Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2018 | Oct. 31, 2018 | |
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-Q | |
Document Period End Date | Sep. 30, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 59,688,862 | |
Entity Current Reporting Status | Yes |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets: | ||
Mortgage-backed securities (including pledged of $2,645,293 and $2,640,884 respectively) | $ 3,294,510 | $ 3,026,989 |
U.S. Treasuries (including pledged of $57,923 and $124,215, respectively) | 0 | 146,530 |
Mortgage loans held for investment, net | 12,342 | 15,738 |
Cash and cash equivalents | 55,251 | 40,867 |
Restricted cash | 58,334 | 46,333 |
Derivative assets | 2,612 | 2,940 |
Accrued interest receivable | 19,575 | 19,819 |
Other assets, net | 5,555 | 6,562 |
Total assets | 3,448,179 | 3,305,778 |
Liabilities: | ||
Repurchase agreements | 2,690,858 | 2,565,902 |
Payable for unsettled securities | 182,922 | 156,899 |
Non-recourse collateralized financing | 3,709 | 5,520 |
Derivative liabilities | 2,039 | 269 |
Accrued interest payable | 5,676 | 3,734 |
Accrued dividends payable | 13,121 | 12,526 |
Other liabilities | 3,101 | 3,870 |
Total liabilities | 2,901,426 | 2,748,720 |
Shareholders’ Equity: | ||
Preferred stock, par value $.01 per share; 50,000,000 shares authorized; 5,908,999 and 5,888,680 shares issued and outstanding, respectively ($147,725 and $147,217 aggregate liquidation preference, respectively) | 142,574 | 141,294 |
Common stock, par value $.01 per share, 200,000,000 shares authorized; 56,906,200 and 55,831,549 shares issued and outstanding, respectively | 590 | 558 |
Additional paid-in capital | 795,630 | 775,873 |
Accumulated other comprehensive loss | (85,833) | (8,697) |
Accumulated deficit | (306,208) | (351,970) |
Total shareholders’ equity | 546,753 | 557,058 |
Total liabilities and shareholders’ equity | $ 3,448,179 | $ 3,305,778 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets: | ||
Pledged MBS | $ 2,877,985 | $ 2,640,884 |
Pledged U.S. Treasuries | $ 0 | $ 124,215 |
Shareholders’ Equity: | ||
Preferred stock, par value | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized | 50,000,000 | 50,000,000 |
Preferred stock, shares issued | 5,941,659 | 5,888,680 |
Preferred stock, shares outstanding | 5,941,659 | 5,888,680 |
Preferred stock, aggregate liquidation preference | $ 148,541 | $ 147,217 |
Common stock, par value | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 200,000,000 | 200,000,000 |
Common stock, shares issued | 59,016,554 | 55,831,549 |
Common stock, shares outstanding | 59,016,554 | 55,831,549 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Interest income | $ 26,925 | $ 23,103 | $ 78,037 | $ 70,378 |
Interest expense | 14,751 | 9,889 | 40,521 | 26,122 |
Net interest income | 12,174 | 13,214 | 37,516 | 44,256 |
Gain (loss) on derivative instruments, net | 19,499 | 5,993 | 78,520 | (9,634) |
Loss on sale of investments, net | (1,726) | (5,211) | (17,945) | (10,628) |
Fair value adjustments, net | 12 | 23 | 68 | 63 |
Other operating expense, net | (409) | (109) | (1,001) | (150) |
General and administrative expenses: | ||||
Compensation and benefits | (1,712) | (2,070) | (5,425) | (6,356) |
Other general and administrative | (2,252) | (1,529) | (6,188) | (5,620) |
Net income (loss) | 25,586 | 10,311 | 85,545 | 11,931 |
Preferred stock dividends | (2,956) | (2,808) | (8,838) | (7,885) |
Net income (loss) to common shareholders | 22,630 | 7,503 | 76,707 | 4,046 |
Other comprehensive income: | ||||
Unrealized (loss) gain on available-for-sale investments, net | (23,574) | 981 | (94,919) | 28,087 |
Reclassification adjustment for loss on sale of investments, net | 1,726 | 5,211 | 17,945 | 10,628 |
Reclassification adjustment for de-designated cash flow hedges | (66) | (48) | (162) | (220) |
Total other comprehensive (loss) income | (21,914) | 6,144 | (77,136) | 38,495 |
Comprehensive income (loss) to common shareholders | $ 716 | $ 13,647 | $ (429) | $ 42,541 |
Net income (loss) per common share-basic and diluted | $ 0.39 | $ 0.15 | $ 1.35 | $ 0.08 |
Weighted average common shares-basic and diluted | 57,727 | 49,832 | 56,638 | 49,411 |
Consolidated Statements of Shar
Consolidated Statements of Shareholders' Equity Statement - 9 months ended Sep. 30, 2018 - USD ($) $ in Thousands | Total | Preferred Stock | Preferred Stock Including Additional Paid in Capital | Common Stock | Additional Paid-in Capital | Accumulated Other Comprehensive Loss | Accumulated Deficit |
Balance at Dec. 31, 2017 | $ 557,058 | $ 141,294 | $ 558 | $ 775,873 | $ (8,697) | $ (351,970) | |
Balance, Preferred shares outstanding at Dec. 31, 2017 | 5,888,680 | 5,888,680 | |||||
Balance, Common shares outstanding at Dec. 31, 2017 | 55,831,549 | 55,831,549 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Stock Issued During Period, Shares, New Issues | 52,979 | 3,028,983 | |||||
Stock Issued During Period, Shares, Restricted Stock Award, Gross | 213,157 | ||||||
Shares Paid for Tax Withholding for Share Based Compensation | 57,135 | ||||||
Stock issuance | $ 20,571 | 1,290 | $ 31 | 19,250 | |||
Restricted stock granted, net of amortization | 930 | 2 | 928 | ||||
Adjustments for tax withholding on share-based compensation | (364) | (1) | (363) | ||||
Stock issuance costs | (68) | (10) | (58) | ||||
Net income | 85,545 | 85,545 | |||||
Dividends on preferred stock | (8,838) | (8,838) | |||||
Dividends on common stock | (30,945) | (30,945) | |||||
Other comprehensive loss | (77,136) | (77,136) | |||||
Balance at Sep. 30, 2018 | $ 546,753 | $ 142,574 | $ 590 | $ 795,630 | $ (85,833) | $ (306,208) | |
Balance, Preferred shares outstanding at Sep. 30, 2018 | 5,941,659 | 5,941,659 | |||||
Balance, Common shares outstanding at Sep. 30, 2018 | 59,016,554 | 59,016,554 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Operating activities: | ||
Net income | $ 85,545 | $ 11,931 |
Adjustments to reconcile net income to cash provided by operating activities: | ||
Decrease in accrued interest receivable | 244 | 1,129 |
Increase (decrease) in accrued interest payable | 1,942 | (436) |
(Gain) loss on derivative instruments, net | (78,520) | 9,634 |
Loss on sale of investments, net | 17,945 | 10,628 |
Fair value adjustments, net | (68) | (63) |
Amortization of investment premiums, net | 110,501 | 122,621 |
Other amortization and depreciation, net | 937 | 983 |
Stock-based compensation expense | 930 | 1,567 |
Change in other assets and liabilities, net | (896) | (1,905) |
Net cash and cash equivalents provided by operating activities | 138,560 | 156,089 |
Investing activities: | ||
Purchase of investments | (1,080,485) | (772,590) |
Principal payments received on investments | 137,362 | 248,298 |
Proceeds from sales of investments | 642,900 | 792,984 |
Principal payments received on mortgage loans held for investment, net | 3,375 | 2,641 |
Net receipts on derivatives, including terminations | 80,618 | 11,743 |
Other investing activities | (72) | (214) |
Net cash and cash equivalents provided by investing activities | (216,302) | 282,862 |
Financing activities: | ||
Borrowings under repurchase agreements | 76,890,349 | 60,229,426 |
Repayments of repurchase agreement borrowings | (76,765,393) | (60,609,148) |
Principal payments on non-recourse collateralized financing | (1,838) | (747) |
Proceeds from issuance of preferred stock | 1,290 | 25,884 |
Proceeds from issuance of common stock | 19,281 | 14,495 |
Cash paid for stock issuance costs | (10) | (61) |
Payments related to tax withholding for stock-based compensation | (364) | (521) |
Dividends paid | (39,188) | (35,479) |
Net cash and cash equivalents used in financing activities | 104,127 | (376,151) |
Net increase in cash, cash equivalents, and restricted cash | 26,385 | 62,800 |
Cash, cash equivalents, and restricted cash at beginning of period | 87,200 | 98,889 |
Cash, cash equivalents, and restricted cash at end of period | 113,585 | 161,689 |
Supplemental Disclosure of Cash Activity: | ||
Cash paid for interest | $ 38,713 | $ 26,766 |
Organization and Summary of Sig
Organization and Summary of Significant Accounting Policies (Notes) | 9 Months Ended |
Sep. 30, 2018 | |
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 unaudited consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial information and with the instructions to the Quarterly Report on Form 10-Q and Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and notes required by GAAP for complete financial statements. In the opinion of management, all significant adjustments, consisting of normal recurring accruals, considered necessary for a fair presentation of the consolidated financial statements have been included. Operating results for the three and nine months ended September 30, 2018 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2018. The unaudited consolidated financial statements included herein should be read in conjunction with the audited financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2017 filed with 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 or nine months ended September 30, 2018 or September 30, 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 has 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 nine months ended September 30, 2017 now omits the change in restricted cash as previously reported for that period, and that change is now included within “net increase in cash, cash equivalents, and restricted cash” 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 September 30, 2018 that sum to the total of the same such amounts shown on the Company’s consolidated statement of cash flows for the nine months ended September 30, 2018 : September 30, 2018 Cash and cash equivalents $ 55,251 Restricted cash 58,334 Total cash, cash equivalents, and restricted cash shown on consolidated statement of cash flows $ 113,585 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 generally include interest rate swaps, Eurodollar futures, options on U.S. Treasury 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 derivative instruments on the Company’s consolidated balance sheets is the unsettled fair value of the instruments subject to bilateral agreements and not centrally cleared through the CME. 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 2018 Stock and Incentive Plan (“2018 Plan”), the Company may grant share-based compensation to eligible employees, non-employee directors or consultants or advisors to the Company, including restricted stock awards, stock options, stock appreciation rights, performance units, restricted stock units, and performance cash awards. The Company’s restricted stock currently issued and outstanding 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 a participant 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. |
Investments in Debt Securities
Investments in Debt Securities (Notes) | 9 Months Ended |
Sep. 30, 2018 | |
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: September 30, 2018 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) RMBS: Agency $ 1,761,274 $ 55,092 $ 1,816,366 $ 1,214 $ (42,428 ) $ 1,775,152 3.92 % Non-Agency 909 — 909 24 (20 ) 913 6.75 % 1,762,183 55,092 1,817,275 1,238 (42,448 ) 1,776,065 CMBS: Agency 987,266 9,792 997,058 363 (49,125 ) 948,296 3.08 % Non-Agency 7,027 (3,103 ) 3,924 1,399 — 5,323 8.90 % 994,293 6,689 1,000,982 1,762 (49,125 ) 953,619 CMBS IO (2) : Agency — 308,174 308,174 2,197 (1,141 ) 309,230 0.59 % Non-Agency — 254,153 254,153 2,403 (960 ) 255,596 0.59 % — 562,327 562,327 4,600 (2,101 ) 564,826 U.S. Treasuries: — — — — — — — % Total AFS securities: $ 2,756,476 $ 624,108 $ 3,380,584 $ 7,600 $ (93,674 ) $ 3,294,510 (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 $13,238,960 and $10,391,240 respectively, as of September 30, 2018 . 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 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 the Agency CMBS IO and non-Agency CMBS IO was $14,196,122 and $11,006,463 , respectively, as of December 31, 2017 . 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 dates indicated: September 30, 2018 December 31, 2017 Amortized Cost Fair Value Amortized Cost Fair Value Less than 1 year $ 47,271 $ 47,217 $ 4,480 $ 4,542 > 1 and <5 years 158,325 159,007 208,046 210,727 > 5 and <10 years 935,687 893,930 1,334,795 1,326,178 > 10 years 2,239,301 2,194,356 1,635,298 1,632,072 $ 3,380,584 $ 3,294,510 $ 3,182,619 $ 3,173,519 The following table presents information regarding the sales that generated the “loss on sale of investments, net” on the Company’s consolidated statements of comprehensive income for the periods indicated: Three Months Ended September 30, 2018 2017 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ — $ — $ 393,502 $ (5,160 ) Agency CMBS 48,237 (1,720 ) 13,433 (51 ) Agency CMBS IO 10,571 127 — — U.S. Treasuries 57,843 (133 ) — — $ 116,651 $ (1,726 ) $ 406,935 $ (5,211 ) Nine Months Ended September 30, 2018 2017 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 217,837 $ (7,785 ) $ 716,560 $ (12,392 ) Agency CMBS 156,995 (3,771 ) 206,993 523 Agency CMBS IO 10,571 127 — — Non-Agency CMBS — — 35,705 1,199 Non-Agency RMBS — — 16,407 42 Non-Agency CMBS IO 8,695 51 — — U.S. Treasuries 248,802 (6,567 ) — — $ 642,900 $ (17,945 ) $ 975,665 $ (10,628 ) The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated: September 30, 2018 December 31, 2017 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 $ 1,540,220 $ (29,765 ) 91 $ 1,293,798 $ (9,769 ) 71 Non-Agency MBS 79,326 (447 ) 23 51,406 (421 ) 11 U.S. Treasuries — — 0 146,530 (1,737 ) 1 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 1,064,620 $ (62,929 ) 58 $ 423,698 $ (14,035 ) 30 Non-Agency MBS 31,282 (533 ) 13 20,414 (323 ) 12 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 September 30, 2018 and December 31, 2017 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 September 30, 2018 or December 31, 2017 . |
Repurchase Agreements (Notes)
Repurchase Agreements (Notes) | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase agreements | REPURCHASE AGREEMENTS The Company’s repurchase agreements outstanding as of September 30, 2018 and December 31, 2017 are summarized in the following tables: September 30, 2018 December 31, 2017 Collateral Type Balance Weighted Average Rate Fair Value of Collateral Pledged Balance Weighted Average Rate Fair Value of Collateral Pledged Agency RMBS $ 1,362,687 2.26 % $ 1,423,415 $ 836,281 1.47 % $ 867,120 Agency CMBS 840,346 2.22 % 897,077 1,003,146 1.44 % 1,071,904 Agency CMBS IO 271,305 2.72 % 302,403 324,163 2.17 % 372,077 Non-Agency CMBS IO 216,520 3.11 % 255,090 263,694 2.43 % 311,571 Non-Agency CMBS — — % — 15,508 2.47 % 18,212 U.S. Treasuries — — % — 123,110 1.85 % 124,215 Total repurchase agreements $ 2,690,858 2.36 % $ 2,877,985 $ 2,565,902 1.67 % $ 2,765,099 The Company also had $182,922 and $156,899 payable to counterparties as of September 30, 2018 and December 31, 2017 , respectively, which consisted of securities pending settlement as of those respective dates. 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 dates indicated: September 30, 2018 December 31, 2017 Remaining Term to Maturity Balance WAVG Original Term to Maturity Balance WAVG Original Term to Maturity Less than 30 days $ 2,081,391 45 $ 2,240,791 49 30 to 90 days 609,467 91 274,231 90 91 to 180 days — — 50,880 121 Total $ 2,690,858 55 $ 2,565,902 54 The following table lists the counterparties with whom the Company had approximately 10% or more of its shareholders’ equity at risk (defined as the excess of collateral pledged over the borrowings outstanding): September 30, 2018 Counterparty Name Balance Weighted Average Rate Equity at Risk Wells Fargo Bank, N. A. and affiliates $ 303,564 2.93 % $ 47,192 Of the amount outstanding with Wells Fargo Bank, N.A. and affiliates, $228,992 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 by CMBS IO, and its weighted average borrowing rate as of September 30, 2018 was 3.10% . As of September 30, 2018 , the Company had repurchase agreement amounts outstanding with 17 of its 35 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 September 30, 2018 . 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 September 30, 2018 and December 31, 2017 : 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 September 30, 2018 Repurchase agreements $ 2,690,858 $ — $ 2,690,858 $ (2,690,858 ) $ — $ — December 31, 2017 Repurchase agreements $ 2,565,902 $ — $ 2,565,902 $ (2,565,902 ) $ — $ — (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) | 9 Months Ended |
Sep. 30, 2018 | |
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 Company did not hold any short positions in TBA securities as of September 30, 2018 . Other Derivatives. The Company periodically utilizes options on Treasury futures in order to manage the duration of the Company’s investment portfolio while minimizing the impact on the Company’s exposure to the spread risk inherent in owning MBS. The options on Treasury futures outstanding as of September 30, 2018 will expire during the fourth quarter of 2018. 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: Type of Derivative Instrument Balance Sheet Location Purpose September 30, 2018 December 31, 2017 Interest rate swaps Derivative assets Economic hedging $ 694 $ 791 Eurodollar futures Derivative assets Economic hedging — 666 TBA securities Derivative assets Trading 871 1,483 Call Options on U.S. Treasury futures Derivative assets Trading 328 — Put Options on U.S. Treasury futures Derivative assets Trading 719 — $ 2,612 $ 2,940 TBA securities Derivative liabilities Trading $ (2,039 ) $ — TBA securities Derivative liabilities Economic hedging — (269 ) $ (2,039 ) $ (269 ) The following tables present information about the Company’s interest rate swaps as of the dates indicated: September 30, 2018 Weighted-Average: Years to Maturity: Net Notional Amount (1) Pay Rate (2) Life Remaining (in Years) Fair Value (3) < 3 years $ 1,520,000 2.01 % 1.4 $ 694 >3 and < 6 years 1,290,000 2.10 % 4.1 — >6 and < 10 years 1,150,000 2.61 % 7.9 — >10 years 220,000 2.81 % 22.2 — Total $ 4,180,000 2.24 % 5.1 $ 694 December 31, 2017 Weighted-Average: Years to Maturity: Net Notional Amount (1) Pay Rate (2) Life Remaining (in Years) Fair Value (3) < 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 (1) The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of any receive-fixed interest rate swaps, and include $1,525,000 and $2,655,000 of pay-fixed forward starting interest rate swaps as of September 30, 2018 and December 31, 2017 , respectively. (2) Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.66% and 1.36% as of September 30, 2018 and December 31, 2017 , respectively. (3) The majority of the Company’s interest rate swap agreements are centrally cleared through the CME. Please refer to Note 1 for information regarding the exchange of variation margin being legally considered as settlement of the derivative as opposed to a pledge of collateral. The following table summarizes information about the Company's TBA securities as of the dates indicated: September 30, 2018 TBA Securities: Notional Amount (1) Implied Cost Basis (2) Implied Market Value (3) Net Carrying Value (4) Dollar roll positions $ 761,000 $ 780,865 $ 779,697 $ (1,168 ) Economic hedges $ — $ — $ — $ — December 31, 2017 Notional Amount (1) Implied Cost Basis (2) Implied Market Value (3) Net Carrying Value (4) Dollar roll positions $ 795,000 $ 829,425 $ 830,908 $ 1,483 Economic hedges $ 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 is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the end of the period. 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, 2017 Additions Settlements, Terminations, or Pair-Offs Notional Amount as of September 30, 2018 Receive-fixed interest rate swaps $ 100,000 $ — $ (100,000 ) $ — Pay-fixed interest rate swaps 5,775,000 955,000 (2,550,000 ) 4,180,000 Eurodollar futures (1) 1,950,000 — (1,950,000 ) — TBA dollar roll positions 795,000 7,857,000 (7,891,000 ) 761,000 TBA economic hedges 150,000 — (150,000 ) — Call Options on U.S. Treasury futures — 100,000 — 100,000 Put Options on U.S. Treasury futures — 400,000 (300,000 ) 100,000 (1) The Eurodollar futures notional amounts represent the total notional of the 3-month contracts all of which expire in 2018. The maximum notional outstanding for any future 3-month period did not exceed $650,000 during the period indicated. The table below provides detail of the Company’s “gain (loss) on derivative instruments, net” by type of derivative for the periods indicated: Three Months Ended Nine Months Ended September 30, September 30, Type of Derivative Instrument 2018 2017 2018 2017 Receive-fixed interest rate swaps $ (153 ) $ (99 ) $ (1,658 ) $ 746 Pay-fixed interest rate swaps 25,172 (611 ) 95,491 (18,799 ) Eurodollar futures (189 ) — 1,886 — TBA dollar roll positions (5,204 ) 6,703 (18,256 ) 8,419 TBA economic hedges — — 293 — Call Options on U.S. Treasury futures 148 — 148 — Put Options on U.S. Treasury futures (275 ) — 616 — Gain (loss) on derivative instruments, net $ 19,499 $ 5,993 $ 78,520 $ (9,634 ) There is a net unrealized gain of $240 remaining in AOCI on the Company’s consolidated balance sheet as of September 30, 2018 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 $177 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 September 30, 2018 . 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 September 30, 2018 and December 31, 2017 : 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 September 30, 2018 Interest rate swaps $ 694 $ — $ 694 $ — $ — $ 694 Eurodollar Futures — — — — — — TBA securities 871 — 871 (346 ) (123 ) 402 Options on U.S. Treasury futures 1,047 — 1,047 (1,047 ) — — Derivative assets $ 2,612 $ — $ 2,612 $ (1,393 ) $ (123 ) $ 1,096 December 31, 2017 Interest rate swaps $ 791 $ — $ 791 $ — $ — $ 791 Eurodollar Futures 666 — 666 — (666 ) — TBA securities 1,483 — 1,483 (180 ) — 1,303 Options on U.S. Treasury futures — — — — — — Derivative assets $ 2,940 $ — $ 2,940 $ (180 ) $ (666 ) $ 2,094 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 September 30, 2018 Interest rate swaps $ — $ — $ — $ — $ — $ — TBA securities 2,039 — 2,039 (346 ) (873 ) 820 Derivative liabilities $ 2,039 $ — $ 2,039 $ (346 ) $ (873 ) $ 820 December 31, 2017 Interest rate swaps $ — $ — $ — $ — $ — $ — TBA securities 269 — 269 (180 ) — 89 Derivative liabilities $ 269 $ — $ 269 $ (180 ) $ — $ 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. 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) | 9 Months Ended |
Sep. 30, 2018 | |
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 Company’s financial instruments that are measured at fair value on a recurring basis by their valuation hierarchy levels as of the dates indicated: September 30, 2018 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 $ 3,294,510 $ — $ 3,288,274 $ 6,236 U.S. Treasuries — — — — Derivative assets: Interest rate swaps 694 — 694 — Eurodollar futures — — — — TBA securities 871 — 871 — Options on U.S. Treasury futures 1,047 1,047 — — Total assets carried at fair value $ 3,297,122 $ 1,047 $ 3,289,839 $ 6,236 Liabilities carried at fair value: TBA securities 2,039 — 2,039 — Total liabilities carried at fair value $ 2,039 $ — $ 2,039 $ — 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 $ — The fair value of interest rate swaps is 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 and options on U.S. Treasury 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 is 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: Nine Months Ended September 30, 2018 Balance as of beginning of period $ 7,243 Unrealized loss included in OCI (862 ) Principal payments (1,031 ) Accretion 886 Balance as of end of period $ 6,236 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: September 30, 2018 December 31, 2017 Carrying Value Fair Value Carrying Value Fair Value Assets: Mortgage-backed securities $ 3,294,510 $ 3,294,510 $ 3,026,989 $ 3,026,989 U.S. Treasuries — — 146,530 146,530 Mortgage loans held for investment, net (1) 12,342 9,165 15,738 12,973 Derivative assets 2,612 2,612 2,940 2,940 Liabilities: Repurchase agreements (2) $ 2,690,858 $ 2,690,858 $ 2,565,902 $ 2,565,902 Non-recourse collateralized financing (1) 3,709 3,742 5,520 5,554 Derivative liabilities 2,039 2,039 269 269 (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. |
(Notes)
(Notes) | 9 Months Ended |
Sep. 30, 2018 | |
Equity [Abstract] | |
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 3,641,659 shares of its Series B Preferred Stock issued and outstanding as of September 30, 2018 compared to 2,300,000 shares of Series A Preferred Stock and 3,588,680 shares of Series B Preferred Stock as of December 31, 2017 . 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 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 third quarter on October 15, 2018 to shareholders of record as of October 1, 2018 . Common Stock The Company declared a third quarter common stock dividend of $0.18 per share that was paid on October 31, 2018 to shareholders of record as of October 3, 2018 . Stock and Incentive Plans. The Company’s Board adopted the 2018 Stock and Incentive Plan which was approved by the Company’s shareholders on May 15, 2018. The 2018 Plan, which replaced the Company’s 2009 Stock and Incentive Plan (the “2009 Plan”), reserves for issuance up to 3,000,000 shares of common stock for eligible employees, non-employee directors, consultants, and advisors to the Company to be granted in the form of stock options, restricted stock awards, restricted stock units, stock appreciation rights, performance units, and performance cash awards. During the nine months ended September 30, 2018 , 36,924 shares of restricted stock were issued under the 2018 Plan. Awards previously granted under the 2009 Plan will remain outstanding in accordance with their terms, but the Company will not grant any new equity awards under the 2009 Plan. Total stock-based compensation expense recognized by the Company for the three and nine months ended September 30, 2018 was $301 and $930 , respectively, compared to $388 and $1,567 , respectively, for the three and nine months ended September 30, 2017 . The following table presents a rollforward of the restricted stock activity for the periods indicated: Three Months Ended September 30, 2018 2017 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 341,713 $ 6.37 353,103 $ 7.01 Restricted stock granted — — — — Restricted stock vested — — — — Restricted stock outstanding as of end of period 341,713 $ 6.37 353,103 $ 7.01 Nine Months Ended September 30, 2018 2017 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 353,103 $ 7.01 553,396 $ 7.55 Restricted stock granted 213,157 6.28 138,166 6.76 Restricted stock vested (224,547 ) 7.28 (338,459 ) 7.80 Restricted stock outstanding as of end of period 341,713 $ 6.37 353,103 $ 7.01 As of September 30, 2018 , the grant date fair value of the Company’s remaining nonvested restricted stock is $1,534 which will be amortized into compensation expense over a weighted average period of 1.8 years. |
Subsequent Events (Notes)
Subsequent Events (Notes) | 9 Months Ended |
Sep. 30, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS Management has evaluated events and circumstances occurring as of and through the date this Quarterly Report on Form 10-Q was filed with the SEC and has determined that there have been no significant events or circumstances that qualify as a "recognized" or "nonrecognized" subsequent event as defined by ASC Topic 855. |
Organization and Summary of S_2
Organization and Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2018 | |
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 unaudited consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial information and with the instructions to the Quarterly Report on Form 10-Q and Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and notes required by GAAP for complete financial statements. In the opinion of management, all significant adjustments, consisting of normal recurring accruals, considered necessary for a fair presentation of the consolidated financial statements have been included. Operating results for the three and nine months ended September 30, 2018 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2018. The unaudited consolidated financial statements included herein should be read in conjunction with the audited financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2017 filed with 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 or nine months ended September 30, 2018 or September 30, 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 has 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 nine months ended September 30, 2017 now omits the change in restricted cash as previously reported for that period, and that change is now included within “net increase in cash, cash equivalents, and restricted cash” 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 September 30, 2018 that sum to the total of the same such amounts shown on the Company’s consolidated statement of cash flows for the nine months ended September 30, 2018 : September 30, 2018 Cash and cash equivalents $ 55,251 Restricted cash 58,334 Total cash, cash equivalents, and restricted cash shown on consolidated statement of cash flows $ 113,585 |
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 generally include interest rate swaps, Eurodollar futures, options on U.S. Treasury 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 derivative instruments on the Company’s consolidated balance sheets is the unsettled fair value of the instruments subject to bilateral agreements and not centrally cleared through the CME. 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 2018 Stock and Incentive Plan (“2018 Plan”), the Company may grant share-based compensation to eligible employees, non-employee directors or consultants or advisors to the Company, including restricted stock awards, stock options, stock appreciation rights, performance units, restricted stock units, and performance cash awards. The Company’s restricted stock currently issued and outstanding 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 a participant 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. |
Investments in Debt Securitie_2
Investments in Debt Securities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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 dates indicated: September 30, 2018 December 31, 2017 Amortized Cost Fair Value Amortized Cost Fair Value Less than 1 year $ 47,271 $ 47,217 $ 4,480 $ 4,542 > 1 and <5 years 158,325 159,007 208,046 210,727 > 5 and <10 years 935,687 893,930 1,334,795 1,326,178 > 10 years 2,239,301 2,194,356 1,635,298 1,632,072 $ 3,380,584 $ 3,294,510 $ 3,182,619 $ 3,173,519 |
Schedule of Realized Gain (Loss) | The following table presents information regarding the sales that generated the “loss on sale of investments, net” on the Company’s consolidated statements of comprehensive income for the periods indicated: Three Months Ended September 30, 2018 2017 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ — $ — $ 393,502 $ (5,160 ) Agency CMBS 48,237 (1,720 ) 13,433 (51 ) Agency CMBS IO 10,571 127 — — U.S. Treasuries 57,843 (133 ) — — $ 116,651 $ (1,726 ) $ 406,935 $ (5,211 ) Nine Months Ended September 30, 2018 2017 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain (Loss) Agency RMBS $ 217,837 $ (7,785 ) $ 716,560 $ (12,392 ) Agency CMBS 156,995 (3,771 ) 206,993 523 Agency CMBS IO 10,571 127 — — Non-Agency CMBS — — 35,705 1,199 Non-Agency RMBS — — 16,407 42 Non-Agency CMBS IO 8,695 51 — — U.S. Treasuries 248,802 (6,567 ) — — $ 642,900 $ (17,945 ) $ 975,665 $ (10,628 ) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated: September 30, 2018 December 31, 2017 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 $ 1,540,220 $ (29,765 ) 91 $ 1,293,798 $ (9,769 ) 71 Non-Agency MBS 79,326 (447 ) 23 51,406 (421 ) 11 U.S. Treasuries — — 0 146,530 (1,737 ) 1 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 1,064,620 $ (62,929 ) 58 $ 423,698 $ (14,035 ) 30 Non-Agency MBS 31,282 (533 ) 13 20,414 (323 ) 12 |
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: September 30, 2018 Par Net Premium (Discount) Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value WAC (1) RMBS: Agency $ 1,761,274 $ 55,092 $ 1,816,366 $ 1,214 $ (42,428 ) $ 1,775,152 3.92 % Non-Agency 909 — 909 24 (20 ) 913 6.75 % 1,762,183 55,092 1,817,275 1,238 (42,448 ) 1,776,065 CMBS: Agency 987,266 9,792 997,058 363 (49,125 ) 948,296 3.08 % Non-Agency 7,027 (3,103 ) 3,924 1,399 — 5,323 8.90 % 994,293 6,689 1,000,982 1,762 (49,125 ) 953,619 CMBS IO (2) : Agency — 308,174 308,174 2,197 (1,141 ) 309,230 0.59 % Non-Agency — 254,153 254,153 2,403 (960 ) 255,596 0.59 % — 562,327 562,327 4,600 (2,101 ) 564,826 U.S. Treasuries: — — — — — — — % Total AFS securities: $ 2,756,476 $ 624,108 $ 3,380,584 $ 7,600 $ (93,674 ) $ 3,294,510 (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 $13,238,960 and $10,391,240 respectively, as of September 30, 2018 . 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 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 the Agency CMBS IO and non-Agency CMBS IO was $14,196,122 and $11,006,463 , respectively, as of December 31, 2017 . |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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 dates indicated: September 30, 2018 December 31, 2017 Remaining Term to Maturity Balance WAVG Original Term to Maturity Balance WAVG Original Term to Maturity Less than 30 days $ 2,081,391 45 $ 2,240,791 49 30 to 90 days 609,467 91 274,231 90 91 to 180 days — — 50,880 121 Total $ 2,690,858 55 $ 2,565,902 54 |
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 September 30, 2018 and December 31, 2017 are summarized in the following tables: September 30, 2018 December 31, 2017 Collateral Type Balance Weighted Average Rate Fair Value of Collateral Pledged Balance Weighted Average Rate Fair Value of Collateral Pledged Agency RMBS $ 1,362,687 2.26 % $ 1,423,415 $ 836,281 1.47 % $ 867,120 Agency CMBS 840,346 2.22 % 897,077 1,003,146 1.44 % 1,071,904 Agency CMBS IO 271,305 2.72 % 302,403 324,163 2.17 % 372,077 Non-Agency CMBS IO 216,520 3.11 % 255,090 263,694 2.43 % 311,571 Non-Agency CMBS — — % — 15,508 2.47 % 18,212 U.S. Treasuries — — % — 123,110 1.85 % 124,215 Total repurchase agreements $ 2,690,858 2.36 % $ 2,877,985 $ 2,565,902 1.67 % $ 2,765,099 |
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 approximately 10% or more of its shareholders’ equity at risk (defined as the excess of collateral pledged over the borrowings outstanding): September 30, 2018 Counterparty Name Balance Weighted Average Rate Equity at Risk Wells Fargo Bank, N. A. and affiliates $ 303,564 2.93 % $ 47,192 |
Derivatives (Tables)
Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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: Type of Derivative Instrument Balance Sheet Location Purpose September 30, 2018 December 31, 2017 Interest rate swaps Derivative assets Economic hedging $ 694 $ 791 Eurodollar futures Derivative assets Economic hedging — 666 TBA securities Derivative assets Trading 871 1,483 Call Options on U.S. Treasury futures Derivative assets Trading 328 — Put Options on U.S. Treasury futures Derivative assets Trading 719 — $ 2,612 $ 2,940 TBA securities Derivative liabilities Trading $ (2,039 ) $ — TBA securities Derivative liabilities Economic hedging — (269 ) $ (2,039 ) $ (269 ) |
Schedule of Derivative Instruments | The following tables present information about the Company’s interest rate swaps as of the dates indicated: September 30, 2018 Weighted-Average: Years to Maturity: Net Notional Amount (1) Pay Rate (2) Life Remaining (in Years) Fair Value (3) < 3 years $ 1,520,000 2.01 % 1.4 $ 694 >3 and < 6 years 1,290,000 2.10 % 4.1 — >6 and < 10 years 1,150,000 2.61 % 7.9 — >10 years 220,000 2.81 % 22.2 — Total $ 4,180,000 2.24 % 5.1 $ 694 December 31, 2017 Weighted-Average: Years to Maturity: Net Notional Amount (1) Pay Rate (2) Life Remaining (in Years) Fair Value (3) < 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 (1) The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of any receive-fixed interest rate swaps, and include $1,525,000 and $2,655,000 of pay-fixed forward starting interest rate swaps as of September 30, 2018 and December 31, 2017 , respectively. (2) Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.66% and 1.36% as of September 30, 2018 and December 31, 2017 , respectively. (3) The majority of the Company’s interest rate swap agreements are centrally cleared through the CME. Please refer to Note 1 for information regarding the exchange of variation margin being legally considered as settlement of the derivative as opposed to a pledge of collateral. The following table summarizes information about the Company's TBA securities as of the dates indicated: September 30, 2018 TBA Securities: Notional Amount (1) Implied Cost Basis (2) Implied Market Value (3) Net Carrying Value (4) Dollar roll positions $ 761,000 $ 780,865 $ 779,697 $ (1,168 ) Economic hedges $ — $ — $ — $ — December 31, 2017 Notional Amount (1) Implied Cost Basis (2) Implied Market Value (3) Net Carrying Value (4) Dollar roll positions $ 795,000 $ 829,425 $ 830,908 $ 1,483 Economic hedges $ 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 is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the end of the period. |
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, 2017 Additions Settlements, Terminations, or Pair-Offs Notional Amount as of September 30, 2018 Receive-fixed interest rate swaps $ 100,000 $ — $ (100,000 ) $ — Pay-fixed interest rate swaps 5,775,000 955,000 (2,550,000 ) 4,180,000 Eurodollar futures (1) 1,950,000 — (1,950,000 ) — TBA dollar roll positions 795,000 7,857,000 (7,891,000 ) 761,000 TBA economic hedges 150,000 — (150,000 ) — Call Options on U.S. Treasury futures — 100,000 — 100,000 Put Options on U.S. Treasury futures — 400,000 (300,000 ) 100,000 |
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: Three Months Ended Nine Months Ended September 30, September 30, Type of Derivative Instrument 2018 2017 2018 2017 Receive-fixed interest rate swaps $ (153 ) $ (99 ) $ (1,658 ) $ 746 Pay-fixed interest rate swaps 25,172 (611 ) 95,491 (18,799 ) Eurodollar futures (189 ) — 1,886 — TBA dollar roll positions (5,204 ) 6,703 (18,256 ) 8,419 TBA economic hedges — — 293 — Call Options on U.S. Treasury futures 148 — 148 — Put Options on U.S. Treasury futures (275 ) — 616 — Gain (loss) on derivative instruments, net $ 19,499 $ 5,993 $ 78,520 $ (9,634 ) |
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 September 30, 2018 Interest rate swaps $ 694 $ — $ 694 $ — $ — $ 694 Eurodollar Futures — — — — — — TBA securities 871 — 871 (346 ) (123 ) 402 Options on U.S. Treasury futures 1,047 — 1,047 (1,047 ) — — Derivative assets $ 2,612 $ — $ 2,612 $ (1,393 ) $ (123 ) $ 1,096 December 31, 2017 Interest rate swaps $ 791 $ — $ 791 $ — $ — $ 791 Eurodollar Futures 666 — 666 — (666 ) — TBA securities 1,483 — 1,483 (180 ) — 1,303 Options on U.S. Treasury futures — — — — — — Derivative assets $ 2,940 $ — $ 2,940 $ (180 ) $ (666 ) $ 2,094 |
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 September 30, 2018 Interest rate swaps $ — $ — $ — $ — $ — $ — TBA securities 2,039 — 2,039 (346 ) (873 ) 820 Derivative liabilities $ 2,039 $ — $ 2,039 $ (346 ) $ (873 ) $ 820 December 31, 2017 Interest rate swaps $ — $ — $ — $ — $ — $ — TBA securities 269 — 269 (180 ) — 89 Derivative liabilities $ 269 $ — $ 269 $ (180 ) $ — $ 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 Instr_2
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following table presents the Company’s financial instruments that are measured at fair value on a recurring basis by their valuation hierarchy levels as of the dates indicated: September 30, 2018 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 $ 3,294,510 $ — $ 3,288,274 $ 6,236 U.S. Treasuries — — — — Derivative assets: Interest rate swaps 694 — 694 — Eurodollar futures — — — — TBA securities 871 — 871 — Options on U.S. Treasury futures 1,047 1,047 — — Total assets carried at fair value $ 3,297,122 $ 1,047 $ 3,289,839 $ 6,236 Liabilities carried at fair value: TBA securities 2,039 — 2,039 — Total liabilities carried at fair value $ 2,039 $ — $ 2,039 $ — 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 $ — |
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: Nine Months Ended September 30, 2018 Balance as of beginning of period $ 7,243 Unrealized loss included in OCI (862 ) Principal payments (1,031 ) Accretion 886 Balance as of end of period $ 6,236 |
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: September 30, 2018 December 31, 2017 Carrying Value Fair Value Carrying Value Fair Value Assets: Mortgage-backed securities $ 3,294,510 $ 3,294,510 $ 3,026,989 $ 3,026,989 U.S. Treasuries — — 146,530 146,530 Mortgage loans held for investment, net (1) 12,342 9,165 15,738 12,973 Derivative assets 2,612 2,612 2,940 2,940 Liabilities: Repurchase agreements (2) $ 2,690,858 $ 2,690,858 $ 2,565,902 $ 2,565,902 Non-recourse collateralized financing (1) 3,709 3,742 5,520 5,554 Derivative liabilities 2,039 2,039 269 269 (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) | 9 Months Ended |
Sep. 30, 2018 | |
Equity [Abstract] | |
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity | The following table presents a rollforward of the restricted stock activity for the periods indicated: Three Months Ended September 30, 2018 2017 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 341,713 $ 6.37 353,103 $ 7.01 Restricted stock granted — — — — Restricted stock vested — — — — Restricted stock outstanding as of end of period 341,713 $ 6.37 353,103 $ 7.01 Nine Months Ended September 30, 2018 2017 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 353,103 $ 7.01 553,396 $ 7.55 Restricted stock granted 213,157 6.28 138,166 6.76 Restricted stock vested (224,547 ) 7.28 (338,459 ) 7.80 Restricted stock outstanding as of end of period 341,713 $ 6.37 353,103 $ 7.01 |
Organization and Summary of S_3
Organization and Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Dec. 31, 2016 |
Accounting Policies [Abstract] | ||||
Cash and cash equivalents | $ 55,251 | $ 40,867 | ||
Restricted cash | 58,334 | 46,333 | ||
Total cash, cash equivalents, and restricted cash shown on consolidated statement of cash flows | $ 113,585 | $ 87,200 | $ 161,689 | $ 98,889 |
Investments in Debt Securitie_3
Investments in Debt Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||||||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale Securities, Par Balance | $ 2,756,476 | $ 2,756,476 | $ 2,446,491 | ||||||
Available-for-sale Securities, Net Premium (Discount) | 624,108 | 624,108 | 736,128 | ||||||
Available-for-sale Debt Securities, Amortized Cost Basis | 3,380,584 | 3,380,584 | 3,182,619 | ||||||
Available-for-sale Securities, Gross Unrealized Gain | 7,600 | 7,600 | 17,185 | ||||||
Available-for-sale Securities, Gross Unrealized Loss | (93,674) | (93,674) | (26,285) | ||||||
Available-for-sale Securities, Fair Value | 3,294,510 | 3,294,510 | 3,173,519 | ||||||
Available-for-sale Securities, Sale Proceeds | 116,651 | $ 406,935 | 642,900 | $ 975,665 | |||||
Available-for-sale Securities, Gross Realized Gain (Loss) | (1,726) | (5,211) | (17,945) | (10,628) | |||||
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis | 47,271 | 47,271 | 4,480 | ||||||
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis | 158,325 | 158,325 | 208,046 | ||||||
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis | 935,687 | 935,687 | 1,334,795 | ||||||
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis | 2,239,301 | 2,239,301 | 1,635,298 | ||||||
Available-for-sale Securities, Debt Maturities, Single Maturity Date, Amortized Cost Basis | 3,380,584 | 3,380,584 | 3,182,619 | ||||||
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 47,217 | 47,217 | 4,542 | ||||||
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 159,007 | 159,007 | 210,727 | ||||||
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 893,930 | 893,930 | 1,326,178 | ||||||
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Fair Value | 2,194,356 | 2,194,356 | 1,632,072 | ||||||
Available-for-sale Securities, Debt Maturities, Single Maturity Date | 3,294,510 | 3,294,510 | 3,173,519 | ||||||
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 | 1,540,220 | 1,540,220 | 1,293,798 | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss | $ (29,765) | $ (29,765) | $ (9,769) | ||||||
Available-for-sale Securities, Number of Securities in Continuous Unrealized Loss Position for less than 12 months | 91 | 91 | 71 | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position for 12 months or longer, Fair Value | $ 1,064,620 | $ 1,064,620 | $ 423,698 | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss | $ (62,929) | $ (62,929) | $ (14,035) | ||||||
Available-for-sale Securities, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer | 58 | 58 | 30 | ||||||
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 | $ 79,326 | $ 79,326 | $ 51,406 | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss | $ (447) | $ (447) | $ (421) | ||||||
Available-for-sale Securities, Number of Securities in Continuous Unrealized Loss Position for less than 12 months | 23 | 23 | 11 | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position for 12 months or longer, Fair Value | $ 31,282 | $ 31,282 | $ 20,414 | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss | $ (533) | $ (533) | $ (323) | ||||||
Available-for-sale Securities, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer | 13 | 13 | 12 | ||||||
U.S. Treasuries | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale Securities, Par Balance | $ 0 | $ 0 | $ 148,400 | ||||||
Available-for-sale Securities, Net Premium (Discount) | 0 | 0 | (133) | ||||||
Available-for-sale Debt Securities, Amortized Cost Basis | 0 | 0 | 148,267 | ||||||
Available-for-sale Securities, Gross Unrealized Gain | 0 | 0 | 0 | ||||||
Available-for-sale Securities, Gross Unrealized Loss | 0 | 0 | (1,737) | ||||||
Available-for-sale Securities, Fair Value | $ 0 | $ 0 | $ 146,530 | ||||||
Available-for-sale Securities, Weighted Average Coupon | 0.00% | 0.00% | 2.13% | ||||||
Available-for-sale Securities, Sale Proceeds | $ 57,843 | 0 | $ 248,802 | 0 | |||||
Available-for-sale Securities, Gross Realized Gains | 0 | 0 | |||||||
Available-for-sale Securities, Gross Realized Losses | (133) | (6,567) | |||||||
Available-for-sale Securities, Continuous Unrealized Loss Position for less than 12 months, Fair Value | 0 | 0 | $ 146,530 | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss | $ 0 | $ 0 | $ (1,737) | ||||||
Available-for-sale Securities, Number of Securities in Continuous Unrealized Loss Position for less than 12 months | 0 | 0 | 1 | ||||||
CMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale Securities, Par Balance | $ 994,293 | $ 994,293 | $ 1,150,468 | ||||||
Available-for-sale Securities, Net Premium (Discount) | 6,689 | 6,689 | 6,407 | ||||||
Available-for-sale Debt Securities, Amortized Cost Basis | 1,000,982 | 1,000,982 | 1,156,875 | ||||||
Available-for-sale Securities, Gross Unrealized Gain | 1,762 | 1,762 | 5,812 | ||||||
Available-for-sale Securities, Gross Unrealized Loss | (49,125) | (49,125) | (13,572) | ||||||
Available-for-sale Securities, Fair Value | 953,619 | 953,619 | 1,149,115 | ||||||
CMBS | Agency MBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale Securities, Par Balance | 987,266 | 987,266 | 1,123,967 | ||||||
Available-for-sale Securities, Net Premium (Discount) | 9,792 | 9,792 | 10,442 | ||||||
Available-for-sale Debt Securities, Amortized Cost Basis | 997,058 | 997,058 | 1,134,409 | ||||||
Available-for-sale Securities, Gross Unrealized Gain | 363 | 363 | 3,514 | ||||||
Available-for-sale Securities, Gross Unrealized Loss | (49,125) | (49,125) | (13,572) | ||||||
Available-for-sale Securities, Fair Value | $ 948,296 | $ 948,296 | $ 1,124,351 | ||||||
Available-for-sale Securities, Weighted Average Coupon | [1] | 3.08% | 3.08% | 3.03% | |||||
Available-for-sale Securities, Sale Proceeds | $ 48,237 | 13,433 | $ 156,995 | 206,993 | |||||
Available-for-sale Securities, Gross Realized Gains | 523 | ||||||||
Available-for-sale Securities, Gross Realized Losses | (1,720) | (51) | (3,771) | ||||||
CMBS | Non-Agency MBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale Securities, Par Balance | 7,027 | 7,027 | $ 26,501 | ||||||
Available-for-sale Securities, Net Premium (Discount) | (3,103) | (3,103) | (4,035) | ||||||
Available-for-sale Debt Securities, Amortized Cost Basis | 3,924 | 3,924 | 22,466 | ||||||
Available-for-sale Securities, Gross Unrealized Gain | 1,399 | 1,399 | 2,298 | ||||||
Available-for-sale Securities, Gross Unrealized Loss | 0 | 0 | 0 | ||||||
Available-for-sale Securities, Fair Value | $ 5,323 | $ 5,323 | $ 24,764 | ||||||
Available-for-sale Securities, Weighted Average Coupon | [1] | 8.90% | 8.90% | 5.47% | |||||
Available-for-sale Securities, Sale Proceeds | $ 0 | 16,407 | |||||||
Available-for-sale Securities, Gross Realized Gains | 0 | 42 | |||||||
CMBS IO | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale Securities, Par Balance | $ 0 | 0 | $ 0 | ||||||
Available-for-sale Securities, Net Premium (Discount) | 562,327 | 562,327 | 683,833 | ||||||
Available-for-sale Debt Securities, Amortized Cost Basis | 562,327 | 562,327 | 683,833 | ||||||
Available-for-sale Securities, Gross Unrealized Gain | 4,600 | 4,600 | 9,706 | ||||||
Available-for-sale Securities, Gross Unrealized Loss | (2,101) | (2,101) | (1,017) | ||||||
Available-for-sale Securities, Fair Value | 564,826 | 564,826 | 692,522 | ||||||
CMBS IO | Agency MBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale Securities, Par Balance | 0 | [2] | 0 | [2] | 0 | [3] | |||
Available-for-sale Securities, Net Premium (Discount) | 308,174 | 308,174 | 375,361 | ||||||
Available-for-sale Debt Securities, Amortized Cost Basis | 308,174 | 308,174 | 375,361 | ||||||
Available-for-sale Securities, Gross Unrealized Gain | 2,197 | 2,197 | 5,238 | ||||||
Available-for-sale Securities, Gross Unrealized Loss | (1,141) | (1,141) | (293) | ||||||
Available-for-sale Securities, Fair Value | $ 309,230 | $ 309,230 | $ 380,306 | ||||||
Available-for-sale Securities, Weighted Average Coupon | [1] | 0.59% | 0.59% | 0.62% | |||||
Notional balance for interest only securities | $ 13,238,960 | $ 13,238,960 | $ 14,196,122 | ||||||
Available-for-sale Securities, Sale Proceeds | 10,571 | 0 | 10,571 | 0 | |||||
Available-for-sale Securities, Gross Realized Gains | 127 | 0 | 127 | 0 | |||||
CMBS IO | Non-Agency MBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale Securities, Par Balance | [2] | 0 | 0 | ||||||
Available-for-sale Securities, Net Premium (Discount) | 254,153 | 254,153 | 308,472 | ||||||
Available-for-sale Debt Securities, Amortized Cost Basis | 254,153 | 254,153 | 308,472 | ||||||
Available-for-sale Securities, Gross Unrealized Gain | 2,403 | 2,403 | 4,468 | ||||||
Available-for-sale Securities, Gross Unrealized Loss | (960) | (960) | (724) | ||||||
Available-for-sale Securities, Fair Value | $ 255,596 | $ 255,596 | $ 312,216 | ||||||
Available-for-sale Securities, Weighted Average Coupon | [1] | 0.59% | 0.59% | 0.61% | |||||
Notional balance for interest only securities | $ 10,391,240 | $ 10,391,240 | $ 11,006,463 | ||||||
Available-for-sale Securities, Sale Proceeds | 8,695 | 0 | |||||||
Available-for-sale Securities, Gross Realized Gains | 51 | 0 | |||||||
RMBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale Securities, Par Balance | 1,762,183 | 1,762,183 | 1,147,623 | ||||||
Available-for-sale Securities, Net Premium (Discount) | 55,092 | 55,092 | 46,021 | ||||||
Available-for-sale Debt Securities, Amortized Cost Basis | 1,817,275 | 1,817,275 | 1,193,644 | ||||||
Available-for-sale Securities, Gross Unrealized Gain | 1,238 | 1,238 | 1,667 | ||||||
Available-for-sale Securities, Gross Unrealized Loss | (42,448) | (42,448) | (9,959) | ||||||
Available-for-sale Securities, Fair Value | 1,776,065 | 1,776,065 | 1,185,352 | ||||||
RMBS | Agency MBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale Securities, Par Balance | 1,761,274 | 1,761,274 | 1,146,553 | [4] | |||||
Available-for-sale Securities, Net Premium (Discount) | 55,092 | 55,092 | 46,021 | [4] | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | 1,816,366 | 1,816,366 | 1,192,574 | [4] | |||||
Available-for-sale Securities, Gross Unrealized Gain | 1,214 | 1,214 | 1,626 | [4] | |||||
Available-for-sale Securities, Gross Unrealized Loss | (42,428) | (42,428) | (9,939) | [4] | |||||
Available-for-sale Securities, Fair Value | $ 1,775,152 | $ 1,775,152 | $ 1,184,261 | [4] | |||||
Available-for-sale Securities, Weighted Average Coupon | [1] | 3.92% | 3.92% | 3.56% | [4] | ||||
Available-for-sale Securities, Sale Proceeds | $ 0 | 393,502 | $ 217,837 | 716,560 | |||||
Available-for-sale Securities, Gross Realized Losses | 0 | $ (5,160) | (7,785) | (12,392) | |||||
RMBS | Non-Agency MBS | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Available-for-sale Securities, Par Balance | 909 | 909 | $ 1,070 | ||||||
Available-for-sale Securities, Net Premium (Discount) | 0 | 0 | 0 | ||||||
Available-for-sale Debt Securities, Amortized Cost Basis | 909 | 909 | 1,070 | ||||||
Available-for-sale Securities, Gross Unrealized Gain | 24 | 24 | 41 | ||||||
Available-for-sale Securities, Gross Unrealized Loss | (20) | (20) | (20) | ||||||
Available-for-sale Securities, Fair Value | $ 913 | $ 913 | $ 1,091 | ||||||
Available-for-sale Securities, Weighted Average Coupon | [1] | 6.75% | 6.75% | 6.75% | |||||
Available-for-sale Securities, Sale Proceeds | $ 0 | 35,705 | |||||||
Available-for-sale Securities, Gross Realized Gains | $ 0 | $ 1,199 | |||||||
[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 $13,238,960 and $10,391,240 respectively, as of September 30, 2018. | ||||||||
[3] | The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $14,196,122 and $11,006,463, respectively, as of December 31, 2017. | ||||||||
[4] | Includes purchased securities pending settlement. |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 2,690,858 | $ 2,565,902 |
Weighted Average Rate | 2.36% | 1.67% |
Fair Value of Collateral Pledged | $ 2,877,985 | $ 2,765,099 |
Payable for unsettled securities | 182,922 | 156,899 |
RMBS | Agency MBS | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 1,362,687 | $ 836,281 |
Weighted Average Rate | 2.26% | 1.47% |
Fair Value of Collateral Pledged | $ 1,423,415 | $ 867,120 |
CMBS | Agency MBS | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 840,346 | $ 1,003,146 |
Weighted Average Rate | 2.22% | 1.44% |
Fair Value of Collateral Pledged | $ 897,077 | $ 1,071,904 |
CMBS | Non-Agency MBS | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 0 | $ 15,508 |
Weighted Average Rate | 0.00% | 2.47% |
Fair Value of Collateral Pledged | $ 0 | $ 18,212 |
CMBS IO | Agency MBS | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 271,305 | $ 324,163 |
Weighted Average Rate | 2.72% | 2.17% |
Fair Value of Collateral Pledged | $ 302,403 | $ 372,077 |
CMBS IO | Non-Agency MBS | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 216,520 | $ 263,694 |
Weighted Average Rate | 3.11% | 2.43% |
Fair Value of Collateral Pledged | $ 255,090 | $ 311,571 |
U.S. Treasuries | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 0 | $ 123,110 |
Weighted Average Rate | 0.00% | 1.85% |
Fair Value of Collateral Pledged | $ 0 | $ 124,215 |
Repurchase Agreements Remaining
Repurchase Agreements Remaining Term to Maturity (Details) $ in Thousands | Sep. 30, 2018USD ($) | Dec. 31, 2017USD ($) |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 2,690,858 | $ 2,565,902 |
WAVG Original Term to Maturity | 55 | 54 |
Less than 30 days | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 2,081,391 | $ 2,240,791 |
WAVG Original Term to Maturity | 45 | 49 |
30 to 90 days | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 609,467 | $ 274,231 |
WAVG Original Term to Maturity | 91 | 90 |
Maturity Greater than 90 Days [Member] | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Balance | $ 0 | $ 50,880 |
WAVG Original Term to Maturity | 0 | 121 |
Repurchase Agreements Counterpa
Repurchase Agreements Counterparty Information (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($)Agreements | |
Repurchase Agreement Counterparty [Line Items] | |
Borrowings outstanding with counterparty | $ 303,564 |
Weighted Average Rate | 2.93% |
Equity at Risk | $ 47,192 |
Line of Credit Facility, Amount Outstanding | 228,992 |
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 | 3.10% |
Number of Counterparties with Borrowings Outstanding | Agreements | 17 |
Available Repurchase Agreement Counterparties | Agreements | 35 |
Repurchase Agreements Offsettin
Repurchase Agreements Offsetting (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Offsetting Liabilities [Line Items] | |||
Gross Amount of Recognized Liabilities | $ 2,690,858 | $ 2,565,902 | |
Gross Amount Offset in the Balance Sheet | 0 | 0 | |
Net Amount of Liabilities Presented in the Balance Sheet | 2,690,858 | 2,565,902 | |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities | [1] | (2,690,858) | (2,565,902) |
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 | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | ||
Derivative [Line Items] | ||||||
Derivative assets, fair value | $ 2,612 | $ 2,612 | $ 2,940 | |||
Derivative liabilities, fair value | (2,039) | (2,039) | $ (269) | |||
Gain (loss) on derivative instruments, net | $ 19,499 | $ 5,993 | $ 78,520 | $ (9,634) | ||
Derivative, Average Fixed Interest Rate, Current Effective | 1.66% | 1.66% | 1.36% | |||
Other Footnotes Disclosing Derivative-Related Information, Cross-Reference | Note 1 | |||||
Forward starting interest rate swap | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (1,525,000) | $ (1,525,000) | $ (2,655,000) | |||
Eurodollar futures | ||||||
Derivative [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 0 | 1,886 | 0 | |||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (189) | |||||
Call option on U.S. Treasury futures [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 148 | 0 | 148 | 0 | ||
Put option on U.S. Treasury future [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 0 | 616 | 0 | |||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (275) | |||||
Long [Member] | Interest rate swaps | ||||||
Derivative [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 746 | |||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (153) | (99) | (1,658) | |||
Long [Member] | TBA securities | ||||||
Derivative [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 6,703 | 8,419 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (5,204) | (18,256) | ||||
Short [Member] | Interest rate swaps | ||||||
Derivative [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 25,172 | 95,491 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (611) | (18,799) | ||||
Short [Member] | TBA securities | ||||||
Derivative [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 0 | $ 0 | 293 | $ 0 | ||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||||
Derivative [Line Items] | ||||||
Derivative assets, fair value | 694 | 694 | 791 | |||
Derivative, Notional Amount | [1] | $ (4,180,000) | $ (4,180,000) | $ (5,675,000) | ||
Derivative, Average Fixed Interest Rate | [2] | 2.24% | 2.24% | 1.71% | ||
Derivative, Average Remaining Maturity | 5 years 1 month 6 days | 3 years 1 month 6 days | ||||
Derivative, Fair Value, Net | [3] | $ 694 | $ 694 | $ 791 | ||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Eurodollar futures | ||||||
Derivative [Line Items] | ||||||
Derivative assets, fair value | 0 | 0 | 666 | |||
Derivative, Notional Amount | [4] | 0 | 0 | (1,950,000) | ||
Notional Amount of Derivative Instruments Added | [4] | 0 | ||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | [4] | 1,950,000 | ||||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Long [Member] | Interest rate swaps | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 0 | 0 | (100,000) | |||
Notional Amount of Derivative Instruments Added | 0 | |||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | 100,000 | |||||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | Interest rate swaps | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (4,180,000) | (4,180,000) | (5,775,000) | |||
Notional Amount of Derivative Instruments Added | 955,000 | |||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | 2,550,000 | |||||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | TBA securities | ||||||
Derivative [Line Items] | ||||||
Derivative liabilities, fair value | 0 | 0 | (269) | |||
Derivative, Notional Amount | [5] | 0 | 0 | (150,000) | ||
Notional Amount of Derivative Instruments Added | 0 | |||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | 150,000 | |||||
Not Designated as Hedging Instrument, Trading | Call option on U.S. Treasury futures [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative assets, fair value | 328 | 328 | 0 | |||
Derivative, Notional Amount | (100,000) | (100,000) | 0 | |||
Notional Amount of Derivative Instruments Added | 100,000 | |||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | 0 | |||||
Not Designated as Hedging Instrument, Trading | Options on U.S. Treasury futures | ||||||
Derivative [Line Items] | ||||||
Derivative assets, fair value | 719 | 719 | ||||
Not Designated as Hedging Instrument, Trading | Put option on U.S. Treasury future [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative assets, fair value | 0 | |||||
Derivative, Notional Amount | (100,000) | (100,000) | 0 | |||
Notional Amount of Derivative Instruments Added | 400,000 | |||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (300,000) | |||||
Not Designated as Hedging Instrument, Trading | Long [Member] | TBA securities | ||||||
Derivative [Line Items] | ||||||
Derivative assets, fair value | 871 | 871 | 1,483 | |||
Derivative liabilities, fair value | (2,039) | (2,039) | 0 | |||
Derivative, Notional Amount | [5] | (761,000) | (761,000) | (795,000) | ||
Notional Amount of Derivative Instruments Added | 7,857,000 | |||||
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | 7,891,000 | |||||
Maturity in three years or less | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | [1] | $ (1,520,000) | $ (1,520,000) | $ (3,320,000) | ||
Derivative, Average Fixed Interest Rate | 2.01% | 2.01% | 1.35% | |||
Derivative, Average Remaining Maturity | 1 year 4 months 24 days | 8 months 12 days | ||||
Derivative, Fair Value, Net | [3] | $ 694 | $ 694 | $ 791 | ||
Maturity between 3 and 6 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | [1] | $ (1,290,000) | $ (1,290,000) | $ (1,210,000) | ||
Derivative, Average Fixed Interest Rate | 2.10% | 2.10% | 2.00% | |||
Derivative, Average Remaining Maturity | 4 years 1 month 6 days | 4 years 7 months 6 days | ||||
Derivative, Fair Value, Net | [3] | $ 0 | $ 0 | $ 0 | ||
Maturity between 6 and 10 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | [1] | $ (1,150,000) | $ (1,150,000) | $ (1,025,000) | ||
Derivative, Average Fixed Interest Rate | 2.61% | 2.61% | 2.49% | |||
Derivative, Average Remaining Maturity | 7 years 10 months 24 days | 8 years | ||||
Derivative, Fair Value, Net | [3] | $ 0 | $ 0 | $ 0 | ||
Maturity greater than 10 years [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | [1] | $ (220,000) | $ (220,000) | $ (120,000) | ||
Derivative, Average Fixed Interest Rate | 2.81% | 2.81% | 2.75% | |||
Derivative, Average Remaining Maturity | 22 years 2 months 12 days | 17 years 3 months 18 days | ||||
Derivative, Fair Value, Net | [3] | $ 0 | $ 0 | $ 0 | ||
[1] | The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of any receive-fixed interest rate swaps, and include $1,525,000 and $2,655,000 of pay-fixed forward starting interest rate swaps as of September 30, 2018 and December 31, 2017, respectively. | |||||
[2] | Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.66% and 1.36% as of September 30, 2018 and December 31, 2017, respectively. | |||||
[3] | The majority of the Company’s interest rate swap agreements are centrally cleared through the CME. Please refer to Note 1 for information regarding the exchange of variation margin being legally considered as settlement of the derivative as opposed to a pledge of collateral. | |||||
[4] | The Eurodollar futures notional amounts represent the total notional of the 3-month contracts all of which expire in 2018. The maximum notional outstanding for any future 3-month period did not exceed $650,000 during the period indicated. | |||||
[5] | Notional amount represents the par value (or principal balance) of the underlying Agency MBS as if settled as of the end of the period. |
Derivatives TBA securities (Det
Derivatives TBA securities (Details) - TBA securities - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Short [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | [1] | $ 0 | $ 150,000 |
Cost Basis,TBA | [2] | 0 | (153,797) |
Market value, TBA | [3] | 0 | (154,066) |
Net carrying value, TBA | [4] | 0 | (269) |
Long [Member] | Not Designated as Hedging Instrument, Trading | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | [1] | 761,000 | 795,000 |
Cost Basis,TBA | [2] | 780,865 | 829,425 |
Market value, TBA | [3] | 779,697 | 830,908 |
Net carrying value, TBA | [4] | $ (1,168) | $ 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 is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the end of the period. |
Derivatives Volume of Activity
Derivatives Volume of Activity (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018USD ($) | ||
Not Designated as Hedging Instrument, Economic Hedge [Member] | TBA securities | Short [Member] | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | $ 150,000 | [1] |
Notional Amount of Derivative Instruments Added | 0 | |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (150,000) | |
End of Period Notional Amount | 0 | [1] |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | 5,675,000 | [2] |
End of Period Notional Amount | 4,180,000 | [2] |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | Long [Member] | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | 100,000 | |
Notional Amount of Derivative Instruments Added | 0 | |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (100,000) | |
End of Period Notional Amount | 0 | |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | Short [Member] | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | 5,775,000 | |
Notional Amount of Derivative Instruments Added | 955,000 | |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (2,550,000) | |
End of Period Notional Amount | 4,180,000 | |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Eurodollar futures | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | 1,950,000 | [3] |
Notional Amount of Derivative Instruments Added | 0 | [3] |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (1,950,000) | [3] |
End of Period Notional Amount | 0 | [3] |
Not Designated as Hedging Instrument, Trading | TBA securities | Long [Member] | ||
Derivative [Line Items] | ||
Beginning of Period Notional Amount | 795,000 | [1] |
Notional Amount of Derivative Instruments Added | 7,857,000 | |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (7,891,000) | |
End of Period Notional Amount | $ 761,000 | [1] |
[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] | The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of any receive-fixed interest rate swaps, and include $1,525,000 and $2,655,000 of pay-fixed forward starting interest rate swaps as of September 30, 2018 and December 31, 2017, respectively. | |
[3] | The Eurodollar futures notional amounts represent the total notional of the 3-month contracts all of which expire in 2018. The maximum notional outstanding for any future 3-month period did not exceed $650,000 during the period indicated. |
Derivatives Effect on Accumulat
Derivatives Effect on Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Sep. 30, 2018 | |
Derivative [Line Items] | ||
Accumulated Other Comprehensive Income (Loss), Cumulative Changes in Net Gain (Loss) from Cash Flow Hedges, Effect Net of Tax | $ 240 | |
Scenario, Forecast [Member] | ||
Derivative [Line Items] | ||
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | $ 177 |
Derivatives Offsetting Assets (
Derivatives Offsetting Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Offsetting Assets [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | $ 2,612 | $ 2,940 | |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 2,612 | 2,940 | |
Derivative, Collateral, Obligation to Return Securities | [1] | (1,393) | (180) |
Derivative, Collateral, Obligation to Return Cash | 123 | 666 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 1,096 | 2,094 | |
Interest rate swaps | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 694 | 791 | |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 694 | 791 | |
Derivative, Collateral, Obligation to Return Securities | [1] | 0 | 0 |
Derivative, Collateral, Obligation to Return Cash | 0 | 0 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 694 | 791 | |
Eurodollar futures | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 0 | 666 | |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 0 | 666 | |
Derivative, Collateral, Obligation to Return Securities | [1] | 0 | 0 |
Derivative, Collateral, Obligation to Return Cash | 0 | (666) | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 0 | 0 | |
TBA securities | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 871 | 1,483 | |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 871 | 1,483 | |
Derivative, Collateral, Obligation to Return Securities | [1] | (346) | (180) |
Derivative, Collateral, Obligation to Return Cash | (123) | 0 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 402 | 1,303 | |
Options on U.S. Treasury futures | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 1,047 | 0 | |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 1,047 | 0 | |
Derivative, Collateral, Obligation to Return Securities | [1] | (1,047) | 0 |
Derivative, Collateral, Obligation to Return Cash | 0 | 0 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | $ 0 | $ 0 | |
[1] | Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the asset or liability presented in the balance sheet. The fair value of the 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 | Sep. 30, 2018 | Dec. 31, 2017 | |
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | $ 2,039 | $ 269 | |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 2,039 | 269 | |
Derivative, Collateral, Right to Reclaim Securities | [1] | (346) | (180) |
Derivative, Collateral, Right to Reclaim Cash | (873) | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 820 | 89 | |
Interest rate swaps | |||
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 0 | 0 | |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 0 | 0 | |
Derivative, Collateral, Right to Reclaim Securities | [1] | 0 | 0 |
Derivative, Collateral, Right to Reclaim Cash | 0 | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | 0 | |
TBA securities | |||
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 2,039 | 269 | |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 2,039 | 269 | |
Derivative, Collateral, Right to Reclaim Securities | [1] | (346) | (180) |
Derivative, Collateral, Right to Reclaim Cash | (873) | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | $ 820 | $ 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 Instr_3
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | $ 3,294,510 | $ 3,026,989 |
U.S. Treasuries | 0 | 146,530 |
Derivative asset | 2,612 | 2,940 |
Total assets carried at fair value | 3,297,122 | 3,176,459 |
Derivative liabilities | 2,039 | 269 |
Total liabilities carried at fair value | 2,039 | 269 |
Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
U.S. Treasuries | 0 | 146,530 |
Total assets carried at fair value | 1,047 | 147,196 |
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 | 3,288,274 | 3,019,746 |
U.S. Treasuries | 0 | 0 |
Total assets carried at fair value | 3,289,839 | 3,022,020 |
Total liabilities carried at fair value | 2,039 | 269 |
Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 6,236 | 7,243 |
U.S. Treasuries | 0 | 0 |
Total assets carried at fair value | 6,236 | 7,243 |
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 | 694 | 791 |
Interest rate swaps | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 0 |
Interest rate swaps | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 694 | 791 |
Interest rate swaps | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 0 |
Eurodollar futures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 666 |
Eurodollar futures | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 666 |
Eurodollar futures | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 0 |
Eurodollar futures | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 0 |
TBA securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 871 | 1,483 |
Derivative liabilities | 2,039 | 269 |
TBA securities | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 0 |
Derivative liabilities | 0 | 0 |
TBA securities | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 871 | 1,483 |
Derivative liabilities | 2,039 | 269 |
TBA securities | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 0 |
Derivative liabilities | 0 | $ 0 |
Options on Treasury futures [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 1,047 | |
Options on Treasury futures [Member] | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 1,047 | |
Options on Treasury futures [Member] | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | |
Options on Treasury futures [Member] | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | $ 0 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments Level 3 (Details) - Non-Agency MBS $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Balance at the beginning of the period | $ 7,243 |
Unrealized loss included in OCI | (862) |
Principal payments | (1,031) |
Balance at the end of the period | 6,236 |
Interest Income | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Accretion | $ 886 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments Recorded basis and Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Mortgage-backed securities | $ 3,294,510 | $ 3,026,989 | ||
U.S. Treasuries | 0 | 146,530 | ||
Derivative assets | 2,612 | 2,940 | ||
Derivative liabilities | 2,039 | 269 | ||
Carrying Value | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Mortgage-backed securities | 3,294,510 | 3,026,989 | ||
U.S. Treasuries | 0 | 146,530 | ||
Mortgage loans held for investment, net (1) | 12,342 | 15,738 | ||
Derivative assets | 2,612 | 2,940 | ||
Repurchase agreements (2) | 2,690,858 | 2,565,902 | ||
Non-recourse collateralized financing (1) | 3,709 | 5,520 | ||
Derivative liabilities | 2,039 | 269 | ||
Fair Value | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Mortgage-backed securities | 3,294,510 | 3,026,989 | ||
U.S. Treasuries | 0 | 146,530 | ||
Mortgage loans held for investment, net (1) | [1] | 9,165 | 12,973 | |
Derivative assets | 2,612 | 2,940 | ||
Repurchase agreements (2) | 2,690,858 | [2] | 2,565,902 | |
Non-recourse collateralized financing (1) | [1] | 3,742 | 5,554 | |
Derivative liabilities | $ 2,039 | $ 269 | ||
[1] | The Company determines the fair value of its mortgage loans held for investment, net and its non-recourse collateralized financing using internally developed cash flow models with inputs similar to those used to estimate the fair value of the Company’s Level 3 non-Agency MBS. | |||
[2] | The carrying value of repurchase agreements generally approximates fair value due to their short-term maturities. |
Shareholders' Equity (Details)
Shareholders' Equity (Details) - $ / shares | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2018 | 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 | 5,941,659 | 5,941,659 | 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 | ||
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 | 3,641,659 | 3,641,659 | 3,588,680 |
Preferred Stock, Dividend Rate, Percentage | 7.625% | ||
Preferred Stock | |||
Class of Stock [Line Items] | |||
Dividends Payable, Date to be Paid | Oct. 15, 2018 | ||
Dividends Payable, Date of Record | Oct. 1, 2018 | ||
Common Stock | |||
Class of Stock [Line Items] | |||
Dividends Payable, Date to be Paid | Oct. 31, 2018 | ||
Dividends Payable, Date of Record | Oct. 3, 2018 |
Shareholders' Equity and Share-
Shareholders' Equity and Share-Based Compensation Share-based Compensation (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based incentive plan, number of shares authorized for issuance | 3,000,000 | 3,000,000 | ||
Stock-based compensation expense | $ 301 | $ 388 | $ 930 | $ 1,567 |
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 | 341,713 | 353,103 | 353,103 | 553,396 |
Restricted stock granted | 0 | 0 | 36,924 | 138,166 |
Restricted stock vested | 0 | 0 | (224,547) | (338,459) |
Restricted stock outstanding as of end of period | 341,713 | 353,103 | 341,713 | 353,103 |
Restricted stock as of beginning of period of period, nonvested, weighted average grant date fair value per share | $ 6.37 | $ 7.01 | $ 7.01 | $ 7.55 |
Restricted stock granted, weighted average grant date fair value per share | 0 | 0 | 6.28 | 6.76 |
Restricted stock vested, weighted average grant date fair value per share | 0 | 0 | 7.28 | 7.80 |
Restricted stock as of end of period, nonvested, weighted average grant date fair value per share | $ 6.37 | $ 7.01 | $ 6.37 | $ 7.01 |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Not yet Recognized, Share-based Awards Other than Options | $ 1,534 | $ 1,534 | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Period for Recognition | 1 year 10 months 5 days |