Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Feb. 28, 2018 | Jun. 30, 2017 | |
Document and Entity Information [Abstract] | |||
Entity Registrant Name | DYNEX CAPITAL INC | ||
Entity Central Index Key | 826,675 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Accelerated Filer | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2017 | ||
Document Fiscal Year Focus | 2,017 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Entity Common Stock, Shares Outstanding | 55,788,414 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 334,762,891 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Assets: | ||
Mortgage-backed securities (including pledged of $2,640,884 and $3,150,610, respectively) | $ 3,026,989 | $ 3,212,084 |
U.S. Treasuries (including pledged of $124,215) | 146,530 | 0 |
Mortgage loans held for investment, net | 15,738 | 19,036 |
Cash and cash equivalents | 40,867 | 74,120 |
Restricted cash | 46,333 | 24,769 |
Derivative assets | 2,940 | 28,534 |
Principal receivable on investments | 165 | 11,978 |
Accrued interest receivable | 19,819 | 20,396 |
Other assets, net | 6,397 | 6,814 |
Total assets | 3,305,778 | 3,397,731 |
Liabilities: | ||
Repurchase agreements | 2,565,902 | 2,898,952 |
Payable for unsettled securities | 156,899 | 0 |
Non-recourse collateralized financing | 5,520 | 6,440 |
Derivative liabilities | 269 | 6,922 |
Accrued interest payable | 3,734 | 3,156 |
Accrued dividends payable | 12,526 | 12,268 |
Other liabilities | 3,870 | 2,809 |
Total liabilities | 2,748,720 | 2,930,547 |
Shareholders’ Equity: | ||
Preferred stock, par value $.01 per share; 50,000,000 shares authorized; 5,888,680 and 4,571,937 shares issued and outstanding, respectively ($147,217 and $114,298 aggregate liquidation preference, respectively) | 141,294 | 110,005 |
Common stock, par value $.01 per share, 200,000,000 shares authorized; 55,831,549 and 49,153,463 shares issued and outstanding, respectively | 558 | 492 |
Additional paid-in capital | 775,873 | 727,369 |
Accumulated other comprehensive loss | (8,697) | (32,609) |
Accumulated deficit | (351,970) | (338,073) |
Total shareholders’ equity | 557,058 | 467,184 |
Total liabilities and shareholders’ equity | $ 3,305,778 | $ 3,397,731 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Assets: | ||
Pledged MBS | $ 2,640,884 | $ 3,150,610 |
Pledged U.S. Treasuries | $ 124,215 | $ 0 |
Shareholders’ Equity: | ||
Preferred stock, par value | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized | 50,000,000 | 50,000,000 |
Preferred stock, shares issued | 5,888,680 | 4,571,937 |
Preferred stock, shares outstanding | 5,888,680 | 4,571,937 |
Preferred stock, aggregate liquidation preference | $ 147,217 | $ 114,298 |
Common stock, par value | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 200,000,000 | 200,000,000 |
Common stock, shares issued | 55,831,549 | 49,153,463 |
Common stock, shares outstanding | 55,831,549 | 49,153,463 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Interest income | $ 94,502 | $ 91,898 | $ 100,244 |
Interest expense | 36,178 | 25,231 | 22,605 |
Net interest income | 58,324 | 66,667 | 77,639 |
Gain (loss) on derivative instruments, net | 3,044 | (5,606) | (43,128) |
Loss on sale of investments, net | (11,530) | (4,238) | (978) |
Fair value adjustments, net | 75 | 103 | 69 |
Other (loss) income, net | (201) | 880 | 610 |
General and administrative expenses: | |||
Compensation and benefits | (8,509) | (7,550) | (9,103) |
Other general and administrative | (7,310) | (7,157) | (8,565) |
Net income | 33,893 | 43,099 | 16,544 |
Preferred stock dividends | 10,794 | 9,185 | 9,176 |
Net income to common shareholders | 23,099 | 33,914 | 7,368 |
Other comprehensive income: | |||
Unrealized gain (loss) on available-for-sale investments, net | 12,650 | (23,828) | (38,561) |
Reclassification adjustment for loss on sale of investments, net | 11,530 | 4,238 | 978 |
Reclassification adjustment for de-designated cash flow hedges | (268) | (251) | 3,499 |
Total other comprehensive income (loss) | 23,912 | (19,841) | (34,084) |
Comprehensive income (loss) to common shareholders | $ 47,011 | $ 14,073 | $ (26,716) |
Net income per common share-basic and diluted | $ 0.46 | $ 0.69 | $ 0.14 |
Weighted average common shares-basic and diluted | 50,417 | 49,114 | 52,847 |
Consolidated Statements of Shar
Consolidated Statements of Shareholders' Equity Statement - USD ($) $ in Thousands | Total | Preferred Stock | Preferred Stock Including Additional Paid in Capital | Common Stock | Additional Paid-in Capital | Accumulated Other Comprehensive Income (Loss) | Accumulated Deficit |
Balance, Preferred stock, Shares outstanding at Dec. 31, 2014 | 4,550,000 | ||||||
Balance, Common stock, shares outstanding at Dec. 31, 2014 | 54,739,111 | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Stock Issued During Period, Shares, New Issues | 22,607 | ||||||
Stock Issued During Period, Shares, Restricted Stock Award, Gross | 263,829 | ||||||
Shares Paid for Tax Withholding for Share Based Compensation | (67,296) | ||||||
Balance, Preferred stock, Shares outstanding at Dec. 31, 2015 | 4,550,000 | ||||||
Balance, Common stock, shares outstanding at Dec. 31, 2015 | 49,047,335 | ||||||
Balance at Dec. 31, 2014 | $ 607,302 | $ 109,658 | $ 547 | $ 763,935 | $ 21,316 | $ (288,154) | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Stock issuance | 166 | 0 | 166 | ||||
Restricted stock granted, net of amortization | 2,965 | 3 | 2,962 | ||||
Adjustments for tax withholding on share-based compensation | (557) | $ (1) | (556) | ||||
Stock issuance costs | (37) | (37) | |||||
Stock Repurchased During Period, Shares | (5,910,916) | ||||||
Stock Repurchased During Period, Value | (41,171) | $ (59) | (41,112) | ||||
Net income | 16,544 | 16,544 | |||||
Dividends on preferred stock | (9,176) | (9,176) | |||||
Dividends on common stock | (49,927) | (49,927) | |||||
Other comprehensive income | (34,084) | (34,084) | |||||
Balance at Dec. 31, 2015 | $ 492,025 | 109,658 | $ 490 | 725,358 | (12,768) | (330,713) | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Stock Issued During Period, Shares, New Issues | 21,937 | 20,582 | |||||
Stock Issued During Period, Shares, Restricted Stock Award, Gross | 214,878 | ||||||
Shares Paid for Tax Withholding for Share Based Compensation | (80,888) | ||||||
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 issuance | $ 685 | 548 | $ 1 | 136 | |||
Restricted stock granted, net of amortization | 2,709 | 2 | 2,707 | ||||
Adjustments for tax withholding on share-based compensation | (485) | $ (1) | (484) | ||||
Stock issuance costs | (239) | (201) | (38) | ||||
Stock Repurchased During Period, Shares | (48,444) | ||||||
Stock Repurchased During Period, Value | (310) | $ 0 | (310) | ||||
Net income | 43,099 | 43,099 | |||||
Dividends on preferred stock | (9,185) | (9,185) | |||||
Dividends on common stock | (41,274) | (41,274) | |||||
Other comprehensive income | (19,841) | (19,841) | |||||
Balance at Dec. 31, 2016 | $ 467,184 | 110,005 | $ 492 | 727,369 | (32,609) | (338,073) | |
Preferred stock, shares issued | 4,571,937 | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Stock Issued During Period, Shares, New Issues | 1,316,743 | 6,617,487 | |||||
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 Dec. 31, 2017 | 5,888,680 | 5,888,680 | |||||
Balance, Common stock, shares outstanding at Dec. 31, 2017 | 55,831,549 | 55,831,549 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Stock issuance | $ 78,532 | 31,350 | $ 66 | 47,116 | |||
Restricted stock granted, net of amortization | 1,954 | 1 | 1,953 | ||||
Adjustments for tax withholding on share-based compensation | (521) | (1) | (520) | ||||
Stock issuance costs | (106) | (61) | (45) | ||||
Net income | 33,893 | 33,893 | |||||
Dividends on preferred stock | (10,794) | (10,794) | |||||
Dividends on common stock | (36,996) | (36,996) | |||||
Other comprehensive income | 23,912 | 23,912 | |||||
Balance at Dec. 31, 2017 | $ 557,058 | $ 141,294 | $ 558 | $ 775,873 | $ (8,697) | $ (351,970) | |
Preferred stock, shares issued | 5,888,680 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Operating activities: | |||
Net income | $ 33,893 | $ 43,099 | $ 16,544 |
Adjustments to reconcile net income to cash provided by operating activities: | |||
Decrease (increase) in accrued interest receivable | 577 | 2,368 | (1,607) |
Increase (decrease) in accrued interest payable | 578 | 1,413 | (204) |
(Gain) loss on derivative instruments, net | (3,044) | 5,606 | 43,128 |
Loss on sale of investments, net | 11,530 | 4,238 | 978 |
Fair value adjustments, net | (75) | (103) | (69) |
Amortization of investment premiums, net | 157,706 | 150,729 | 152,308 |
Other amortization and depreciation, net | 1,287 | 1,502 | 5,338 |
Stock-based compensation expense | 1,954 | 2,709 | 2,965 |
Increase (decrease) in other assets and liabilities, net | 42 | (1,047) | (2,430) |
Net cash and cash equivalents provided by operating activities | 204,448 | 210,514 | 216,951 |
Investing activities: | |||
Purchase of investments | (1,317,959) | (435,046) | (1,122,970) |
Principal payments received on investments | 307,133 | 448,567 | 494,275 |
Proceeds from sales of investments | 1,073,101 | 99,284 | 449,921 |
Principal payments received on mortgage loans held for investment, net | 3,386 | 4,953 | 15,570 |
Payment to acquire interest in limited partnership | 0 | 0 | (6,000) |
Distributions received from limited partnership | 0 | 10,835 | 0 |
Net receipts (payments) on derivatives, including terminations | 21,986 | (60,588) | (39,929) |
Other investing activities | (214) | (37) | (237) |
Net cash and cash equivalents provided by (used in) investing activities | 87,433 | 67,968 | (209,370) |
Financing activities: | |||
Borrowings under repurchase agreements and FHLB advances | 84,876,542 | 40,594,639 | 23,555,007 |
Repayments of repurchase agreement borrowings and FHLB advances | (85,209,592) | (40,805,107) | (23,458,697) |
Principal payments on non-recourse collateralized financing | (938) | (2,039) | (2,395) |
Proceeds from issuance of preferred stock | 31,350 | 548 | 0 |
Proceeds from issuance of common stock | 47,182 | 137 | 166 |
Cash paid for stock issuance costs | (61) | (201) | 0 |
Cash paid for repurchases of common stock | 0 | (310) | (41,171) |
Payments related to tax withholding for stock-based compensation | (521) | (485) | (557) |
Dividends paid | (47,532) | (51,900) | (61,016) |
Net cash and cash equivalents used in financing activities | (303,570) | (264,718) | (8,663) |
Net (decrease) increase in cash, cash equivalents, and restricted cash | (11,689) | 13,764 | (1,082) |
Cash, cash equivalents, and restricted cash at beginning of period | 98,889 | 85,125 | 86,207 |
Cash, cash equivalents, and restricted cash at end of period | 87,200 | 98,889 | 85,125 |
Supplemental Disclosure of Cash Activity: | |||
Cash paid for interest | $ 35,851 | $ 24,033 | $ 19,260 |
Organization and Summary of Sig
Organization and Summary of Significant Accounting Policies (Notes) | 12 Months Ended |
Dec. 31, 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 debt securities, the majority of which are specified pools of 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”). The Company also invests in other types of mortgage-related securities, such as to-be-announced securities (“TBAs” or “TBA securities”), and in other debt securities, such as U.S. Treasury securities, which are not collateralized but are backed by the full faith and credit of the U.S. government. Basis of Presentation The accompanying consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) the instructions to the Annual Report on Form 10-K and Article 3 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). 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 Per Common Share The Company calculates basic net income per common share by dividing net income 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-year period ended December 31, 2017 . 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 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 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. The Company early adopted Accounting Standards Update ("ASU") No. 2016-18, Statement of Cash Flows (Topic 230) - Restricted Cash , which requires amounts generally described as restricted cash or restricted cash equivalents to be included with cash and cash equivalents when reconciling the beginning of period and end of period total amounts shown on the statement of cash flows. Because this ASU is to be applied retrospectively to each period presented, “net cash and cash equivalents used in financing activities” on the Company’s consolidated statement of cash flows for the years ended December 31, 2016 and December 31, 2015 now omits the change in restricted cash as reported in prior periods, and that change is now included within “net increase in cash, cash equivalents, and restricted cash” for those periods in order to conform to the current period’s presentation. The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company's consolidated balance sheet as of December 31, 2017 that sum to the total of the same such amounts shown on the Company’s consolidated statement of cash flows for the year ended December 31, 2017 : December 31, 2017 Cash and cash equivalents $ 40,867 Restricted cash 46,333 Total cash, cash equivalents, and restricted cash shown on consolidated statement of cash flows $ 87,200 Investments in Debt Securities The Company’s investments in debt 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 debt securities are reported in other comprehensive income (“OCI”) until the investment is sold, matures, or is 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 fair value of the Company’s debt securities pledged as collateral against repurchase agreements and derivative instruments is disclosed parenthetically on the Company’s consolidated balance sheets. Interest Income, Premium Amortization, and Discount Accretion. Interest income on debt securities 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 or discounts associated with the purchase of Agency MBS as well as any non-Agency MBS rated ‘AA’ and higher 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. The Company may also adjust premium amortization and discount accretion for 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 does not estimate future prepayments on its fixed-rate Agency RMBS. 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 debt securities, 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, Eurodollar futures, and forward contracts for the purchase or sale of non-specified 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 the consolidated statements of cash flows in accordance with the underlying nature or purpose of the derivative transactions. The Company’s 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 (“TBA contract”) for the purchase (“long position”) or sale (“short position”) of a non-specified 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 settlement date. The Company accounts for long and short positions in TBAs as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA transaction that its settlement will result in physical delivery of the underlying Agency RMBS, or the individual TBA transaction 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 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 does not expect this ASU to have a material impact on the Company’s consolidated financial statements. FASB issued ASU No. 2017-12, Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities, which contains significant amendments to hedge accounting with the main objective of better aligning an entity’s risk management activities and financial reporting for hedging relationships through changes to both the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results. To meet that objective, the amendments expand and refine hedge accounting for both non-financial and financial risk components and align the recognition and presentation of the effects of the hedging instrument and the hedged item in the financial statements. This ASU also includes certain targeted improvements to ease the application of current guidance related to the assessment of hedge effectiveness as well as changes to current disclosure requirements. The amendments in this ASU are effective for public business entities for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years, and early adoption is permitted. All transition requirements and elections will be applied to hedging relationships existing on the date of adoption. The effect of adoption will be reflected as of the beginning of the fiscal year of adoption, and the amended presentation and disclosure guidance is required only prospectively. The Company does not currently apply hedge accounting, but is evaluating the impact this ASU would have on its consolidated financial statements if the Company elects to adopt hedge accounting in the future. FASB issued ASU No. 2014-09, Revenue from Contracts with Customers , which is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under U.S. GAAP and is effective on January 1, 2018. The standard’s core principle is that an entity will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods and services. Revenue recognition with respect to financial instruments is excluded from the scope of ASU 2014-09. Therefore, ASU 2014-09 will not have an impact on the Company’s consolidated financial statements. |
Investments in Debt Securities
Investments in Debt Securities (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments in Debt Securities | INVESTMENTS IN DEBT SECURITIES The majority of the Company’s debt securities are pledged as collateral for the Company’s repurchase agreements. The following tables present the Company’s debt securities by investment type as of the dates indicated: December 31, 2017 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) RMBS: Agency (2) $ 1,146,553 $ 46,021 $ 1,192,574 $ 1,626 $ (9,939 ) $ 1,184,261 3.56 % Non-Agency 1,070 — 1,070 41 (20 ) 1,091 6.75 % 1,147,623 46,021 1,193,644 1,667 (9,959 ) 1,185,352 CMBS: Agency 1,123,967 10,442 1,134,409 3,514 (13,572 ) 1,124,351 3.03 % Non-Agency 26,501 (4,035 ) 22,466 2,298 — 24,764 5.47 % 1,150,468 6,407 1,156,875 5,812 (13,572 ) 1,149,115 CMBS IO (3) : Agency — 375,361 375,361 5,238 (293 ) 380,306 0.62 % Non-Agency — 308,472 308,472 4,468 (724 ) 312,216 0.61 % — 683,833 683,833 9,706 (1,017 ) 692,522 U.S. Treasuries: 148,400 (133 ) 148,267 — (1,737 ) 146,530 2.13 % Total AFS securities: $ 2,446,491 $ 736,128 $ 3,182,619 $ 17,185 $ (26,285 ) $ 3,173,519 (1) The weighted average coupon (“WAC”) is the gross interest rate of the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security). (2) Includes purchased securities pending settlement. (3) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $14,196,122 and $11,006,463 , respectively, as of December 31, 2017 . December 31, 2016 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) 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 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 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 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 categorizes the Company’s debt securities according to their stated maturity as of the periods indicated: December 31, 2017 December 31, 2016 Amortized Cost Fair Value Amortized Cost Fair Value Less than 1 year $ 4,480 $ 4,542 $ 12,375 $ 12,189 > 1 and <5 years 208,046 210,727 228,443 235,059 > 5 and <10 years 1,334,795 1,326,178 1,060,273 1,040,609 > 10 years 1,635,298 1,632,072 1,943,876 1,924,227 $ 3,182,619 $ 3,173,519 $ 3,244,967 $ 3,212,084 The Company reallocated capital during the year ended December 31, 2017 from adjustable rate investments with shorter duration into fixed rate investments with longer duration. 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: Year Ended December 31, 2017 2016 2015 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 716,560 $ (12,392 ) $ 54,178 $ (3,010 ) $ 174,565 $ (2,865 ) Agency CMBS 252,624 (135 ) — — 149,360 (604 ) Non-Agency CMBS 35,705 1,199 33,640 (1,228 ) 30,775 (566 ) Non-Agency RMBS 16,407 42 — — — — Agency CMBS IO — — — — 45,096 1,698 Non-Agency CMBS IO — — — — 50,125 1,359 U.S. Treasuries 51,797 (244 ) — — — — $ 1,073,093 $ (11,530 ) $ 87,818 $ (4,238 ) $ 449,921 $ (978 ) The following table presents certain information for those MBS in an unrealized loss position as of the dates indicated: December 31, 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 $ 1,293,798 $ (9,769 ) 71 $ 1,738,094 $ (38,469 ) 133 Non-Agency MBS 51,406 (421 ) 11 205,484 (2,773 ) 48 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 423,698 $ (14,035 ) 30 $ 427,405 $ (8,952 ) 72 Non-Agency MBS 20,414 (323 ) 12 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 December 31, 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 December 31, 2017 or December 31, 2016 . |
Repurchase Agreements (Notes)
Repurchase Agreements (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase agreements | REPURCHASE AGREEMENTS The Company’s repurchase agreements outstanding as of December 31, 2017 and December 31, 2016 are summarized in the following tables: December 31, 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 RMBS $ 836,281 1.47 % $ 867,120 $ 1,157,302 0.82 % $ 1,191,147 Non-Agency RMBS — — % — 26,149 1.98 % 31,952 Agency CMBS 1,003,146 1.44 % 1,071,904 1,005,726 0.82 % 1,095,002 Non-Agency CMBS 15,508 2.47 % 18,212 66,881 1.63 % 77,840 Agency CMBS IO 324,163 2.17 % 372,077 346,892 1.57 % 407,481 Non-Agency CMBS IO 263,694 2.43 % 311,571 291,199 1.67 % 341,139 U.S. Treasuries 123,110 1.85 % 124,215 — — % — Securitization financing bond — — % — 4,803 2.00 % 5,278 Total repurchase agreements $ 2,565,902 1.67 % $ 2,765,099 $ 2,898,952 1.03 % $ 3,149,839 The Company also had $156,899 due to counterparties for purchases of $156,551 fixed-rate Agency RMBS which were pending settlement as of December 31, 2017. The following table provides information on the remaining term to maturity and original term to maturity for the Company’s repurchase agreements as of the periods indicated: December 31, 2017 December 31, 2016 Remaining Term to Maturity Balance WAVG Original Term to Maturity Balance WAVG Original Term to Maturity Less than 30 days $ 2,240,791 49 $ 2,480,213 58 30 to 90 days 274,231 90 418,739 87 91 to 180 days 50,880 121 — — Total $ 2,565,902 54 $ 2,898,952 63 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): December 31, 2017 Counterparty Name Balance Weighted Average Rate Equity at Risk Wells Fargo Bank, N. A. and affiliates $ 311,351 2.43 % $ 56,383 Of the amount outstanding with Wells Fargo Bank, N.A. and affiliates, $304,005 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 December 31, 2017 was 2.43% . As of December 31, 2017 , the Company had repurchase agreement amounts outstanding with 16 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 and earnings, 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 December 31, 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 December 31, 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 December 31, 2017 Repurchase agreements $ 2,565,902 $ — $ 2,565,902 $ (2,565,902 ) $ — $ — 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 debt securities up to and not exceeding the net amount of the asset or liability presented in the balance sheet. The fair value of the total 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 (Notes)
Derivatives (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives | DERIVATIVES The Company is a party to certain types of financial instruments that are accounted for as derivative instruments. Please refer to Note 1 for information related to the Company’s accounting policy for its derivative instruments. Types and Uses of Derivatives Instruments Interest Rate Derivatives Changing interest rates impact the fair value of the Company’s investments as well as the interest rates on the Company’s repurchase agreement borrowings used to finance its investments. The Company primarily uses interest rate swaps and Eurodollar futures as economic hedges to mitigate declines in book value and to protect some portion of the Company's earnings from rising interest rates. TBA Transactions The Company also holds long positions in TBA securities by executing a series of transactions which effectively delay the settlement of a forward purchase of a non-specified Agency RMBS by entering into an offsetting TBA short position, net settling the paired-off positions in cash, and simultaneously entering into an identical TBA long position with a later settlement date . These long positions in TBA securities (“dollar roll positions”) are viewed by management as economically equivalent to investing in and financing non-specified fixed-rate Agency RMBS. 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” represents the economic equivalent of net interest income (interest income less implied financing cost) on the underlying Agency security from trade date to settlement date. Periodically, the Company may also hold short positions in TBA securities for the purpose of economically hedging a portion of the impact of changing interest rates on the fair value of the Company’s fixed-rate Agency RMBS. 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: December 31, 2017 December 31, 2016 Type of Derivative Instrument Balance Sheet Location Purpose Fair Value Fair Value (1) Interest rate swaps Derivative assets Economic hedging $ 791 $ 28,534 Eurodollar futures (2) Derivative assets Economic hedging 666 — TBA securities Derivative assets Investing 1,483 — $ 2,940 $ 28,534 Interest rate swaps Derivative liabilities Economic hedging $ — $ (6,922 ) TBA securities Derivative liabilities Economic hedging (269 ) — $ (269 ) $ (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 December 31, 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 December 31, 2017 for the derivative asset and derivative liabilities as of December 31, 2016 were $104 and $(576) , respectively. (2) The Eurodollar futures aggregate notional amount represents the total notional of the 3-month contracts with expiration dates from 2017 to 2018. The maximum notional outstanding for any future 3-month period did not exceed $650,000 as of December 31, 2017. The following tables present information about the Company’s interest rate swaps as of the dates indicated: December 31, 2017 Weighted-Average: Years to Maturity: Net Notional Amount (1) Pay Rate (2) Life Remaining (in Years) Fair Value < 3 years $ 3,320,000 1.35 % 0.7 $ 791 >3 and < 6 years 1,210,000 2.00 % 4.6 — >6 and < 10 years 1,025,000 2.49 % 8.0 — >10 years 120,000 2.75 % 17.3 — Total $ 5,675,000 1.71 % 3.1 $ 791 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 $2,525,000 and $2,725,000 of pay-fixed forward starting interest rate swaps as of December 31, 2017 and December 31, 2016 , respectively. (2) Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.36% and 0.73% as of December 31, 2017 and December 31, 2016, respectively. The following table summarizes information about the Company's TBA securities as of December 31, 2017 : December 31, 2017 Notional Amount (1) Implied Cost Basis (2) Implied Market Value (3) Net Carrying Value (4) Dollar roll positions: 30-year 4.0% TBA securities $ 795,000 $ 829,425 $ 830,908 $ 1,483 Economic hedges: 30-year 3.5% TBA securities $ 150,000 $ (153,797 ) $ (154,066 ) $ (269 ) (1) Notional amount represents the par value (or principal balance) of the underlying Agency MBS as if settled as of the end of the period. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as if settled as of end of the period. (3) Implied market value represents the estimated fair value of the underlying Agency MBS as if settled as of the end of the period. (4) Net carrying value represents the difference between the implied market value and the implied cost basis of the TBA security 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 the Company’s 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 December 31, 2017 Receive-fixed interest rate swaps $ 425,000 $ — $ (325,000 ) $ 100,000 Pay-fixed interest rate swaps 3,455,000 3,890,000 (1,570,000 ) 5,775,000 Eurodollar futures — 2,600,000 (650,000 ) 1,950,000 TBA dollar roll positions — 6,729,000 (5,934,000 ) 795,000 TBA economic hedges — (250,000 ) 100,000 (150,000 ) The table below provides detail of the Company’s “gain (loss) on derivative instruments, net” by type of derivative for the periods indicated: Year Ended December 31, Type of Derivative Instrument 2017 2016 2015 Receive-fixed interest rate swaps $ 23 $ 2,515 $ 6,522 Pay-fixed interest rate swaps (2,655 ) (3,306 ) (28,687 ) Eurodollar futures 821 (4,815 ) (20,963 ) TBA dollar roll positions 5,757 — — TBA economic hedges (902 ) — — Gain (loss) on derivative instruments, net $ 3,044 $ (5,606 ) $ (43,128 ) There is a net unrealized gain of $402 remaining in AOCI on the Company’s consolidated balance sheet as of December 31, 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 $237 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 the 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 December 31, 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 December 31, 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 December 31, 2017 Interest rate swaps $ 791 $ — $ 791 $ — $ — $ 791 Eurodollar Futures 666 — 666 — (666 ) — TBA securities 1,483 — 1,483 (180 ) — 1,303 Derivative assets $ 2,940 $ — $ 2,940 $ (180 ) $ (666 ) $ 2,094 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 December 31, 2017 Interest rate swaps $ — $ — $ — $ — $ — $ — TBA securities 269 — 269 (180 ) — 89 Derivative liabilities $ 269 $ — $ 269 $ (180 ) $ — $ 89 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 total 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 (Notes) | 12 Months Ended |
Dec. 31, 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: December 31, 2017 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets carried at fair value: Investments in securities: Mortgage-backed securities $ 3,026,989 $ — $ 3,019,746 $ 7,243 U.S. Treasuries 146,530 146,530 — — Derivative assets: Interest rate swaps 791 — 791 — Eurodollar futures 666 666 — — TBA securities 1,483 — 1,483 — Total assets carried at fair value $ 3,176,459 $ 147,196 $ 3,022,020 $ 7,243 Liabilities carried at fair value: TBA securities 269 — 269 — Total liabilities carried at fair value $ 269 $ — $ 269 $ — December 31, 2016 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets carried at fair value: 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 carried at fair value: Interest rate swaps $ 6,922 $ — $ 6,922 $ — Total liabilities carried at fair value $ 6,922 $ — $ 6,922 $ — The Company's derivative assets and liabilities include interest rate swaps, Eurodollar futures, and TBA securities. 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. Eurodollar futures are valued based on closing exchange prices on these contracts and are classified accordingly as Level 1 measurements. The fair value of TBA securities are estimated using methods similar those used to fair value the Company’s Level 2 MBS. The fair value measurements for a majority of the Company's MBS are considered Level 2 because these 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 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 Company’s non-Agency MBS measured at fair value on a recurring basis using Level 3 inputs is presented in the following table for the periods indicated: Year Ended December 31, 2017 2016 2015 Balance as of beginning of period $ 10,927 $ 16,435 $ 43,957 Unrealized (loss) gain included in OCI (1) (1,733 ) (1,057 ) 2,608 Principal payments (4,351 ) (6,019 ) (30,602 ) Accretion 2,400 1,568 472 Balance as of end of period $ 7,243 $ 10,927 $ 16,435 (1) Amount included in “unrealized gain (loss) 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: December 31, 2017 December 31, 2016 Carrying Value Fair Value Carrying Value Fair Value Assets: Mortgage-backed securities $ 3,026,989 $ 3,026,989 $ 3,212,084 $ 3,212,084 U.S. Treasuries 146,530 146,530 — — Mortgage loans held for investment, net (1) 15,738 12,973 19,036 15,971 Derivative assets 2,940 2,940 28,534 28,534 Liabilities: Repurchase agreements (2) $ 2,565,902 $ 2,565,902 $ 2,898,952 $ 2,898,952 Non-recourse collateralized financing (1) 5,520 5,554 6,440 6,357 Derivative liabilities 269 269 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. |
Mortgage Loans Held for Investm
Mortgage Loans Held for Investment, Net and Related Non-Recourse Collateralized Financing (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Mortgage Loans Held for Investment, Net [Abstract] | |
Transfers and Servicing of Financial Assets [Text Block] | MORTGAGE LOANS HELD FOR INVESTMENT, NET AND RELATED NON-RECOURSE COLLATERALIZED FINANCING The Company's mortgage loans held for investment, net are single-family mortgage loans which were originated or purchased by the Company from 1992 through 1998. These loans have an amortized cost of $15,885 as of December 31, 2017 compared to $19,317 as of December 31, 2016. The unpaid principal balance of the Company's single-family mortgage loans identified as seriously delinquent as of December 31, 2017 was $1,307 compared to $1,094 as of December 31, 2016. The Company continues to accrue interest on its seriously delinquent securitized single-family mortgage loans because the primary servicer continues to advance the interest and/or principal due on the loan. An allowance has been established for currently existing and probable losses on the Company's mortgage loans held for investment, which was $147 as of December 31, 2017 compared to $281 as of December 31, 2016. The Company's single-family mortgage loans are considered homogeneous and are evaluated on a pool basis for a general allowance. The Company considers various factors in determining its general allowance requirement, including whether a loan is delinquent, the Company’s historical experience with similar types of loans, historical cure rates of delinquent loans, and historical and anticipated loss severity of the mortgage loans as they are liquidated. The allowance for loan losses is evaluated and adjusted periodically by management based on the actual and estimated timing and amount of probable credit losses, using the above factors, as well as industry loss experience. The Company recorded $80 , $130 , and $180 as provision for loan losses for the years ended December 31, 2017, 2016, and 2015, respectively, which is included within "other income, net" on the Company's consolidated statements of comprehensive income (loss). The majority of the Company's mortgage loans held for investment, net is pledged as collateral for the one remaining class of the Company's single-family securitization financing bond, which is recorded on the Company's balance sheet as "non-recourse collateralized financing". The interest rate on this bond is based on 1-month LIBOR plus 0.30% and is expected to mature by January 31, 2025 based on scheduled principal payments projected as of December 31, 2017. As of December 31, 2017, $6,233 of the principal balance of the single-family mortgage loans held for investment was pledged as collateral for the Company's non-recourse collateralized financing which had a remaining principal balance of $5,596 . As of December 31, 2016, $7,200 of the principal balance of the Company's mortgage loans held for investment was pledged as collateral for the remaining principal balance of the outstanding bonds of $6,533 . |
(Notes)
(Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Equity [Abstract] | |
Preferred Stock | 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 3,588,680 shares of its Series B Preferred Stock issued and outstanding as of December 31, 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. The Company's Series A Preferred Stock may be redeemed in whole, or in part, at any time and from time to time at the Company's option at a cash redemption price of $25.00 per share plus any accumulated and unpaid dividends. Except under certain limited circumstances, the Company may not redeem the Series B Preferred Stock prior to April 30, 2018. On or after April 30, 2018, the Company’s Series B Preferred Stock may be redeemed in whole, or in part, at any time and from time to time 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 fourth quarter on January 15, 2018 to shareholders of record as of January 1, 2018 . |
Shareholders' Equity and Share-based Compensation | 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 3,588,680 shares of its Series B Preferred Stock issued and outstanding as of December 31, 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. The Company's Series A Preferred Stock may be redeemed in whole, or in part, at any time and from time to time at the Company's option at a cash redemption price of $25.00 per share plus any accumulated and unpaid dividends. Except under certain limited circumstances, the Company may not redeem the Series B Preferred Stock prior to April 30, 2018. On or after April 30, 2018, the Company’s Series B Preferred Stock may be redeemed in whole, or in part, at any time and from time to time 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 fourth quarter on January 15, 2018 to shareholders of record as of January 1, 2018 . Common Stock The Company declared a fourth quarter common stock dividend of $0.18 per share that was paid on January 31, 2018 to shareholders of record as of December 29, 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 December 31, 2017 . Total stock-based compensation expense recognized by the Company for the year ended December 31, 2017 was $1,954 compared to $2,709 and $2,965 for the years ended December 31, 2016 and December 31, 2015, respectively. The following table presents a rollforward of the restricted stock activity for the periods indicated: Year Ended December 31, 2017 2016 2015 Shares Weighted Average Grant Date Fair Value Per Share 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 $ 8.54 731,809 $ 8.89 Restricted stock granted 138,166 6.76 214,878 6.28 263,829 8.21 Restricted stock vested (338,459 ) 7.80 (358,079 ) 8.71 (299,041 ) 9.12 Restricted stock outstanding as of end of period 353,103 $ 7.01 553,396 $ 7.55 696,597 $ 8.54 As of December 31, 2017 , the grant date fair value of the Company’s remaining nonvested restricted stock is $1,117 which will be amortized into compensation expense over a weighted average period of 1.4 years . |
Income Taxes (Notes)
Income Taxes (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |
Income Tax Disclosure [Text Block] | INCOME TAXES The Company's estimated REIT taxable income before consideration of its NOL carryforward was $21,332 for the year ended December 31, 2017, $21,702 for the year ended December 31, 2016, and $52,964 for the year ended December 31, 2015. After common and preferred dividend distributions during those years as well as utilization of the Company's NOL carryforward to offset taxable earnings, the Company does not expect to incur any income tax liability for the year ended December 31, 2017 and did not incur any material income tax liability for the years ending December 31, 2016 or December 31, 2015. The Company's estimated NOL carryforward as of December 31, 2017 is $89,775 . Because the Company incurred an "ownership change" under Section 382 of the Internal Revenue Code ("Section 382"), the Company's ability to utilize its NOL carryforward to offset its taxable income after any required dividend distributions is limited to approximately $13,451 per year with any unused amounts being accumulated and carried forward for use in subsequent years. As of December 31, 2017, the Company had $52,092 of NOL that is not subject to the existing Section 382 limitations available to offset any future taxable income. The NOL will expire beginning in 2020 to the extent it is not used. After reviewing for any potentially uncertain income tax positions, the Company has concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of December 31, 2017, December 31, 2016, or December 31, 2015, although its tax returns for those tax years are open to examination by the IRS. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. |
Related Party Transactions (Not
Related Party Transactions (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Related Party Transactions [Abstract] | |
Related Party Transactions Disclosure [Text Block] | RELATED PARTY TRANSACTIONS As noted in previous filings, DCI Commercial, Inc. (“DCI”), a former affiliate of the Company and formerly known as Dynex Commercial, Inc., was named a party to several lawsuits in 1999 and 2000 regarding the activities of DCI while it was an operating subsidiary of an affiliate of the Company. The Company was named a party to several of the lawsuits (the “DCI Litigation”) due to its affiliation with DCI. In December 2000, the Company and DCI entered into a Litigation Cost Sharing Agreement whereby the Company agreed to advance DCI's portion of the costs of defending against the DCI Litigation. The DCI Litigation concluded in 2004 and, after various appeals by the plaintiffs in the DCI Litigation (the “DCI Plaintiffs”), no judgment or damages were entered against the Company, but final judgment was entered in the DCI Litigation against DCI (the “DCI Judgment”). The DCI Plaintiffs have attempted to enforce the DCI Judgment against the Company through a separate action which is discussed in Item 3 of Part I of this Annual Report on Form 10-K. The Litigation Cost Sharing Agreement remained in effect as of December 31, 2017. DCI costs advanced by the Company are loans and bear simple interest at the rate of Prime plus 8.0% per annum. The Company's advances to cover DCI's costs during the years ended December 31, 2017, 2016, and 2015 were $30 , $173 , and $228 , respectively. The total amount due to the Company under the Litigation Cost Sharing Agreement including interest was $10,615 as of December 31, 2017 compared to $10,240 as of December 31, 2016. Because DCI does not currently have any assets, the amount due as of December 31, 2017 has been fully reserved for collectibility by the Company. DCI is currently wholly owned by a company unaffiliated with the Company. An executive of the Company is the sole shareholder of this unaffiliated company. |
Selected Quarterly Information
Selected Quarterly Information (Unaudited) (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Information [Text Block] | SELECTED QUARTERLY INFORMATION (UNAUDITED) Year Ended December 31, 2017 First Quarter Second Quarter Third Quarter Fourth Quarter Operating results: Interest income $ 22,419 $ 24,856 $ 23,103 $ 24,124 Interest expense 7,519 8,714 9,889 10,056 Net interest income 14,900 16,142 13,214 14,068 Gain (loss) on derivatives instruments, net 175 (15,802 ) 5,993 12,678 Loss on sale of investments, net (1,708 ) (3,709 ) (5,211 ) (902 ) Fair value adjustments and other income (expense) amounts, net (36 ) 34 (86 ) (38 ) General and administrative expenses (4,280 ) (4,097 ) (3,599 ) (3,843 ) Preferred stock dividends (2,435 ) (2,641 ) (2,808 ) (2,910 ) Net income (loss) to common shareholders 6,616 (10,073 ) 7,503 19,053 Other comprehensive income (loss) 19,977 12,375 6,144 (14,584 ) Comprehensive income (loss) to common shareholders $ 26,593 $ 2,302 $ 13,647 $ 4,469 Net income (loss) per common share $ 0.13 $ (0.20 ) $ 0.15 $ 0.36 Dividends declared per common share $ 0.18 $ 0.18 $ 0.18 $ 0.18 Year Ended December 31, 2016 First Quarter Second Quarter Third Quarter Fourth Quarter Operating results: Interest income $ 25,089 $ 22,816 $ 21,135 $ 22,858 Interest expense 6,310 6,100 6,068 6,753 Net interest income 18,779 16,716 15,067 16,105 (Loss) gain on derivatives instruments, net (48,264 ) (16,297 ) 2,409 56,546 Loss on sale of investments, net (3,941 ) (297 ) — — Fair value adjustments and other income (expense) amounts, net 87 318 579 (1 ) General and administrative expenses (4,092 ) (3,671 ) (3,355 ) (3,589 ) Preferred stock dividends (2,294 ) (2,294 ) (2,294 ) (2,303 ) Net (loss) income to common shareholders (39,725 ) (5,525 ) 12,406 66,758 Other comprehensive income (loss) 41,728 22,947 670 (85,186 ) Comprehensive income (loss) to common shareholders $ 2,003 $ 17,422 $ 13,076 $ (18,428 ) Net (loss) income per common share $ (0.81 ) $ (0.11 ) $ 0.25 $ 1.36 Dividends declared per common share $ 0.21 $ 0.21 $ 0.21 $ 0.21 |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS Management has evaluated events and circumstances occurring as of and through the date this Annual Report on Form 10-K was filed with the SEC and has determined that there have been no significant events or circumstances that qualify as a "recognized" or "nonrecognized" subsequent event as defined by ASC Topic 855. |
Organization and Summary of S18
Organization and Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 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 debt securities, the majority of which are specified pools of 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”). The Company also invests in other types of mortgage-related securities, such as to-be-announced securities (“TBAs” or “TBA securities”), and in other debt securities, such as U.S. Treasury securities, which are not collateralized but are backed by the full faith and credit of the U.S. government. |
Basis of Presentation [Policy Text Block] | Basis of Presentation The accompanying consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) the instructions to the Annual Report on Form 10-K and Article 3 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). |
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 Per Common Share The Company calculates basic net income per common share by dividing net income 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-year period ended December 31, 2017 . 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 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 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. The Company early adopted Accounting Standards Update ("ASU") No. 2016-18, Statement of Cash Flows (Topic 230) - Restricted Cash , which requires amounts generally described as restricted cash or restricted cash equivalents to be included with cash and cash equivalents when reconciling the beginning of period and end of period total amounts shown on the statement of cash flows. Because this ASU is to be applied retrospectively to each period presented, “net cash and cash equivalents used in financing activities” on the Company’s consolidated statement of cash flows for the years ended December 31, 2016 and December 31, 2015 now omits the change in restricted cash as reported in prior periods, and that change is now included within “net increase in cash, cash equivalents, and restricted cash” for those periods in order to conform to the current period’s presentation. The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company's consolidated balance sheet as of December 31, 2017 that sum to the total of the same such amounts shown on the Company’s consolidated statement of cash flows for the year ended December 31, 2017 : December 31, 2017 Cash and cash equivalents $ 40,867 Restricted cash 46,333 Total cash, cash equivalents, and restricted cash shown on consolidated statement of cash flows $ 87,200 |
Investments in Debt Securities [Policy Text Block] | Investments in Debt Securities The Company’s investments in debt 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 debt securities are reported in other comprehensive income (“OCI”) until the investment is sold, matures, or is 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 fair value of the Company’s debt securities pledged as collateral against repurchase agreements and derivative instruments is disclosed parenthetically on the Company’s consolidated balance sheets. Interest Income, Premium Amortization, and Discount Accretion. Interest income on debt securities 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 or discounts associated with the purchase of Agency MBS as well as any non-Agency MBS rated ‘AA’ and higher 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. The Company may also adjust premium amortization and discount accretion for 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 does not estimate future prepayments on its fixed-rate Agency RMBS. 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 debt securities, 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, Eurodollar futures, and forward contracts for the purchase or sale of non-specified 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 the consolidated statements of cash flows in accordance with the underlying nature or purpose of the derivative transactions. The Company’s 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 (“TBA contract”) for the purchase (“long position”) or sale (“short position”) of a non-specified 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 settlement date. The Company accounts for long and short positions in TBAs as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA transaction that its settlement will result in physical delivery of the underlying Agency RMBS, or the individual TBA transaction 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 [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 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 does not expect this ASU to have a material impact on the Company’s consolidated financial statements. FASB issued ASU No. 2017-12, Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities, which contains significant amendments to hedge accounting with the main objective of better aligning an entity’s risk management activities and financial reporting for hedging relationships through changes to both the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results. To meet that objective, the amendments expand and refine hedge accounting for both non-financial and financial risk components and align the recognition and presentation of the effects of the hedging instrument and the hedged item in the financial statements. This ASU also includes certain targeted improvements to ease the application of current guidance related to the assessment of hedge effectiveness as well as changes to current disclosure requirements. The amendments in this ASU are effective for public business entities for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years, and early adoption is permitted. All transition requirements and elections will be applied to hedging relationships existing on the date of adoption. The effect of adoption will be reflected as of the beginning of the fiscal year of adoption, and the amended presentation and disclosure guidance is required only prospectively. The Company does not currently apply hedge accounting, but is evaluating the impact this ASU would have on its consolidated financial statements if the Company elects to adopt hedge accounting in the future. FASB issued ASU No. 2014-09, Revenue from Contracts with Customers , which is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under U.S. GAAP and is effective on January 1, 2018. The standard’s core principle is that an entity will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods and services. Revenue recognition with respect to financial instruments is excluded from the scope of ASU 2014-09. Therefore, ASU 2014-09 will not have an impact on the Company’s consolidated financial statements. |
Investments in Debt Securitie19
Investments in Debt Securities (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Schedule of Available-for-sale Securities [Line Items] | |
Available-for-sale Securities | The following table categorizes the Company’s debt securities according to their stated maturity as of the periods indicated: December 31, 2017 December 31, 2016 Amortized Cost Fair Value Amortized Cost Fair Value Less than 1 year $ 4,480 $ 4,542 $ 12,375 $ 12,189 > 1 and <5 years 208,046 210,727 228,443 235,059 > 5 and <10 years 1,334,795 1,326,178 1,060,273 1,040,609 > 10 years 1,635,298 1,632,072 1,943,876 1,924,227 $ 3,182,619 $ 3,173,519 $ 3,244,967 $ 3,212,084 |
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: Year Ended December 31, 2017 2016 2015 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 716,560 $ (12,392 ) $ 54,178 $ (3,010 ) $ 174,565 $ (2,865 ) Agency CMBS 252,624 (135 ) — — 149,360 (604 ) Non-Agency CMBS 35,705 1,199 33,640 (1,228 ) 30,775 (566 ) Non-Agency RMBS 16,407 42 — — — — Agency CMBS IO — — — — 45,096 1,698 Non-Agency CMBS IO — — — — 50,125 1,359 U.S. Treasuries 51,797 (244 ) — — — — $ 1,073,093 $ (11,530 ) $ 87,818 $ (4,238 ) $ 449,921 $ (978 ) |
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: December 31, 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 $ 1,293,798 $ (9,769 ) 71 $ 1,738,094 $ (38,469 ) 133 Non-Agency MBS 51,406 (421 ) 11 205,484 (2,773 ) 48 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 423,698 $ (14,035 ) 30 $ 427,405 $ (8,952 ) 72 Non-Agency MBS 20,414 (323 ) 12 81,660 (2,332 ) 26 |
Debt Securities [Member] | |
Schedule of Available-for-sale Securities [Line Items] | |
Available-for-sale Securities | The following tables present the Company’s debt securities by investment type as of the dates indicated: December 31, 2017 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) RMBS: Agency (2) $ 1,146,553 $ 46,021 $ 1,192,574 $ 1,626 $ (9,939 ) $ 1,184,261 3.56 % Non-Agency 1,070 — 1,070 41 (20 ) 1,091 6.75 % 1,147,623 46,021 1,193,644 1,667 (9,959 ) 1,185,352 CMBS: Agency 1,123,967 10,442 1,134,409 3,514 (13,572 ) 1,124,351 3.03 % Non-Agency 26,501 (4,035 ) 22,466 2,298 — 24,764 5.47 % 1,150,468 6,407 1,156,875 5,812 (13,572 ) 1,149,115 CMBS IO (3) : Agency — 375,361 375,361 5,238 (293 ) 380,306 0.62 % Non-Agency — 308,472 308,472 4,468 (724 ) 312,216 0.61 % — 683,833 683,833 9,706 (1,017 ) 692,522 U.S. Treasuries: 148,400 (133 ) 148,267 — (1,737 ) 146,530 2.13 % Total AFS securities: $ 2,446,491 $ 736,128 $ 3,182,619 $ 17,185 $ (26,285 ) $ 3,173,519 (1) The weighted average coupon (“WAC”) is the gross interest rate of the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security). (2) Includes purchased securities pending settlement. (3) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $14,196,122 and $11,006,463 , respectively, as of December 31, 2017 . December 31, 2016 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) 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 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 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 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 . |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Disclosure of Repurchase Agreements [Abstract] | |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Table Text Block] | The following table provides information on the remaining term to maturity and original term to maturity for the Company’s repurchase agreements as of the periods indicated: December 31, 2017 December 31, 2016 Remaining Term to Maturity Balance WAVG Original Term to Maturity Balance WAVG Original Term to Maturity Less than 30 days $ 2,240,791 49 $ 2,480,213 58 30 to 90 days 274,231 90 418,739 87 91 to 180 days 50,880 121 — — Total $ 2,565,902 54 $ 2,898,952 63 |
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets [Table Text Block] | The Company’s repurchase agreements outstanding as of December 31, 2017 and December 31, 2016 are summarized in the following tables: December 31, 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 RMBS $ 836,281 1.47 % $ 867,120 $ 1,157,302 0.82 % $ 1,191,147 Non-Agency RMBS — — % — 26,149 1.98 % 31,952 Agency CMBS 1,003,146 1.44 % 1,071,904 1,005,726 0.82 % 1,095,002 Non-Agency CMBS 15,508 2.47 % 18,212 66,881 1.63 % 77,840 Agency CMBS IO 324,163 2.17 % 372,077 346,892 1.57 % 407,481 Non-Agency CMBS IO 263,694 2.43 % 311,571 291,199 1.67 % 341,139 U.S. Treasuries 123,110 1.85 % 124,215 — — % — Securitization financing bond — — % — 4,803 2.00 % 5,278 Total repurchase agreements $ 2,565,902 1.67 % $ 2,765,099 $ 2,898,952 1.03 % $ 3,149,839 |
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity [Table Text Block] | 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): December 31, 2017 Counterparty Name Balance Weighted Average Rate Equity at Risk Wells Fargo Bank, N. A. and affiliates $ 311,351 2.43 % $ 56,383 |
Derivatives (Tables)
Derivatives (Tables) | 12 Months Ended |
Dec. 31, 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: December 31, 2017 December 31, 2016 Type of Derivative Instrument Balance Sheet Location Purpose Fair Value Fair Value (1) Interest rate swaps Derivative assets Economic hedging $ 791 $ 28,534 Eurodollar futures (2) Derivative assets Economic hedging 666 — TBA securities Derivative assets Investing 1,483 — $ 2,940 $ 28,534 Interest rate swaps Derivative liabilities Economic hedging $ — $ (6,922 ) TBA securities Derivative liabilities Economic hedging (269 ) — $ (269 ) $ (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 December 31, 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 December 31, 2017 for the derivative asset and derivative liabilities as of December 31, 2016 were $104 and $(576) , respectively. (2) The Eurodollar futures aggregate notional amount represents the total notional of the 3-month contracts with expiration dates from 2017 to 2018. The maximum notional outstanding for any future 3-month period did not exceed $650,000 as of December 31, 2017. |
Schedule of Derivative Instruments | The following tables present information about the Company’s interest rate swaps as of the dates indicated: December 31, 2017 Weighted-Average: Years to Maturity: Net Notional Amount (1) Pay Rate (2) Life Remaining (in Years) Fair Value < 3 years $ 3,320,000 1.35 % 0.7 $ 791 >3 and < 6 years 1,210,000 2.00 % 4.6 — >6 and < 10 years 1,025,000 2.49 % 8.0 — >10 years 120,000 2.75 % 17.3 — Total $ 5,675,000 1.71 % 3.1 $ 791 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 $2,525,000 and $2,725,000 of pay-fixed forward starting interest rate swaps as of December 31, 2017 and December 31, 2016 , respectively. (2) Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.36% and 0.73% as of December 31, 2017 and December 31, 2016, respectively. The following table summarizes information about the Company's TBA securities as of December 31, 2017 : December 31, 2017 Notional Amount (1) Implied Cost Basis (2) Implied Market Value (3) Net Carrying Value (4) Dollar roll positions: 30-year 4.0% TBA securities $ 795,000 $ 829,425 $ 830,908 $ 1,483 Economic hedges: 30-year 3.5% TBA securities $ 150,000 $ (153,797 ) $ (154,066 ) $ (269 ) (1) Notional amount represents the par value (or principal balance) of the underlying Agency MBS as if settled as of the end of the period. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as if settled as of end of the period. (3) Implied market value represents the estimated fair value of the underlying Agency MBS as if settled as of the end of the period. (4) Net carrying value represents the difference between the implied market value and the implied cost basis of the TBA security as of the end of the period and is included on the consolidated balance sheets within “derivative assets (liabilities)”. |
Schedule of Notional Amounts of Outstanding Derivative Positions | The tables below summarize changes in the Company’s 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 December 31, 2017 Receive-fixed interest rate swaps $ 425,000 $ — $ (325,000 ) $ 100,000 Pay-fixed interest rate swaps 3,455,000 3,890,000 (1,570,000 ) 5,775,000 Eurodollar futures — 2,600,000 (650,000 ) 1,950,000 TBA dollar roll positions — 6,729,000 (5,934,000 ) 795,000 TBA economic hedges — (250,000 ) 100,000 (150,000 ) |
Derivative Instruments, Gain (Loss) | The table below provides detail of the Company’s “gain (loss) on derivative instruments, net” by type of derivative for the periods indicated: Year Ended December 31, Type of Derivative Instrument 2017 2016 2015 Receive-fixed interest rate swaps $ 23 $ 2,515 $ 6,522 Pay-fixed interest rate swaps (2,655 ) (3,306 ) (28,687 ) Eurodollar futures 821 (4,815 ) (20,963 ) TBA dollar roll positions 5,757 — — TBA economic hedges (902 ) — — Gain (loss) on derivative instruments, net $ 3,044 $ (5,606 ) $ (43,128 ) |
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 December 31, 2017 Interest rate swaps $ 791 $ — $ 791 $ — $ — $ 791 Eurodollar Futures 666 — 666 — (666 ) — TBA securities 1,483 — 1,483 (180 ) — 1,303 Derivative assets $ 2,940 $ — $ 2,940 $ (180 ) $ (666 ) $ 2,094 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 December 31, 2017 Interest rate swaps $ — $ — $ — $ — $ — $ — TBA securities 269 — 269 (180 ) — 89 Derivative liabilities $ 269 $ — $ 269 $ (180 ) $ — $ 89 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 total collateral received by or posted to the same counterparty may exceed the amounts presented. |
Fair Value of Financial Instr22
Fair Value of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 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: December 31, 2017 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets carried at fair value: Investments in securities: Mortgage-backed securities $ 3,026,989 $ — $ 3,019,746 $ 7,243 U.S. Treasuries 146,530 146,530 — — Derivative assets: Interest rate swaps 791 — 791 — Eurodollar futures 666 666 — — TBA securities 1,483 — 1,483 — Total assets carried at fair value $ 3,176,459 $ 147,196 $ 3,022,020 $ 7,243 Liabilities carried at fair value: TBA securities 269 — 269 — Total liabilities carried at fair value $ 269 $ — $ 269 $ — December 31, 2016 Fair Value Level 1 - Unadjusted Quoted Prices in Active Markets Level 2 - Observable Inputs Level 3 - Unobservable Inputs Assets carried at fair value: 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 carried at fair value: 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 Company’s non-Agency MBS measured at fair value on a recurring basis using Level 3 inputs is presented in the following table for the periods indicated: Year Ended December 31, 2017 2016 2015 Balance as of beginning of period $ 10,927 $ 16,435 $ 43,957 Unrealized (loss) gain included in OCI (1) (1,733 ) (1,057 ) 2,608 Principal payments (4,351 ) (6,019 ) (30,602 ) Accretion 2,400 1,568 472 Balance as of end of period $ 7,243 $ 10,927 $ 16,435 (1) Amount included in “unrealized gain (loss) on available-for-sale investments, net” on consolidated statements of comprehensive income (loss). |
Fair Value, by Balance Sheet Grouping | 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: December 31, 2017 December 31, 2016 Carrying Value Fair Value Carrying Value Fair Value Assets: Mortgage-backed securities $ 3,026,989 $ 3,026,989 $ 3,212,084 $ 3,212,084 U.S. Treasuries 146,530 146,530 — — Mortgage loans held for investment, net (1) 15,738 12,973 19,036 15,971 Derivative assets 2,940 2,940 28,534 28,534 Liabilities: Repurchase agreements (2) $ 2,565,902 $ 2,565,902 $ 2,898,952 $ 2,898,952 Non-recourse collateralized financing (1) 5,520 5,554 6,440 6,357 Derivative liabilities 269 269 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. |
(Tables)
(Tables) | 12 Months Ended |
Dec. 31, 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: Year Ended December 31, 2017 2016 2015 Shares Weighted Average Grant Date Fair Value Per Share 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 $ 8.54 731,809 $ 8.89 Restricted stock granted 138,166 6.76 214,878 6.28 263,829 8.21 Restricted stock vested (338,459 ) 7.80 (358,079 ) 8.71 (299,041 ) 9.12 Restricted stock outstanding as of end of period 353,103 $ 7.01 553,396 $ 7.55 696,597 $ 8.54 |
Organization and Summary of S24
Organization and Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 |
Accounting Policies [Abstract] | ||||
Cash and cash equivalents | $ 40,867 | $ 74,120 | ||
Restricted cash | 46,333 | 24,769 | ||
Total cash, cash equivalents, and restricted cash shown on consolidated statement of cash flows | $ 87,200 | $ 98,889 | $ 85,125 | $ 86,207 |
Investments in Debt Securitie25
Investments in Debt Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Par Balance | $ 2,446,491 | $ 2,422,883 | ||||
Available-for-sale Securities, Net Premium (Discount) | 736,128 | 822,084 | ||||
Available-for-sale Debt Securities, Amortized Cost Basis | 3,182,619 | 3,244,967 | ||||
Available-for-sale Securities, Gross Unrealized Gain | 17,185 | 19,643 | ||||
Available-for-sale Securities, Gross Unrealized Loss | (26,285) | (52,526) | ||||
Available-for-sale Securities, Fair Value | 3,173,519 | 3,212,084 | ||||
Available-for-sale Securities, Sale Proceeds | 1,073,093 | 87,818 | $ 449,921 | |||
Available-for-sale Securities, Gross Realized Gains | 0 | |||||
Available-for-sale Securities, Gross Realized Gain (Loss) | (11,530) | (4,238) | (978) | |||
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis | 4,480 | 12,375 | ||||
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis | 208,046 | 228,443 | ||||
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis | 1,334,795 | 1,060,273 | ||||
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis | 1,635,298 | 1,943,876 | ||||
Available-for-sale Securities, Debt Maturities, Single Maturity Date, Amortized Cost Basis | 3,182,619 | 3,244,967 | ||||
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 4,542 | 12,189 | ||||
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 210,727 | 235,059 | ||||
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 1,326,178 | 1,040,609 | ||||
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Fair Value | 1,632,072 | 1,924,227 | ||||
Available-for-sale Securities, Debt Maturities, Single Maturity Date | 3,173,519 | 3,212,084 | ||||
Agency MBS | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position for less than 12 months, Fair Value | 1,293,798 | 1,738,094 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss | $ (9,769) | $ (38,469) | ||||
Available-for-sale Securities, Number of Securities in Continuous Unrealized Loss Position for less than 12 months | 71 | 133 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position for 12 months or longer, Fair Value | $ 423,698 | $ 427,405 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss | $ (14,035) | $ (8,952) | ||||
Available-for-sale Securities, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer | 30 | 72 | ||||
Non-Agency MBS | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position for less than 12 months, Fair Value | $ 51,406 | $ 205,484 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss | $ (421) | $ (2,773) | ||||
Available-for-sale Securities, Number of Securities in Continuous Unrealized Loss Position for less than 12 months | 11 | 48 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position for 12 months or longer, Fair Value | $ 20,414 | $ 81,660 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss | $ (323) | $ (2,332) | ||||
Available-for-sale Securities, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer | 12 | 26 | ||||
U.S. Treasuries | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Par Balance | $ 148,400 | |||||
Available-for-sale Securities, Net Premium (Discount) | (133) | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | 148,267 | |||||
Available-for-sale Securities, Gross Unrealized Gain | 0 | |||||
Available-for-sale Securities, Gross Unrealized Loss | (1,737) | |||||
Available-for-sale Securities, Fair Value | $ 146,530 | |||||
Available-for-sale Securities, Weighted Average Coupon | 2.13% | |||||
Available-for-sale Securities, Sale Proceeds | $ 51,797 | $ 0 | 0 | |||
Available-for-sale Securities, Gross Realized Losses | (244) | 0 | 0 | |||
CMBS | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Par Balance | 1,150,468 | 1,232,053 | ||||
Available-for-sale Securities, Net Premium (Discount) | 6,407 | 7,150 | ||||
Available-for-sale Debt Securities, Amortized Cost Basis | 1,156,875 | 1,239,203 | ||||
Available-for-sale Securities, Gross Unrealized Gain | 5,812 | 11,676 | ||||
Available-for-sale Securities, Gross Unrealized Loss | (13,572) | (28,108) | ||||
Available-for-sale Securities, Fair Value | 1,149,115 | 1,222,771 | ||||
CMBS | Agency MBS | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Par Balance | 1,123,967 | 1,152,586 | ||||
Available-for-sale Securities, Net Premium (Discount) | 10,442 | 13,868 | ||||
Available-for-sale Debt Securities, Amortized Cost Basis | 1,134,409 | 1,166,454 | ||||
Available-for-sale Securities, Gross Unrealized Gain | 3,514 | 6,209 | ||||
Available-for-sale Securities, Gross Unrealized Loss | (13,572) | (28,108) | ||||
Available-for-sale Securities, Fair Value | $ 1,124,351 | $ 1,144,555 | ||||
Available-for-sale Securities, Weighted Average Coupon | [1] | 3.03% | 3.12% | |||
Available-for-sale Securities, Sale Proceeds | $ 252,624 | $ 0 | 149,360 | |||
Available-for-sale Securities, Gross Realized Losses | (135) | 0 | (604) | |||
CMBS | Non-Agency MBS | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Par Balance | 26,501 | 79,467 | ||||
Available-for-sale Securities, Net Premium (Discount) | (4,035) | (6,718) | ||||
Available-for-sale Debt Securities, Amortized Cost Basis | 22,466 | 72,749 | ||||
Available-for-sale Securities, Gross Unrealized Gain | 2,298 | 5,467 | ||||
Available-for-sale Securities, Gross Unrealized Loss | 0 | 0 | ||||
Available-for-sale Securities, Fair Value | $ 24,764 | $ 78,216 | ||||
Available-for-sale Securities, Weighted Average Coupon | [1] | 5.47% | 4.72% | |||
Available-for-sale Securities, Sale Proceeds | $ 35,705 | $ 33,640 | 30,775 | |||
Available-for-sale Securities, Gross Realized Losses | (1,228) | (566) | ||||
Available-for-sale Securities, Gross Realized Gains | (1,199) | |||||
CMBS IO | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Par Balance | 0 | 0 | ||||
Available-for-sale Securities, Net Premium (Discount) | 683,833 | 757,892 | ||||
Available-for-sale Debt Securities, Amortized Cost Basis | 683,833 | 757,892 | ||||
Available-for-sale Securities, Gross Unrealized Gain | 9,706 | 5,071 | ||||
Available-for-sale Securities, Gross Unrealized Loss | (1,017) | (8,417) | ||||
Available-for-sale Securities, Fair Value | 692,522 | 754,546 | ||||
CMBS IO | Agency MBS | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Par Balance | 0 | [2] | 0 | [3] | ||
Available-for-sale Securities, Net Premium (Discount) | 375,361 | 411,737 | ||||
Available-for-sale Debt Securities, Amortized Cost Basis | 375,361 | 411,737 | ||||
Available-for-sale Securities, Gross Unrealized Gain | 5,238 | 3,523 | ||||
Available-for-sale Securities, Gross Unrealized Loss | (293) | (3,362) | ||||
Available-for-sale Securities, Fair Value | $ 380,306 | $ 411,898 | ||||
Available-for-sale Securities, Weighted Average Coupon | [1] | 0.62% | 0.67% | |||
Notional balance for interest only securities | $ 14,196,122 | $ 13,106,912 | ||||
Available-for-sale Securities, Sale Proceeds | 0 | 0 | 45,096 | |||
Available-for-sale Securities, Gross Realized Gains | 0 | (1,698) | ||||
CMBS IO | Non-Agency MBS | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Par Balance | [2] | 0 | ||||
Available-for-sale Securities, Net Premium (Discount) | 308,472 | 346,155 | ||||
Available-for-sale Debt Securities, Amortized Cost Basis | 308,472 | 346,155 | ||||
Available-for-sale Securities, Gross Unrealized Gain | 4,468 | 1,548 | ||||
Available-for-sale Securities, Gross Unrealized Loss | (724) | (5,055) | ||||
Available-for-sale Securities, Fair Value | $ 312,216 | $ 342,648 | ||||
Available-for-sale Securities, Weighted Average Coupon | [1] | 0.61% | 0.61% | |||
Notional balance for interest only securities | $ 11,006,463 | $ 10,884,964 | ||||
Available-for-sale Securities, Sale Proceeds | 0 | 0 | 50,125 | |||
Available-for-sale Securities, Gross Realized Gains | 0 | 0 | (1,359) | |||
RMBS | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Par Balance | 1,147,623 | 1,190,830 | ||||
Available-for-sale Securities, Net Premium (Discount) | 46,021 | 57,042 | ||||
Available-for-sale Debt Securities, Amortized Cost Basis | 1,193,644 | 1,247,872 | ||||
Available-for-sale Securities, Gross Unrealized Gain | 1,667 | 2,896 | ||||
Available-for-sale Securities, Gross Unrealized Loss | (9,959) | (16,001) | ||||
Available-for-sale Securities, Fair Value | 1,185,352 | 1,234,767 | ||||
RMBS | Agency MBS | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Par Balance | 1,146,553 | [4] | 1,157,258 | |||
Available-for-sale Securities, Net Premium (Discount) | 46,021 | [4] | 57,066 | |||
Available-for-sale Debt Securities, Amortized Cost Basis | 1,192,574 | [4] | 1,214,324 | |||
Available-for-sale Securities, Gross Unrealized Gain | 1,626 | [4] | 2,832 | |||
Available-for-sale Securities, Gross Unrealized Loss | (9,939) | [4] | (15,951) | |||
Available-for-sale Securities, Fair Value | $ 1,184,261 | [4] | $ 1,201,205 | |||
Available-for-sale Securities, Weighted Average Coupon | [1] | 3.56% | [4] | 3.05% | ||
Available-for-sale Securities, Sale Proceeds | $ 716,560 | $ 54,178 | 174,565 | |||
Available-for-sale Securities, Gross Realized Losses | (12,392) | (3,010) | (2,865) | |||
RMBS | Non-Agency MBS | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Available-for-sale Securities, Par Balance | 1,070 | 33,572 | ||||
Available-for-sale Securities, Net Premium (Discount) | 0 | (24) | ||||
Available-for-sale Debt Securities, Amortized Cost Basis | 1,070 | 33,548 | ||||
Available-for-sale Securities, Gross Unrealized Gain | 41 | 64 | ||||
Available-for-sale Securities, Gross Unrealized Loss | (20) | (50) | ||||
Available-for-sale Securities, Fair Value | $ 1,091 | $ 33,562 | ||||
Available-for-sale Securities, Weighted Average Coupon | [1] | 6.75% | 3.58% | |||
Available-for-sale Securities, Sale Proceeds | $ 16,407 | $ 0 | 0 | |||
Available-for-sale Securities, Gross Realized Gains | $ (42) | $ 0 | $ 0 | |||
[1] | The weighted average coupon (“WAC”) is the gross interest rate of 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 $14,196,122 and $11,006,463, respectively, as of December 31, 2017. | |||||
[3] | The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $13,106,912 and $10,884,964, respectively, as of December 31, 2016. | |||||
[4] | Includes purchased securities pending settlement. |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Balance | $ 2,565,902 | $ 2,898,952 | |
Weighted Average Rate | 1.67% | 1.03% | |
Fair Value of Collateral Pledged | $ 2,765,099 | $ 3,149,839 | |
Payable for unsettled securities | 156,899 | 0 | |
Securitization financing bond | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Balance | $ 0 | $ 4,803 | |
Weighted Average Rate | 0.00% | 2.00% | |
Fair Value of Collateral Pledged | $ 0 | $ 5,278 | |
RMBS | Agency MBS | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Balance | $ 836,281 | $ 1,157,302 | |
Weighted Average Rate | 1.47% | 0.82% | |
Fair Value of Collateral Pledged | $ 867,120 | $ 1,191,147 | |
Payable for unsettled securities | 156,899 | ||
Securities, purchases pending settlement | [1] | 156,551 | |
RMBS | Non-Agency MBS | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Balance | $ 0 | $ 26,149 | |
Weighted Average Rate | 0.00% | 1.98% | |
Fair Value of Collateral Pledged | $ 0 | $ 31,952 | |
CMBS | Agency MBS | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Balance | $ 1,003,146 | $ 1,005,726 | |
Weighted Average Rate | 1.44% | 0.82% | |
Fair Value of Collateral Pledged | $ 1,071,904 | $ 1,095,002 | |
CMBS | Non-Agency MBS | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Balance | $ 15,508 | $ 66,881 | |
Weighted Average Rate | 2.47% | 1.63% | |
Fair Value of Collateral Pledged | $ 18,212 | $ 77,840 | |
CMBS IO | Agency MBS | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Balance | $ 324,163 | $ 346,892 | |
Weighted Average Rate | 2.17% | 1.57% | |
Fair Value of Collateral Pledged | $ 372,077 | $ 407,481 | |
CMBS IO | Non-Agency MBS | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Balance | $ 263,694 | $ 291,199 | |
Weighted Average Rate | 2.43% | 1.67% | |
Fair Value of Collateral Pledged | $ 311,571 | $ 341,139 | |
U.S. Treasuries | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Balance | $ 123,110 | $ 0 | |
Weighted Average Rate | 1.85% | 0.00% | |
Fair Value of Collateral Pledged | $ 124,215 | $ 0 | |
[1] | Includes purchased securities pending settlement. |
Repurchase Agreements Remaining
Repurchase Agreements Remaining Term to Maturity (Details) $ in Thousands | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 2,565,902 | $ 2,898,952 |
WAVG Original Term to Maturity | 54 | 63 |
Less than 30 days | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 2,240,791 | $ 2,480,213 |
WAVG Original Term to Maturity | 49 | 58 |
30 to 90 days | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 274,231 | $ 418,739 |
WAVG Original Term to Maturity | 90 | 87 |
Maturity Greater than 90 Days [Member] | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 50,880 | $ 0 |
WAVG Original Term to Maturity | 121 | 0 |
Repurchase Agreements Counterpa
Repurchase Agreements Counterparty Information (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2017USD ($)Agreements | |
Repurchase Agreement Counterparty [Line Items] | |
Borrowings outstanding with counterparty | $ 311,351 |
Weighted Average Rate | 2.43% |
Equity at Risk | $ 56,383 |
Line of Credit Facility, Amount Outstanding | 304,005 |
Line of Credit Facility, Maximum Borrowing Capacity | $ 400,000 |
Line of Credit Facility, Expiration Date | May 12, 2019 |
Line of Credit Facility, Interest Rate at Period End | 2.43% |
Number of Counterparties with Borrowings Outstanding | Agreements | 16 |
Available Repurchase Agreement Counterparties | Agreements | 34 |
Repurchase Agreements Offsettin
Repurchase Agreements Offsetting (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | |
Offsetting Liabilities [Line Items] | |||
Gross Amount of Recognized Liabilities | $ 2,565,902 | $ 2,898,952 | |
Gross Amount Offset in the Balance Sheet | 0 | 0 | |
Net Amount of Liabilities Presented in the Balance Sheet | 2,565,902 | 2,898,952 | |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities | [1] | (2,565,902) | (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 debt securities up to and not exceeding the net amount of the asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. |
(Details)
(Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||||
Derivative [Line Items] | ||||||||||||||
Derivative assets, fair value | $ 2,940 | $ 28,534 | $ 2,940 | $ 28,534 | ||||||||||
Derivative liabilities, fair value | (269) | (6,922) | (269) | (6,922) | ||||||||||
Derivative asset, net of variation margin | 104 | 104 | ||||||||||||
Derivative liability, net of variation margin | (576) | (576) | ||||||||||||
Gain (loss) on derivative instruments, net | $ 12,678 | $ 5,993 | $ (15,802) | $ 175 | $ 56,546 | $ 2,409 | $ (16,297) | $ (48,264) | $ 3,044 | $ (5,606) | $ (43,128) | |||
Derivative, Average Fixed Interest Rate, Current Effective | 1.36% | 0.73% | 1.36% | 0.73% | ||||||||||
Other Footnotes Disclosing Derivative-Related Information, Cross-Reference | Please refer to Note 1 for information related to the Company’s accounting policy for its derivative instruments. | |||||||||||||
Forward starting interest rate swap | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative, Notional Amount | $ (2,525,000) | $ (2,725,000) | $ (2,525,000) | $ (2,725,000) | ||||||||||
Eurodollar futures | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | (821) | |||||||||||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (4,815) | (20,963) | ||||||||||||
Long [Member] | Interest rate swaps | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | (23) | (2,515) | (6,522) | |||||||||||
Long [Member] | TBA securities | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative assets, fair value | 0 | 0 | ||||||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | (5,757) | 0 | 0 | |||||||||||
Short [Member] | Interest rate swaps | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (2,655) | (3,306) | (28,687) | |||||||||||
Short [Member] | TBA securities | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 0 | $ 0 | ||||||||||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (902) | |||||||||||||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative assets, fair value | [1] | 791 | 28,534 | 791 | 28,534 | |||||||||
Derivative liabilities, fair value | [1] | 0 | (6,922) | 0 | (6,922) | |||||||||
Derivative, Notional Amount | [2] | $ (5,675,000) | $ (3,030,000) | $ (5,675,000) | $ (3,030,000) | |||||||||
Derivative, Average Fixed Interest Rate | [3] | 1.71% | 1.58% | 1.71% | 1.58% | |||||||||
Derivative, Average Remaining Maturity | 3 years 1 month 6 days | 5 years 3 months 18 days | ||||||||||||
Derivative, Fair Value, Net | $ 791 | $ 21,612 | $ 791 | $ 21,612 | ||||||||||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Eurodollar futures | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative assets, fair value | 666 | [1] | 0 | 666 | [1] | 0 | ||||||||
Derivative, Notional Amount | (1,950,000) | 0 | (1,950,000) | 0 | ||||||||||
Notional Amount of Derivative Instruments Added | 2,600,000 | |||||||||||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | 650,000 | |||||||||||||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Long [Member] | Interest rate swaps | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative, Notional Amount | (100,000) | (425,000) | (100,000) | (425,000) | ||||||||||
Notional Amount of Derivative Instruments Added | 0 | |||||||||||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | 325,000 | |||||||||||||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | Interest rate swaps | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative, Notional Amount | (5,775,000) | (3,455,000) | (5,775,000) | (3,455,000) | ||||||||||
Notional Amount of Derivative Instruments Added | 3,890,000 | |||||||||||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | 1,570,000 | |||||||||||||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | TBA securities | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative liabilities, fair value | (269) | 0 | (269) | 0 | ||||||||||
Derivative, Notional Amount | (150,000) | [4] | 0 | (150,000) | [4] | 0 | ||||||||
Notional Amount of Derivative Instruments Added | 250,000 | |||||||||||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | 100,000 | |||||||||||||
Not Designated as Hedging Instrument, Trading [Member] | Long [Member] | TBA securities | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative assets, fair value | 1,483 | 1,483 | ||||||||||||
Derivative, Notional Amount | (795,000) | [4] | 0 | (795,000) | [4] | 0 | ||||||||
Notional Amount of Derivative Instruments Added | 6,729,000 | |||||||||||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | 5,934,000 | |||||||||||||
Maturity in three years or less | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative, Notional Amount | [2] | $ (3,320,000) | $ (595,000) | $ (3,320,000) | $ (595,000) | |||||||||
Derivative, Average Fixed Interest Rate | 1.35% | 0.73% | 1.35% | 0.73% | ||||||||||
Derivative, Average Remaining Maturity | 8 months 12 days | 2 years 3 months 18 days | ||||||||||||
Derivative, Fair Value, Net | $ 791 | $ 4,348 | $ 791 | $ 4,348 | ||||||||||
Maturity between 3 and 6 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative, Notional Amount | [2] | $ (1,210,000) | $ (1,185,000) | $ (1,210,000) | $ (1,185,000) | |||||||||
Derivative, Average Fixed Interest Rate | 2.00% | 1.47% | 2.00% | 1.47% | ||||||||||
Derivative, Average Remaining Maturity | 4 years 7 months 6 days | 4 years 3 months 18 days | ||||||||||||
Derivative, Fair Value, Net | $ 0 | $ 8,631 | $ 0 | $ 8,631 | ||||||||||
Maturity between 6 and 10 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative, Notional Amount | [2] | $ (1,025,000) | $ (1,250,000) | $ (1,025,000) | $ (1,250,000) | |||||||||
Derivative, Average Fixed Interest Rate | 2.49% | 2.42% | 2.49% | 2.42% | ||||||||||
Derivative, Average Remaining Maturity | 8 years | 8 years 10 months 24 days | ||||||||||||
Derivative, Fair Value, Net | $ 0 | $ 8,633 | $ 0 | $ 8,633 | ||||||||||
Maturity greater than 10 years [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||||||||||||
Derivative [Line Items] | ||||||||||||||
Derivative, Notional Amount | [2] | $ (120,000) | $ (120,000) | |||||||||||
Derivative, Average Fixed Interest Rate | 2.75% | 2.75% | ||||||||||||
Derivative, Average Remaining Maturity | 17 years 3 months 18 days | |||||||||||||
Derivative, Fair Value, Net | $ 0 | $ 0 | ||||||||||||
[1] | Refer to Note 1 regarding information on a change in the CME rulebook. Amounts reported on the consolidated balance sheet as of December 31, 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 December 31, 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 $2,525,000 and $2,725,000 of pay-fixed forward starting interest rate swaps as of December 31, 2017 and December 31, 2016, respectively. | |||||||||||||
[3] | Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.36% and 0.73% as of December 31, 2017 and December 31, 2016, respectively. | |||||||||||||
[4] | Notional amount represents the par value (or principal balance) of the underlying Agency MBS as if settled as of the end of the period. |
Derivatives TBA securities (Det
Derivatives TBA securities (Details) - TBA securities - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | ||
Short [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ 150,000 | [1] | $ 0 | |
Cost Basis,TBA | [2] | (153,797) | ||
Market value, TBA | [3] | (154,066) | ||
Net carrying value, TBA | [4] | (269) | ||
Long [Member] | Not Designated as Hedging Instrument, Trading [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 795,000 | [1] | $ 0 | |
Cost Basis,TBA | [2] | (829,425) | ||
Market value, TBA | [3] | (830,908) | ||
Net carrying value, TBA | [4] | $ 1,483 | ||
[1] | Notional amount represents the par value (or principal balance) of the underlying Agency MBS as if settled as of the end of the period. | |||
[2] | Implied cost basis represents the forward price to be paid for the underlying Agency MBS as if settled as of end of the period. | |||
[3] | Implied market value represents the estimated fair value of the underlying Agency MBS as if settled as of the end of the period. | |||
[4] | Net carrying value represents the difference between the implied market value and the implied cost basis of the TBA security as of the end of the period and is included on the consolidated balance sheets within “derivative assets (liabilities)”. |
Derivatives Effect on Accumulat
Derivatives Effect on Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative [Line Items] | ||
Accumulated Other Comprehensive Income (Loss), Cumulative Changes in Net Gain (Loss) from Cash Flow Hedges, Effect Net of Tax | $ 402 | |
Scenario, Forecast [Member] | ||
Derivative [Line Items] | ||
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | $ 237 |
Derivatives Offsetting Assets (
Derivatives Offsetting Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | ||
Offsetting Assets [Line Items] | ||||
Derivative Asset, Fair Value, Gross Asset | $ 2,940 | $ 28,534 | ||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 2,940 | 28,534 | ||
Derivative, Collateral, Obligation to Return Securities | [1] | (180) | (6,449) | |
Derivative, Collateral, Obligation to Return Cash | 666 | 22,085 | [1] | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 2,094 | 0 | ||
Interest rate swaps | ||||
Offsetting Assets [Line Items] | ||||
Derivative Asset, Fair Value, Gross Asset | 791 | 28,534 | ||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 791 | 28,534 | ||
Derivative, Collateral, Obligation to Return Securities | [1] | 0 | (6,449) | |
Derivative, Collateral, Obligation to Return Cash | 0 | (22,085) | ||
Derivative Asset, Fair Value, Amount Offset Against Collateral | 791 | $ 0 | ||
Eurodollar futures | ||||
Offsetting Assets [Line Items] | ||||
Derivative Asset, Fair Value, Gross Asset | 666 | |||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 666 | |||
Derivative, Collateral, Obligation to Return Securities | [1] | 0 | ||
Derivative, Collateral, Obligation to Return Cash | (666) | |||
Derivative Asset, Fair Value, Amount Offset Against Collateral | 0 | |||
TBA securities | ||||
Offsetting Assets [Line Items] | ||||
Derivative Asset, Fair Value, Gross Asset | 1,483 | |||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 1,483 | |||
Derivative, Collateral, Obligation to Return Securities | [1] | (180) | ||
Derivative, Collateral, Obligation to Return Cash | 0 | |||
Derivative Asset, Fair Value, Amount Offset Against Collateral | $ 1,303 | |||
[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 total collateral received by or posted to the same counterparty may exceed the amounts presented. |
Derivatives Offsetting Liabilit
Derivatives Offsetting Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | |
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | $ 269 | $ 6,922 | |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 269 | 6,922 | |
Derivative, Collateral, Right to Reclaim Securities | [1] | (180) | (6,913) |
Derivative, Collateral, Right to Reclaim Cash | 0 | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 89 | 9 | |
Interest rate swaps | |||
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 0 | 6,922 | |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 0 | 6,922 | |
Derivative, Collateral, Right to Reclaim Securities | [1] | 0 | (6,913) |
Derivative, Collateral, Right to Reclaim Cash | 0 | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | $ 9 | |
TBA securities | |||
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 269 | ||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 269 | ||
Derivative, Collateral, Right to Reclaim Securities | [1] | (180) | |
Derivative, Collateral, Right to Reclaim Cash | 0 | ||
Derivative Liability, Fair Value, Amount Offset Against Collateral | $ 89 | ||
[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 total collateral received by or posted to the same counterparty may exceed the amounts presented. |
Fair Value of Financial Instr35
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage-backed securities | $ 3,026,989 | $ 3,212,084 | |||
U.S. Treasuries | 146,530 | 0 | |||
Derivative asset | 2,940 | 28,534 | |||
Total assets carried at fair value | 3,176,459 | 3,240,618 | |||
Derivative liabilities | 269 | 6,922 | |||
Total liabilities carried at fair value | 269 | 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 | 147,196 | 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 | 3,019,746 | 3,201,157 | |||
U.S. Treasuries | 0 | ||||
Total assets carried at fair value | 3,022,020 | 3,229,691 | |||
Total liabilities carried at fair value | 269 | 6,922 | |||
Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage-backed securities | 7,243 | 10,927 | |||
U.S. Treasuries | 0 | ||||
Total assets carried at fair value | 7,243 | 10,927 | |||
Total liabilities carried at fair value | 0 | 0 | |||
Interest rate swaps | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | 791 | 28,534 | |||
Derivative liabilities | 6,922 | ||||
Interest rate swaps | Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | 0 | 0 | |||
Derivative liabilities | 0 | ||||
Interest rate swaps | Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | 791 | 28,534 | |||
Derivative liabilities | 6,922 | ||||
Interest rate swaps | Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | 0 | 0 | |||
Derivative liabilities | 0 | ||||
Eurodollar futures | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | 666 | ||||
Eurodollar futures | Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | 666 | ||||
Eurodollar futures | Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | 0 | ||||
Eurodollar futures | Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | 0 | ||||
TBA securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | [1] | 1,483 | |||
Derivative liabilities | 269 | ||||
TBA securities | Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | 0 | ||||
Derivative liabilities | 0 | ||||
TBA securities | Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | 1,483 | ||||
Derivative liabilities | 269 | ||||
TBA securities | Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative asset | 0 | ||||
Derivative liabilities | 0 | ||||
Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 7,243 | $ 10,927 | $ 16,435 | $ 43,957 | |
[1] | Refer to Note 1 regarding information on a change in the CME rulebook. Amounts reported on the consolidated balance sheet as of December 31, 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 December 31, 2017 for the derivative asset and derivative liabilities as of December 31, 2016 were $104 and $(576), respectively. |
Fair Value of Financial Instr36
Fair Value of Financial Instruments Level 3 (Details) - Fair Value, Measurements, Recurring - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance at the beginning of the period | $ 10,927 | $ 16,435 | $ 43,957 | |
Unrealized (loss) gain included in OCI | [1] | (1,733) | (1,057) | (2,608) |
Principal payments | (4,351) | (6,019) | (30,602) | |
Accretion | 2,400 | 1,568 | 472 | |
Balance at the end of the period | $ 7,243 | $ 10,927 | $ 16,435 | |
[1] | Amount included in “unrealized gain (loss) on available-for-sale investments, net” on consolidated statements of comprehensive income (loss). |
Fair Value of Financial Instr37
Fair Value of Financial Instruments Recorded basis and Fair Value (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | $ 3,026,989 | $ 3,212,084 | |
U.S. Treasuries | 146,530 | 0 | |
Derivative assets | 2,940 | 28,534 | |
Derivative liabilities | 269 | 6,922 | |
Carrying Value | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 3,026,989 | 3,212,084 | |
U.S. Treasuries | 146,530 | 0 | |
Mortgage loans held for investment, net (1) | 15,738 | 19,036 | |
Derivative assets | 2,940 | 28,534 | |
Repurchase agreements (2) | 2,565,902 | 2,898,952 | |
Non-recourse collateralized financing (1) | 5,520 | 6,440 | |
Derivative liabilities | 269 | 6,922 | |
Fair Value | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 3,026,989 | 3,212,084 | |
U.S. Treasuries | 146,530 | 0 | |
Mortgage loans held for investment, net (1) | [1] | 12,973 | 15,971 |
Derivative assets | 2,940 | 28,534 | |
Repurchase agreements (2) | [2] | 2,565,902 | 2,898,952 |
Non-recourse collateralized financing (1) | [1] | 5,554 | 6,357 |
Derivative liabilities | $ 269 | $ 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 |
Mortgage Loans Held for Inves38
Mortgage Loans Held for Investment, Net and Related Non-Recourse Collateralized Financing (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Mortgage Loans Held for Investment, Net [Abstract] | |||
Single-family mortgage loans held for investment, amortized cost | $ 15,885 | $ 19,317 | |
Seriously delinquent single-family mortgage loans | 1,307 | 1,094 | |
Allowance for credit losses | 147 | 281 | |
Provision for loan losses | $ 80 | 130 | $ 180 |
Debt Instrument, Description of Variable Rate Basis | 1-month LIBOR | ||
Debt Instrument, Basis Spread on Variable Rate | 0.30% | ||
Debt Instrument, Maturity Date | Jan. 31, 2025 | ||
Pledged Financial Instruments, Not Separately Reported, Loans Receivable Pledged as Collateral | $ 6,233 | 7,200 | |
Non-Recourse Debt | $ 5,596 | $ 6,533 |
Shareholders' Equity (Details)
Shareholders' Equity (Details) - $ / shares | 3 Months Ended | 12 Months Ended | |||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | |
Class of Stock [Line Items] | |||||||||
Preferred stock, shares authorized | 50,000,000 | 50,000,000 | 50,000,000 | ||||||
Preferred stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | ||||||
Preferred stock, shares issued | 5,888,680 | 4,571,937 | 5,888,680 | ||||||
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 | $ 0.18 | $ 0.18 | $ 0.18 | $ 0.21 | $ 0.21 | $ 0.21 | $ 0.21 | |
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 | 3,588,680 | 2,271,937 | 3,588,680 | ||||||
Preferred Stock, Dividend Rate, Percentage | 7.625% | ||||||||
Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Dividends Payable, Date to be Paid | Jan. 15, 2018 | ||||||||
Dividends Payable, Date of Record | Jan. 1, 2018 | ||||||||
Common Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Dividends Payable, Date to be Paid | Jan. 31, 2018 | ||||||||
Dividends Payable, Date of Record | Dec. 29, 2017 |
Shareholders' Equity and Share-
Shareholders' Equity and Share-Based Compensation Share-based Compensation (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Share-based incentive plan, number of shares authorized for issuance | 2,500,000 | ||
Share-based incentive plan, number of shares remaining for issuance | 785,962 | ||
Stock-based compensation expense | $ 1,954 | $ 2,709 | $ 2,965 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Rollforward] | |||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Not yet Recognized, Share-based Awards Other than Options | $ 1,117 | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Period for Recognition | 1 year 5 months | ||
Restricted Stock | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Rollforward] | |||
Restricted stock outstanding as of beginning of period | 553,396 | 696,597 | 731,809 |
Restricted stock granted | 138,166 | 214,878 | 263,829 |
Restricted stock vested | (338,459) | (358,079) | (299,041) |
Restricted stock outstanding as of end of period | 353,103 | 553,396 | 696,597 |
Restricted stock as of beginning of period of period, nonvested, weighted average grant date fair value per share | $ 7.55 | $ 8.54 | $ 8.89 |
Restricted stock granted, weighted average grant date fair value per share | 6.76 | 6.28 | 8.21 |
Restricted stock vested, weighted average grant date fair value per share | 7.80 | 8.71 | 9.12 |
Restricted stock as of end of period, nonvested, weighted average grant date fair value per share | $ 7.01 | $ 7.55 | $ 8.54 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | |||
REIT taxable income | $ 21,332 | $ 21,702 | $ 52,964 |
Operating Loss Carryforwards | $ 89,775 | ||
Operating Loss Carryforwards, Limitations on Use | Because the Company incurred an "ownership change" under Section 382 of the Internal Revenue Code ("Section 382"), the Company's ability to utilize its NOL carryforward to offset its taxable income after any required dividend distributions is limited to approximately $13,451 per year with any unused amounts being accumulated and carried forward for use in subsequent years. As of December 31, 2017, the Company had $52,092 of NOL that is not subject to the existing Section 382 limitations available to offset any future taxable income. The NOL will expire beginning in 2020 to the extent it is not used. |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Related Party Transactions [Abstract] | |||
Related Party Transaction, Rate | 8.00% | ||
Related Party Transaction, Amounts of Transaction | $ 30 | $ 173 | $ 228 |
Due from Officers or Stockholders | $ 10,615 | $ 10,240 | |
Related Party Transaction, Terms and Manner of Settlement | Because DCI does not currently have any assets, the amount due as of December 31, 2017 has been fully reserved for collectibility by the Company. |
Selected Quarterly Informatio43
Selected Quarterly Information (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |||||||||||
Interest income | $ 24,124 | $ 23,103 | $ 24,856 | $ 22,419 | $ 22,858 | $ 21,135 | $ 22,816 | $ 25,089 | $ 94,502 | $ 91,898 | $ 100,244 |
Interest expense | 10,056 | 9,889 | 8,714 | 7,519 | 6,753 | 6,068 | 6,100 | 6,310 | 36,178 | 25,231 | 22,605 |
Net interest income | 14,068 | 13,214 | 16,142 | 14,900 | 16,105 | 15,067 | 16,716 | 18,779 | 58,324 | 66,667 | 77,639 |
Gain (loss) on derivative instruments, net | 12,678 | 5,993 | (15,802) | 175 | 56,546 | 2,409 | (16,297) | (48,264) | 3,044 | (5,606) | (43,128) |
Loss on sale of investments, net | (902) | (5,211) | (3,709) | (1,708) | 0 | 0 | (297) | (3,941) | (11,530) | (4,238) | (978) |
Fair value adjustments and other income (expense) amounts, net | (38) | (86) | 34 | (36) | (1) | 579 | 318 | 87 | |||
General and administrative expenses | 3,843 | 3,599 | 4,097 | 4,280 | 3,589 | 3,355 | 3,671 | 4,092 | |||
Preferred stock dividends | 2,910 | 2,808 | 2,641 | 2,435 | 2,303 | 2,294 | 2,294 | 2,294 | 10,794 | 9,185 | 9,176 |
Net income (loss) to common shareholders | 19,053 | 7,503 | (10,073) | 6,616 | 66,758 | 12,406 | (5,525) | (39,725) | 23,099 | 33,914 | 7,368 |
Other comprehensive income | (14,584) | 6,144 | 12,375 | 19,977 | (85,186) | 670 | 22,947 | 41,728 | 23,912 | (19,841) | (34,084) |
Comprehensive income (loss) to common shareholders | $ 4,469 | $ 13,647 | $ 2,302 | $ 26,593 | $ (18,428) | $ 13,076 | $ 17,422 | $ 2,003 | $ 47,011 | $ 14,073 | $ (26,716) |
Net income per common share-basic and diluted | $ 0.36 | $ 0.15 | $ (0.20) | $ 0.13 | $ 1.36 | $ 0.25 | $ (0.11) | $ (0.81) | $ 0.46 | $ 0.69 | $ 0.14 |
Dividends declared per common share | $ 0.18 | $ 0.18 | $ 0.18 | $ 0.18 | $ 0.21 | $ 0.21 | $ 0.21 | $ 0.21 |