Document and Entity Information
Document and Entity Information Document and Entity Information - $ / shares | 9 Months Ended | ||
Sep. 30, 2021 | Oct. 29, 2021 | Dec. 31, 2020 | |
Document Information [Line Items] | |||
Document Type | 10-Q | ||
Document Quarterly Report | true | ||
Document Period End Date | Sep. 30, 2021 | ||
Document Transition Report | false | ||
Entity File Number | 1-9819 | ||
Entity Registrant Name | DYNEX CAPITAL, INC. | ||
Entity Incorporation, State or Country Code | VA | ||
Entity Tax Identification Number | 52-1549373 | ||
Entity Address, Address Line One | 4991 Lake Brook Drive | ||
Entity Address, Address Line Two | Suite 100 | ||
Entity Address, City or Town | Glen Allen, | ||
Entity Address, State or Province | VA | ||
Entity Address, Postal Zip Code | 23060-9245 | ||
City Area Code | (804) | ||
Local Phone Number | 217-5800 | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Entity Shell Company | false | ||
Entity Common Stock, Shares Outstanding | 36,665,805 | ||
Common Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | |
Entity Central Index Key | 0000826675 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Fiscal Year Focus | 2021 | ||
Document Fiscal Period Focus | Q3 | ||
Amendment Flag | false | ||
Common Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Common Stock, par value $0.01 per share | ||
Trading Symbol | DX | ||
Security Exchange Name | NYSE | ||
Series C Preferred Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | 6.900% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share | ||
Trading Symbol | DXPRC | ||
Security Exchange Name | NYSE |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Assets [Abstract] | ||
Cash | $ 382,796 | $ 295,602 |
Cash collateral posted to counterparties | 16,639 | 14,758 |
Mortgage-backed securities (including pledged of $2,677,652 and $2,467,859, respectively), at fair value | 2,858,166 | 2,596,255 |
Mortgage loans held for investment, at fair value | 4,717 | 6,264 |
Receivable for sales pending settlement | 806 | 150,432 |
Derivative assets | 70,098 | 11,342 |
Accrued interest receivable | 13,752 | 14,388 |
Other assets, net | 7,136 | 6,394 |
Total assets | 3,354,110 | 3,095,435 |
Liabilities: | ||
Repurchase agreements | 2,527,065 | 2,437,163 |
Payable for purchases pending settlement | 5,429 | 5 |
Derivative liabilities | 12,584 | 1,634 |
Derivative Asset, Collateral, Obligation to Return Cash, Offset | 22,632 | 7,681 |
Accrued interest payable | 639 | 1,410 |
Accrued dividends payable | 6,350 | 5,814 |
Other liabilities | 5,900 | 8,275 |
Total liabilities | 2,580,599 | 2,461,982 |
Stockholders' Equity Attributable to Parent [Abstract] | ||
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized; 4,460,000 and 7,248,330 shares issued and outstanding, respectively ($111,500 and $181,208 aggregate liquidation preference, respectively) | 107,843 | 174,564 |
Common stock, par value $0.01 per share, 90,000,000 shares authorized; 35,935,306 and 23,697,970 shares issued and outstanding, respectively | 359 | 237 |
Additional paid-in capital | 1,094,296 | 869,495 |
Accumulated other comprehensive income | 20,236 | 80,261 |
Accumulated deficit | (449,223) | (491,104) |
Total shareholders’ equity | 773,511 | 633,453 |
Total liabilities and shareholders’ equity | $ 3,354,110 | $ 3,095,435 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Interest income | $ 15,714 | $ 20,088 | $ 43,000 | $ 79,764 |
Interest expense | (1,320) | (3,375) | (4,228) | (30,327) |
Net interest income | 14,394 | 16,713 | 38,772 | 49,437 |
Realized gain on sale of investments, net | 0 | 20,846 | 6,705 | 298,728 |
Loss on investments, net | (3,085) | 194 | (2,981) | 154 |
Gain (loss) on derivative instruments, net | (9,603) | (7,974) | (64,463) | 196,156 |
Other operating expense, net | (330) | (207) | (1,033) | (852) |
General and administrative expenses: | ||||
Compensation and benefits | (2,977) | (2,402) | (9,306) | (7,301) |
Other general and administrative | (3,572) | (2,393) | (8,417) | (6,926) |
Net income | 14,033 | 40,725 | 88,203 | 137,084 |
Preferred stock dividends | (1,923) | (3,252) | (6,405) | (10,346) |
Preferred stock redemption charge | 0 | 0 | (2,987) | (3,914) |
Net income to common shareholders | 12,110 | 37,473 | 78,811 | 122,824 |
Other comprehensive income: | ||||
Unrealized (loss) gain on available-for-sale investments, net | (9,139) | 27,844 | (53,320) | 213,651 |
Reclassification adjustment for realized gain on available-for-sale investments, net | 0 | (20,846) | (6,705) | (298,728) |
Total other comprehensive (loss) income | (9,139) | 6,998 | (60,025) | (85,077) |
Comprehensive income to common shareholders | $ 2,971 | $ 44,471 | $ 18,786 | $ 37,747 |
Weighted Average Number of Shares Outstanding, Basic | 34,924,449 | 23,141,270 | 31,258,711 | 23,054,042 |
Earnings Per Share, Basic | $ 0.35 | $ 1.62 | $ 2.52 | $ 5.33 |
Earnings Per Share, Diluted | $ 0.35 | $ 1.62 | $ 2.51 | $ 5.33 |
Weighted Average Number of Shares Outstanding, Diluted | 35,089,508 | 23,141,270 | 31,423,770 | 23,054,042 |
Common Stock, Dividends, Per Share, Declared | $ 0.39 | $ 0.39 | $ 1.17 | $ 1.27 |
Consolidated Statements of Shar
Consolidated Statements of Shareholders' Equity Statement - USD ($) $ in Thousands | Total | Cumulative Effect, Period of Adoption, Adjustment | Cumulative Effect, Period of Adoption, Adjusted Balance | Preferred Stock | Preferred StockCumulative Effect, Period of Adoption, Adjusted Balance | Preferred Stock Including Additional Paid in Capital | Preferred Stock Including Additional Paid in CapitalCumulative Effect, Period of Adoption, Adjusted Balance | Common Stock | Common StockCumulative Effect, Period of Adoption, Adjusted Balance | Additional Paid-in Capital | Additional Paid-in CapitalCumulative Effect, Period of Adoption, Adjusted Balance | Accumulated Other Comprehensive Income (Loss) | Accumulated Other Comprehensive Income (Loss)Cumulative Effect, Period of Adoption, Adjusted Balance | Accumulated Deficit | Accumulated DeficitCumulative Effect, Period of Adoption, Adjustment | Accumulated DeficitCumulative Effect, Period of Adoption, Adjusted Balance |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Cumulative effect of adoption accounting standard 2019-05 | $ 582,988 | $ (548) | $ 582,440 | $ 162,807 | $ 162,807 | $ 229 | $ 229 | $ 858,347 | $ 858,347 | $ 173,806 | $ 173,806 | $ (612,201) | $ (548) | $ (612,749) | ||
Balance, Preferred shares outstanding (in shares) at Dec. 31, 2019 | 6,788,330 | 6,788,330 | ||||||||||||||
Balance, Common shares outstanding at Dec. 31, 2019 | 22,945,993 | 22,945,993 | ||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Stock issuance, shares | 4,460,000 | |||||||||||||||
Stock Redeemed or Called During Period, Shares | (4,000,000) | |||||||||||||||
Restricted stock granted, net of amortization | 67,511 | |||||||||||||||
Stock Repurchased During Period, Shares | (18,782) | |||||||||||||||
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation | (12,744) | |||||||||||||||
Balance, Preferred shares outstanding (in shares) at Mar. 31, 2020 | 7,248,330 | |||||||||||||||
Balance, Common shares outstanding at Mar. 31, 2020 | 22,981,978 | |||||||||||||||
Balance at Dec. 31, 2019 | 582,988 | (548) | 582,440 | 162,807 | 162,807 | $ 229 | $ 229 | 858,347 | 858,347 | 173,806 | 173,806 | (612,201) | (548) | (612,749) | ||
Balance at Dec. 31, 2019 | (582,988) | 548 | (582,440) | (162,807) | (162,807) | (229) | $ (229) | (858,347) | (858,347) | (173,806) | (173,806) | 612,201 | 548 | 612,749 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Stock issuance, value | 107,988 | 107,988 | ||||||||||||||
Stock Redeemed or Called During Period, Value | (100,000) | (96,086) | ||||||||||||||
Preferred stock redemption charge | (3,914) | |||||||||||||||
Restricted stock granted, net of amortization | 307 | 1 | 306 | |||||||||||||
Stock Repurchased During Period, Value | (206) | 0 | (206) | |||||||||||||
Adjustments for tax withholding on share-based compensation | (235) | 0 | (235) | |||||||||||||
Stock issuance costs | (9) | (9) | ||||||||||||||
Net income | (98,479) | (98,479) | ||||||||||||||
Dividends on preferred stock | (3,841) | (3,841) | ||||||||||||||
Dividends on common stock | (10,330) | (10,330) | ||||||||||||||
Other Comprehensive Income (Loss), Net of Tax | 72,972 | 72,972 | ||||||||||||||
Balance at Mar. 31, 2020 | 550,607 | 174,709 | $ 230 | 858,203 | 246,778 | (729,313) | ||||||||||
Balance, Preferred shares outstanding (in shares) at Dec. 31, 2019 | 6,788,330 | 6,788,330 | ||||||||||||||
Balance, Common shares outstanding at Dec. 31, 2019 | 22,945,993 | 22,945,993 | ||||||||||||||
Balance, Preferred shares outstanding (in shares) at Sep. 30, 2020 | 7,248,330 | |||||||||||||||
Balance, Common shares outstanding at Sep. 30, 2020 | 23,145,238 | |||||||||||||||
Balance at Dec. 31, 2019 | 582,988 | (548) | 582,440 | 162,807 | 162,807 | $ 229 | $ 229 | 858,347 | 858,347 | 173,806 | 173,806 | (612,201) | (548) | (612,749) | ||
Balance at Dec. 31, 2019 | (582,988) | $ 548 | $ (582,440) | (162,807) | $ (162,807) | (229) | $ (229) | (858,347) | $ (858,347) | (173,806) | $ (173,806) | 612,201 | $ 548 | $ 612,749 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Preferred stock redemption charge | (3,914) | |||||||||||||||
Other Comprehensive Income (Loss), Net of Tax | (85,077) | |||||||||||||||
Balance at Sep. 30, 2020 | 603,553 | 174,709 | 231 | 859,089 | 88,729 | (519,205) | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Preferred stock dividends | (10,346) | |||||||||||||||
Cumulative effect of adoption accounting standard 2019-05 | 550,607 | 174,709 | $ 230 | 858,203 | 246,778 | (729,313) | ||||||||||
Balance, Preferred shares outstanding (in shares) at Mar. 31, 2020 | 7,248,330 | |||||||||||||||
Balance, Common shares outstanding at Mar. 31, 2020 | 22,981,978 | |||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Restricted stock granted, net of amortization | 172,782 | |||||||||||||||
Stock Repurchased During Period, Shares | (14,143) | |||||||||||||||
Balance, Preferred shares outstanding (in shares) at Jun. 30, 2020 | 7,248,330 | |||||||||||||||
Balance, Common shares outstanding at Jun. 30, 2020 | 23,140,617 | |||||||||||||||
Balance at Mar. 31, 2020 | 550,607 | 174,709 | $ 230 | 858,203 | 246,778 | (729,313) | ||||||||||
Balance at Mar. 31, 2020 | (550,607) | (174,709) | (230) | (858,203) | (246,778) | 729,313 | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Restricted stock granted, net of amortization | 423 | 1 | 422 | |||||||||||||
Stock Repurchased During Period, Value | (166) | 0 | (166) | |||||||||||||
Stock issuance costs | (8) | (8) | ||||||||||||||
Net income | 194,838 | 194,838 | ||||||||||||||
Dividends on preferred stock | (3,253) | (3,253) | ||||||||||||||
Dividends on common stock | (9,925) | (9,925) | ||||||||||||||
Other Comprehensive Income (Loss), Net of Tax | (165,047) | (165,047) | ||||||||||||||
Balance at Jun. 30, 2020 | 567,469 | 174,709 | 231 | 858,451 | 81,731 | (547,653) | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Cumulative effect of adoption accounting standard 2019-05 | 567,469 | 174,709 | $ 231 | 858,451 | 81,731 | (547,653) | ||||||||||
Stock issuance, shares | 5,219 | |||||||||||||||
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation | (598) | |||||||||||||||
Balance, Preferred shares outstanding (in shares) at Sep. 30, 2020 | 7,248,330 | |||||||||||||||
Balance, Common shares outstanding at Sep. 30, 2020 | 23,145,238 | |||||||||||||||
Balance at Jun. 30, 2020 | (567,469) | (174,709) | $ (231) | (858,451) | (81,731) | 547,653 | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Stock issuance, value | 85 | 0 | 85 | |||||||||||||
Preferred stock redemption charge | 0 | |||||||||||||||
Restricted stock granted, net of amortization | 568 | 568 | ||||||||||||||
Adjustments for tax withholding on share-based compensation | (10) | (10) | ||||||||||||||
Stock issuance costs | (5) | (5) | ||||||||||||||
Net income | 40,725 | 40,725 | ||||||||||||||
Dividends on preferred stock | (3,252) | (3,252) | ||||||||||||||
Dividends on common stock | (9,025) | (9,025) | ||||||||||||||
Other Comprehensive Income (Loss), Net of Tax | 6,998 | 6,998 | ||||||||||||||
Balance at Sep. 30, 2020 | 603,553 | 174,709 | 231 | 859,089 | 88,729 | (519,205) | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Preferred stock dividends | (3,252) | |||||||||||||||
Cumulative effect of adoption accounting standard 2019-05 | 603,553 | 174,709 | 231 | 859,089 | 88,729 | (519,205) | ||||||||||
Cumulative effect of adoption accounting standard 2019-05 | $ 633,453 | 174,564 | $ 237 | 869,495 | 80,261 | (491,104) | ||||||||||
Balance, Preferred shares outstanding (in shares) at Dec. 31, 2020 | 7,248,330 | 7,248,330 | ||||||||||||||
Balance, Common shares outstanding at Dec. 31, 2020 | 23,697,970 | 23,697,970 | ||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Stock issuance, shares | 7,187,500 | |||||||||||||||
Stock Redeemed or Called During Period, Shares | (2,788,330) | |||||||||||||||
Restricted stock granted, net of amortization | 16,722 | |||||||||||||||
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation | (22,623) | |||||||||||||||
Balance, Preferred shares outstanding (in shares) at Mar. 31, 2021 | 4,460,000 | |||||||||||||||
Balance, Common shares outstanding at Mar. 31, 2021 | 30,879,569 | |||||||||||||||
Balance at Dec. 31, 2020 | $ 633,453 | 174,564 | $ 237 | 869,495 | 80,261 | (491,104) | ||||||||||
Balance at Dec. 31, 2020 | (633,453) | (174,564) | (237) | (869,495) | (80,261) | 491,104 | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Stock issuance, value | 128,150 | 72 | 128,078 | |||||||||||||
Stock Redeemed or Called During Period, Value | (69,708) | (66,721) | ||||||||||||||
Preferred stock redemption charge | (2,987) | |||||||||||||||
Restricted stock granted, net of amortization | 451 | 0 | 451 | |||||||||||||
Adjustments for tax withholding on share-based compensation | (428) | 0 | (428) | |||||||||||||
Stock issuance costs | (270) | (270) | ||||||||||||||
Net income | 117,929 | 117,929 | ||||||||||||||
Dividends on preferred stock | (2,559) | (2,559) | ||||||||||||||
Dividends on common stock | (10,586) | (10,586) | ||||||||||||||
Other Comprehensive Income (Loss), Net of Tax | (65,156) | (65,156) | ||||||||||||||
Balance at Mar. 31, 2021 | $ 731,276 | 107,843 | $ 309 | 997,326 | 15,105 | (389,307) | ||||||||||
Balance, Preferred shares outstanding (in shares) at Dec. 31, 2020 | 7,248,330 | 7,248,330 | ||||||||||||||
Balance, Common shares outstanding at Dec. 31, 2020 | 23,697,970 | 23,697,970 | ||||||||||||||
Balance, Preferred shares outstanding (in shares) at Sep. 30, 2021 | 4,460,000 | 4,460,000 | ||||||||||||||
Balance, Common shares outstanding at Sep. 30, 2021 | 35,935,306 | 35,935,306 | ||||||||||||||
Balance at Dec. 31, 2020 | $ 633,453 | 174,564 | $ 237 | 869,495 | 80,261 | (491,104) | ||||||||||
Balance at Dec. 31, 2020 | (633,453) | (174,564) | (237) | (869,495) | (80,261) | 491,104 | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Preferred stock redemption charge | (2,987) | |||||||||||||||
Other Comprehensive Income (Loss), Net of Tax | (60,025) | |||||||||||||||
Balance at Sep. 30, 2021 | 773,511 | 107,843 | 359 | 1,094,296 | 20,236 | (449,223) | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Preferred stock dividends | (6,405) | |||||||||||||||
Cumulative effect of adoption accounting standard 2019-05 | 731,276 | 107,843 | $ 309 | 997,326 | 15,105 | (389,307) | ||||||||||
Balance, Preferred shares outstanding (in shares) at Mar. 31, 2021 | 4,460,000 | |||||||||||||||
Balance, Common shares outstanding at Mar. 31, 2021 | 30,879,569 | |||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Stock issuance, shares | 3,463,708 | |||||||||||||||
Restricted stock granted, net of amortization | 23,305 | |||||||||||||||
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation | (22,016) | |||||||||||||||
Balance, Preferred shares outstanding (in shares) at Jun. 30, 2021 | 4,460,000 | |||||||||||||||
Balance, Common shares outstanding at Jun. 30, 2021 | 34,344,566 | |||||||||||||||
Balance at Mar. 31, 2021 | 731,276 | 107,843 | $ 309 | 997,326 | 15,105 | (389,307) | ||||||||||
Balance at Mar. 31, 2021 | (731,276) | (107,843) | (309) | (997,326) | (15,105) | 389,307 | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Stock issuance, value | 68,302 | 34 | 68,268 | |||||||||||||
Restricted stock granted, net of amortization | 444 | 0 | 444 | |||||||||||||
APIC, Share-based Payment Arrangement, Increase for Cost Recognition | 100 | 100 | ||||||||||||||
Adjustments for tax withholding on share-based compensation | (425) | 0 | (425) | |||||||||||||
Stock issuance costs | (43) | (43) | ||||||||||||||
Net income | (43,759) | (43,759) | ||||||||||||||
Dividends on preferred stock | (1,923) | (1,923) | ||||||||||||||
Dividends on common stock | (12,613) | (12,613) | ||||||||||||||
Other Comprehensive Income (Loss), Net of Tax | 14,270 | 14,270 | ||||||||||||||
Balance at Jun. 30, 2021 | 755,629 | 107,843 | 343 | 1,065,670 | 29,375 | (447,602) | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Cumulative effect of adoption accounting standard 2019-05 | $ 755,629 | 107,843 | $ 343 | 1,065,670 | 29,375 | (447,602) | ||||||||||
Stock issuance, shares | 1,590,740 | |||||||||||||||
Restricted stock granted, net of amortization | 0 | |||||||||||||||
Balance, Preferred shares outstanding (in shares) at Sep. 30, 2021 | 4,460,000 | 4,460,000 | ||||||||||||||
Balance, Common shares outstanding at Sep. 30, 2021 | 35,935,306 | 35,935,306 | ||||||||||||||
Balance at Jun. 30, 2021 | $ (755,629) | (107,843) | $ (343) | (1,065,670) | (29,375) | 447,602 | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Stock issuance, value | 27,898 | 16 | 27,882 | |||||||||||||
Preferred stock redemption charge | 0 | |||||||||||||||
Restricted stock granted, net of amortization | 460 | 0 | 460 | |||||||||||||
APIC, Share-based Payment Arrangement, Increase for Cost Recognition | 300 | 300 | ||||||||||||||
Stock issuance costs | (16) | (16) | ||||||||||||||
Net income | 14,033 | |||||||||||||||
Dividends on common stock | (13,731) | (13,731) | ||||||||||||||
Other Comprehensive Income (Loss), Net of Tax | (9,139) | (9,139) | ||||||||||||||
Balance at Sep. 30, 2021 | 773,511 | 107,843 | 359 | 1,094,296 | 20,236 | (449,223) | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||||
Preferred stock dividends | (1,923) | |||||||||||||||
Cumulative effect of adoption accounting standard 2019-05 | $ 773,511 | $ 107,843 | $ 359 | $ 1,094,296 | $ 20,236 | $ (449,223) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Operating activities: | ||
Net income (loss) | $ 88,203 | $ 137,084 |
Unrealized Gain (Loss) on Derivatives and Commodity Contracts | (64,463) | 196,156 |
Adjustments to reconcile net income to cash provided by operating activities: | ||
Realized gain on sale of investments, net | (6,705) | (298,728) |
Unrealized loss (gain) on investments, net | 2,981 | (154) |
Amortization of investment premiums, net | 90,082 | 96,018 |
Other amortization and depreciation, net | 1,726 | 1,428 |
Share-based compensation expense | 1,755 | 1,299 |
Decrease in accrued interest receivable | 636 | 10,869 |
Decrease in accrued interest payable | (771) | (14,526) |
Change in other assets and liabilities, net | (4,718) | 530 |
Net cash provided by operating activities | 108,726 | 129,976 |
Investing activities: | ||
Purchase of investments | (1,054,928) | (2,436,953) |
Principal payments received on investments | 321,262 | 344,055 |
Proceeds from sales of investments | 474,908 | 4,401,909 |
Principal payments received on mortgage loans held for investment | 1,629 | 2,170 |
Net receipts (payments) on derivatives, including terminations | 22,082 | (197,932) |
Increase (Decrease) Cash Collateral from Counterparties | 14,951 | 342 |
Net cash (used in) provided by investing activities | (220,096) | 2,113,591 |
Financing activities: | ||
Borrowings under repurchase agreements | 11,010,378 | 28,304,165 |
Repayments of repurchase agreement borrowings | (10,920,476) | (30,461,830) |
Principal payments on non-recourse collateralized financing | (118) | (2,107) |
Proceeds from issuance of preferred stock | 0 | 107,988 |
Proceeds from issuance of common stock | 224,350 | 0 |
Payments for Repurchase of Redeemable Preferred Stock | (69,708) | (100,000) |
Cash paid for stock issuance costs | (329) | 0 |
Payments for Repurchase of Common Stock | 0 | 372 |
Payments related to tax withholding for share-based compensation | (853) | (245) |
Dividends paid | (42,799) | (40,151) |
Net cash provided by (used in) financing activities | 200,445 | (2,192,552) |
Net increase in cash including cash posted to counterparties | 89,075 | 51,015 |
Cash including cash posted to counterparties at beginning of period | 310,360 | 136,230 |
Cash including cash posted to counterparties at end of period | 399,435 | 187,245 |
Supplemental Disclosure of Cash Activity: | ||
Cash paid for interest | $ 4,992 | $ 44,216 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Mortgage-backed securities (including pledged of $2,677,652 and $2,467,859, respectively), at fair value | $ 2,677,652 | $ 2,467,859 |
Preferred Stock, Shares Authorized (in shares) | 50,000,000 | 50,000,000 |
Preferred Stock, Shares Outstanding (in shares) | 4,460,000 | 7,248,330 |
Preferred Stock, Shares Issued | 4,460,000 | 7,248,330 |
Preferred Stock, Liquidation Preference, Value | $ 111,500 | $ 181,208 |
Preferred Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 |
Common Stock, Shares Authorized | 90,000,000 | 90,000,000 |
Common Stock, Shares, Issued | 35,935,306 | 23,697,970 |
Common Stock, Shares, Outstanding | 35,935,306 | 23,697,970 |
Common Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 |
Organization and Summary of Sig
Organization and Summary of Significant Accounting Policies (Notes) | 9 Months Ended |
Sep. 30, 2021 | |
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 is an internally managed mortgage real estate investment trust, or mortgage REIT, which primarily earns income from investing on a leveraged basis in debt securities, the majority of which are specified pools of Agency mortgage-backed securities (“MBS”) consisting of commercial MBS (“CMBS”), residential MBS (“RMBS”), and CMBS interest-only (“IO”) securities and non-Agency MBS, which consist mainly of CMBS IO. Agency MBS have a guaranty of principal payment by a U.S. government-sponsored entity (“GSE”) such as Fannie Mae and Freddie Mac, which are in conservatorship and are currently supported by a senior preferred stock purchase agreement from the U.S. Treasury. Non-Agency MBS are issued by non-governmental enterprises and do not have a guaranty of principal payment. The Company also invests in other types of mortgage-related securities, such as to-be-announced securities (“TBAs” or “TBA securities”). Basis of Presentation The accompanying unaudited consolidated financial statements of the Company and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with U.S. generally accepted accounting principles (“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, 2021 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2021. 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, 2020 (the “2020 Form 10-K”) filed with the SEC. 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 and fair value measurements of its investments. These items are discussed further below within this note to the consolidated financial statements. The Company believes the estimates and assumptions underlying the consolidated financial statements included herein are reasonable and supportable based on the information available as of September 30, 2021; however, the uncertainty over the impact that the COVID-19 pandemic may continue to have on the global economy and on the Company’s business makes any estimates and assumptions inherently less certain than they would be absent the current and potential impacts of COVID-19. The COVID-19 pandemic and resulting emergency measures have led (and may continue to lead) to significant disruptions in the global capital markets and supply chains as well as the economy of the U.S. and other countries impacted by COVID-19. In addition, the nature and timing of any future public policy choices and actions are unpredictable, including the potential impact on MBS prices and prepayment speeds. Though supportive actions taken by the U.S. government and GSEs have helped cushion the economic damage from the disruption of the pandemic to date, the Company can give no assurance as to how, in the long term, these actions will affect the efficiency, liquidity and stability of the financial and mortgage markets. Reclassifications Certain items on the Company’s consolidated balance sheet as of December 31, 2020 have been reclassified to conform to the current period’s presentation. In the Company’s 2020 Form 10-K, restricted cash on the consolidated balance sheet as of December 31, 2020 consisted of the cash collateral posted by the Company to its counterparties to cover initial and variation margin related to its financing and derivative instruments, net of any cash collateral received by the Company from its counterparties. Restricted cash has been renamed “cash collateral posted to counterparties” within total assets, and cash collateral of $7,681 posted by counterparties as of December 31, 2020 has been reclassified to “cash collateral posted by counterparties” within total liabilities. This change in presentation also impacted the cash flow statement for the nine months ended September 30, 2020, resulting in the addition of “increase in cash collateral posted by counterparties” of $342 which is the difference in the balances of that line item on the Company’s consolidated balance sheets as of December 31, 2019 and September 30, 2020. Consolidation and Variable Interest Entities 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. All intercompany accounts and transactions have been eliminated in consolidation. The Company consolidates a VIE if the Company is determined to be the VIE’s primary beneficiary, which is defined as the party that has both: (i) the power to control the activities that most significantly impact the VIE’s financial performance and (ii) the right to receive benefits or absorb losses that could potentially be significant to the VIE. The Company reconsiders its evaluation of whether to consolidate a VIE on an ongoing basis, based on changes in the facts and circumstances pertaining to the VIE. Though the Company invests in Agency and non-Agency MBS which are generally considered to be interests in VIEs, the Company does not consolidate these entities because it does not meet the criteria to be deemed a primary beneficiary. The Company consolidates a securitization trust, which has residential mortgage loans included in “mortgage loans held for investment” on its consolidated balance sheet. The Company owns the subordinate class in the trust and has been deemed the primary beneficiary. 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 shareholders 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 and records these liabilities, if any, to the extent they are deemed more likely than not to have been incurred. Net Income (Loss) Per Common Share The Company calculates basic net income (loss) per common share by dividing net income (loss) to common shareholders for the period by weighted-average shares of common stock outstanding for that period. Please see Note 2 for the calculation of the Company’s basic and diluted net income (loss) per common share for the periods indicated. The Company currently has unvested restricted stock, service-based restricted stock units (“RSUs”) and performance-based stock units (“PSUs”) issued and outstanding. Upon vesting (or settlement, in the case of units), restrictions on transfer expire on each share of restricted stock, RSU, and PSU, and each such share represents one unrestricted share of common stock. Restricted stock awards are considered participating securities and therefore are included in the computation of basic net income per common share using the two-class method because holders of unvested shares of restricted stock are eligible to receive non-forfeitable dividends. Holders of unvested RSUs and PSUs accrue forfeitable dividend equivalent rights over the vesting period, receiving dividend payments only upon the settlement date if the requisite service-based and performance-based conditions have been achieved. As such, unvested RSUs and PSUs are excluded from the computation of basic net income per common share, but are included in the computation of diluted net income per common share unless the effect is to reduce a net loss or increase the net income per common share (also known as “anti-dilutive”). Because the Company’s 6.900% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”) is redeemable at the Company’s option for cash only and convertible into shares of common stock only upon a change of control of the Company (and subject to other circumstances) as described in Article IIIC of the Company’s Restated Articles of Incorporation, the effect of those shares and their related dividends were excluded from the calculation of diluted net income per common share for the periods presented. Cash Cash includes unrestricted demand deposits at highly rated financial institutions. The Company’s cash balances fluctuate throughout the year and may exceed Federal Deposit Insurance Corporation (“FDIC”) insured limits from time to time. Although the Company bears risk to amounts in excess of those insured by the FDIC, it does not anticipate any losses as a result due to the financial position and creditworthiness of the depository institutions in which those deposits are held. Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents amounts pledged/received to cover initial and variation margin related to the Company’s financing and derivative instruments. The following table provides a reconciliation of “cash” and “cash posted to counterparties” reported on the Company's consolidated balance sheet as of the period indicated 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, 2021: September 30, 2021 Cash $ 382,796 Cash collateral posted to counterparties 16,639 Total cash including cash posted to counterparties shown on consolidated statement of cash flows $ 399,435 Mortgage-Backed Securities The Company’s MBS are recorded at fair value on the Company’s consolidated balance sheet. MBS purchased prior to January 1, 2021 are designated as available-for-sale (“AFS”) with changes in fair value reported in other comprehensive income (“OCI”) as an unrealized gain (loss) until the security is sold or matures. Effective January 1, 2021, the Company elected the fair value option for all MBS purchased on or after that date with changes in fair value reported in net income as “unrealized gain (loss) on investments, net” until the security is sold or matures. Upon the sale of an MBS, any unrealized gain or loss is reclassified to “realized gain (loss) on sale of investments, net” using the specific identification method. Management elected the fair value option so that GAAP net income will reflect the changes in fair value for its future purchases of MBS in a manner consistent with the presentation and timing of the changes in fair value of its derivative instruments. Electing the fair value option is increasing as an industry trend for mortgage REITs who have not elected cash flow hedge accounting. “Unrealized gain (loss) on investments, net”, which was titled “fair value adjustments, net” in prior reporting periods, also includes changes in fair value for mortgage loans held for investment for which the Company elected the fair value option effective January 1, 2020. Interest Income, Premium Amortization, and Discount Accretion. Interest income on MBS is accrued based on the outstanding principal balance (or notional balance in the case of interest-only, or “IO” securities) and their contractual terms. Premiums or discounts associated with the purchase of Agency MBS as well as any non-Agency MBS are amortized or accreted into interest income over the projected 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’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 currently hold any non-Agency MBS that were purchased at a discount with credit ratings of less than ‘AA’ or not rated by any of the nationally recognized credit rating agencies at the time of purchase. Determination of MBS Fair Value. The Company estimates the fair value of the majority of its MBS based upon prices obtained from 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. Please refer to Note 6 for further discussion of MBS fair value measurements. Allowance for Credit Losses. On at least a quarterly basis, the Company evaluates any MBS designated as AFS with a fair value less than its amortized cost for credit losses. If the difference between the present value of cash flows expected to be collected on the MBS is less than its amortized cost, the difference is recorded as an allowance for credit loss through net income up to and not exceeding the amount that the amortized cost exceeds current fair value. Subsequent changes in credit loss estimates are recognized in earnings in the period in which they occur. Because the majority of the Company’s investments are higher credit quality and most are guaranteed by a GSE, the Company is not likely to have an allowance for credit losses related to its MBS recorded on its consolidated balance sheet. Repurchase Agreements The Company’s repurchase agreements, which are used to finance its purchases of MBS, are accounted for as secured borrowings under which the Company pledges its securities as collateral to secure a loan, which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral, which is disclosed parenthetically on the Company’s consolidated balance sheets. 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 During the nine months ended September 30, 2021, the Company’s derivative instruments have included U.S. Treasury futures, options on U.S. Treasury futures, options on interest rate swaps (“swaptions”) and TBA securities, which are forward contracts for the purchase or sale of Agency RMBS on a non-specified pool basis. Derivative instruments are reported at their fair value on the Company’s consolidated balance sheet as derivative assets if in a gain position or as derivative liabilities if in a loss position, at the end of the period reported. All income/expenses 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 (loss). 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 currently has short positions in U.S. Treasury futures contracts, which are valued based on exchange pricing with daily margin settlements. The Company realizes gains or losses on these contracts upon expiration at an amount equal to the difference between the current fair value of the underlying asset and the contractual price of the futures contract. Daily margin exchanges for the Company’s U.S. Treasury futures are not considered legal settlement of the instrument. The Company’s options on U.S. Treasury futures provide the Company the right, but not an obligation, to buy U.S. Treasury futures at a predetermined notional amount and stated term in the future. Options on U.S. Treasury futures are valued based on exchange pricing without daily exchanges of margin amounts. The Company records the premium paid for the option contract as a derivative asset on its consolidated balance sheet and adjusts the balance for changes in fair value through “gain (loss) on derivative instruments” until the option is exercised or the contract expires. The Company may also purchase swaptions and defer the premium payment until the effective date. The premium payable and underlying swaption are accounted for as a single unit of account. 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 that the individual TBA transaction will not settle in the shortest time period possible. Please refer to Note 5 for additional information regarding the Company’s derivative instruments as well as Note 6 for information on how the fair value of these instruments is calculated. Share-Based Compensation The Company’s 2020 Stock and Incentive Plan (the “2020 Plan”) reserves for issuance up to 2,300,000 common shares for eligible employees, non-employee directors, consultants, and advisors to the Company to be granted in the form of stock options, restricted stock, restricted stock units, stock appreciation rights, performance units, and performance cash awards (collectively, “awards”). Awards previously granted under the Company’s 2018 Stock and Incentive Plan (“2018 Plan”) or any other prior equity plan will remain outstanding and valid in accordance with their terms, but no new awards will be granted under the 2018 Plan or any other prior equity plan. Currently, the Company has shares of restricted stock and RSUs issued and outstanding which are treated as equity awards and recorded at their fair value using the closing stock price on the grant date. The compensation cost is recognized over the vesting period with a corresponding credit to shareholders’ equity using the straight-line method. The Company also has PSUs issued and outstanding which contain either Company performance-based or market performance-based conditions. PSUs subject to Company performance-based conditions are initially recognized as equity at their fair value which is measured using the closing stock price on the grant date multiplied by the number of units expected to vest based on an assessment of the probability of achievement of the Company performance-based conditions as of the grant date. The grant date fair value is amortized as compensation cost on a straight-line basis over the vesting period with adjustments to compensation cost if necessary based on any change in probability of achievement which is re-assessed as of each reporting date and on at least a quarterly basis. PSUs subject to market performance-based conditions are recognized as equity at their grant date fair value determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return (“TSR”) relative to the common stock TSR of the group of peer companies specified in the award agreement. Awards subject to market performance-based conditions are not assessed for probability of achievement and are not remeasured subsequent to issuance. The grant date fair value is recognized as compensation cost on a straight-line basis over the vesting period even if the market performance-based conditions are not achieved. The Company does not estimate forfeitures for any of its share-based compensation awards, but adjusts for actual forfeitures in the periods in which they occur. Because RSUs and PSUs have forfeitable dividend equivalent rights that are paid only upon settlement, any accrued dividend equivalent rights on forfeited units are reversed with a corresponding credit to compensation cost. 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. As previously disclosed in the 2020 Form 10-K, the receiver (the “Receiver”) for one of the plaintiffs awarded damages in a judgment (the "DCI Judgment") against Dynex Commercial, Inc. ("DCI"), a subsidiary of a former affiliate of the Company, filed a separate claim in May 2018 against the Company seeking payment of the damages awarded in connection with the DCI Judgment, alleging that the Company breached a litigation cost sharing agreement, as amended (the "Agreement"), that was initially entered into by the Company and DCI in December 2000. On November 21, 2019, the U.S. District Court, Northern District of Texas ("Northern District Court") granted in part and denied in part summary judgment on the Receiver’s claim and the Company’s claim for offset and recoupment. The Northern District Court found that the Company breached the Agreement and therefore must pay damages to the Receiver. The Northern District Court simultaneously granted the Company’s motion for summary judgment finding that DCI also breached the Agreement and that the Company can recover amounts due to it from DCI under the Agreement. The Receiver subsequently filed certain objections (“Objections”) with the Northern District Court to, among other things, certain amounts the Company included in its recovery claim from DCI. The Company has disputed the Receiver’s Objections, arguing, among other things, that the Receiver's Objections are not supportable under Virginia law. At the trial of this matter in the Northern District Court, which occurred in September 2021, and in subsequent briefs, the Receiver set forth damages in a range of $13,400 to $13,800. The Company set forth its offsetting claim for damages in amounts ranging from $14,400 to $21,300, including interest. On November 1, 2021, the Northern District Court awarded the Company $14,238, which more than offset the amount the Court awarded to the Receiver, entered a take nothing judgement in the Company’s favor against the Receiver, and dismissed the Receiver’s claim against the Company. The Receiver has the right to appeal to the United States Court of Appeals for the Fifth Circuit within 30 days. The Company anticipates the final resolution of this matter will not have a material adverse effect on its consolidated financial statements. |
Mortgage-Backed Securities (Not
Mortgage-Backed Securities (Notes) | 9 Months Ended |
Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | MORTGAGE-BACKED SECURITIES The following tables present the Company’s MBS by investment type as of the dates indicated: September 30, 2021 Agency RMBS Agency CMBS CMBS IO (1) Non-Agency Other Total MBS designated as AFS: Par value $ 1,271,603 $ 185,603 $ — $ 1,087 $ 1,458,293 Unamortized premium (discount) 41,604 2,608 300,061 (246) 344,027 Amortized cost 1,313,207 188,211 300,061 841 1,802,320 Gross unrealized gain 10,056 10,230 13,924 107 34,317 Gross unrealized loss (13,348) (7) (684) (42) (14,081) Fair value 1,309,915 198,434 313,301 906 1,822,556 MBS measured at fair value through net income: Par value $ 1,000,854 $ — $ — $ — $ 1,000,854 Unamortized premium 33,533 — 4,313 — 37,846 Amortized cost 1,034,387 — 4,313 — 1,038,700 Gross unrealized gain 52 — 17 — 69 Gross unrealized loss (3,132) — (27) — (3,159) Fair value 1,031,307 — 4,303 — 1,035,610 Total as of September 30, 2021 $ 2,341,222 $ 198,434 $ 317,604 $ 906 $ 2,858,166 (1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $10,508,786 and $8,865,021 respectively, as of September 30, 2021. December 31, 2020 Agency RMBS Agency CMBS CMBS IO (1) Non-Agency Other Total MBS designated as AFS: Par value $ 1,839,046 $ 235,801 $ — $ 1,499 $ 2,076,346 Unamortized premium (discount) 57,997 3,152 378,939 (440) 439,648 Amortized cost 1,897,043 238,953 378,939 1,059 2,515,994 Gross unrealized gain 49,348 19,597 12,081 267 81,293 Gross unrealized loss — — (981) (51) (1,032) Fair value 1,946,391 258,550 390,039 1,275 2,596,255 MBS measured at fair value through net income: Par value $ — $ — $ — $ — $ — Unamortized premium — — — — — Amortized cost — — — — — Gross unrealized gain — — — — — Gross unrealized loss — — — — — Fair value — — — — — Total as of December 31, 2020 $ 1,946,391 $ 258,550 $ 390,039 $ 1,275 $ 2,596,255 (1) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $11,277,908 and $9,319,520, respectively, as of December 31, 2020. The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements, which are disclosed in Note 4 . Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities. The following table presents information regarding the "realized gain on sale of investments, net" on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated: Three Months Ended September 30, 2021 2020 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain Agency RMBS-designated as AFS (1) $ — $ — $ — $ 1 Agency CMBS-designated as AFS — — 403,095 20,845 $ — $ — $ 403,095 $ 20,846 Nine Months Ended September 30, 2021 2020 Proceeds Received Realized Gain Proceeds Received Realized Gain Agency RMBS-designated as AFS $ 287,409 $ 3,938 $ 2,187,956 $ 75,824 Agency CMBS-designated as AFS 37,873 2,767 2,215,098 222,904 $ 325,282 $ 6,705 $ 4,403,054 $ 298,728 (1) Additional realized gain for Agency RMBS during the three months ended September 30, 2020 relates to change in effective rate due to paydown that occurred between trade date of sale in second quarter of 2020 and settlement date in third quarter. The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated: September 30, 2021 December 31, 2020 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 $ 1,121,823 $ (13,738) 23 $ 19,266 $ (399) 19 Non-Agency MBS 10,153 (159) 12 33,417 (408) 23 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 24 $ (26) 1 $ 749 $ (133) 2 Non-Agency MBS 2,771 (159) 7 2,156 (93) 5 The unrealized losses on the Company’s MBS were the result of declines in market prices and were not credit related; therefore the Company’s allowance for credit losses on its MBS designated as AFS was $0 as of September 30, 2021 and December 31, 2020. The principal related to Agency MBS is guaranteed by the GSEs Fannie Mae and Freddie Mac. Although the unrealized losses are not credit related, the Company assesses its ability and intent to hold any MBS with an unrealized loss until the recovery in its value. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s leverage and liquidity position. In addition, for its non-Agency MBS, the Company reviews the credit ratings, the credit characteristics of the mortgage loans collateralizing these securities, and the estimated future cash flows including projected collateral losses. |
Repurchase Agreements (Notes)
Repurchase Agreements (Notes) | 9 Months Ended |
Sep. 30, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase agreements | REPURCHASE AGREEMENTS The Company’s repurchase agreements outstanding as of September 30, 2021 and December 31, 2020 are summarized in the following tables: September 30, 2021 December 31, 2020 Collateral Type Balance Weighted Fair Value of Balance Weighted Fair Value of Collateral Pledged (1) Agency RMBS $ 2,069,312 0.13 % $ 2,166,848 $ 1,874,176 0.23 % $ 1,973,608 Agency CMBS 186,575 0.13 % 198,487 237,649 0.23 % 255,741 Agency CMBS IO 180,425 0.68 % 203,319 209,393 0.90 % 243,042 Non-Agency CMBS IO 90,753 0.98 % 108,998 115,945 1.28 % 136,684 Total repurchase agreements $ 2,527,065 0.20 % $ 2,677,652 $ 2,437,163 0.34 % $ 2,609,075 (1) The amounts for fair value of collateral pledged in the table above as of December 31, 2020 include securities with an amortized cost of $141,215 which were sold but not settled as of that date, and for which the proceeds of $150,432 are recorded within “receivable for sales pending settlement” on the consolidated balance sheet. These securities collateralized $140,612 of the Company’s repurchase agreement borrowings outstanding as of December 31, 2020. The Company had $5,429 and $5 payable to counterparties as of September 30, 2021 and December 31, 2020, respectively, for TBA transactions pending settlement as of those respective dates. The Company had repurchase agreement borrowings outstanding with 23 different counterparties as of September 30, 2021, and its equity at risk did not exceed 10% with any counterparty as of that date. 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, 2021 December 31, 2020 Remaining Term to Maturity Balance Weighted WAVG Original Term to Maturity Balance Weighted WAVG Original Term to Maturity Less than 30 days $ 479,019 0.30 % 110 $ 1,416,608 0.37 % 53 30 to 90 days 620,085 0.12 % 125 845,394 0.31 % 35 91 to 180 days 1,122,552 0.22 % 168 175,161 0.22 % 13 180 days to 1 year 305,409 0.15 % 318 — — % — Total $ 2,527,065 0.20 % 165 $ 2,437,163 0.34 % 44 The Company has an agreement with Wells Fargo Bank, N.A. for a committed repurchase facility, which has an aggregate maximum borrowing capacity of $250,000 and a maturity date of June 8, 2023. As of September 30, 2021, the Company had $95,791 outstanding with this facility at a weighted average borrowing rate of 0.87%. The remaining repurchase facilities available to the Company are uncommitted with no guarantee of renewal or terms of renewal. 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 believes it was in full compliance with all covenants in master repurchase agreements under which there were amounts outstanding as of September 30, 2021. 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 table presents information regarding the Company's repurchase agreements as if the Company had presented them on a net basis as of September 30, 2021 and December 31, 2020: 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, 2021 Repurchase agreements $ 2,527,065 $ — $ 2,527,065 $ (2,527,065) $ — $ — December 31, 2020 Repurchase agreements $ 2,437,163 $ — $ 2,437,163 $ (2,437,163) $ — $ — (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 repurchase agreement 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 5 |
Derivatives (Notes)
Derivatives (Notes) | 9 Months Ended |
Sep. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives | DERIVATIVES Types and Uses of Derivatives Instruments Interest Rate Derivatives. During the three and nine months ended September 30, 2021, the Company has been using short positions in U.S. Treasury futures, put options on U.S. Treasury futures, and interest rate swaptions to mitigate the impact of changing interest rates on its book value. TBA Transactions. The Company purchases TBA securities as a means of investing in non-specified fixed-rate Agency RMBS and may also periodically sell TBA securities as a means of economically hedging its book value exposure to Agency RMBS. The Company holds long and short positions in TBA securities by executing a series of transactions, commonly referred to as “dollar roll” transactions, which effectively delay the settlement of a forward purchase (or sale) of a non-specified Agency RMBS by entering into an offsetting TBA position, net settling the paired-off positions in cash, and simultaneously entering into an identical TBA long (or short) position with a later settlement date. TBA securities purchased (or sold) for a forward settlement date are generally priced at a discount relative to TBA securities settling 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. The Company accounts for all TBAs (whether net long or net short positions, or collectively “TBA dollar roll positions”) as derivative instruments because it 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 that the individual TBA transaction will not settle in the shortest period possible. Gain (Loss) on Derivative Instruments, Net 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 2021 2020 2021 2020 Interest rate swaps $ — $ 911 $ — $ (182,941) Interest rate swaptions 3,985 411 42,686 (162) U.S. Treasury futures 11,209 (6,517) 43,673 (25,140) Options on U.S. Treasury futures (3,226) (5,655) (2,141) (23,815) TBA securities - long positions (2,365) 18,824 (19,755) 45,943 TBA securities - short positions — — — (10,041) Gain (loss) on derivative instruments, net $ 9,603 $ 7,974 $ 64,463 $ (196,156) The table below summarizes information about the carrying 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, 2021 December 31, 2020 U.S. Treasury futures Derivative assets Economic hedging $ 60,159 $ — Options on U.S. Treasury futures Derivative assets Economic hedging — 1,094 Interest rate swaptions Derivative assets Economic hedging 9,939 1,360 TBA securities Derivative assets Investing — 8,888 Total derivatives assets $ 70,098 $ 11,342 Interest rate swaptions Derivative liabilities Economic hedging $ — $ (107) U.S. Treasury futures Derivative liabilities Economic hedging — (1,527) TBA securities Derivative liabilities Investing (12,584) — Total derivatives liabilities $ (12,584) $ (1,634) The following table provides details on the Company’s interest rate swaptions held as of the dates indicated: Option Underlying Payer Swap Average Months to Expiration Cost Fair Value Notional Amount Average Fixed Pay Rate Average Term in Years As of September 30, 2021: 3 months or less $ 3,725 $ 4,453 $ 250,000 1.19% 10 9-12 months 9,375 5,486 500,000 1.60% 10 $ 13,100 $ 9,939 $ 750,000 1.46% As of December 31, 2020: 6 months or less $ 6,312 $ 1,161 $ 750,000 1.02% 10 6-9 months 6,688 92 500,000 1.16% 10 $ 13,000 $ 1,253 $ 1,250,000 1.07% The following table provides details on the Company’s U.S. Treasury futures and options on U.S. Treasury futures held as of the dates indicated: September 30, 2021 December 31, 2020: Notional Amount Long (Short) Fair Value Average Term to Expiration Notional Amount Long (Short) Fair Value Average Term to Expiration Options on U.S. Treasury futures $ — $ — n/a $ 500,000 $ 1,094 1 month U.S. Treasury futures (3,540,000) 60,159 3 months (825,000) (1,527) 2 months The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated: September 30, 2021 December 31, 2020 Implied market value (1) $ 1,987,906 $ 1,572,949 Implied cost basis (2) 2,000,490 1,564,061 Net carrying value (3) $ (12,584) $ 8,888 (1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the date indicated. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the date indicated. (3) 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 date indicated. Volume of Activity The tables below summarize changes in the Company’s derivative instruments for the nine months ended September 30, 2021: Type of Derivative Instrument Beginning Additions Settlements, Ending Interest rate swaptions 1,250,000 500,000 (1,000,000) 750,000 U.S. Treasury futures (825,000) (11,640,000) 8,925,000 (3,540,000) Options on U.S. Treasury futures 500,000 2,350,000 (2,850,000) — TBA securities 1,515,000 20,235,000 (19,770,000) 1,980,000 Offsetting 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. Please see Note 4 for information related to the Company’s repurchase agreements, which are also subject to underlying agreements with master netting or similar arrangements. 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, 2021 and December 31, 2020: 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, 2021 U.S. Treasury futures $ 60,159 $ — $ 60,159 $ — $ (12,537) $ 47,622 Interest rate swaptions 9,939 — 9,939 — (9,939) — Derivative assets $ 70,098 $ — $ 70,098 $ — $ (22,476) $ 47,622 December 31, 2020 Interest rate swaptions $ 1,360 $ — $ 1,360 $ (107) $ — $ 1,253 Options on U.S. Treasury futures 1,094 — 1,094 — — 1,094 TBA securities 8,888 — 8,888 — (7,681) 1,207 Derivative assets $ 11,342 $ — $ 11,342 $ (107) $ (7,681) $ 3,554 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, 2021 TBA securities $ (12,584) — $ (12,584) $ — $ 12,584 $ — Derivative liabilities $ (12,584) $ — $ (12,584) $ — $ 12,584 $ — December 31, 2020 U.S. Treasury futures-short positions $ (1,527) — $ (1,527) $ — $ 1,527 $ — Interest rate swaptions (107) — (107) 107 — — Derivative liabilities $ (1,634) $ — $ (1,634) $ 107 $ 1,527 $ — (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 derivative 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 refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.” |
Fair Value of Financial Instrum
Fair Value of Financial Instruments (Notes) | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | FAIR VALUE OF FINANCIAL INSTRUMENTS Fair value is defined 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. Fair value is based on the assumptions market participants would use when pricing an asset or liability and also considers all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC Topic 820 established a valuation hierarchy of three levels as follows: • Level 1 – Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities as of the measurement date. • Level 2 – Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs either directly observable or indirectly observable through correlation with market data at the measurement date and for the duration of the instrument’s anticipated life. • Level 3 – Unobservable inputs are supported by little or no market activity. The unobservable inputs represent management’s best estimate of how market participants would price the asset or liability at the measurement date. Consideration is given to the risk inherent in the valuation technique and the risk inherent in the inputs to the model. The following table presents the Company’s financial instruments that are measured at fair value on the Company’s consolidated balance sheet by their valuation hierarchy levels as of the dates indicated: September 30, 2021 December 31, 2020 Fair Value Level 1 Level 2 Level 3 Fair Value Level 1 Level 2 Level 3 Assets carried at fair value: MBS $ 2,858,166 $ — $ 2,857,260 $ 906 $ 2,596,255 $ — $ 2,594,980 $ 1,275 Mortgage loans held for investment 4,717 — — 4,717 6,264 — — 6,264 Derivative assets: U.S. Treasury futures $ 60,159 $ 60,159 — — — — — — Options on U.S. Treasury futures — — — — 1,094 1,094 — — Interest rate swaptions 9,939 — 9,939 — 1,360 — 1,360 — TBA securities-long position — — — — 8,888 — 8,888 — Total assets carried at fair value $ 2,932,981 $ 60,159 $ 2,867,199 $ 5,623 $ 2,613,861 $ 1,094 $ 2,605,228 $ 7,539 Liabilities carried at fair value: U.S. Treasury futures $ — $ — $ — $ — $ 1,527 $ 1,527 $ — $ — Interest rate swaptions — — — — 107 — 107 — TBA securities-long position 12,584 — 12,584 — — — — — Total liabilities carried at fair value $ 12,584 $ — $ 12,584 $ — $ 1,634 $ 1,527 $ 107 $ — The fair value measurements for the Company's MBS are considered Level 2 when there are substantially similar securities actively trading or for which there has been recent trading activity in their respective markets and are based on prices received from pricing services and quotes from brokers. In valuing a security, the 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 reviews the prices it receives from its pricing sources as well as the assumptions and inputs utilized by its pricing sources for reasonableness. Examples of these observable inputs and assumptions include market interest rates, credit spreads, and projected prepayment speeds, among other things. The Company owns other non-Agency MBS and mortgage loans that are considered Level 3 assets because there has been no recent trading activity of similar instruments upon which their fair value can be measured. The fair value for these Level 3 assets is measured 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. The Company used a constant prepayment rate assumption of 10%, default rate of 2%, loss severity of 20%, and a discount rate of 7.0% in measuring the fair value of its Level 3 assets as of September 30, 2021. 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 Level 3 assets during the three and nine months ended September 30, 2021 is presented in the following table: Three Months Ended Nine Months Ended September 30, 2021 September 30, 2021 Other Non-Agency MBS Mortgage Loans Other Non-Agency MBS Mortgage Loans Balance as of beginning of period $ 1,002 $ 5,146 $ 1,275 $ 6,264 Change in fair value (1) (47) 34 (151) 102 Principal payments (109) (457) (412) (1,629) Accretion (amortization) 60 (6) 194 (20) Balance as of end of period $ 906 $ 4,717 $ 906 $ 4,717 (1) Change in fair value for mortgage loans is recorded within “unrealized gain (loss) on investments, net” in net income and change in fair value for other non-Agency MBS is recorded as unrealized gain (loss) in “other comprehensive income”. U.S. Treasury 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 interest rate swaptions is based on the fair value of the underlying interest rate swap and time remaining until its expiration and is carried on the balance sheet net of any deferred premium to be paid upon expiration. The fair value of TBA securities is estimated using methods similar those used to fair value the Company’s Level 2 MBS. |
Shareholders' Equity and Share-
Shareholders' Equity and Share-Based Compensation (Notes) | 9 Months Ended |
Sep. 30, 2021 | |
Equity [Abstract] | |
Shareholders' Equity and Share-based Compensation | SHAREHOLDERS’ EQUITY AND SHARE-BASED COMPENSATION Preferred Stock. The Company’s Board of Directors has designated 6,600,000 shares of the Company’s preferred stock for issuance as Series C Preferred Stock, of which the Company has 4,460,000 of such shares outstanding as of September 30, 2021. The Series C Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption, and will remain outstanding indefinitely unless redeemed or otherwise repurchased or converted into common stock pursuant to the terms of the Series C Preferred Stock. Except under certain limited circumstances described in Article IIIC of the Company’s Restated Articles of Incorporation, the Company may not redeem the Series C Preferred Stock prior to April 15, 2025. On or after that date, the Series C Preferred Stock may be redeemed 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 Series C 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 C Preferred stock pays a cumulative cash dividend equivalent to 6.900% of the $25.00 liquidation preference per share each year until April 15, 2025 upon which date and thereafter, the Company will pay cumulative cash dividends at a percentage of the $25.00 liquidation value per share equal to an annual floating rate of three-month LIBOR plus a spread of 5.461%. The Company paid its regular quarterly dividend of $0.43125 per share of Series C Preferred Stock on October 15, 2021 to shareholders of record as of October 1, 2021. During the first quarter of 2021, the Company redeemed the remaining 2,788,330 outstanding shares of its 7.625% Series B Cumulative Redeemable Preferred Stock at an aggregate redemption price of approximately $25.15 per share, which included accumulated and unpaid dividends declared as of the redemption date February 15, 2021. The excess of the $25.00 liquidation price per share over the carrying value of the preferred stock redeemed resulted in a charge of $(2,987) to net income to common shareholders for the nine months ended September 30, 2021. Common Stock. During the three months ended September 30, 2021, the Company issued 1,590,740 shares of its common stock through its ATM offering (“ATM”) program at an aggregate value of $27,898, net of $353 in broker commissions and fees. Share-Based Compensation. The Company did not grant any stock awards during the three months ended September 30, 2021. Total share-based compensation expense recognized by the Company for the three and nine months ended September 30, 2021 was $760 and $1,755, respectively, compared to $568 and $1,299, respectively, for the three and nine months ended September 30, 2020. The following tables present a rollforward of share-based awards for the periods indicated: Nine Months Ended September 30, 2021 Restricted Stock RSUs PSUs Shares Weighted Average Shares Weighted Average Shares Weighted Average Awards outstanding, beginning of period 281,761 $ 14.74 — $ — — $ — Granted 40,027 19.02 55,019 19.40 110,040 19.40 Vested (123,984) 15.28 — — — — Awards outstanding, end of period 197,804 $ 15.27 55,019 $ 19.40 110,040 $ 19.04 Nine Months Ended September 30, 2020 Restricted Stock RSUs PSUs Shares Weighted Average Shares Weighted Average Shares Weighted Average Awards outstanding, beginning of period 119,213 $ 18.56 — $ — — $ — Granted 240,293 13.88 — — — — Vested (71,431) 18.25 — — — — Awards outstanding, end of period 288,075 $ 14.74 — $ — — $ — Actual RSUs awarded will range from 0% if the recipient’s time-based vesting condition is not met to 100% if the time-based vesting condition is met. Actual PSUs awarded will range from 0% to 200% based on the achievement of the performance goals defined in the grant award. As of September 30, 2021, the Company expects to award 100% of the 110,040 PSUs outstanding as of September 30, 2021. The following table discloses the grant date fair value of the Company’s remaining unvested awards as of September 30, 2021, which will be amortized into compensation expense over the period disclosed: September 30, 2021 Remaining Compensation Cost WAVG Period of Recognition Restricted stock $ 2,172 1.5 RSUs 938 2.4 PSUs 1,825 2.3 Total $ 4,935 1.9 |
Organization and Summary of S_2
Organization and Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2021 | |
Accounting Policies [Abstract] | |
Organization | OrganizationDynex Capital, Inc. (“Company”) was incorporated in the Commonwealth of Virginia on December 18, 1987 and commenced operations in February 1988. The Company is an internally managed mortgage real estate investment trust, or mortgage REIT, which primarily earns income from investing on a leveraged basis in debt securities, the majority of which are specified pools of Agency mortgage-backed securities (“MBS”) consisting of commercial MBS (“CMBS”), residential MBS (“RMBS”), and CMBS interest-only (“IO”) securities and non-Agency MBS, which consist mainly of CMBS IO. Agency MBS have a guaranty of principal payment by a U.S. government-sponsored entity (“GSE”) such as Fannie Mae and Freddie Mac, which are in conservatorship and are currently supported by a senior preferred stock purchase agreement from the U.S. Treasury. Non-Agency MBS are issued by non-governmental enterprises and do not have a guaranty of principal payment. The Company also invests in other types of mortgage-related securities, such as to-be-announced securities (“TBAs” or “TBA securities”). |
Basis of Presentation | Basis of Presentation The accompanying unaudited consolidated financial statements of the Company and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with U.S. generally accepted accounting principles (“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, 2021 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2021. 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, 2020 (the “2020 Form 10-K”) filed with the SEC. |
Use of Estimates | 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 and fair value measurements of its investments. These items are discussed further below within this note to the consolidated financial statements. The Company believes the estimates and assumptions underlying the consolidated financial statements included herein are reasonable and supportable based on the information available as of September 30, 2021; however, the uncertainty over the impact that the COVID-19 pandemic may continue to have on the global economy and on the Company’s business makes any estimates and assumptions inherently less certain than they would be absent the current and potential impacts of COVID-19. The COVID-19 pandemic and resulting emergency measures have led (and may continue to lead) to significant disruptions in the global capital markets and supply chains as well as the economy of the U.S. and other countries impacted by COVID-19. In addition, the nature and timing of any future public policy choices and actions are unpredictable, including the potential impact on MBS prices and prepayment speeds. Though supportive actions taken by the U.S. government and GSEs have helped cushion the economic damage from the disruption of the pandemic to date, the Company can give no assurance as to how, in the long term, these actions will affect the efficiency, liquidity and stability of the financial and mortgage markets. |
Reclassifications | Reclassifications Certain items on the Company’s consolidated balance sheet as of December 31, 2020 have been reclassified to conform to the current period’s presentation. In the Company’s 2020 Form 10-K, restricted cash on the consolidated balance |
Consolidation and Variable Interest Entities | Consolidation and Variable Interest Entities 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. All intercompany accounts and transactions have been eliminated in consolidation. The Company consolidates a VIE if the Company is determined to be the VIE’s primary beneficiary, which is defined as the party that has both: (i) the power to control the activities that most significantly impact the VIE’s financial performance and (ii) the right to receive benefits or absorb losses that could potentially be significant to the VIE. The Company reconsiders its evaluation of whether to consolidate a VIE on an ongoing basis, based on changes in the facts and circumstances pertaining to the VIE. Though the Company invests in Agency and non-Agency MBS which are generally considered to be interests in VIEs, the Company does not consolidate these entities because it does not meet the criteria to be deemed a primary beneficiary. |
Income Taxes | 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 shareholders 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 and 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 | Net Income (Loss) Per Common Share The Company calculates basic net income (loss) per common share by dividing net income (loss) to common shareholders for the period by weighted-average shares of common stock outstanding for that period. Please see Note 2 for the calculation of the Company’s basic and diluted net income (loss) per common share for the periods indicated. The Company currently has unvested restricted stock, service-based restricted stock units (“RSUs”) and performance-based stock units (“PSUs”) issued and outstanding. Upon vesting (or settlement, in the case of units), restrictions on transfer expire on each share of restricted stock, RSU, and PSU, and each such share represents one unrestricted share of common stock. Restricted stock awards are considered participating securities and therefore are included in the computation of basic net income per common share using the two-class method because holders of unvested shares of restricted stock are eligible to receive non-forfeitable dividends. Holders of unvested RSUs and PSUs accrue forfeitable dividend equivalent rights over the vesting period, receiving dividend payments only upon the settlement date if the requisite service-based and performance-based conditions have been achieved. As such, unvested RSUs and PSUs are excluded from the computation of basic net income per common share, but are included in the computation of diluted net income per common share unless the effect is to reduce a net loss or increase the net income per common share (also known as “anti-dilutive”). Because the Company’s 6.900% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”) is redeemable at the Company’s option for cash only and convertible into shares of common stock only upon a change of control of the Company (and subject to other circumstances) as described in Article IIIC of the Company’s Restated Articles of Incorporation, the effect of those shares and their related dividends were excluded from the calculation of diluted net income per common share for the periods presented. |
Cash | Cash Cash includes unrestricted demand deposits at highly rated financial institutions. The Company’s cash balances fluctuate throughout the year and may exceed Federal Deposit Insurance Corporation (“FDIC”) insured limits from time to time. Although the Company bears risk to amounts in excess of those insured by the FDIC, it does not anticipate any losses as a result due to the financial position and creditworthiness of the depository institutions in which those deposits are held. |
Cash Collateral Posted To/By Counterparties | Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents amounts pledged/received to cover initial and variation margin related to the Company’s financing and derivative instruments. The following table provides a reconciliation of “cash” and “cash posted to counterparties” reported on the Company's consolidated balance sheet as of the period indicated 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, 2021: September 30, 2021 Cash $ 382,796 Cash collateral posted to counterparties 16,639 Total cash including cash posted to counterparties shown on consolidated statement of cash flows $ 399,435 |
Mortgage-Back Securities | Mortgage-Backed Securities The Company’s MBS are recorded at fair value on the Company’s consolidated balance sheet. MBS purchased prior to January 1, 2021 are designated as available-for-sale (“AFS”) with changes in fair value reported in other comprehensive income (“OCI”) as an unrealized gain (loss) until the security is sold or matures. Effective January 1, 2021, the Company elected the fair value option for all MBS purchased on or after that date with changes in fair value reported in net income as “unrealized gain (loss) on investments, net” until the security is sold or matures. Upon the sale of an MBS, any unrealized gain or loss is reclassified to “realized gain (loss) on sale of investments, net” using the specific identification method. Management elected the fair value option so that GAAP net income will reflect the changes in fair value for its future purchases of MBS in a manner consistent with the presentation and timing of the changes in fair value of its derivative instruments. Electing the fair value option is increasing as an industry trend for mortgage REITs who have not elected cash flow hedge accounting. “Unrealized gain (loss) on investments, net”, which was titled “fair value adjustments, net” in prior reporting periods, also includes changes in fair value for mortgage loans held for investment for which the Company elected the fair value option effective January 1, 2020. Interest Income, Premium Amortization, and Discount Accretion. Interest income on MBS is accrued based on the outstanding principal balance (or notional balance in the case of interest-only, or “IO” securities) and their contractual terms. Premiums or discounts associated with the purchase of Agency MBS as well as any non-Agency MBS are amortized or accreted into interest income over the projected 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’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 currently hold any non-Agency MBS that were purchased at a discount with credit ratings of less than ‘AA’ or not rated by any of the nationally recognized credit rating agencies at the time of purchase. Determination of MBS Fair Value. The Company estimates the fair value of the majority of its MBS based upon prices obtained from 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. Please refer to Note 6 for further discussion of MBS fair value measurements. Allowance for Credit Losses. On at least a quarterly basis, the Company evaluates any MBS designated as AFS with a fair value less than its amortized cost for credit losses. If the difference between the present value of cash flows expected to be collected on the MBS is less than its amortized cost, the difference is recorded as an allowance for credit loss through net income up to and not exceeding the amount that the amortized cost exceeds current fair value. Subsequent changes in credit loss estimates are recognized in earnings in the period in which they occur. Because the majority of the Company’s investments are higher credit quality and most are guaranteed by a GSE, the Company is not likely to have an allowance for credit losses related to its MBS recorded on its consolidated balance sheet. |
Repurchase Agreements | Repurchase Agreements The Company’s repurchase agreements, which are used to finance its purchases of MBS, are accounted for as secured borrowings under which the Company pledges its securities as collateral to secure a loan, which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral, which is disclosed parenthetically on the Company’s consolidated balance sheets. 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 | Derivative Instruments During the nine months ended September 30, 2021, the Company’s derivative instruments have included U.S. Treasury futures, options on U.S. Treasury futures, options on interest rate swaps (“swaptions”) and TBA securities, which are forward contracts for the purchase or sale of Agency RMBS on a non-specified pool basis. Derivative instruments are reported at their fair value on the Company’s consolidated balance sheet as derivative assets if in a gain position or as derivative liabilities if in a loss position, at the end of the period reported. All income/expenses 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 (loss). 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 currently has short positions in U.S. Treasury futures contracts, which are valued based on exchange pricing with daily margin settlements. The Company realizes gains or losses on these contracts upon expiration at an amount equal to the difference between the current fair value of the underlying asset and the contractual price of the futures contract. Daily margin exchanges for the Company’s U.S. Treasury futures are not considered legal settlement of the instrument. The Company’s options on U.S. Treasury futures provide the Company the right, but not an obligation, to buy U.S. Treasury futures at a predetermined notional amount and stated term in the future. Options on U.S. Treasury futures are valued based on exchange pricing without daily exchanges of margin amounts. The Company records the premium paid for the option contract as a derivative asset on its consolidated balance sheet and adjusts the balance for changes in fair value through “gain (loss) on derivative instruments” until the option is exercised or the contract expires. The Company may also purchase swaptions and defer the premium payment until the effective date. The premium payable and underlying swaption are accounted for as a single unit of account. 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 that the individual TBA transaction will not settle in the shortest time period possible. Please refer to Note 5 for additional information regarding the Company’s derivative instruments as well as Note 6 for information on how the fair value of these instruments is calculated. |
Share-based Compensation | Share-Based Compensation The Company’s 2020 Stock and Incentive Plan (the “2020 Plan”) reserves for issuance up to 2,300,000 common shares for eligible employees, non-employee directors, consultants, and advisors to the Company to be granted in the form of stock options, restricted stock, restricted stock units, stock appreciation rights, performance units, and performance cash awards (collectively, “awards”). Awards previously granted under the Company’s 2018 Stock and Incentive Plan (“2018 Plan”) or any other prior equity plan will remain outstanding and valid in accordance with their terms, but no new awards will be granted under the 2018 Plan or any other prior equity plan. Currently, the Company has shares of restricted stock and RSUs issued and outstanding which are treated as equity awards and recorded at their fair value using the closing stock price on the grant date. The compensation cost is recognized over the vesting period with a corresponding credit to shareholders’ equity using the straight-line method. The Company also has PSUs issued and outstanding which contain either Company performance-based or market performance-based conditions. PSUs subject to Company performance-based conditions are initially recognized as equity at their fair value which is measured using the closing stock price on the grant date multiplied by the number of units expected to vest based on an assessment of the probability of achievement of the Company performance-based conditions as of the grant date. The grant date fair value is amortized as compensation cost on a straight-line basis over the vesting period with adjustments to compensation cost if necessary based on any change in probability of achievement which is re-assessed as of each reporting date and on at least a quarterly basis. PSUs subject to market performance-based conditions are recognized as equity at their grant date fair value determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return (“TSR”) relative to the common stock TSR of the group of peer companies specified in the award agreement. Awards subject to market performance-based conditions are not assessed for probability of achievement and are not remeasured subsequent to issuance. The grant date fair value is recognized as compensation cost on a straight-line basis over the vesting period even if the market performance-based conditions are not achieved. The Company does not estimate forfeitures for any of its share-based compensation awards, but adjusts for actual forfeitures in the periods in which they occur. Because RSUs and PSUs have forfeitable dividend equivalent rights that are paid only upon settlement, any accrued dividend equivalent rights on forfeited units are reversed with a corresponding credit to compensation cost. |
Contingencies | 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. As previously disclosed in the 2020 Form 10-K, the receiver (the “Receiver”) for one of the plaintiffs awarded damages in a judgment (the "DCI Judgment") against Dynex Commercial, Inc. ("DCI"), a subsidiary of a former affiliate of the Company, filed a separate claim in May 2018 against the Company seeking payment of the damages awarded in connection with the DCI Judgment, alleging that the Company breached a litigation cost sharing agreement, as amended (the "Agreement"), that was initially entered into by the Company and DCI in December 2000. On November 21, 2019, the U.S. District Court, Northern District of Texas ("Northern District Court") granted in part and denied in part summary judgment on the Receiver’s claim and the Company’s claim for offset and recoupment. The Northern District Court found that the Company breached the Agreement and therefore must pay damages to the Receiver. The Northern District Court simultaneously granted the Company’s motion for summary judgment finding that DCI also breached the Agreement and that the Company can recover amounts due to it from DCI under the Agreement. The Receiver subsequently filed certain objections (“Objections”) with the Northern District Court to, among other things, certain amounts the Company included in its recovery claim from DCI. The Company has disputed the Receiver’s Objections, arguing, among other things, that the Receiver's Objections are not supportable under Virginia law. At the trial of this matter in the Northern District Court, which occurred in September 2021, and in subsequent briefs, the Receiver set forth damages in a range of $13,400 to $13,800. The Company set forth its offsetting claim for damages in amounts ranging from $14,400 to $21,300, including interest. On November 1, 2021, the Northern District Court awarded the Company $14,238, which more than offset the amount the Court awarded to the Receiver, entered a take nothing judgement in the Company’s favor against the Receiver, and dismissed the Receiver’s claim against the Company. The Receiver has the right to appeal to the United States Court of Appeals for the Fifth Circuit within 30 days. The Company anticipates the final resolution of this matter will not have a material adverse effect on its consolidated financial statements. |
Recently Issued Accounting Pronouncements | Recently Issued Accounting Pronouncements The Company evaluates Accounting Standards Updates (“ASU”) issued by the Financial Accounting Standards Board (“FASB”) on at least a quarterly basis to evaluate applicability and significance of any impact on its financial condition and results of operations. There were no accounting pronouncements issued during the nine months ended September 30, 2021 that are expected to have a material impact on the Company’s financial condition or results of operations. |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted | NET INCOME (LOSS) PER COMMON SHARE Please refer to Note 1 for information regarding the Company’s treatment of its preferred stock and stock awards in the calculation of its basic and diluted net income (loss) per common share and to Note 7 for information regarding the Company’s stock award activity for the periods presented. The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated: Three Months Ended Nine Months Ended September 30, September 30, 2021 2020 2021 2020 Weighted average number of common shares outstanding - basic 34,924,449 23,141,270 31,258,711 23,054,042 Incremental common shares-unvested RSUs 55,019 — 55,019 — Incremental common shares-unvested PSUs 110,040 — 110,040 — Weighted average number of common shares outstanding - diluted 35,089,508 23,141,270 31,423,770 23,054,042 Net income to common shareholders $ 12,110 $ 37,473 $ 78,811 $ 122,824 Net income per common share-basic $ 0.35 $ 1.62 $ 2.52 $ 5.33 Net income per common share-diluted $ 0.35 $ 1.62 $ 2.51 $ 5.33 |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Debt Securities, Available-for-sale [Table Text Block] | The following tables present the Company’s MBS by investment type as of the dates indicated: September 30, 2021 Agency RMBS Agency CMBS CMBS IO (1) Non-Agency Other Total MBS designated as AFS: Par value $ 1,271,603 $ 185,603 $ — $ 1,087 $ 1,458,293 Unamortized premium (discount) 41,604 2,608 300,061 (246) 344,027 Amortized cost 1,313,207 188,211 300,061 841 1,802,320 Gross unrealized gain 10,056 10,230 13,924 107 34,317 Gross unrealized loss (13,348) (7) (684) (42) (14,081) Fair value 1,309,915 198,434 313,301 906 1,822,556 MBS measured at fair value through net income: Par value $ 1,000,854 $ — $ — $ — $ 1,000,854 Unamortized premium 33,533 — 4,313 — 37,846 Amortized cost 1,034,387 — 4,313 — 1,038,700 Gross unrealized gain 52 — 17 — 69 Gross unrealized loss (3,132) — (27) — (3,159) Fair value 1,031,307 — 4,303 — 1,035,610 Total as of September 30, 2021 $ 2,341,222 $ 198,434 $ 317,604 $ 906 $ 2,858,166 (1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $10,508,786 and $8,865,021 respectively, as of September 30, 2021. December 31, 2020 Agency RMBS Agency CMBS CMBS IO (1) Non-Agency Other Total MBS designated as AFS: Par value $ 1,839,046 $ 235,801 $ — $ 1,499 $ 2,076,346 Unamortized premium (discount) 57,997 3,152 378,939 (440) 439,648 Amortized cost 1,897,043 238,953 378,939 1,059 2,515,994 Gross unrealized gain 49,348 19,597 12,081 267 81,293 Gross unrealized loss — — (981) (51) (1,032) Fair value 1,946,391 258,550 390,039 1,275 2,596,255 MBS measured at fair value through net income: Par value $ — $ — $ — $ — $ — Unamortized premium — — — — — Amortized cost — — — — — Gross unrealized gain — — — — — Gross unrealized loss — — — — — Fair value — — — — — Total as of December 31, 2020 $ 1,946,391 $ 258,550 $ 390,039 $ 1,275 $ 2,596,255 (1) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $11,277,908 and $9,319,520, respectively, as of December 31, 2020. |
Schedule of Realized Gain (Loss) [Table Text Block] | The following table presents information regarding the "realized gain on sale of investments, net" on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated: Three Months Ended September 30, 2021 2020 Proceeds Received Realized Gain (Loss) Proceeds Received Realized Gain Agency RMBS-designated as AFS (1) $ — $ — $ — $ 1 Agency CMBS-designated as AFS — — 403,095 20,845 $ — $ — $ 403,095 $ 20,846 Nine Months Ended September 30, 2021 2020 Proceeds Received Realized Gain Proceeds Received Realized Gain Agency RMBS-designated as AFS $ 287,409 $ 3,938 $ 2,187,956 $ 75,824 Agency CMBS-designated as AFS 37,873 2,767 2,215,098 222,904 $ 325,282 $ 6,705 $ 4,403,054 $ 298,728 (1) Additional realized gain for Agency RMBS during the three months ended September 30, 2020 relates to change in effective rate due to paydown that occurred between trade date of sale in second quarter of 2020 and settlement date in third quarter. |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block] | The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated: September 30, 2021 December 31, 2020 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 $ 1,121,823 $ (13,738) 23 $ 19,266 $ (399) 19 Non-Agency MBS 10,153 (159) 12 33,417 (408) 23 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 24 $ (26) 1 $ 749 $ (133) 2 Non-Agency MBS 2,771 (159) 7 2,156 (93) 5 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
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, 2021 and December 31, 2020 are summarized in the following tables: September 30, 2021 December 31, 2020 Collateral Type Balance Weighted Fair Value of Balance Weighted Fair Value of Collateral Pledged (1) Agency RMBS $ 2,069,312 0.13 % $ 2,166,848 $ 1,874,176 0.23 % $ 1,973,608 Agency CMBS 186,575 0.13 % 198,487 237,649 0.23 % 255,741 Agency CMBS IO 180,425 0.68 % 203,319 209,393 0.90 % 243,042 Non-Agency CMBS IO 90,753 0.98 % 108,998 115,945 1.28 % 136,684 Total repurchase agreements $ 2,527,065 0.20 % $ 2,677,652 $ 2,437,163 0.34 % $ 2,609,075 |
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, 2021 December 31, 2020 Remaining Term to Maturity Balance Weighted WAVG Original Term to Maturity Balance Weighted WAVG Original Term to Maturity Less than 30 days $ 479,019 0.30 % 110 $ 1,416,608 0.37 % 53 30 to 90 days 620,085 0.12 % 125 845,394 0.31 % 35 91 to 180 days 1,122,552 0.22 % 168 175,161 0.22 % 13 180 days to 1 year 305,409 0.15 % 318 — — % — Total $ 2,527,065 0.20 % 165 $ 2,437,163 0.34 % 44 |
Derivatives (Tables)
Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Derivative [Line Items] | |
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 2021 2020 2021 2020 Interest rate swaps $ — $ 911 $ — $ (182,941) Interest rate swaptions 3,985 411 42,686 (162) U.S. Treasury futures 11,209 (6,517) 43,673 (25,140) Options on U.S. Treasury futures (3,226) (5,655) (2,141) (23,815) TBA securities - long positions (2,365) 18,824 (19,755) 45,943 TBA securities - short positions — — — (10,041) Gain (loss) on derivative instruments, net $ 9,603 $ 7,974 $ 64,463 $ (196,156) |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The table below summarizes information about the carrying 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, 2021 December 31, 2020 U.S. Treasury futures Derivative assets Economic hedging $ 60,159 $ — Options on U.S. Treasury futures Derivative assets Economic hedging — 1,094 Interest rate swaptions Derivative assets Economic hedging 9,939 1,360 TBA securities Derivative assets Investing — 8,888 Total derivatives assets $ 70,098 $ 11,342 Interest rate swaptions Derivative liabilities Economic hedging $ — $ (107) U.S. Treasury futures Derivative liabilities Economic hedging — (1,527) TBA securities Derivative liabilities Investing (12,584) — Total derivatives liabilities $ (12,584) $ (1,634) |
Schedule of Notional Amounts of Outstanding Derivative Positions | The tables below summarize changes in the Company’s derivative instruments for the nine months ended September 30, 2021: Type of Derivative Instrument Beginning Additions Settlements, Ending Interest rate swaptions 1,250,000 500,000 (1,000,000) 750,000 U.S. Treasury futures (825,000) (11,640,000) 8,925,000 (3,540,000) Options on U.S. Treasury futures 500,000 2,350,000 (2,850,000) — TBA securities 1,515,000 20,235,000 (19,770,000) 1,980,000 |
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, 2021 U.S. Treasury futures $ 60,159 $ — $ 60,159 $ — $ (12,537) $ 47,622 Interest rate swaptions 9,939 — 9,939 — (9,939) — Derivative assets $ 70,098 $ — $ 70,098 $ — $ (22,476) $ 47,622 December 31, 2020 Interest rate swaptions $ 1,360 $ — $ 1,360 $ (107) $ — $ 1,253 Options on U.S. Treasury futures 1,094 — 1,094 — — 1,094 TBA securities 8,888 — 8,888 — (7,681) 1,207 Derivative assets $ 11,342 $ — $ 11,342 $ (107) $ (7,681) $ 3,554 |
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, 2021 TBA securities $ (12,584) — $ (12,584) $ — $ 12,584 $ — Derivative liabilities $ (12,584) $ — $ (12,584) $ — $ 12,584 $ — December 31, 2020 U.S. Treasury futures-short positions $ (1,527) — $ (1,527) $ — $ 1,527 $ — Interest rate swaptions (107) — (107) 107 — — Derivative liabilities $ (1,634) $ — $ (1,634) $ 107 $ 1,527 $ — (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 derivative 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 refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.” |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures | FAIR VALUE OF FINANCIAL INSTRUMENTS Fair value is defined 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. Fair value is based on the assumptions market participants would use when pricing an asset or liability and also considers all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC Topic 820 established a valuation hierarchy of three levels as follows: • Level 1 – Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities as of the measurement date. • Level 2 – Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs either directly observable or indirectly observable through correlation with market data at the measurement date and for the duration of the instrument’s anticipated life. • Level 3 – Unobservable inputs are supported by little or no market activity. The unobservable inputs represent management’s best estimate of how market participants would price the asset or liability at the measurement date. Consideration is given to the risk inherent in the valuation technique and the risk inherent in the inputs to the model. The following table presents the Company’s financial instruments that are measured at fair value on the Company’s consolidated balance sheet by their valuation hierarchy levels as of the dates indicated: September 30, 2021 December 31, 2020 Fair Value Level 1 Level 2 Level 3 Fair Value Level 1 Level 2 Level 3 Assets carried at fair value: MBS $ 2,858,166 $ — $ 2,857,260 $ 906 $ 2,596,255 $ — $ 2,594,980 $ 1,275 Mortgage loans held for investment 4,717 — — 4,717 6,264 — — 6,264 Derivative assets: U.S. Treasury futures $ 60,159 $ 60,159 — — — — — — Options on U.S. Treasury futures — — — — 1,094 1,094 — — Interest rate swaptions 9,939 — 9,939 — 1,360 — 1,360 — TBA securities-long position — — — — 8,888 — 8,888 — Total assets carried at fair value $ 2,932,981 $ 60,159 $ 2,867,199 $ 5,623 $ 2,613,861 $ 1,094 $ 2,605,228 $ 7,539 Liabilities carried at fair value: U.S. Treasury futures $ — $ — $ — $ — $ 1,527 $ 1,527 $ — $ — Interest rate swaptions — — — — 107 — 107 — TBA securities-long position 12,584 — 12,584 — — — — — Total liabilities carried at fair value $ 12,584 $ — $ 12,584 $ — $ 1,634 $ 1,527 $ 107 $ — The fair value measurements for the Company's MBS are considered Level 2 when there are substantially similar securities actively trading or for which there has been recent trading activity in their respective markets and are based on prices received from pricing services and quotes from brokers. In valuing a security, the 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 reviews the prices it receives from its pricing sources as well as the assumptions and inputs utilized by its pricing sources for reasonableness. Examples of these observable inputs and assumptions include market interest rates, credit spreads, and projected prepayment speeds, among other things. The Company owns other non-Agency MBS and mortgage loans that are considered Level 3 assets because there has been no recent trading activity of similar instruments upon which their fair value can be measured. The fair value for these Level 3 assets is measured 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. The Company used a constant prepayment rate assumption of 10%, default rate of 2%, loss severity of 20%, and a discount rate of 7.0% in measuring the fair value of its Level 3 assets as of September 30, 2021. 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 Level 3 assets during the three and nine months ended September 30, 2021 is presented in the following table: Three Months Ended Nine Months Ended September 30, 2021 September 30, 2021 Other Non-Agency MBS Mortgage Loans Other Non-Agency MBS Mortgage Loans Balance as of beginning of period $ 1,002 $ 5,146 $ 1,275 $ 6,264 Change in fair value (1) (47) 34 (151) 102 Principal payments (109) (457) (412) (1,629) Accretion (amortization) 60 (6) 194 (20) Balance as of end of period $ 906 $ 4,717 $ 906 $ 4,717 (1) Change in fair value for mortgage loans is recorded within “unrealized gain (loss) on investments, net” in net income and change in fair value for other non-Agency MBS is recorded as unrealized gain (loss) in “other comprehensive income”. U.S. Treasury 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 interest rate swaptions is based on the fair value of the underlying interest rate swap and time remaining until its expiration and is carried on the balance sheet net of any deferred premium to be paid upon expiration. The fair value of TBA securities is estimated using methods similar those used to fair value the Company’s Level 2 MBS. |
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 the Company’s consolidated balance sheet by their valuation hierarchy levels as of the dates indicated: September 30, 2021 December 31, 2020 Fair Value Level 1 Level 2 Level 3 Fair Value Level 1 Level 2 Level 3 Assets carried at fair value: MBS $ 2,858,166 $ — $ 2,857,260 $ 906 $ 2,596,255 $ — $ 2,594,980 $ 1,275 Mortgage loans held for investment 4,717 — — 4,717 6,264 — — 6,264 Derivative assets: U.S. Treasury futures $ 60,159 $ 60,159 — — — — — — Options on U.S. Treasury futures — — — — 1,094 1,094 — — Interest rate swaptions 9,939 — 9,939 — 1,360 — 1,360 — TBA securities-long position — — — — 8,888 — 8,888 — Total assets carried at fair value $ 2,932,981 $ 60,159 $ 2,867,199 $ 5,623 $ 2,613,861 $ 1,094 $ 2,605,228 $ 7,539 Liabilities carried at fair value: U.S. Treasury futures $ — $ — $ — $ — $ 1,527 $ 1,527 $ — $ — Interest rate swaptions — — — — 107 — 107 — TBA securities-long position 12,584 — 12,584 — — — — — Total liabilities carried at fair value $ 12,584 $ — $ 12,584 $ — $ 1,634 $ 1,527 $ 107 $ — |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The activity of the Company’s Level 3 assets during the three and nine months ended September 30, 2021 is presented in the following table: Three Months Ended Nine Months Ended September 30, 2021 September 30, 2021 Other Non-Agency MBS Mortgage Loans Other Non-Agency MBS Mortgage Loans Balance as of beginning of period $ 1,002 $ 5,146 $ 1,275 $ 6,264 Change in fair value (1) (47) 34 (151) 102 Principal payments (109) (457) (412) (1,629) Accretion (amortization) 60 (6) 194 (20) Balance as of end of period $ 906 $ 4,717 $ 906 $ 4,717 |
Shareholders' Equity and Shar_2
Shareholders' Equity and Share-Based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Equity [Abstract] | |
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity | The following tables present a rollforward of share-based awards for the periods indicated: Nine Months Ended September 30, 2021 Restricted Stock RSUs PSUs Shares Weighted Average Shares Weighted Average Shares Weighted Average Awards outstanding, beginning of period 281,761 $ 14.74 — $ — — $ — Granted 40,027 19.02 55,019 19.40 110,040 19.40 Vested (123,984) 15.28 — — — — Awards outstanding, end of period 197,804 $ 15.27 55,019 $ 19.40 110,040 $ 19.04 Nine Months Ended September 30, 2020 Restricted Stock RSUs PSUs Shares Weighted Average Shares Weighted Average Shares Weighted Average Awards outstanding, beginning of period 119,213 $ 18.56 — $ — — $ — Granted 240,293 13.88 — — — — Vested (71,431) 18.25 — — — — Awards outstanding, end of period 288,075 $ 14.74 — $ — — $ — |
Organization and Summary of S_3
Organization and Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands | 9 Months Ended | |||
Sep. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | |
Accounting Policies [Abstract] | ||||
Cash | $ 382,796 | $ 295,602 | ||
Cash collateral posted to counterparties | 16,639 | 14,758 | ||
Total cash including cash posted to counterparties shown on consolidated statement of cash flows | 399,435 | $ 310,360 | $ 187,245 | $ 136,230 |
Prior Period Reclassification Adjustment | $ 7,681 | |||
Share-based incentive plan, number of shares authorized for issuance | 2,300,000 |
Organization and Summary of S_4
Organization and Summary of Significant Accounting Policies - Contingencies (Details) | Nov. 01, 2021 | Sep. 30, 2021 |
Judicial Ruling | Subsequent Event [Member] | ||
Loss Contingencies [Line Items] | ||
Loss Contingency, Estimated Recovery from Third Party | 14,238 | |
Loss Contingency, Date of Dismissal | Nov. 1, 2021 | |
DCI Judgement | Pending Litigation | ||
Loss Contingencies [Line Items] | ||
Loss Contingency, Damages Sought | $13,400 to $13,800 | |
Loss Contingency, Estimated Recovery from Third Party | $14,400 to $21,300 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||
Weighted Average Number of Shares Outstanding, Basic | 34,924,449 | 23,141,270 | 31,258,711 | 23,054,042 |
Weighted Average Number of Shares Outstanding, Diluted | 35,089,508 | 23,141,270 | 31,423,770 | 23,054,042 |
Net (loss) income to common stockholders | $ 12,110 | $ 37,473 | $ 78,811 | $ 122,824 |
Earnings Per Share, Basic | $ 0.35 | $ 1.62 | $ 2.52 | $ 5.33 |
Earnings Per Share, Diluted | $ 0.35 | $ 1.62 | $ 2.51 | $ 5.33 |
Restricted Stock Units (RSUs) | ||||
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||
Incremental Common Shares Attributable to Dilutive Effect of Nonvested Shares with Forfeitable Dividends | 55,019 | 0 | 55,019 | 0 |
Performance Shares | ||||
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||
Incremental Common Shares Attributable to Dilutive Effect of Nonvested Shares with Forfeitable Dividends | 110,040 | 0 | 110,040 | 0 |
Mortgage-Backed Securities (Det
Mortgage-Backed Securities (Details) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2021USD ($)plantiff | Sep. 30, 2020USD ($) | Sep. 30, 2021USD ($)plantiff | Sep. 30, 2020USD ($) | Dec. 31, 2020USD ($)plantiff | ||||
Investments [Line Items] | ||||||||
Par value of available for sale debt security | $ 1,458,293,000 | $ 1,458,293,000 | $ 2,076,346,000 | |||||
Investments, Unamortized Premium (Discount) | 344,027,000 | 344,027,000 | 439,648,000 | |||||
Debt Securities, Available-for-sale, Amortized Cost | 1,802,320,000 | 1,802,320,000 | 2,515,994,000 | |||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 34,317,000 | 34,317,000 | 81,293,000 | |||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | (14,081,000) | (14,081,000) | (1,032,000) | |||||
Debt Securities, Available-for-sale | 1,822,556,000 | 1,822,556,000 | 2,596,255,000 | |||||
Par Value of Debt Security, Fair Value Option Elected | 1,000,854,000 | 1,000,854,000 | ||||||
Debt Securities, Trading, Amortized Cost | 1,038,700,000 | 1,038,700,000 | ||||||
Debt Securities, Trading, Unrealized Gain | 69,000 | |||||||
Debt Securities, Trading, Unrealized Loss | (3,159,000) | |||||||
Debt Securities, Trading | 1,035,610,000 | 1,035,610,000 | ||||||
Debt Securities, Trading and Available-for-sale | 2,858,166,000 | 2,858,166,000 | ||||||
Proceeds Received | 0 | $ 403,095,000 | 325,282,000 | $ 4,403,054,000 | ||||
Realized Gain (Loss) | 0 | 20,846,000 | 6,705,000 | 298,728,000 | ||||
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 0 | ||||||
Fair Value Option | ||||||||
Investments [Line Items] | ||||||||
Investments, Unamortized Premium (Discount) | 37,846,000 | 37,846,000 | ||||||
Residential Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Par value of available for sale debt security | 1,839,046,000 | |||||||
Investments, Unamortized Premium (Discount) | 57,997,000 | |||||||
Debt Securities, Available-for-sale, Amortized Cost | 1,897,043,000 | |||||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 49,348,000 | |||||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | |||||||
Debt Securities, Available-for-sale | 1,946,391,000 | |||||||
Residential Mortgage Backed Securities | Agency MBS | ||||||||
Investments [Line Items] | ||||||||
Par value of available for sale debt security | 1,271,603,000 | 1,271,603,000 | ||||||
Investments, Unamortized Premium (Discount) | 41,604,000 | 41,604,000 | ||||||
Debt Securities, Available-for-sale, Amortized Cost | 1,313,207,000 | 1,313,207,000 | ||||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 10,056,000 | 10,056,000 | ||||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | (13,348,000) | (13,348,000) | ||||||
Debt Securities, Available-for-sale | 1,309,915,000 | 1,309,915,000 | 1,946,391,000 | |||||
Par Value of Debt Security, Fair Value Option Elected | 1,000,854,000 | 1,000,854,000 | ||||||
Debt Securities, Trading, Amortized Cost | 1,034,387,000 | 1,034,387,000 | ||||||
Debt Securities, Trading, Unrealized Gain | 52,000 | |||||||
Debt Securities, Trading, Unrealized Loss | (3,132,000) | |||||||
Debt Securities, Trading | 1,031,307,000 | 1,031,307,000 | ||||||
Debt Securities, Trading and Available-for-sale | 2,341,222,000 | 2,341,222,000 | ||||||
Proceeds Received | 0 | 0 | 287,409,000 | 2,187,956,000 | ||||
Realized Gain (Loss) | 0 | 1,000 | 3,938,000 | 75,824,000 | ||||
Residential Mortgage Backed Securities | Agency MBS | Fair Value Option | ||||||||
Investments [Line Items] | ||||||||
Investments, Unamortized Premium (Discount) | 33,533,000 | 33,533,000 | ||||||
Commercial Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Investments, Unamortized Premium (Discount) | 3,152,000 | |||||||
Debt Securities, Available-for-sale, Amortized Cost | 238,953,000 | |||||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 19,597,000 | |||||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | |||||||
Debt Securities, Available-for-sale | 258,550,000 | |||||||
Proceeds Received | 0 | 37,873,000 | ||||||
Realized Gain (Loss) | 0 | 2,767,000 | ||||||
Commercial Mortgage Backed Securities | Agency MBS | ||||||||
Investments [Line Items] | ||||||||
Par value of available for sale debt security | 185,603,000 | 185,603,000 | 235,801,000 | |||||
Investments, Unamortized Premium (Discount) | 2,608,000 | 2,608,000 | ||||||
Debt Securities, Available-for-sale, Amortized Cost | 188,211,000 | 188,211,000 | ||||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 10,230,000 | 10,230,000 | ||||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | (7,000) | (7,000) | ||||||
Debt Securities, Available-for-sale | 198,434,000 | 198,434,000 | 258,550,000 | |||||
Debt Securities, Trading and Available-for-sale | 198,434,000 | 198,434,000 | ||||||
Proceeds Received | 403,095,000 | 2,215,098,000 | ||||||
Realized Gain (Loss) | $ (20,845,000) | $ 222,904,000 | ||||||
Interest-Only-Strip | ||||||||
Investments [Line Items] | ||||||||
Par value of available for sale debt security | 0 | [1] | 0 | [1] | 0 | [2] | ||
Investments, Unamortized Premium (Discount) | 300,061,000 | 300,061,000 | 378,939,000 | |||||
Debt Securities, Available-for-sale, Amortized Cost | 300,061,000 | 300,061,000 | 378,939,000 | |||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 13,924,000 | 13,924,000 | 12,081,000 | |||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | (684,000) | (684,000) | (981,000) | |||||
Debt Securities, Available-for-sale | 313,301,000 | 313,301,000 | 390,039,000 | |||||
Debt Securities, Trading, Amortized Cost | 4,313,000 | 4,313,000 | ||||||
Debt Securities, Trading, Unrealized Gain | 17,000 | |||||||
Debt Securities, Trading, Unrealized Loss | (27,000) | |||||||
Debt Securities, Trading | 4,303,000 | 4,303,000 | ||||||
Debt Securities, Trading and Available-for-sale | 317,604,000 | 317,604,000 | ||||||
Interest-Only-Strip | Fair Value Option | ||||||||
Investments [Line Items] | ||||||||
Investments, Unamortized Premium (Discount) | 4,313,000 | 4,313,000 | ||||||
Par Value of Debt Security, Fair Value Option Elected | 0 | 0 | ||||||
Non-Agency MBS | ||||||||
Investments [Line Items] | ||||||||
Par value of available for sale debt security | 1,087,000 | 1,087,000 | 1,499,000 | |||||
Investments, Unamortized Premium (Discount) | (246,000) | (246,000) | (440,000) | |||||
Debt Securities, Available-for-sale, Amortized Cost | 841,000 | 841,000 | 1,059,000 | |||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 107,000 | 107,000 | 267,000 | |||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | (42,000) | (42,000) | (51,000) | |||||
Debt Securities, Available-for-sale | 906,000 | 906,000 | 1,275,000 | |||||
Debt Securities, Trading and Available-for-sale | 906,000 | 906,000 | ||||||
Notional balance for interest only securities | 8,865,021,000 | 8,865,021,000 | 9,319,520,000 | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 10,153,000 | 10,153,000 | 33,417,000 | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 2,771,000 | 2,771,000 | 2,156,000 | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (159,000) | (159,000) | (408,000) | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ (159,000) | $ (159,000) | $ (93,000) | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Number of Positions | 12 | 12 | 23 | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Number of Positions | plantiff | 7 | 7 | 5 | |||||
Agency MBS | ||||||||
Investments [Line Items] | ||||||||
Notional balance for interest only securities | $ 10,508,786,000 | $ 10,508,786,000 | $ 11,277,908,000 | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 1,121,823,000 | 1,121,823,000 | 19,266,000 | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 24,000 | 24,000 | 749,000 | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (13,738,000) | (13,738,000) | (399,000) | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ (26,000) | $ (26,000) | $ (133,000) | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Number of Positions | plantiff | 23 | 23 | 19 | |||||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Number of Positions | 1 | 1 | 2 | |||||
[1] | The notional balance for Agency CMBS IO and non-Agency CMBS IO was $10,508,786 and $8,865,021 respectively, as of September 30, 2021. | |||||||
[2] | The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $11,277,908 and $9,319,520, respectively, as of December 31, 2020. |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 2,527,065 | $ 2,437,163 | |
Weighted Average Rate | 0.20% | 0.34% | |
Fair Value of Collateral Pledged (1) | $ 2,677,652 | $ 2,609,075 | |
Payable for unsettled securities | 5 | ||
Receivable for sales pending settlement | 806 | 150,432 | |
Repurchase agreement amount for which securities sold but unsettled as of reporting date are pledged as collateral. | 140,612 | ||
Amortized cost of securities sold but unsettled | 141,215 | ||
Residential Mortgage Backed Securities | Agency MBS | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 2,069,312 | $ 1,874,176 | |
Weighted Average Rate | 0.13% | 0.23% | |
Fair Value of Collateral Pledged (1) | $ 2,166,848 | $ 1,973,608 | [1] |
Commercial Mortgage Backed Securities | Agency MBS | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 186,575 | $ 237,649 | |
Weighted Average Rate | 0.13% | 0.23% | |
Fair Value of Collateral Pledged (1) | $ 198,487 | $ 255,741 | |
Interest-Only-Strip | Agency MBS | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 180,425 | $ 209,393 | |
Weighted Average Rate | 0.68% | 0.90% | |
Fair Value of Collateral Pledged (1) | $ 203,319 | $ 243,042 | |
Interest-Only-Strip | Non-Agency MBS | |||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | |||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 90,753 | $ 115,945 | |
Weighted Average Rate | 0.98% | 1.28% | |
Fair Value of Collateral Pledged (1) | $ 108,998 | $ 136,684 | |
[1] | The amounts for fair value of collateral pledged in the table above as of December 31, 2020 include securities with an amortized cost of $141,215 which were sold but not settled as of that date, and for which the proceeds of $150,432 are recorded within “receivable for sales pending settlement” on the consolidated balance sheet. These securities collateralized $140,612 of the Company’s repurchase agreement borrowings outstanding as of December 31, 2020. |
Repurchase Agreements Remaining
Repurchase Agreements Remaining Term to Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 2,527,065 | $ 2,437,163 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.20% | 0.34% |
WAVG Original Term to Maturity | 165 | 44 |
Less than 30 days | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 479,019 | $ 1,416,608 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.30% | 0.37% |
WAVG Original Term to Maturity | 110 | 53 |
30 to 90 days | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 620,085 | $ 845,394 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.12% | 0.31% |
WAVG Original Term to Maturity | 125 | 35 |
Maturity90-180DaysMember | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 1,122,552 | $ 175,161 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.22% | 0.22% |
WAVG Original Term to Maturity | 168 | 13 |
Maturity 181 days to 1 year | ||
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 305,409 | |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.15% | |
WAVG Original Term to Maturity | 318 |
Repurchase Agreements Counterpa
Repurchase Agreements Counterparty Information (Details) $ in Thousands | Sep. 30, 2021USD ($)Agreements |
Disclosure of Repurchase Agreements [Abstract] | |
Number of Counterparties with Borrowings Outstanding | Agreements | 23 |
Line of Credit Facility, Maximum Borrowing Capacity | $ 250,000 |
Long-term Line of Credit | $ 95,791 |
Line of Credit Facility, Interest Rate at Period End | 0.87% |
Repurchase Agreements Offsettin
Repurchase Agreements Offsetting (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Offsetting Liabilities [Line Items] | |||
Gross Amount of Recognized Liabilities | $ 2,437,163 | ||
Gross Amount Offset in the Balance Sheet | $ 0 | 0 | |
Net Amount of Liabilities Presented in the Balance Sheet | 2,527,065 | 2,437,163 | |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities | [1] | (2,527,065) | (2,437,163) |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Cash | 0 | 0 | |
Securities Sold under Agreements to Repurchase, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | $ 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 repurchase agreement 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 (Details)
Derivatives (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Sep. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 |
Derivative [Line Items] | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 9,603 | $ 7,974 | $ 64,463 | $ (196,156) | |||
Derivative assets, fair value | 70,098 | 70,098 | $ 11,342 | ||||
Derivative liabilities, fair value | (12,584) | (12,584) | (1,634) | ||||
Interest rate swaps | |||||||
Derivative [Line Items] | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 911 | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | 0 | 0 | (182,941) | ||||
Interest rate swaption | |||||||
Derivative [Line Items] | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 3,985 | 411 | 42,686 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (162) | ||||||
Derivative assets, fair value | 9,939 | 9,939 | 1,253 | ||||
Derivative instrument, cost basis | 13,100 | 13,100 | 13,000 | ||||
Derivative Asset, Notional Amount | $ 750,000 | $ 750,000 | $ 1,250,000 | ||||
Derivative, Average Fixed Interest Rate | 1.46% | 1.46% | 1.07% | ||||
U.S. Treasury futures | |||||||
Derivative [Line Items] | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | $ 11,209 | $ 43,673 | |||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (6,517) | (25,140) | |||||
Derivative assets, fair value | 60,159 | 60,159 | $ 0 | ||||
Options on U.S. Treasury futures | |||||||
Derivative [Line Items] | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 3,226 | 5,655 | 2,141 | 23,815 | |||
Long position | TBA securities | |||||||
Derivative [Line Items] | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | 18,824 | 45,943 | |||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | (2,365) | (19,755) | |||||
Short position | TBA securities | |||||||
Derivative [Line Items] | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain | $ 0 | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Loss | 0 | 0 | $ (10,041) | ||||
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | |||||||
Derivative [Line Items] | |||||||
Derivative assets, fair value | 9,939 | 9,939 | 1,360 | ||||
Derivative liabilities, fair value | (107) | ||||||
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | 3 months or less | |||||||
Derivative [Line Items] | |||||||
Derivative assets, fair value | 4,453 | 4,453 | |||||
Derivative instrument, cost basis | 3,725 | 3,725 | |||||
Derivative Asset, Notional Amount | $ 250,000 | $ 250,000 | |||||
Derivative, Average Fixed Interest Rate | 1.19% | 1.19% | |||||
Average Term in Years | 10 years | ||||||
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | 9-12 months | |||||||
Derivative [Line Items] | |||||||
Derivative assets, fair value | 92 | ||||||
Derivative instrument, cost basis | 6,688 | ||||||
Derivative Asset, Notional Amount | $ 500,000 | ||||||
Derivative, Average Fixed Interest Rate | 1.16% | ||||||
Average Term in Years | 10 years | ||||||
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | 6 months or less | |||||||
Derivative [Line Items] | |||||||
Derivative assets, fair value | $ 1,161 | ||||||
Derivative instrument, cost basis | 6,312 | ||||||
Derivative Asset, Notional Amount | $ 750,000 | ||||||
Derivative, Average Fixed Interest Rate | 1.02% | ||||||
Average Term in Years | 10 years | ||||||
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | 9 -12 months | |||||||
Derivative [Line Items] | |||||||
Derivative assets, fair value | $ 5,486 | $ 5,486 | |||||
Derivative instrument, cost basis | 9,375 | 9,375 | |||||
Derivative Asset, Notional Amount | $ 500,000 | $ 500,000 | |||||
Derivative, Average Fixed Interest Rate | 1.60% | 1.60% | |||||
Average Term in Years | 10 years | ||||||
Not Designated as Hedging Instrument, Economic Hedge | Options on U.S. Treasury futures | |||||||
Derivative [Line Items] | |||||||
Derivative assets, fair value | $ 0 | $ 0 | $ 1,094 | ||||
Derivative Asset, Notional Amount | 0 | 0 | 500,000 | ||||
Derivative, Average Remaining Maturity | 1 month | ||||||
Not Designated as Hedging Instrument, Economic Hedge | Short position | U.S. Treasury futures | |||||||
Derivative [Line Items] | |||||||
Derivative liabilities, fair value | 0 | 0 | (1,527) | ||||
Derivative Liability, Notional Amount | 3,540,000 | $ 3,540,000 | 825,000 | ||||
Derivative, Average Remaining Maturity | 2 months | 3 months | |||||
Not Designated as Hedging Instrument, Trading | Long position | TBA securities | |||||||
Derivative [Line Items] | |||||||
Derivative assets, fair value | 0 | $ 0 | $ 8,888 | ||||
Derivative liabilities, fair value | $ (12,584) | $ (12,584) |
Derivatives TBA securities (Det
Derivatives TBA securities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Derivative [Line Items] | |||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | $ 70,098 | $ 11,342 | |
Long position | Not Designated as Hedging Instrument, Trading | TBA securities | |||
Derivative [Line Items] | |||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 0 | 8,888 | |
Cost Basis,TBA | [1] | (2,000,490) | (1,564,061) |
Market value, TBA | [2] | (1,987,906) | (1,572,949) |
Net carrying value, TBA | [3] | $ 12,584 | $ (8,888) |
[1] | Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the date indicated. | ||
[2] | Implied market value represents the estimated fair value of the underlying Agency MBS as of the date indicated | ||
[3] | 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 date indicated. |
Derivatives Volume of Activity
Derivatives Volume of Activity (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Dec. 31, 2020 | |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ (750,000) | $ (1,250,000) |
Notional Amount of Derivative Instruments Added | (500,000) | |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (1,000,000) | |
Not Designated as Hedging Instrument, Economic Hedge | U.S. Treasury futures | Short position | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (3,540,000) | (825,000) |
Notional Amount of Derivative Instruments Added | (11,640,000) | |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (8,925,000) | |
Not Designated as Hedging Instrument, Economic Hedge | Options on U.S. Treasury futures | Long position | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 0 | (500,000) |
Notional Amount of Derivative Instruments Added | (2,350,000) | |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | (2,850,000) | |
Not Designated as Hedging Instrument, Trading | TBA securities | Long position | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (1,980,000) | $ (1,515,000) |
Notional Amount of Derivative Instruments Added | (20,235,000) | |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | $ (19,770,000) |
Derivatives Offsetting Assets (
Derivatives Offsetting Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Fair Value, Gross Asset | $ 70,098 | $ 11,342 | |||
Derivative Asset, Fair Value, Gross Liability | 0 | 0 | |||
Derivative assets | 70,098 | 11,342 | |||
Derivative, Collateral, Obligation to Return Securities | 0 | (107) | [1] | ||
Cash collateral posted by counterparties | [1] | 22,476 | 7,681 | ||
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 47,622 | 3,554 | |||
Options on U.S. Treasury futures | |||||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Fair Value, Gross Asset | 1,094 | ||||
Derivative Asset, Fair Value, Gross Liability | 0 | ||||
Derivative assets | 1,094 | ||||
Derivative, Collateral, Obligation to Return Securities | 0 | ||||
Cash collateral posted by counterparties | 0 | ||||
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 1,094 | ||||
Interest rate swaption | |||||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Fair Value, Gross Asset | 9,939 | 1,360 | |||
Derivative Asset, Fair Value, Gross Liability | 0 | 0 | |||
Derivative assets | 9,939 | 1,360 | |||
Derivative, Collateral, Obligation to Return Securities | 0 | (107) | [1] | ||
Cash collateral posted by counterparties | 9,939 | [1] | 0 | ||
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 0 | 1,253 | |||
Long position | TBA securities | |||||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Fair Value, Gross Asset | 8,888 | ||||
Derivative Asset, Fair Value, Gross Liability | 0 | ||||
Derivative assets | 8,888 | ||||
Derivative, Collateral, Obligation to Return Securities | [1] | 0 | |||
Cash collateral posted by counterparties | [1] | 7,681 | |||
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | $ 1,207 | ||||
Short position | U.S. Treasury futures | |||||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Fair Value, Gross Asset | 60,159 | ||||
Derivative Asset, Fair Value, Gross Liability | 0 | ||||
Derivative assets | 60,159 | ||||
Derivative, Collateral, Obligation to Return Securities | 0 | ||||
Cash collateral posted by counterparties | [1] | 12,537 | |||
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | $ 47,622 | ||||
[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 derivative 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 refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.” |
Derivatives Offsetting Liabilit
Derivatives Offsetting Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | ||
Offsetting Liabilities [Line Items] | ||||
Derivative Liability, Fair Value, Gross Liability | $ (12,584) | $ (1,634) | ||
Derivative Liability, Fair Value, Gross Asset | 0 | 0 | ||
Derivative liabilities | 12,584 | 1,634 | ||
Derivative, Collateral, Right to Reclaim Securities | 0 | 107 | [1] | |
Derivative, Collateral, Right to Reclaim Cash | [1] | 12,584 | 1,527 | |
Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 0 | 0 | ||
Interest rate swaption | ||||
Offsetting Liabilities [Line Items] | ||||
Derivative Liability, Fair Value, Gross Liability | (107) | |||
Derivative Liability, Fair Value, Gross Asset | 0 | |||
Derivative liabilities | 107 | |||
Derivative, Collateral, Right to Reclaim Securities | [1] | 107 | ||
Derivative, Collateral, Right to Reclaim Cash | 0 | |||
Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 0 | |||
Short position | U.S. Treasury futures | ||||
Offsetting Liabilities [Line Items] | ||||
Derivative Liability, Fair Value, Gross Liability | (1,527) | |||
Derivative Liability, Fair Value, Gross Asset | 0 | |||
Derivative liabilities | 1,527 | |||
Derivative, Collateral, Right to Reclaim Securities | 0 | |||
Derivative, Collateral, Right to Reclaim Cash | [1] | 1,527 | ||
Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | $ 0 | |||
Long position | TBA securities | ||||
Offsetting Liabilities [Line Items] | ||||
Derivative Liability, Fair Value, Gross Liability | 12,584 | |||
Derivative Liability, Fair Value, Gross Asset | 0 | |||
Derivative liabilities | (12,584) | |||
Derivative, Collateral, Right to Reclaim Securities | 0 | |||
Derivative, Collateral, Right to Reclaim Cash | [1] | 12,584 | ||
Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | $ 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 derivative 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 refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.” |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | $ 70,098 | $ 11,342 |
Derivative liabilities | 12,584 | 1,634 |
Fair Value, Measurements, Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 2,858,166 | 2,596,255 |
Mortgage loans held for investment, at fair value | 4,717 | 6,264 |
Assets, Fair Value Disclosure | 2,932,981 | 2,613,861 |
Financial Liabilities Fair Value Disclosure | 12,584 | 1,634 |
Fair Value, Measurements, Recurring | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
Mortgage loans held for investment, at fair value | 0 | 0 |
Assets, Fair Value Disclosure | 60,159 | 1,094 |
Financial Liabilities Fair Value Disclosure | 0 | 1,527 |
Fair Value, Measurements, Recurring | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 2,857,260 | 2,594,980 |
Mortgage loans held for investment, at fair value | 0 | 0 |
Assets, Fair Value Disclosure | 2,867,199 | 2,605,228 |
Financial Liabilities Fair Value Disclosure | 12,584 | 107 |
Fair Value, Measurements, Recurring | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage-backed securities | 906 | 1,275 |
Mortgage loans held for investment, at fair value | 4,717 | 6,264 |
Assets, Fair Value Disclosure | 5,623 | 7,539 |
Financial Liabilities Fair Value Disclosure | 0 | 0 |
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 1,094 |
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 1,094 |
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 0 |
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 0 |
Fair Value, Measurements, Recurring | Interest rate swaption | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 9,939 | 1,360 |
Derivative liabilities | 107 | |
Fair Value, Measurements, Recurring | Interest rate swaption | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 0 |
Derivative liabilities | 0 | |
Fair Value, Measurements, Recurring | Interest rate swaption | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 9,939 | 1,360 |
Derivative liabilities | 107 | |
Fair Value, Measurements, Recurring | Interest rate swaption | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 0 |
Derivative liabilities | 0 | |
Fair Value, Measurements, Recurring | Futures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 60,159 | |
Derivative liabilities | 1,527 | |
Fair Value, Measurements, Recurring | Futures | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 60,159 | |
Derivative liabilities | 1,527 | |
Fair Value, Measurements, Recurring | Futures | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | |
Derivative liabilities | 0 | |
Fair Value, Measurements, Recurring | Futures | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | |
Derivative liabilities | 0 | |
Fair Value, Measurements, Recurring | TBA securities | Long position | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 8,888 |
Derivative liabilities | 12,584 | |
Fair Value, Measurements, Recurring | TBA securities | Level 1 | Long position | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 0 |
Derivative liabilities | 0 | |
Fair Value, Measurements, Recurring | TBA securities | Level 2 | Long position | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | 8,888 |
Derivative liabilities | 12,584 | |
Fair Value, Measurements, Recurring | TBA securities | Level 3 | Long position | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative asset | 0 | $ 0 |
Derivative liabilities | $ 0 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments Level 3 (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021USD ($) | Sep. 30, 2021USD ($) | |||
Measurement Input, Prepayment Rate | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Debt Securities, Available-for-sale, Measurement Input | 0.10 | 0.10 | ||
Loans Held-for-sale, Measurement Input | 0.10 | 0.10 | ||
Measurement Input, Default Rate | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Debt Securities, Available-for-sale, Measurement Input | 0.02 | 0.02 | ||
Loans Held-for-sale, Measurement Input | 0.02 | 0.02 | ||
Measurement Input, Loss Severity | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Debt Securities, Available-for-sale, Measurement Input | 0.20 | 0.20 | ||
Loans Held-for-sale, Measurement Input | 0.20 | 0.20 | ||
Measurement Input, Discount Rate | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Debt Securities, Available-for-sale, Measurement Input | 0.070 | 0.070 | ||
Loans Held-for-sale, Measurement Input | 0.070 | 0.070 | ||
Non-Agency MBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance at the beginning of the period | $ 1,002 | $ 1,275 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss) | (47) | [1] | (151) | [1] |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | (109) | (412) | ||
Balance at the end of the period | 906 | 906 | ||
Loans Receivable | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance at the beginning of the period | 5,146 | 6,264 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | (34) | [1] | (102) | [1] |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | (457) | (1,629) | ||
Balance at the end of the period | 4,717 | 4,717 | ||
Interest Income | Non-Agency MBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Accretion (amortization) | 60 | 194 | ||
Interest Income | Loans Receivable | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Accretion (amortization) | $ (6) | $ (20) | ||
[1] | Change in fair value for mortgage loans is recorded within “unrealized gain (loss) on investments, net” in net income and change in fair value for other non-Agency MBS is recorded as unrealized gain (loss) in “other comprehensive income”. |
Shareholders' Equity - Narrativ
Shareholders' Equity - Narrative (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | |||||
Sep. 30, 2021 | Jun. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Feb. 15, 2021 | Dec. 31, 2020 | |
Class of Stock [Line Items] | |||||||
Preferred Stock, Shares Authorized (in shares) | 50,000,000 | 50,000,000 | 50,000,000 | ||||
Preferred Stock, Shares Outstanding (in shares) | 4,460,000 | 4,460,000 | 7,248,330 | ||||
Preferred stock redemption charge | $ 0 | $ 0 | $ 2,987 | $ 3,914 | |||
Stock issuance costs | 329 | 0 | |||||
Share-based compensation expense | $ 760 | $ 568 | $ 1,755 | $ 1,299 | |||
ATM Offering | |||||||
Class of Stock [Line Items] | |||||||
Number of shares issued in transaction (in shares) | 1,590,740 | ||||||
Consideration received on transaction | $ 27,898 | ||||||
Stock issuance costs | $ 353 | ||||||
Series C Preferred Stock | |||||||
Class of Stock [Line Items] | |||||||
Preferred Stock, Shares Authorized (in shares) | 6,600,000 | 6,600,000 | |||||
Preferred Stock, Shares Outstanding (in shares) | 4,460,000 | 4,460,000 | |||||
Preferred Stock, Liquidation Preference Per Share (in dollars per share) | $ 25 | $ 25 | |||||
Preferred Stock, Dividend Rate, Percentage | 6.90% | ||||||
Preferred Stock, Dividends Per Share, Declared | $ 0.43125 | ||||||
Series C Preferred Stock | London Interbank Offered Rate (LIBOR) | |||||||
Class of Stock [Line Items] | |||||||
Preferred Stock, Dividend Payment Rate, Basis Spread on Variable Rate | 5.461% | ||||||
Series B Preferred Stock | |||||||
Class of Stock [Line Items] | |||||||
Preferred Stock, Dividend Rate, Percentage | 7.625% | ||||||
Stock Redeemed or Called During Period, Shares | 2,788,330 | ||||||
Preferred Stock, Redemption Price Per Share | $ 25.15 | ||||||
Preferred stock redemption charge | $ 2,987 |
Shareholders' Equity and Shar_3
Shareholders' Equity and Share-Based Compensation Share-based Compensation (Details) - USD ($) $ / shares in Units, $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | ||
Remaining Compensation Cost | $ 4,935 | |
WAVG Period of Recognition (in Years) | 1 year 10 months 24 days | |
Restricted Stock | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Rollforward] | ||
Awards outstanding, beginning of period | 281,761 | 119,213 |
Granted | 40,027 | 240,293 |
Vested | (123,984) | (71,431) |
Awards outstanding, end of period | 197,804 | 288,075 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | ||
Awards outstanding, beginning of period | $ 14.74 | $ 18.56 |
Granted | 19.02 | 13.88 |
Vested | 15.28 | 18.25 |
Awards outstanding, end of period | $ 15.27 | $ 14.74 |
Remaining Compensation Cost | $ 2,172 | |
WAVG Period of Recognition (in Years) | 1 year 6 months | |
Restricted Stock Units (RSUs) | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Rollforward] | ||
Awards outstanding, beginning of period | 0 | 0 |
Granted | 55,019 | 0 |
Vested | 0 | 0 |
Awards outstanding, end of period | 55,019 | 0 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | ||
Awards outstanding, beginning of period | $ 0 | $ 0 |
Granted | 19.40 | 0 |
Vested | 0 | 0 |
Awards outstanding, end of period | $ 19.40 | $ 0 |
Remaining Compensation Cost | $ 938 | |
WAVG Period of Recognition (in Years) | 2 years 4 months 24 days | |
Performance Shares | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Rollforward] | ||
Awards outstanding, beginning of period | 0 | 0 |
Granted | 110,040 | 0 |
Vested | 0 | 0 |
Awards outstanding, end of period | 110,040 | 0 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | ||
Awards outstanding, beginning of period | $ 0 | $ 0 |
Granted | 19.40 | 0 |
Vested | 0 | 0 |
Awards outstanding, end of period | $ 19.04 | $ 0 |
Remaining Compensation Cost | $ 1,825 | |
WAVG Period of Recognition (in Years) | 2 years 3 months 18 days |