,952 | |
Gross Amount Offset in the Balance Sheet | 0 | 0 | |
Net Amount of Liabilities Presented in the Balance Sheet | 2,540,759 | 2,898,952 | |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities | [1] | (2,540,759) | (2,898,952) |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Cash | 0 | 0 | |
Securities Sold under Agreements to Repurchase, Amount Offset Against Collateral | $ 0 | $ 0 | |
[1] | Amounts 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. |
Derivatives (Details)
Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | |||||
Derivative [Line Items] | |||||||||
Derivative assets, fair value | $ 267 | $ 267 | $ 28,534 | [1] | |||||
Derivative liabilities, fair value | (1,686) | (1,686) | (6,922) | [1] | |||||
Derivative, Notional Amount | [2] | $ 5,285,000 | $ 5,285,000 | $ 3,030,000 | |||||
Derivative, Average Fixed Interest Rate | [3] | 1.67% | 1.67% | 1.58% | |||||
Derivative, Average Remaining Maturity | 3 years 4 months 13 days | 5 years 3 months 18 days | |||||||
Derivative, Fair Value, Net | $ 249 | $ 249 | $ 21,612 | ||||||
Loss on derivative instruments, net | $ (15,802) | $ (16,297) | $ (15,627) | $ (64,561) | |||||
Derivative, Average Fixed Interest Rate, Current Effective | 1.31% | 1.31% | 0.73% | ||||||
Interest Rate Swap | |||||||||
Derivative [Line Items] | |||||||||
Derivative assets, fair value | $ 267 | $ 267 | $ 28,534 | [1] | |||||
Derivative liabilities, fair value | (18) | (18) | (6,922) | [1] | |||||
Forward starting interest rate swap | |||||||||
Derivative [Line Items] | |||||||||
Derivative, Notional Amount | 2,425,000 | 2,425,000 | 2,725,000 | ||||||
TBA security | |||||||||
Derivative [Line Items] | |||||||||
Derivative liabilities, fair value | (1,668) | (1,668) | 0 | ||||||
Derivative, Notional Amount | 400,000 | [4] | 400,000 | [4] | 0 | ||||
Cost Basis,TBA | [5] | 416,312 | 416,312 | ||||||
Market value, TBA | [6] | 414,644 | 414,644 | ||||||
Net carrying value, TBA | [7] | (1,668) | (1,668) | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 1,717 | 0 | 1,717 | 0 | |||||
Eurodollar Future | |||||||||
Derivative [Line Items] | |||||||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | 0 | (4,186) | 0 | (16,372) | |||||
Receive-fixed interest rate swap | Interest Rate Swap | |||||||||
Derivative [Line Items] | |||||||||
Derivative, Notional Amount | 100,000 | 100,000 | 425,000 | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 979 | 3,743 | 845 | 14,277 | |||||
Pay-fixed interest rate swap | Interest Rate Swap | |||||||||
Derivative [Line Items] | |||||||||
Derivative, Notional Amount | 5,385,000 | 5,385,000 | 3,455,000 | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (18,498) | $ (15,854) | (18,189) | $ (62,466) | |||||
Maturity in three years or less | |||||||||
Derivative [Line Items] | |||||||||
Derivative, Notional Amount | [2] | $ 3,060,000 | $ 3,060,000 | $ 595,000 | |||||
Derivative, Average Fixed Interest Rate | 1.39% | 1.39% | 0.73% | ||||||
Derivative, Average Remaining Maturity | 1 year 1 month 6 days | 2 years 3 months 18 days | |||||||
Derivative, Fair Value, Net | $ 249 | $ 249 | $ 4,348 | ||||||
Maturity between 3 and 6 years | |||||||||
Derivative [Line Items] | |||||||||
Derivative, Notional Amount | [2] | $ 1,050,000 | $ 1,050,000 | $ 1,185,000 | |||||
Derivative, Average Fixed Interest Rate | 1.63% | 1.63% | 1.47% | ||||||
Derivative, Average Remaining Maturity | 4 years 3 months 18 days | 4 years 3 months 18 days | |||||||
Derivative, Fair Value, Net | $ 0 | $ 0 | $ 8,631 | ||||||
Maturity between 6 and 10 years | |||||||||
Derivative [Line Items] | |||||||||
Derivative, Notional Amount | [2] | $ 1,175,000 | $ 1,175,000 | $ 1,250,000 | |||||
Derivative, Average Fixed Interest Rate | 2.45% | 2.45% | 2.42% | ||||||
Derivative, Average Remaining Maturity | 8 years 3 months 29 days | 8 years 10 months 24 days | |||||||
Derivative, Fair Value, Net | $ 0 | $ 0 | $ 8,633 | ||||||
TBA 3 percent coupon | TBA security | |||||||||
Derivative [Line Items] | |||||||||
Derivative, Notional Amount | [4] | 100,000 | 100,000 | ||||||
Cost Basis,TBA | [5] | 100,656 | 100,656 | ||||||
Market value, TBA | [6] | 99,867 | 99,867 | ||||||
Net carrying value, TBA | [7] | (789) | (789) | ||||||
TBA 4 percent coupon | TBA security | |||||||||
Derivative [Line Items] | |||||||||
Derivative, Notional Amount | [4] | 300,000 | 300,000 | ||||||
Cost Basis,TBA | [5] | 315,656 | 315,656 | ||||||
Market value, TBA | [6] | 314,777 | 314,777 | ||||||
Net carrying value, TBA | [7] | $ (879) | $ (879) | ||||||
[1] | Refer to Note 1 regarding information on a change in the CME rulebook. Amounts reported on the consolidated balance sheet as of June 30, 2017 for its interest rate swaps reflect the netting of the derivative asset or liability with the related collateral received or posted, respectively. The net amounts comparable to June 30, 2017 for the derivative asset and derivative liabilities as of December 31, 2016 were $104 and $(576), respectively. | ||||||||
[2] | The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of receive-fixed interest rate swaps and include $2,425,000 and $2,725,000 of pay-fixed forward starting interest rate swaps as of June 30, 2017 and December 31, 2016, respectively. | ||||||||
[3] | Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.31% and 0.73% as of June 30, 2017 and December 31, 2016, respectively. | ||||||||
[4] | Notional amount represents the par value (or principal balance) of the underlying Agency MBS. | ||||||||
[5] | Cost basis represents the forward price to be paid for the underlying Agency MBS as if settled. | ||||||||
[6] | Market value is the current fair value of the TBA contract and represents the estimated fair value of the underlying Agency security as of the end of the period. | ||||||||
[7] | Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of the end of the period and is included on the consolidated balance sheets within "derivative assets (liabilities)". |
Derivatives Volume of Activity
Derivatives Volume of Activity (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2017USD ($) | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | $ 3,030,000 | [1] |
End of Period Notional Amount | 5,285,000 | [1] |
TBA security | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | 0 | |
Notional Amount of Derivative Instruments Added | 1,300,000 | |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (900,000) | |
End of Period Notional Amount | 400,000 | [2] |
Interest Rate Swap | Receive-fixed interest rate swap | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | 425,000 | |
Notional Amount of Derivative Instruments Added | 0 | |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (325,000) | |
End of Period Notional Amount | 100,000 | |
Interest Rate Swap | Pay-fixed interest rate swap | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | 3,455,000 | |
Notional Amount of Derivative Instruments Added | 2,750,000 | |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (820,000) | |
End of Period Notional Amount | $ 5,385,000 | |
[1] | The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of receive-fixed interest rate swaps and include $2,425,000 and $2,725,000 of pay-fixed forward starting interest rate swaps as of June 30, 2017 and December 31, 2016, respectively. | |
[2] | Notional amount represents the par value (or principal balance) of the underlying Agency MBS. |
Derivatives Effect on Accumulat
Derivatives Effect on Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
Derivative [Line Items] | ||
Accumulated Other Comprehensive Income (Loss), Cumulative Changes in Net Gain (Loss) from Cash Flow Hedges, Effect Net of Tax | $ 499 | |
Scenario, Forecast [Member] | ||
Derivative [Line Items] | ||
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | $ 193 |
Derivatives Offsetting Assets (
Derivatives Offsetting Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | ||
Offsetting Assets [Line Items] | ||||
Derivative Asset, Fair Value, Gross Asset | $ 267 | $ 28,534 | ||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 267 | 28,534 | ||
Derivative, Collateral, Obligation to Return Securities | [1] | (4) | (6,449) | |
Derivative, Collateral, Obligation to Return Cash | 0 | 22,085 | [1] | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 263 | 0 | ||
Interest Rate Swap | ||||
Offsetting Assets [Line Items] | ||||
Derivative Asset, Fair Value, Gross Asset | 267 | 28,534 | ||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 267 | 28,534 | ||
Derivative, Collateral, Obligation to Return Securities | [1] | (4) | (6,449) | |
Derivative, Collateral, Obligation to Return Cash | 0 | (22,085) | ||
Derivative Asset, Fair Value, Amount Offset Against Collateral | $ 263 | $ 0 | ||
[1] | Amounts 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. |
Derivatives Offsetting Liabilit
Derivatives Offsetting Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | $ 1,686 | $ 6,922 | |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 1,686 | 6,922 | |
Derivative, Collateral, Right to Reclaim Securities | [1] | (18) | (6,913) |
Derivative, Collateral, Right to Reclaim Cash | (961) | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 707 | 9 | |
Interest Rate Swap | |||
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 18 | 6,922 | |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 18 | 6,922 | |
Derivative, Collateral, Right to Reclaim Securities | [1] | (18) | (6,913) |
Derivative, Collateral, Right to Reclaim Cash | 0 | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | $ 9 | |
TBA security | |||
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 1,668 | ||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 1,668 | ||
Derivative, Collateral, Right to Reclaim Securities | [1] | 0 | |
Derivative, Collateral, Right to Reclaim Cash | (961) | ||
Derivative Liability, Fair Value, Amount Offset Against Collateral | $ 707 | ||
[1] | Amounts 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 Instr30
Fair Value of Financial Instruments Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities | $ 2,864,026 | $ 3,212,084 | |
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 267 | 28,534 | [1] |
Derivative asset | 267 | 28,534 | |
Total assets carried at fair value | 2,864,293 | 3,240,618 | |
Derivative liabilities | 1,686 | 6,922 | |
Total liabilities carried at fair value | 1,686 | 6,922 | |
Level 1 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities | 0 | 0 | |
Total assets carried at fair value | 0 | 0 | |
Total liabilities carried at fair value | 0 | 0 | |
Level 2 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities | 2,856,229 | 3,201,157 | |
Total assets carried at fair value | 2,856,496 | 3,229,691 | |
Total liabilities carried at fair value | 1,686 | 6,922 | |
Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities | 7,797 | 10,927 | |
Total assets carried at fair value | 7,797 | 10,927 | |
Total liabilities carried at fair value | 0 | 0 | |
TBA security | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative liabilities | 1,668 | ||
TBA security | Level 1 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative liabilities | 0 | ||
TBA security | Level 2 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative liabilities | 1,668 | ||
TBA security | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative liabilities | 0 | ||
Interest Rate Swap | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative asset | 28,534 | ||
Derivative liabilities | 18 | 6,922 | |
Interest Rate Swap | Level 1 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative asset | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Interest Rate Swap | Level 2 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative asset | 267 | 28,534 | |
Derivative liabilities | 18 | 6,922 | |
Interest Rate Swap | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative asset | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Interest Rate Swap | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | $ 267 | $ 28,534 | [1] |
[1] | Refer to Note 1 regarding information on a change in the CME rulebook. Amounts reported on the consolidated balance sheet as of June 30, 2017 for its interest rate swaps reflect the netting of the derivative asset or liability with the related collateral received or posted, respectively. The net amounts comparable to June 30, 2017 for the derivative asset and derivative liabilities as of December 31, 2016 were $104 and $(576), respectively. |
Fair Value of Financial Instr31
Fair Value of Financial Instruments Level 3 (Details) - Fair Value, Measurements, Recurring $ in Thousands | 6 Months Ended | |
Jun. 30, 2017USD ($) | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at the beginning of the period | $ 10,927 | |
Unrealized (loss) gain included in OCI | (1,242) | [1] |
Principal payments | (3,625) | |
Accretion | 1,737 | |
Balance at the end of the period | 7,797 | |
Non-Agency CMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at the beginning of the period | 9,669 | |
Unrealized (loss) gain included in OCI | (1,250) | [1] |
Principal payments | (3,535) | |
Accretion | 1,737 | |
Balance at the end of the period | 6,621 | |
Non-Agency RMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at the beginning of the period | 1,258 | |
Unrealized (loss) gain included in OCI | 8 | [1] |
Principal payments | (90) | |
Accretion | 0 | |
Balance at the end of the period | $ 1,176 | |
[1] | Amount included in "unrealized gain on available-for-sale investments, net" on consolidated statements of comprehensive income (loss). |
Fair Value of Financial Instr32
Fair Value of Financial Instruments Recorded basis and Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Derivative assets | $ 267 | $ 28,534 | |
Derivative liabilities, Fair Value Disclosure | 1,686 | 6,922 | |
Carrying Value | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | 2,864,026 | 3,212,084 | |
Mortgage loans held for investment, net, Fair Value Disclosure | 17,345 | 19,036 | |
Derivative assets | 267 | 28,534 | |
Repurchase agreements, Fair Value Disclosure | 2,540,759 | 2,898,952 | |
Non-recourse collateralized financing, Fair Value | 5,892 | 6,440 | |
Derivative liabilities, Fair Value Disclosure | 1,686 | 6,922 | |
Fair Value | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure | 2,864,026 | 3,212,084 | |
Mortgage loans held for investment, net, Fair Value Disclosure | [1] | 14,329 | 15,971 |
Derivative assets | 267 | 28,534 | |
Repurchase agreements, Fair Value Disclosure | [2] | 2,540,759 | 2,898,952 |
Non-recourse collateralized financing, Fair Value | [1] | 5,873 | 6,357 |
Derivative liabilities, Fair Value Disclosure | $ 1,686 | $ 6,922 | |
[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 generally approximates fair value due to their short term maturities |
Shareholders' Equity (Details)
Shareholders' Equity (Details) - $ / shares | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | |
Class of Stock [Line Items] | |||
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 | 50,000,000 |
Preferred Stock, Par Value Per Share | $ 0.01 | $ 0.01 | $ 0.01 |
Preferred Stock, Shares Issued | 5,348,658 | 5,348,658 | 4,571,937 |
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | |
Preferred Stock, Dividend Payment Terms | 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. | ||
Dividends declared per common share | $ 0.18 | ||
Series A Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred Stock, Shares Authorized | 8,000,000 | 8,000,000 | |
Preferred Stock, Shares Issued | 2,300,000 | 2,300,000 | 2,300,000 |
Preferred Stock, Dividend Rate, Percentage | 8.50% | ||
Series B Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred Stock, Shares Authorized | 7,000,000 | 7,000,000 | |
Preferred Stock, Shares Issued | 3,048,658 | 3,048,658 | 2,271,937 |
Preferred Stock, Dividend Rate, Percentage | 7.625% | ||
Preferred Stock | |||
Class of Stock [Line Items] | |||
Dividends Payable, Date to be Paid | Jul. 17, 2017 | ||
Dividends Payable, Date of Record | Jul. 1, 2017 | ||
Common Stock | |||
Class of Stock [Line Items] | |||
Dividends Payable, Date to be Paid | Jul. 28, 2017 | ||
Dividends Payable, Date of Record | Jul. 6, 2017 |
Shareholders' Equity Share-base
Shareholders' Equity Share-based Compensation (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
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 | 785,962 | 785,962 | ||
Stock-based compensation expense | $ 1 | $ 1 | $ 1,179 | $ 1,443 |
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 | 386,151 | 547,486 | 553,396 | 696,597 |
Restricted stock granted | 29,720 | 46,158 | 138,166 | 214,878 |
Restricted stock vested | (62,768) | (32,555) | (338,459) | (350,386) |
Restricted stock outstanding as of end of period | 353,103 | 561,089 | 353,103 | 561,089 |
Restricted stock as of beginning of period of period, nonvested, weighted average grant date fair value per share | $ 7.05 | $ 7.63 | $ 7.55 | $ 8.54 |
Restricted stock granted, weighted average grant date fair value per share | 6.73 | 6.50 | 6.76 | 6.28 |
Restricted stock vested, weighted average grant date fair value per share | 7.14 | 7.68 | 7.80 | 8.76 |
Restricted stock as of end of period, nonvested, weighted average grant date fair value per share | $ 7.01 | $ 7.54 | $ 7.01 | $ 7.54 |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Not yet Recognized, Share-based Awards Other than Options | $ 1,892 | $ 1,892 | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Period for Recognition | 1 year 7 months 12 days |