Document And Entity Information
Document And Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2018 | Feb. 13, 2019 | Jun. 30, 2018 | |
Document and Entity Information [Abstract] | |||
Entity Registrant Name | Armour Residential REIT, Inc. | ||
Entity Central Index Key | 1,428,205 | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Well-known Seasoned Issuer | Yes | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2018 | ||
Document Fiscal Year Focus | 2,018 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Entity Small Business | false | ||
Entity Emerging Growth | false | ||
Entity Shell Company | false | ||
Entity Common Stock, Shares Outstanding | 51,486,573 | ||
Entity Public Float | $ 941,019,296 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Assets | ||
Cash | $ 221,668 | $ 265,232 |
Cash collateral posted to counterparties | 10,531 | 17,162 |
Agency Securities (including pledged securities of $6,743,689 at December 31, 2018 and $7,094,766 at December 31, 2017) | 7,051,954 | 7,478,966 |
Derivatives, at fair value | 111,913 | 37,211 |
Accrued interest receivable | 22,505 | 22,165 |
Prepaid and other | 1,855 | 1,600 |
Subordinated loans to BUCKLER | 105,000 | 105,000 |
Total Assets | 8,464,610 | 8,928,917 |
Liabilities: | ||
Repurchase agreements | 7,037,651 | 7,555,917 |
Cash collateral posted by counterparties | 97,213 | 29,593 |
Payable for unsettled purchases | 166,052 | 0 |
Derivatives, at fair value | 24,505 | 7,948 |
Accrued interest payable- repurchase agreements | 10,268 | 6,452 |
Accounts payable and other accrued expenses | 3,608 | 2,956 |
Total Liabilities | 7,339,297 | 7,602,866 |
Commitments and contingencies (Note 11) | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ||
Common stock, $0.001 par value, 125,000 shares authorized, 43,702 and 41,877 shares issued and outstanding at December 31, 2018 and December 31, 2017 | 44 | 42 |
Additional paid-in capital | 2,752,376 | 2,709,335 |
Accumulated deficit | (1,583,245) | (1,363,223) |
Accumulated other comprehensive loss | (43,870) | (20,111) |
Total Stockholders’ Equity | 1,125,313 | 1,326,051 |
Total Liabilities and Stockholders’ Equity | 8,464,610 | 8,928,917 |
Series A Preferred Stock | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ||
Preferred stock | 2 | 2 |
Series B Preferred Stock | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ||
Preferred stock | 6 | 6 |
Credit Risk and Non-Agency Securities | ||
Assets | ||
Securities, trading, at fair value | 819,915 | 975,829 |
Interest-Only Securities | ||
Assets | ||
Securities, trading, at fair value | 20,623 | 25,752 |
US Treasury Securities | ||
Assets | ||
Securities, trading, at fair value | $ 98,646 | $ 0 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parentheticals) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Agency securities pledged | $ 6,743,689 | $ 7,094,766 |
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 |
Preferred stock, shares authorized (in shares) | 50,000,000 | 50,000,000 |
Common stock, par value (in dollars per share) | $ 0.001 | $ 0.001 |
Common stock, shares authorized (in shares) | 125,000,000 | 125,000,000 |
Common stock, shares issued (in shares) | 43,702,000 | 41,877,000 |
Common stock, shares outstanding (in shares) | 43,702,000 | 41,877,000 |
Series A Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 |
Preferred stock, shares authorized (in shares) | 9,610,000 | |
Preferred stock, shares issued (in shares) | 2,181,000 | 2,181,000 |
Preferred stock, shares outstanding (in shares) | 2,181,000 | 2,181,000 |
Preferred stock, aggregate liquidation preference | $ 54,514 | $ 54,514 |
Preferred stock, dividend rate | 8.25% | 8.25% |
Series B Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.001 | $ 0.001 |
Preferred stock, shares authorized (in shares) | 7,650,000 | |
Preferred stock, shares issued (in shares) | 6,369,000 | 6,262,000 |
Preferred stock, shares outstanding (in shares) | 6,369,000 | 6,262,000 |
Preferred stock, aggregate liquidation preference | $ 159,232 | $ 156,560 |
Preferred stock, dividend rate | 7.875% | 7.875% |
Credit Risk and Non-Agency Securities | ||
Credit risk and non-agency securities pledged | $ 698,255 | $ 974,372 |
US Treasury Securities | ||
Credit risk and non-agency securities pledged | $ 20,748 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | |||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | ||
Interest Income: | ||||
Agency Securities, net of amortization of premium and fees | $ 218,391 | $ 196,301 | $ 225,796 | |
Total Interest Income | 283,148 | 254,433 | 263,995 | |
Interest expense- repurchase agreements | (154,230) | (94,558) | (73,107) | |
Net Interest Income | 128,918 | 159,875 | 190,888 | |
Other Income (Loss): | ||||
Realized loss on sale of Agency Securities (reclassified from Other comprehensive income (loss)) | (152,950) | (8,486) | (18,211) | |
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income (loss)) | (12,090) | (13,707) | (6,540) | |
Bargain purchase price on acquisition of JAVELIN | 0 | 0 | 6,484 | |
Subtotal | (199,678) | 40,513 | 47,284 | |
Realized loss on derivatives | [1] | (47,497) | (22,675) | (452,398) |
Unrealized gain on derivatives | 49,316 | 39,272 | 206,212 | |
Subtotal | 1,819 | 16,597 | (246,186) | |
Total Other Income (Loss) | (197,859) | 57,110 | (198,902) | |
Expenses: | ||||
Management fees | 27,246 | 26,582 | 26,070 | |
Professional fees | 4,978 | 4,578 | 5,253 | |
Insurance | 660 | 836 | 1,010 | |
Compensation | 3,774 | 2,298 | 2,260 | |
Other | 367 | 1,537 | 2,910 | |
Total Expenses | 37,025 | 35,831 | 37,503 | |
Net Income (Loss) | (105,966) | 181,154 | (45,517) | |
Dividends on preferred stock | (17,032) | (15,880) | (15,622) | |
Net Income (Loss) available (related) to common stockholders | $ (122,998) | $ 165,274 | $ (61,139) | |
Net Income (Loss) per share available (related) to common stockholders (Note 14): | ||||
Basic (in dollars per share) | $ (2.92) | $ 4.22 | $ (1.67) | |
Diluted (in dollars per share) | (2.92) | 4.17 | (1.67) | |
Dividends declared per common share (in dollars per share) | $ 2.28 | $ 2.28 | $ 3.02 | |
Weighted average common shares outstanding: | ||||
Basic (in shares) | 42,128 | 39,170 | 36,698 | |
Diluted (in shares) | 42,128 | 39,642 | 36,698 | |
Credit Risk and Non-Agency Securities | ||||
Interest Income: | ||||
Debt securities, trading | $ 56,427 | $ 55,969 | $ 36,573 | |
Other Income (Loss): | ||||
Debt securities, trading | (27,266) | 65,672 | 59,120 | |
Interest-Only Securities | ||||
Interest Income: | ||||
Debt securities, trading | 1,667 | 2,163 | 1,626 | |
Other Income (Loss): | ||||
Debt securities, trading | (1,007) | (2,966) | 6,431 | |
US Treasury Securities | ||||
Interest Income: | ||||
Debt securities, trading | 4,644 | 0 | 0 | |
Other Income (Loss): | ||||
Debt securities, trading | (6,365) | 0 | 0 | |
Corporate Debt Securities | ||||
Interest Income: | ||||
Debt securities, trading | $ 2,019 | $ 0 | $ 0 | |
[1] | Interest expense related to our interest rate swap contracts is recorded as realized loss on derivatives on the consolidated statements of operations. For additional information, see Note 10 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Statement of Comprehensive Income [Abstract] | |||
Net Income (Loss) | $ (105,966) | $ 181,154 | $ (45,517) |
Other comprehensive income (loss): | |||
Reclassification adjustment for realized loss on sale of available for sale Agency Securities | 152,950 | 8,486 | 18,211 |
Reclassification adjustment for other than temporary impairment of available for sale Agency Securities | 12,090 | 13,707 | 6,540 |
Net unrealized gain (loss) on available for sale Agency Securities | (188,799) | (13,170) | 13,417 |
Other comprehensive income (loss) | (23,759) | 9,023 | 38,168 |
Comprehensive Income (Loss) | $ (129,725) | $ 190,177 | $ (7,349) |
Consolidated Statement of Stock
Consolidated Statement of Stockholders' Equity - USD ($) shares in Thousands, $ in Thousands | Total | Series A Preferred Stock | Series B Preferred Stock | Preferred StockSeries A Preferred Stock | Preferred StockSeries B Preferred Stock | Additional Paid-in Capital | Additional Paid-in CapitalSeries A Preferred Stock | Additional Paid-in CapitalSeries B Preferred Stock | Additional Paid-in CapitalCommon Stock | Common Stock | Accumulated Deficit | Accumulated DeficitSeries A Preferred Stock | Accumulated DeficitSeries B Preferred Stock | Accumulated Other Comprehensive Income (Loss) |
Beginning balance (in shares) at Dec. 31, 2015 | 2,181 | 5,650 | 36,682 | |||||||||||
Beginning balance at Dec. 31, 2015 | $ 1,225,166 | $ 2 | $ 6 | $ 2,559,361 | $ 53,172 | $ 136,547 | $ 2,369,642 | $ 37 | $ (1,266,938) | $ (67,302) | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Preferred dividends | $ (4,498) | $ (11,124) | $ (4,498) | $ (11,124) | ||||||||||
Common stock dividends | (111,011) | (111,011) | ||||||||||||
Stock based compensation, net of withholding requirements (in shares) | 41 | |||||||||||||
Stock based compensation, net of withholding requirements | 881 | 881 | 881 | |||||||||||
Net Loss | (45,517) | (45,517) | ||||||||||||
Other comprehensive income (loss) | 38,168 | 38,168 | ||||||||||||
Ending balance (in shares) at Dec. 31, 2016 | 2,181 | 5,650 | 36,723 | |||||||||||
Ending balance at Dec. 31, 2016 | 1,092,065 | $ 2 | $ 6 | 2,560,242 | 53,172 | 136,547 | 2,370,523 | $ 37 | (1,439,088) | (29,134) | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Preferred dividends | (4,498) | (11,382) | (4,498) | (11,382) | ||||||||||
Common stock dividends | (89,409) | (89,409) | ||||||||||||
Issuance of Series B Preferred stock, net (in shares) | 612 | |||||||||||||
Issuance of Series B Preferred stock, net | 14,968 | 14,968 | 14,968 | |||||||||||
Issuance of common stock, net (in shares) | 5,119 | |||||||||||||
Issuance of common stock, net | 133,193 | 133,188 | 133,188 | $ 5 | ||||||||||
Stock based compensation, net of withholding requirements (in shares) | 35 | |||||||||||||
Stock based compensation, net of withholding requirements | 937 | 937 | 937 | |||||||||||
Net Loss | 181,154 | 181,154 | ||||||||||||
Other comprehensive income (loss) | 9,023 | 9,023 | ||||||||||||
Ending balance (in shares) at Dec. 31, 2017 | 2,181 | 6,262 | 41,877 | |||||||||||
Ending balance at Dec. 31, 2017 | 1,326,051 | $ 2 | $ 6 | 2,709,335 | 53,172 | 151,515 | 2,504,648 | $ 42 | (1,363,223) | (20,111) | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Preferred dividends | $ (4,498) | $ (12,534) | $ (4,498) | $ (12,534) | ||||||||||
Common stock dividends | (97,024) | (97,024) | ||||||||||||
Issuance of Series B Preferred stock, net (in shares) | 107 | |||||||||||||
Issuance of Series B Preferred stock, net | 2,632 | 2,632 | 2,632 | |||||||||||
Issuance of common stock, net (in shares) | 1,723 | |||||||||||||
Issuance of common stock, net | 38,014 | 38,012 | 38,012 | $ 2 | ||||||||||
Stock based compensation, net of withholding requirements (in shares) | 102 | |||||||||||||
Stock based compensation, net of withholding requirements | 2,397 | 2,397 | 2,397 | |||||||||||
Net Loss | (105,966) | (105,966) | ||||||||||||
Other comprehensive income (loss) | (23,759) | (23,759) | ||||||||||||
Ending balance (in shares) at Dec. 31, 2018 | 2,181 | 6,369 | 43,702 | |||||||||||
Ending balance at Dec. 31, 2018 | $ 1,125,313 | $ 2 | $ 6 | $ 2,752,376 | $ 53,172 | $ 154,147 | $ 2,545,057 | $ 44 | $ (1,583,245) | $ (43,870) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Net Income (Loss) | $ (105,966,000) | $ 181,154,000 | $ (45,517,000) |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Net amortization of premium on Agency Securities | 32,989,000 | 44,838,000 | 77,827,000 |
Accretion of net discount on Credit Risk and Non-Agency Securities | (2,946,000) | (3,866,000) | (2,118,000) |
Realized loss on sale of Agency Securities | 152,950,000 | 8,486,000 | 18,211,000 |
Other than temporary impairment of Agency Securities | 12,090,000 | 13,707,000 | 6,540,000 |
Stock based compensation | 2,397,000 | 937,000 | 881,000 |
Bargain purchase price on acquisition of JAVELIN | 0 | 0 | (6,484,000) |
Changes in operating assets and liabilities: | |||
(Increase) decrease in accrued interest receivable | (53,000) | (3,713,000) | 17,415,000 |
(Increase) decrease in prepaid and other assets | (255,000) | (100,000) | 3,622,000 |
Change in derivatives, at fair value | (58,145,000) | (69,081,000) | (210,034,000) |
Increase (decrease) in accrued interest payable- repurchase agreements | 3,816,000 | (482,000) | (1,703,000) |
Increase (decrease) in accounts payable and other accrued expenses | 652,000 | (4,003,000) | (4,284,000) |
Net cash and cash collateral posted to counterparties provided by (used in) operating activities | 75,223,000 | 110,079,000 | (203,426,000) |
Cash Flows From Investing Activities: | |||
Purchases of Agency Securities | (4,816,961,000) | (5,813,389,000) | (2,201,480,000) |
Principal repayments of Agency Securities | 691,934,000 | 775,181,000 | 1,337,671,000 |
Principal repayments of Credit Risk and Non-Agency Securities | 33,837,000 | 145,731,000 | 53,033,000 |
Proceeds from sales of Agency Securities | 4,496,015,000 | 4,012,398,000 | 7,195,157,000 |
Increase in cash collateral posted by counterparties | 67,620,000 | 25,819,000 | 3,774,000 |
Net cash used in the acquisition of JAVELIN | 0 | 0 | (48,572,000) |
Subordinated loans to BUCKLER | 0 | (105,000,000) | 0 |
Net cash and cash collateral posted to counterparties provided by (used in) investing activities | 466,258,000 | (959,112,000) | 5,483,873,000 |
Cash Flows From Financing Activities: | |||
Issuance of common stock, net of expenses | 38,014,000 | 133,193,000 | 0 |
Proceeds from repurchase agreements | 185,437,769,000 | 141,685,213,000 | 139,917,180,000 |
Principal repayments on repurchase agreements | (185,956,035,000) | (140,947,749,000) | (145,258,815,000) |
Common stock dividends paid | (97,024,000) | (89,409,000) | (111,011,000) |
Common stock repurchased | 0 | 0 | (14,658,000) |
Net cash and cash collateral posted to counterparties used in financing activities | (591,676,000) | 780,183,000 | (5,482,926,000) |
Net decrease in cash and cash collateral posted to counterparties | (50,195,000) | (68,850,000) | (202,479,000) |
Cash and cash collateral posted to counterparties - beginning of year | 282,394,000 | 351,244,000 | 553,723,000 |
Cash and cash collateral posted to counterparties - end of year | 232,199,000 | 282,394,000 | 351,244,000 |
Supplemental Disclosure: | |||
Cash paid during the year for interest | 252,393,000 | 164,913,000 | 193,944,000 |
Non-Cash Investing Activities: | |||
Payable for unsettled purchases | 166,052,000 | 0 | 0 |
Net unrealized gain (loss) on available for sale Agency Securities | (188,799,000) | (13,170,000) | 13,417,000 |
Amounts receivable for issuance of preferred stock | 0 | 153,000 | 0 |
Series A Preferred Stock | |||
Cash Flows From Financing Activities: | |||
Preferred dividends paid | (4,498,000) | (4,498,000) | (4,498,000) |
Series B Preferred Stock | |||
Cash Flows From Financing Activities: | |||
Issuance of Series B Preferred stock, net of expenses | 2,632,000 | 14,815,000 | 0 |
Preferred dividends paid | (12,534,000) | (11,382,000) | (11,124,000) |
Interest-Only Securities | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Net amortization of premium on Agency Securities | 4,122,000 | 4,908,000 | 7,769,000 |
(Gain) loss on debt securities | 1,007,000 | 2,966,000 | (6,431,000) |
Cash Flows From Investing Activities: | |||
Purchases of trading securities | 0 | 0 | (101,947,000) |
Proceeds from sale of trading securities | 0 | 0 | 66,982,000 |
US Treasury Securities | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Net amortization of premium on Agency Securities | (1,066,000) | 0 | 0 |
(Gain) loss on debt securities | 6,365,000 | 0 | 0 |
Loss on U.S. Treasury Securities | 6,365,000 | 0 | 0 |
Cash Flows From Investing Activities: | |||
Purchases of trading securities | (765,828,000) | 0 | 0 |
Proceeds from sale of trading securities | 661,883,000 | 0 | 0 |
Credit Risk and Non-Agency Securities | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
(Gain) loss on debt securities | 27,266,000 | (65,672,000) | (59,120,000) |
Cash Flows From Investing Activities: | |||
Purchases of trading securities | 0 | (8,224,000) | (882,588,000) |
Proceeds from sale of trading securities | $ 97,758,000 | $ 8,372,000 | $ 61,843,000 |
Organization and Nature of Busi
Organization and Nature of Business Operations | 12 Months Ended |
Dec. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Nature of Business Operations | Note 1 - Organization and Nature of Business Operations References to “we,” “us,” “our,” or the “Company” are to ARMOUR Residential REIT, Inc. (“ARMOUR”) and its subsidiaries. References to “ACM” are to ARMOUR Capital Management LP, a Delaware limited partnership. Refer to the Glossary of Terms for definitions of capitalized terms and abbreviations used in this report. ARMOUR is an externally managed Maryland corporation incorporated in 2008. The Company is managed by ACM, an investment advisor registered with the SEC (see Note 11 - Commitments and Contingencies and Note 16 - Related Party Transactions for additional discussion). We have elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the "Code”). Our qualification as a REIT depends on our ability to meet, on a continuing basis, various complex requirements under the Code relating to, among other things, the sources of our gross income, the composition and values of our assets, our distribution levels and the concentration of ownership of our capital stock. We believe that we are organized in conformity with the requirements for qualification as a REIT under the Code and our manner of operations enables us to meet the requirements for taxation as a REIT for federal income tax purposes. As a REIT, we will generally not be subject to federal income tax on the REIT taxable income that we currently distribute to our stockholders. If we fail to qualify as a REIT in any taxable year and do not qualify for certain statutory relief provisions, we will be subject to federal income tax at regular corporate rates. Even if we qualify as a REIT for U.S. federal income tax purposes, we may still be subject to some federal, state and local taxes on our income. |
Basis of Presentation and Conso
Basis of Presentation and Consolidation | 12 Months Ended |
Dec. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation and Consolidation | Note 2 - Basis of Presentation and Consolidation |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2018 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 3 - Summary of Significant Accounting Policies Cash Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk 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 cash posted by us to counterparties or posted by counterparties to us as collateral. Cash collateral posted to/by counterparties may include collateral for interest rate swap contracts (including swaptions and basis swap contracts), and repurchase agreements on our MBS and our Agency Securities purchased or sold on a to-be-announced basis (“TBA Agency Securities”). Investments in Securities, at Fair Value We generally intend to hold most of our securities for extended periods of time. We may, from time to time, sell any of our securities as part of the overall management of our securities portfolio. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. Purchases and sales of our securities are recorded on the trade date. Agency Securities - At December 31, 2018 and December 31, 2017 , all of our Agency Securities were classified as available for sale securities. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the consolidated statements of comprehensive income (loss). Credit Risk and Non-Agency Securities - At December 31, 2018 and December 31, 2017 , all of our Credit Risk and Non-Agency Securities were classified as trading securities. Credit Risk and Non-Agency Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. Interest-Only Securities - At December 31, 2018 and December 31, 2017 , all of our Interest-Only Securities were classified as trading securities. Interest-Only Securities represent the right to receive a specified proportion of the contractual interest flows of specific Agency MBS. Interest-Only Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. U.S. Treasury Securities - At December 31, 2018 , all of our U.S. Treasury Securities were classified as trading securities and are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. We did not have any U.S. Treasury Securities at December 31, 2017 . Receivables and Payables for Unsettled Sales and Purchases We account for purchases and sales of securities on the trade date, including purchases and sales for forward settlement. Receivables and payables for unsettled trades represent the agreed trade price multiplied by the outstanding balance of the securities at the balance sheet date. Accrued Interest Receivable and Payable Accrued interest receivable includes interest accrued between payment dates on securities. Accrued interest payable includes interest payable on our repurchase agreements and may, at certain times, contain interest payable on U.S. Treasury Securities sold short. Repurchase Agreements We finance the acquisition of the majority of our MBS through the use of repurchase agreements. Our repurchase agreements are secured by our MBS and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell MBS to a lender and agree to repurchase the same MBS in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement under which we pledge our MBS as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then prevailing interest rate. The repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. In addition to the repurchase agreement financing discussed above, at certain times we have entered into reverse repurchase agreements with certain of our repurchase agreement counterparties. Under a typical reverse repurchase agreement, we purchase U.S. Treasury Securities from a borrower in exchange for cash and agree to sell the same securities in the future in exchange for a price that is higher than the original purchase price. The difference between the purchase price originally paid and the sale price represents interest received from the borrower. Reverse repurchase agreement receivables and repurchase agreement liabilities are presented net when they meet certain criteria, including being with the same counterparty, being governed by the same master repurchase agreement (“MRA”), settlement through the same brokerage or clearing account and maturing on the same day. We did not have any reverse repurchase agreements outstanding at December 31, 2018 and December 31, 2017 . Derivatives, at Fair Value We recognize all derivatives as either assets or liabilities at fair value on our consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our consolidated statements of operations. We designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. These transactions include interest rate swap contracts, interest rate swaptions and basis swap contracts. We also may utilize forward contracts for the purchase or sale of TBA Agency Securities. We account for TBA Agency Securities as derivative instruments if it is reasonably possible that we will not take or make physical delivery of the Agency Security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. We may also purchase and sell TBA Agency Securities as a means of investing in and financing Agency Securities (thereby increasing our “at risk” leverage) or as a means of disposing of or reducing our exposure to Agency Securities (thereby reducing our “at risk” leverage). Pursuant to TBA Agency Securities, we agree to purchase or sell, for future delivery, Agency Securities with certain principal and interest terms and certain types of collateral, but the particular Agency Securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA Agency Security for a later settlement date. This transaction is commonly referred to as a “dollar roll.” When it is reasonably possible that we will pair off a TBA Agency Security, we account for that contract as a derivative. Revenue Recognition Agency Securities - Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. Premiums and discounts associated with the purchase of Multi-Family MBS, which are generally not subject to prepayment, are amortized or accreted into interest income over the contractual lives of the securities using a level yield method. Premiums and discounts associated with the purchase of other Agency Securities are amortized or accreted into interest income over the actual lives of the securities, reflecting actual prepayments as they occur. • Fair Value of Agency Securities: We invest in Agency Securities representing interests in or obligations backed by pools of fixed rate, hybrid adjustable rate and adjustable rate mortgage loans. GAAP requires us to classify our investments as either trading, available for sale or held to maturity securities. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. We currently classify all of our Agency Securities as available for sale. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the statements of comprehensive income (loss). • Agency Security purchase and sale transactions (including purchase of TBA Agency Securities): Purchases and Sales are recorded on the trade date to the extent it is probable that we will take or make timely physical delivery of the related securities. Gains or losses realized from the sale of securities are included in income and are determined using the specific identification method. • Impairment of Assets: We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities. Credit Risk and Non-Agency Securities and Interest-Only Securities - Interest income on Credit Risk and Non-Agency Securities and Interest-Only Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Other than temporary impairments, which establish a new cost basis in the security for purposes of calculating effective yields, are recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. U.S. Treasury Securities - Interest income on U.S. Treasury Securities is recognized based on their unpaid principal amounts and their contractual terms. Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. Comprehensive Income (Loss) |
Recent Accounting Pronouncement
Recent Accounting Pronouncements | 12 Months Ended |
Dec. 31, 2018 | |
Accounting Changes and Error Corrections [Abstract] | |
Recent Accounting Pronouncements | Note 4 - Recent Accounting Pronouncements We consider the applicability and impact of all Accounting Standards Updates issued by the Financial Accounting Standards Board. Those not listed below were deemed to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. In the current year, we adopted Accounting Standards ASU 2016-18 , Statement of Cash Flows (Topic 230) - Restricted Cash which resulted in the presentation of cash collateral posted to counterparties with cash on the consolidated statements of cash flows when reconciling the total beginning and ending amounts. Prior period results have been revised to conform to the current presentation. In June 2018, the Financial Accounting Standards Board issued ASU 2018–07, Improvements to Nonemployee Share–Based Payment Accounting (Topic 718) . The standard largely aligns the accounting for share–based payment awards issued to employees and nonemployees. Equity–classified share–based payment awards issued to nonemployees will be measured on the grant date, instead of being remeasured through the performance completion date (generally the vesting date), as required under the current guidance. The standard is to be applied on a modified retrospective basis through a cumulative–effect adjustment to retained earnings as of the beginning of the fiscal year when adopted. The standard is effective for fiscal years beginning after December 15, 2018 including interim periods within that fiscal year. The cumulative effective adjustment to be recorded upon adoption of the standard in 2019 will not be material to the Company's financial condition or the results of operations. In August 2017, the Financial Accounting Standards Board issued ASU 2017-12, Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities . The standard amends the hedge accounting recognition and presentation requirements in ASC 815. The standard is effective for fiscal years beginning after December 15, 2018 and interim periods therein, however, early adoption is permitted. The Company may apply hedge accounting in the future. In July 2016, the Financial Accounting Standards Board issued ASU 2016-13, Financial Instruments–Credit Losses (Topic 326) |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 12 Months Ended |
Dec. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Note 5 - Fair Value of Financial Instruments Our valuation techniques for financial instruments use observable and unobservable inputs. Observable inputs reflect readily obtainable data from third party sources, while unobservable inputs reflect management’s market assumptions. The Accounting Standards Codification Topic No. 820, “Fair Value Measurement,” classifies these inputs into the following hierarchy: Level 1 Input s - Quoted prices for identical instruments in active markets. Level 2 Inputs - Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level 3 Inputs - Prices determined using significant unobservable inputs. Unobservable inputs may be used in situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period). Unobservable inputs reflect management’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. At the beginning of each quarter, we assess the assets and liabilities that are measured at fair value on a recurring basis to determine if any transfers between levels in the fair value hierarchy are needed. The following describes the valuation methodologies used for our assets and liabilities measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy. Any transfers between levels are assumed to occur at the beginning of the reporting period. Cash and Cash Collateral - Cash includes cash on deposit with financial institutions. The carrying amount of cash is deemed to be its fair value and is classified as Level 1. Cash balances posted by us to counterparties or posted by counterparties to us as collateral are classified as Level 2 because they are integrally related to the Company's repurchase financing and interest rate swap agreements, which are classified as Level 2. Agency Securities - Fair value for the Agency Securities in our securities portfolio is based on obtaining a valuation for each Agency Security from third party pricing services and/or dealer quotes. The third party pricing services use common market pricing methods that may include pricing models that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement. If the fair value of an Agency Security is not available from the third party pricing services or such data appears unreliable, we obtain pricing indications from up to three dealers who make markets in similar Agency Securities. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third party pricing services, dealer pricing indications and comparisons to a third party pricing model. Fair values obtained from the third party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing models used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the third party pricing service, but dealer pricing indications are, the security will be classified as a Level 2 security. If neither is available, management will determine the fair value based on characteristics of the security that we receive from the issuer and based on available market information and classify it as a Level 3 security. At December 31, 2018 and December 31, 2017 , all of our Agency Security fair values are classified as Level 2 based on the inputs used by our third party pricing services and dealer quotes. Credit Risk and Non-Agency Securities - The fair value for the Credit Risk and Non-Agency Securities in our securities portfolio is based on obtaining a valuation for each Credit Risk and Non-Agency Security from third party pricing services and/or dealer quotes. The third party pricing services incorporate such factors as collateral type, bond structure and priority of payments, coupons, prepayment speeds, defaults, delinquencies and severities. If the fair value of a Credit Risk and Non-Agency Security is not available from the third party pricing services or such data appears unreliable, we obtain pricing indications from up to three dealers who make markets in similar Credit Risk and Non-Agency Securities. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third party pricing services, dealer pricing indications and comparisons to fair value determined using a third party pricing model. Fair values obtained from the third party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing models used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the third party pricing service, but dealer pricing indications are, the security will be classified as a Level 2 security. If neither is available, management will determine the fair value based on characteristics of the security that we receive from the issuer and based on available market information and classify it as a Level 3 security. At December 31, 2018 and December 31, 2017 , all of our Credit Risk and Non-Agency Securities are classified as Level 2 based on the inputs used by our third party pricing services and dealer quotes. Interest-Only Securities - The fair value for the Interest-Only Securities in our securities portfolio is based on obtaining a valuation for each Interest-Only Security from third party pricing services and/or dealer quotes. The third party pricing services use common market pricing methods that may include pricing models consistent with those models used to price Agency Securities underlying the Interest-Only Securities that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement. If the fair value of an Interest-Only Security is not available from the third party pricing services or such data appears unreliable, we obtain pricing indications from up to three dealers who make markets in similar Interest-Only Securities. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third party pricing services, dealer pricing indications and comparisons to a third party pricing model. Fair values obtained from the third party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing models used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the third party pricing service, but dealer pricing indications are, the security will be classified as a Level 2 security. If neither is available, management will determine the fair value based on characteristics of the security that we receive from the issuer and based on available market information and classify it as a Level 3 security. At December 31, 2018 and December 31, 2017 , all of our Interest-Only Security fair values are classified as Level 2 based on the inputs used by our third party pricing services and dealer quotes. U.S. Treasury Securities - Fair value for the U.S. Treasury Securities in our securities portfolio is based on obtaining a valuation for each U.S. Treasury Securities from third party pricing services and/or dealer quotes. U.S. Treasury Securities fair values are classified as Level 1, as quoted unadjusted prices are available in active markets for identical assets. We did not have any U.S. Treasury Securities at December 31, 2017 . Receivables and Payables for Unsettled Sales and Purchases - The carrying amount is generally deemed to be fair value because of the relatively short time to settlement. Such receivables and payables are classified as Level 2 because they are effectively secured by the related securities and could potentially be subject to counterparty credit considerations. Repurchase Agreements - The fair value of repurchase agreements reflects the present value of the contractual cash flows discounted at the estimated LIBOR based market interest rates at the valuation date for repurchase agreements with a term equivalent to the remaining term to interest rate repricing, which may be at maturity, of our repurchase agreements. The fair value of the repurchase agreements approximates their carrying amount due to the short-term nature of these financial instruments. Our repurchase agreements are classified as Level 2. Derivative Transactions - The fair values of our interest rate swap contracts, interest rate swaptions and basis swaps are valued using information provided by third party pricing services that incorporate common market pricing methods that may include current interest rate curves, forward interest rate curves and market spreads to interest rate curves. We estimate the fair value of TBA Agency Securities based on similar methods used to value our Agency Securities. Management compares the pricing information received to dealer quotes to ensure that the current market conditions are properly reflected. The fair values of our interest rate swap contracts, interest rate swaptions, basis swap contracts and TBA Agency Securities are classified as Level 2. The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at December 31, 2018 and December 31, 2017 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance, December 31, 2018 Assets at Fair Value: Agency Securities $ — $ 7,051,954 $ — $ 7,051,954 Credit Risk and Non-Agency Securities $ — $ 819,915 $ — $ 819,915 Interest-Only Securities $ — $ 20,623 $ — $ 20,623 U.S. Treasury Securities $ 98,646 $ — $ — $ 98,646 Derivatives $ — $ 111,913 $ — $ 111,913 Liabilities at Fair Value: Derivatives $ — $ 24,505 $ — $ 24,505 There were no transfers of assets or liabilities between the levels of the fair value hierarchy during the year ended December 31, 2018 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance, December 31, 2017 Assets at Fair Value: Agency Securities $ — $ 7,478,966 $ — $ 7,478,966 Credit Risk and Non-Agency Securities $ — $ 975,829 $ — $ 975,829 Interest-Only Securities $ — $ 25,752 $ — $ 25,752 Derivatives $ — $ 37,211 $ — $ 37,211 Liabilities at Fair Value: Derivatives $ — $ 7,948 $ — $ 7,948 At the beginning of the third quarter 2017, we determined that third party pricing services and or/dealer quotes available for Credit Risk and Non-Agency Securities meet the criteria for Level 2 classification. Fair values obtained from third party pricing services for similar instruments are classified as Level 2 securities, if the inputs to the pricing model used is consistent with the Level 2 definition. We transferred the securities to Level 2 from Level 3 at the commencement of the third quarter in 2017. The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at December 31, 2018 and December 31, 2017 . December 31, 2018 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 221,668 $ 221,668 $ 221,668 $ — $ — Cash collateral posted to counterparties $ 10,531 $ 10,531 $ — $ 10,531 $ — Accrued interest receivable $ 22,505 $ 22,505 $ — $ 22,505 $ — Subordinated loans to BUCKLER $ 105,000 $ 105,000 $ — $ 105,000 — Financial Liabilities: Repurchase agreements $ 7,037,651 $ 7,037,651 $ — $ 7,037,651 $ — Cash collateral posted by counterparties $ 97,213 $ 97,213 $ — $ 97,213 $ — Payable for unsettled purchases $ 166,052 $ 166,052 $ — $ 166,052 $ — Accrued interest payable- repurchase agreements $ 10,268 $ 10,268 $ — $ 10,268 $ — December 31, 2017 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 265,232 $ 265,232 $ 265,232 $ — $ — Cash collateral posted to counterparties $ 17,162 $ 17,162 $ — $ 17,162 $ — Accrued interest receivable $ 22,165 $ 22,165 $ — $ 22,165 $ — Subordinated loans to BUCKLER $ 105,000 $ 105,000 $ — $ 105,000 $ — Financial Liabilities: Repurchase agreements $ 7,555,917 $ 7,555,917 $ — $ 7,555,917 $ — Cash collateral posted by counterparties $ 29,593 $ 29,593 $ — $ 29,593 $ — Accrued interest payable- repurchase agreements $ 6,452 $ 6,452 $ — $ 6,452 $ — The following table provides a summary of the changes in Level 3 assets measured at fair value on a recurring basis at December 31, 2017 and December 31, 2016 . We did not have any Level 3 assets during the year ended December 31, 2018 . For the Year Ended Credit Risk and Non-Agency Securities December 31, 2017 December 31, 2016 Balance, beginning of year (1) $ 1,052,170 $ — Credit Risk and Non-Agency Securities acquired in the acquisition of JAVELIN, at fair value — 223,220 Purchases of Credit Risk and Non-Agency Securities, at cost 8,224 882,588 Principal repayments of Credit Risk and Non-Agency Securities (135,617 ) (53,033 ) Proceeds from the sale of Credit Risk and Non-Agency Securities (8,372 ) (61,843 ) Gain on Credit Risk and Non-Agency Securities 46,924 59,120 Accretion of net discount on Credit Risk and Non-Agency Securities 3,187 2,118 Level 3 transferred to Level 2 (966,516 ) — Balance, end of year $ — $ 1,052,170 Gain on Credit Risk and Non-Agency Securities $ 54,495 $ 59,120 (1) We did not have any Level 3 assets at December 31, 2015. The significant unobservable inputs used in the fair value measurement of our Level 3 Credit Risk and Non-Agency Securities at December 31, 2017 and December 31, 2016 , |
Agency Securities
Agency Securities | 12 Months Ended |
Dec. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Agency Securities | Note 6 - Agency Securities At December 31, 2018 and December 31, 2017 , investments in Agency Securities accounted for 88.2% and 88.2% of our securities portfolio. We evaluated our Agency Securities with unrealized losses at December 31, 2018 , December 31, 2017 and December 31, 2016 , to determine whether there was an other than temporary impairment. All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. Results of this evaluation for the year ended December 31, 2018 - During the first quarter of 2018, we recognized additional losses on Agency Securities, previously identified during 2017, totaling $(12,090) in our consolidated financial statements of operations. We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2018 Results of this evaluation for the year ended December 31, 2017 - During the second quarter of 2017, we identified certain low yielding Agency Securities that we replaced with securities having more attractive returns as market conditions permit. Accordingly, we recognized losses totaling $(13,707) in our consolidated financial statements of operations for the year ended December 31, 2017 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2017 . Results of this evaluation for the year ended December 31, 2016 - During the fourth quarter of 2016, we concluded that unrealized losses on certain of our 3.0% 15 -year fixed rate Agency Securities represented an other than temporary impairment. Accordingly, we recognized losses totaling $(6,540) in our consolidated financial statements of operations for the year ended December 31, 2016 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2016 . At December 31, 2018 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2018 are also presented below. Our Agency Securities had a weighted average coupon of 3.94% at December 31, 2018 . December 31, 2018 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 19,929 $ (249 ) $ 73 $ 19,753 0.28 % Multi-Family MBS 1,710,346 (17,128 ) 9,345 1,702,563 24.14 10 Year Fixed 115,654 (292 ) 129 115,491 1.64 15 Year Fixed 684,678 (388 ) 3,864 688,154 9.76 20 Year Fixed 3,734 (156 ) — 3,578 0.05 30 Year Fixed 2,803,125 (28,545 ) 3,349 2,777,929 39.39 Total Fannie Mae $ 5,337,466 $ (46,758 ) $ 16,760 $ 5,307,468 75.26 % Freddie Mac 10 Year Fixed 9,515 (68 ) — 9,447 0.13 15 Year Fixed 70,164 (272 ) 157 70,049 0.99 25 Year Fixed 37,939 (1,668 ) — 36,271 0.51 30 Year Fixed 1,299,695 (11,807 ) 500 1,288,388 18.28 Total Freddie Mac $ 1,417,313 $ (13,815 ) $ 657 $ 1,404,155 19.91 % Ginnie Mae ARMs & Hybrids 30,708 (466 ) 1 30,243 0.43 10 Year Fixed 231 (1 ) — 230 0.00 30 Year Fixed 310,106 (255 ) 7 309,858 4.40 Total Ginnie Mae $ 341,045 $ (722 ) $ 8 $ 340,331 4.83 % Total Agency Securities $ 7,095,824 $ (61,295 ) $ 17,425 $ 7,051,954 100.00 % At December 31, 2017 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2017 are also presented below. Our Agency Securities had a weighted average coupon of 3.68% at December 31, 2017 . December 31, 2017 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 28,199 $ (229 ) $ 112 $ 28,082 0.38 % Multi-Family MBS 1,799,737 (5,132 ) 16,950 1,811,555 24.22 10 Year Fixed 60,634 (347 ) 137 60,424 0.81 15 Year Fixed 1,028,797 (4,955 ) 625 1,024,467 13.70 20 Year Fixed 29,832 (621 ) — 29,211 0.39 25 Year Fixed 9,367 (140 ) — 9,227 0.12 30 Year Fixed 2,938,655 (18,910 ) 431 2,920,176 39.05 Total Fannie Mae $ 5,895,221 $ (30,334 ) $ 18,255 $ 5,883,142 78.67 % Freddie Mac 10 Year Fixed 37,254 (158 ) 228 37,324 0.50 15 Year Fixed 354,878 (211 ) 787 355,454 4.75 25 Year Fixed 41,383 (857 ) — 40,526 0.54 30 Year Fixed 1,131,584 (7,300 ) — 1,124,284 15.03 Total Freddie Mac $ 1,565,099 $ (8,526 ) $ 1,015 $ 1,557,588 20.82 % Ginnie Mae ARMs & Hybrids 38,494 (532 ) 4 37,966 0.51 10 Year Fixed 263 — 7 270 0.00 Total Ginnie Mae $ 38,757 $ (532 ) $ 11 $ 38,236 0.51 % Total Agency Securities $ 7,499,077 $ (39,392 ) $ 19,281 $ 7,478,966 100.00 % Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. At December 31, 2018 we had investment related payables with respect to unsettled purchases of Agency Securities of $166,052 . We did not have any investment related receivables at December 31, 2018 . At December 31, 2017 we did not have any investment related receivables or payables on Agency Securities. Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following table summarizes the weighted average lives of our Agency Securities at December 31, 2018 and December 31, 2017 . December 31, 2018 December 31, 2017 Weighted Average Life of all Agency Securities Fair Value Amortized Fair Value Amortized Less than one year $ 75 $ 77 $ — $ — Greater than or equal to one year and less than three years 25,841 26,264 29,126 29,269 Greater than or equal to three years and less than five years 1,334,663 1,331,577 1,353,036 1,353,998 Greater than or equal to five years 5,691,375 5,737,906 6,096,804 6,115,810 Total Agency Securities $ 7,051,954 $ 7,095,824 $ 7,478,966 $ 7,499,077 We use a third party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities at December 31, 2018 and December 31, 2017 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 2,651,518 $ (18,135 ) $ 1,197,533 $ (43,160 ) $ 3,849,051 $ (61,295 ) December 31, 2017 $ 4,355,924 $ (28,906 ) $ 733,637 $ (10,486 ) $ 5,089,561 $ (39,392 ) During the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 we sold $4,496,015 , $4,012,398 and $7,195,157 of Agency Securities, which resulted in realized losses of $(152,950) , $(8,486) , and $(18,211) At December 31, 2018 and December 31, 2017 , investments in Credit Risk and Non-Agency Securities accounted for 10.3% and 11.5% of our securities portfolio. The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2018 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2018 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 729,983 $ 653,681 $ 661,181 6.92 % Legacy Prime Fixed 13,394 12,698 16,051 6.02 % Legacy ALT-A Fixed 46,853 42,534 58,730 5.84 % Legacy Prime Hybrid 8,623 7,987 9,479 3.62 % Legacy ALT-A Hybrid 3,724 3,164 3,967 4.06 % New Issue Prime Fixed 17,338 16,767 17,714 3.69 % Total Credit Risk and Non-Agency Securities $ 819,915 $ 736,831 $ 767,122 6.73 % The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2017 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2017 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 870,494 $ 753,422 $ 764,172 6.05 % Legacy Prime Fixed 16,778 15,287 19,237 6.03 % Legacy ALT-A Fixed 54,727 48,516 65,920 5.85 % Legacy Prime Hybrid 10,469 9,517 11,452 3.17 % Legacy ALT-A Hybrid 4,660 3,895 4,901 3.47 % New Issue Prime Fixed 18,701 17,957 19,025 3.69 % Total Credit Risk and Non-Agency Securities $ 975,829 $ 848,594 $ 884,707 5.95 % Our Credit Risk Transfer securities are collateralized by residential mortgage loans meeting agency criteria. However, our securities principal and interest are not guaranteed by the agencies. Credit Risk Transfer securities include tranches issued since 2014. Our Legacy and New Issue Prime Fixed securities are collateralized by residential mortgage loans not guaranteed by any agency. Legacy Prime Fixed, Legacy Alt-A Fixed securities include tranches issued between 2005-2007. New Issue Prime Fixed securities include tranches issued in 2013. The following table summarizes the weighted average lives of our Credit Risk and Non-Agency Securities at December 31, 2018 and December 31, 2017 . December 31, 2018 December 31, 2017 Weighted Average Life of all Credit Risk and Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Greater than or equal to three years and less than five years $ 188,063 $ 169,692 $ 169,189 $ 149,436 Greater than or equal to five years 631,852 567,139 806,640 699,158 Total Credit Risk and Non-Agency Securities $ 819,915 $ 736,831 $ 975,829 $ 848,594 We use a third party model to calculate the weighted average lives of our Credit Risk and Non-Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Credit Risk and Non-Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Credit Risk and Non-Agency Securities at December 31, 2018 and December 31, 2017 , in the tables above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Credit Risk and Non-Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Credit Risk and Non-Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total As of Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 1,860 $ (13 ) $ — $ — $ 1,860 $ (13 ) December 31, 2017 $ — $ — $ — $ — $ — $ — Our Credit Risk and Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and at December 31, 2018 and December 31, 2017 , have generally either been assigned below investment grade ratings by rating agencies, or have not been rated. We evaluate each investment based on the characteristics of the underlying collateral and securitization structure, rather than relying on the ratings assigned by rating agencies. During the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , we sold $97,758 , $8,372 and $61,843 , respectively, of Credit Risk and Non-Agency Securities, which resulted in gains of $16,886 , $85 and $333 Note 8 - U.S. Treasury Securities At December 31, 2018 , investments in U.S. Treasury Securities accounted for 1.2% of our securities portfolio. We did not have any U.S. Treasury Securities at December 31, 2017 . At December 31, 2018 , we had the following U.S. Treasury Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our U.S. Treasury Securities at December 31, 2018 are also presented below. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value U.S. Treasury Securities $ 98,703 $ (57 ) $ — $ 98,646 The following table presents the unrealized losses and estimated fair value of our U.S. Treasury Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 98,646 $ (57 ) $ — $ — $ 98,646 $ (57 ) |
Credit Risk and Non-Agency Secu
Credit Risk and Non-Agency Securities | 12 Months Ended |
Dec. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Credit Risk and Non-Agency Securities | Note 6 - Agency Securities At December 31, 2018 and December 31, 2017 , investments in Agency Securities accounted for 88.2% and 88.2% of our securities portfolio. We evaluated our Agency Securities with unrealized losses at December 31, 2018 , December 31, 2017 and December 31, 2016 , to determine whether there was an other than temporary impairment. All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. Results of this evaluation for the year ended December 31, 2018 - During the first quarter of 2018, we recognized additional losses on Agency Securities, previously identified during 2017, totaling $(12,090) in our consolidated financial statements of operations. We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2018 Results of this evaluation for the year ended December 31, 2017 - During the second quarter of 2017, we identified certain low yielding Agency Securities that we replaced with securities having more attractive returns as market conditions permit. Accordingly, we recognized losses totaling $(13,707) in our consolidated financial statements of operations for the year ended December 31, 2017 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2017 . Results of this evaluation for the year ended December 31, 2016 - During the fourth quarter of 2016, we concluded that unrealized losses on certain of our 3.0% 15 -year fixed rate Agency Securities represented an other than temporary impairment. Accordingly, we recognized losses totaling $(6,540) in our consolidated financial statements of operations for the year ended December 31, 2016 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2016 . At December 31, 2018 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2018 are also presented below. Our Agency Securities had a weighted average coupon of 3.94% at December 31, 2018 . December 31, 2018 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 19,929 $ (249 ) $ 73 $ 19,753 0.28 % Multi-Family MBS 1,710,346 (17,128 ) 9,345 1,702,563 24.14 10 Year Fixed 115,654 (292 ) 129 115,491 1.64 15 Year Fixed 684,678 (388 ) 3,864 688,154 9.76 20 Year Fixed 3,734 (156 ) — 3,578 0.05 30 Year Fixed 2,803,125 (28,545 ) 3,349 2,777,929 39.39 Total Fannie Mae $ 5,337,466 $ (46,758 ) $ 16,760 $ 5,307,468 75.26 % Freddie Mac 10 Year Fixed 9,515 (68 ) — 9,447 0.13 15 Year Fixed 70,164 (272 ) 157 70,049 0.99 25 Year Fixed 37,939 (1,668 ) — 36,271 0.51 30 Year Fixed 1,299,695 (11,807 ) 500 1,288,388 18.28 Total Freddie Mac $ 1,417,313 $ (13,815 ) $ 657 $ 1,404,155 19.91 % Ginnie Mae ARMs & Hybrids 30,708 (466 ) 1 30,243 0.43 10 Year Fixed 231 (1 ) — 230 0.00 30 Year Fixed 310,106 (255 ) 7 309,858 4.40 Total Ginnie Mae $ 341,045 $ (722 ) $ 8 $ 340,331 4.83 % Total Agency Securities $ 7,095,824 $ (61,295 ) $ 17,425 $ 7,051,954 100.00 % At December 31, 2017 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2017 are also presented below. Our Agency Securities had a weighted average coupon of 3.68% at December 31, 2017 . December 31, 2017 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 28,199 $ (229 ) $ 112 $ 28,082 0.38 % Multi-Family MBS 1,799,737 (5,132 ) 16,950 1,811,555 24.22 10 Year Fixed 60,634 (347 ) 137 60,424 0.81 15 Year Fixed 1,028,797 (4,955 ) 625 1,024,467 13.70 20 Year Fixed 29,832 (621 ) — 29,211 0.39 25 Year Fixed 9,367 (140 ) — 9,227 0.12 30 Year Fixed 2,938,655 (18,910 ) 431 2,920,176 39.05 Total Fannie Mae $ 5,895,221 $ (30,334 ) $ 18,255 $ 5,883,142 78.67 % Freddie Mac 10 Year Fixed 37,254 (158 ) 228 37,324 0.50 15 Year Fixed 354,878 (211 ) 787 355,454 4.75 25 Year Fixed 41,383 (857 ) — 40,526 0.54 30 Year Fixed 1,131,584 (7,300 ) — 1,124,284 15.03 Total Freddie Mac $ 1,565,099 $ (8,526 ) $ 1,015 $ 1,557,588 20.82 % Ginnie Mae ARMs & Hybrids 38,494 (532 ) 4 37,966 0.51 10 Year Fixed 263 — 7 270 0.00 Total Ginnie Mae $ 38,757 $ (532 ) $ 11 $ 38,236 0.51 % Total Agency Securities $ 7,499,077 $ (39,392 ) $ 19,281 $ 7,478,966 100.00 % Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. At December 31, 2018 we had investment related payables with respect to unsettled purchases of Agency Securities of $166,052 . We did not have any investment related receivables at December 31, 2018 . At December 31, 2017 we did not have any investment related receivables or payables on Agency Securities. Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following table summarizes the weighted average lives of our Agency Securities at December 31, 2018 and December 31, 2017 . December 31, 2018 December 31, 2017 Weighted Average Life of all Agency Securities Fair Value Amortized Fair Value Amortized Less than one year $ 75 $ 77 $ — $ — Greater than or equal to one year and less than three years 25,841 26,264 29,126 29,269 Greater than or equal to three years and less than five years 1,334,663 1,331,577 1,353,036 1,353,998 Greater than or equal to five years 5,691,375 5,737,906 6,096,804 6,115,810 Total Agency Securities $ 7,051,954 $ 7,095,824 $ 7,478,966 $ 7,499,077 We use a third party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities at December 31, 2018 and December 31, 2017 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 2,651,518 $ (18,135 ) $ 1,197,533 $ (43,160 ) $ 3,849,051 $ (61,295 ) December 31, 2017 $ 4,355,924 $ (28,906 ) $ 733,637 $ (10,486 ) $ 5,089,561 $ (39,392 ) During the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 we sold $4,496,015 , $4,012,398 and $7,195,157 of Agency Securities, which resulted in realized losses of $(152,950) , $(8,486) , and $(18,211) At December 31, 2018 and December 31, 2017 , investments in Credit Risk and Non-Agency Securities accounted for 10.3% and 11.5% of our securities portfolio. The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2018 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2018 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 729,983 $ 653,681 $ 661,181 6.92 % Legacy Prime Fixed 13,394 12,698 16,051 6.02 % Legacy ALT-A Fixed 46,853 42,534 58,730 5.84 % Legacy Prime Hybrid 8,623 7,987 9,479 3.62 % Legacy ALT-A Hybrid 3,724 3,164 3,967 4.06 % New Issue Prime Fixed 17,338 16,767 17,714 3.69 % Total Credit Risk and Non-Agency Securities $ 819,915 $ 736,831 $ 767,122 6.73 % The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2017 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2017 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 870,494 $ 753,422 $ 764,172 6.05 % Legacy Prime Fixed 16,778 15,287 19,237 6.03 % Legacy ALT-A Fixed 54,727 48,516 65,920 5.85 % Legacy Prime Hybrid 10,469 9,517 11,452 3.17 % Legacy ALT-A Hybrid 4,660 3,895 4,901 3.47 % New Issue Prime Fixed 18,701 17,957 19,025 3.69 % Total Credit Risk and Non-Agency Securities $ 975,829 $ 848,594 $ 884,707 5.95 % Our Credit Risk Transfer securities are collateralized by residential mortgage loans meeting agency criteria. However, our securities principal and interest are not guaranteed by the agencies. Credit Risk Transfer securities include tranches issued since 2014. Our Legacy and New Issue Prime Fixed securities are collateralized by residential mortgage loans not guaranteed by any agency. Legacy Prime Fixed, Legacy Alt-A Fixed securities include tranches issued between 2005-2007. New Issue Prime Fixed securities include tranches issued in 2013. The following table summarizes the weighted average lives of our Credit Risk and Non-Agency Securities at December 31, 2018 and December 31, 2017 . December 31, 2018 December 31, 2017 Weighted Average Life of all Credit Risk and Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Greater than or equal to three years and less than five years $ 188,063 $ 169,692 $ 169,189 $ 149,436 Greater than or equal to five years 631,852 567,139 806,640 699,158 Total Credit Risk and Non-Agency Securities $ 819,915 $ 736,831 $ 975,829 $ 848,594 We use a third party model to calculate the weighted average lives of our Credit Risk and Non-Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Credit Risk and Non-Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Credit Risk and Non-Agency Securities at December 31, 2018 and December 31, 2017 , in the tables above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Credit Risk and Non-Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Credit Risk and Non-Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total As of Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 1,860 $ (13 ) $ — $ — $ 1,860 $ (13 ) December 31, 2017 $ — $ — $ — $ — $ — $ — Our Credit Risk and Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and at December 31, 2018 and December 31, 2017 , have generally either been assigned below investment grade ratings by rating agencies, or have not been rated. We evaluate each investment based on the characteristics of the underlying collateral and securitization structure, rather than relying on the ratings assigned by rating agencies. During the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , we sold $97,758 , $8,372 and $61,843 , respectively, of Credit Risk and Non-Agency Securities, which resulted in gains of $16,886 , $85 and $333 Note 8 - U.S. Treasury Securities At December 31, 2018 , investments in U.S. Treasury Securities accounted for 1.2% of our securities portfolio. We did not have any U.S. Treasury Securities at December 31, 2017 . At December 31, 2018 , we had the following U.S. Treasury Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our U.S. Treasury Securities at December 31, 2018 are also presented below. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value U.S. Treasury Securities $ 98,703 $ (57 ) $ — $ 98,646 The following table presents the unrealized losses and estimated fair value of our U.S. Treasury Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 98,646 $ (57 ) $ — $ — $ 98,646 $ (57 ) |
U.S. Treasury Securities
U.S. Treasury Securities | 12 Months Ended |
Dec. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
U.S. Treasury Securities | Note 6 - Agency Securities At December 31, 2018 and December 31, 2017 , investments in Agency Securities accounted for 88.2% and 88.2% of our securities portfolio. We evaluated our Agency Securities with unrealized losses at December 31, 2018 , December 31, 2017 and December 31, 2016 , to determine whether there was an other than temporary impairment. All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. Results of this evaluation for the year ended December 31, 2018 - During the first quarter of 2018, we recognized additional losses on Agency Securities, previously identified during 2017, totaling $(12,090) in our consolidated financial statements of operations. We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2018 Results of this evaluation for the year ended December 31, 2017 - During the second quarter of 2017, we identified certain low yielding Agency Securities that we replaced with securities having more attractive returns as market conditions permit. Accordingly, we recognized losses totaling $(13,707) in our consolidated financial statements of operations for the year ended December 31, 2017 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2017 . Results of this evaluation for the year ended December 31, 2016 - During the fourth quarter of 2016, we concluded that unrealized losses on certain of our 3.0% 15 -year fixed rate Agency Securities represented an other than temporary impairment. Accordingly, we recognized losses totaling $(6,540) in our consolidated financial statements of operations for the year ended December 31, 2016 . We determined that there was no other than temporary impairment of our remaining Agency Securities as of December 31, 2016 . At December 31, 2018 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2018 are also presented below. Our Agency Securities had a weighted average coupon of 3.94% at December 31, 2018 . December 31, 2018 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 19,929 $ (249 ) $ 73 $ 19,753 0.28 % Multi-Family MBS 1,710,346 (17,128 ) 9,345 1,702,563 24.14 10 Year Fixed 115,654 (292 ) 129 115,491 1.64 15 Year Fixed 684,678 (388 ) 3,864 688,154 9.76 20 Year Fixed 3,734 (156 ) — 3,578 0.05 30 Year Fixed 2,803,125 (28,545 ) 3,349 2,777,929 39.39 Total Fannie Mae $ 5,337,466 $ (46,758 ) $ 16,760 $ 5,307,468 75.26 % Freddie Mac 10 Year Fixed 9,515 (68 ) — 9,447 0.13 15 Year Fixed 70,164 (272 ) 157 70,049 0.99 25 Year Fixed 37,939 (1,668 ) — 36,271 0.51 30 Year Fixed 1,299,695 (11,807 ) 500 1,288,388 18.28 Total Freddie Mac $ 1,417,313 $ (13,815 ) $ 657 $ 1,404,155 19.91 % Ginnie Mae ARMs & Hybrids 30,708 (466 ) 1 30,243 0.43 10 Year Fixed 231 (1 ) — 230 0.00 30 Year Fixed 310,106 (255 ) 7 309,858 4.40 Total Ginnie Mae $ 341,045 $ (722 ) $ 8 $ 340,331 4.83 % Total Agency Securities $ 7,095,824 $ (61,295 ) $ 17,425 $ 7,051,954 100.00 % At December 31, 2017 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2017 are also presented below. Our Agency Securities had a weighted average coupon of 3.68% at December 31, 2017 . December 31, 2017 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 28,199 $ (229 ) $ 112 $ 28,082 0.38 % Multi-Family MBS 1,799,737 (5,132 ) 16,950 1,811,555 24.22 10 Year Fixed 60,634 (347 ) 137 60,424 0.81 15 Year Fixed 1,028,797 (4,955 ) 625 1,024,467 13.70 20 Year Fixed 29,832 (621 ) — 29,211 0.39 25 Year Fixed 9,367 (140 ) — 9,227 0.12 30 Year Fixed 2,938,655 (18,910 ) 431 2,920,176 39.05 Total Fannie Mae $ 5,895,221 $ (30,334 ) $ 18,255 $ 5,883,142 78.67 % Freddie Mac 10 Year Fixed 37,254 (158 ) 228 37,324 0.50 15 Year Fixed 354,878 (211 ) 787 355,454 4.75 25 Year Fixed 41,383 (857 ) — 40,526 0.54 30 Year Fixed 1,131,584 (7,300 ) — 1,124,284 15.03 Total Freddie Mac $ 1,565,099 $ (8,526 ) $ 1,015 $ 1,557,588 20.82 % Ginnie Mae ARMs & Hybrids 38,494 (532 ) 4 37,966 0.51 10 Year Fixed 263 — 7 270 0.00 Total Ginnie Mae $ 38,757 $ (532 ) $ 11 $ 38,236 0.51 % Total Agency Securities $ 7,499,077 $ (39,392 ) $ 19,281 $ 7,478,966 100.00 % Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. At December 31, 2018 we had investment related payables with respect to unsettled purchases of Agency Securities of $166,052 . We did not have any investment related receivables at December 31, 2018 . At December 31, 2017 we did not have any investment related receivables or payables on Agency Securities. Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following table summarizes the weighted average lives of our Agency Securities at December 31, 2018 and December 31, 2017 . December 31, 2018 December 31, 2017 Weighted Average Life of all Agency Securities Fair Value Amortized Fair Value Amortized Less than one year $ 75 $ 77 $ — $ — Greater than or equal to one year and less than three years 25,841 26,264 29,126 29,269 Greater than or equal to three years and less than five years 1,334,663 1,331,577 1,353,036 1,353,998 Greater than or equal to five years 5,691,375 5,737,906 6,096,804 6,115,810 Total Agency Securities $ 7,051,954 $ 7,095,824 $ 7,478,966 $ 7,499,077 We use a third party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities at December 31, 2018 and December 31, 2017 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 2,651,518 $ (18,135 ) $ 1,197,533 $ (43,160 ) $ 3,849,051 $ (61,295 ) December 31, 2017 $ 4,355,924 $ (28,906 ) $ 733,637 $ (10,486 ) $ 5,089,561 $ (39,392 ) During the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 we sold $4,496,015 , $4,012,398 and $7,195,157 of Agency Securities, which resulted in realized losses of $(152,950) , $(8,486) , and $(18,211) At December 31, 2018 and December 31, 2017 , investments in Credit Risk and Non-Agency Securities accounted for 10.3% and 11.5% of our securities portfolio. The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2018 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2018 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 729,983 $ 653,681 $ 661,181 6.92 % Legacy Prime Fixed 13,394 12,698 16,051 6.02 % Legacy ALT-A Fixed 46,853 42,534 58,730 5.84 % Legacy Prime Hybrid 8,623 7,987 9,479 3.62 % Legacy ALT-A Hybrid 3,724 3,164 3,967 4.06 % New Issue Prime Fixed 17,338 16,767 17,714 3.69 % Total Credit Risk and Non-Agency Securities $ 819,915 $ 736,831 $ 767,122 6.73 % The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2017 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2017 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 870,494 $ 753,422 $ 764,172 6.05 % Legacy Prime Fixed 16,778 15,287 19,237 6.03 % Legacy ALT-A Fixed 54,727 48,516 65,920 5.85 % Legacy Prime Hybrid 10,469 9,517 11,452 3.17 % Legacy ALT-A Hybrid 4,660 3,895 4,901 3.47 % New Issue Prime Fixed 18,701 17,957 19,025 3.69 % Total Credit Risk and Non-Agency Securities $ 975,829 $ 848,594 $ 884,707 5.95 % Our Credit Risk Transfer securities are collateralized by residential mortgage loans meeting agency criteria. However, our securities principal and interest are not guaranteed by the agencies. Credit Risk Transfer securities include tranches issued since 2014. Our Legacy and New Issue Prime Fixed securities are collateralized by residential mortgage loans not guaranteed by any agency. Legacy Prime Fixed, Legacy Alt-A Fixed securities include tranches issued between 2005-2007. New Issue Prime Fixed securities include tranches issued in 2013. The following table summarizes the weighted average lives of our Credit Risk and Non-Agency Securities at December 31, 2018 and December 31, 2017 . December 31, 2018 December 31, 2017 Weighted Average Life of all Credit Risk and Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Greater than or equal to three years and less than five years $ 188,063 $ 169,692 $ 169,189 $ 149,436 Greater than or equal to five years 631,852 567,139 806,640 699,158 Total Credit Risk and Non-Agency Securities $ 819,915 $ 736,831 $ 975,829 $ 848,594 We use a third party model to calculate the weighted average lives of our Credit Risk and Non-Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Credit Risk and Non-Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Credit Risk and Non-Agency Securities at December 31, 2018 and December 31, 2017 , in the tables above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Credit Risk and Non-Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Credit Risk and Non-Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total As of Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 1,860 $ (13 ) $ — $ — $ 1,860 $ (13 ) December 31, 2017 $ — $ — $ — $ — $ — $ — Our Credit Risk and Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and at December 31, 2018 and December 31, 2017 , have generally either been assigned below investment grade ratings by rating agencies, or have not been rated. We evaluate each investment based on the characteristics of the underlying collateral and securitization structure, rather than relying on the ratings assigned by rating agencies. During the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , we sold $97,758 , $8,372 and $61,843 , respectively, of Credit Risk and Non-Agency Securities, which resulted in gains of $16,886 , $85 and $333 Note 8 - U.S. Treasury Securities At December 31, 2018 , investments in U.S. Treasury Securities accounted for 1.2% of our securities portfolio. We did not have any U.S. Treasury Securities at December 31, 2017 . At December 31, 2018 , we had the following U.S. Treasury Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our U.S. Treasury Securities at December 31, 2018 are also presented below. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value U.S. Treasury Securities $ 98,703 $ (57 ) $ — $ 98,646 The following table presents the unrealized losses and estimated fair value of our U.S. Treasury Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 98,646 $ (57 ) $ — $ — $ 98,646 $ (57 ) |
Repurchase Agreements
Repurchase Agreements | 12 Months Ended |
Dec. 31, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Note 9 - Repurchase Agreements At December 31, 2018 , we had MRAs with 48 counterparties and had $7,037,651 in outstanding borrowings with 23 of those counterparties. At December 31, 2017 , we had MRAs with 46 counterparties and had $7,555,917 in outstanding borrowings with 32 of those counterparties. The following table represents the contractual repricing regarding our repurchase agreements to finance MBS purchases at December 31, 2018 and December 31, 2017 . No amounts below are subject to offsetting. December 31, 2018 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 6,456,823 2.95 % 14 4.22 % Credit Risk and Non-Agency Securities 580,828 3.23 % 14 17.79 % Total or Weighted Average $ 7,037,651 2.97 % 14 5.48 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. December 31, 2017 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 6,793,481 1.60 % 55 4.29 % Credit Risk and Non-Agency Securities 762,436 2.67 % 15 21.68 % Total or Weighted Average $ 7,555,917 1.71 % 51 6.39 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. Our repurchase agreements require that we maintain adequate pledged collateral. A decline in the value of the MBS pledged as collateral for borrowings under repurchase agreements could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. We manage this risk by maintaining an adequate balance of available cash and unpledged securities. An event of default or termination event under the standard MRA would give our counterparty the option to terminate all repurchase transactions existing with us and require any amount due to be payable immediately. In addition, certain of our MRAs contain a restriction that prohibits our leverage from exceeding twelve times our stockholders’ equity as well as termination events in the case of significant reductions in equity capital. We also may receive cash or securities as collateral from our derivative counterparties which we may use as additional collateral for repurchase agreements. Certain interest rate swap contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty. December 31, 2018 December 31, 2017 Maturing or Repricing Repurchase Agreements Weighted Average Contractual Rate Repurchase Agreements Weighted Average Contractual Rate Within 30 days $ 5,793,973 3.05 % $ 1,738,768 2.08 % 31 days to 60 days 1,243,678 2.60 % 2,394,450 1.59 % 61 days to 90 days — 0.00 % 3,422,699 1.61 % Greater than 90 days — 0.00 % — 0.00 % Total or Weighted Average $ 7,037,651 2.97 % $ 7,555,917 1.71 % At December 31, 2018 and December 31, 2017 , BUCKLER Securities, LLC, (“BUCKLER”), (See Note 16 - Related Party Transactions ) accounted for 49.8% and 38.4% , respectively, of our aggregate borrowings and had an amount at risk of 13.0% and 9.0% , respectively, of our total stockholders' equity with a weighted average maturity of 14 days and 70 days , respectively, on repurchase agreements. In addition, at December 31, 2018 , we had 1 repurchase agreement counterparty that individually accounted for between 5% and 10% of our aggregate borrowings. In total, this counterparty accounted for approximately 6.8% of our repurchase agreement borrowings outstanding at December 31, 2018 . At December 31, 2017 , we had 1 repurchase agreement counterparty that individually accounted for between 5% and 10% of our aggregate borrowings. In total, this counterparty accounted for 5.1% of our repurchase agreement borrowings at December 31, 2017 |
Derivatives
Derivatives | 12 Months Ended |
Dec. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives | Note 10 - Derivatives We enter into derivative transactions to manage our interest rate risk exposure. These transactions may include entering into interest rate swap contracts, swaptions and basis swaps. These transactions are designed to lock in funding costs for repurchase agreements associated with our assets in such a way to help assure the realization of net interest margins. Such transactions are based on assumptions about prepayments which, if not realized, will cause transaction results to differ from expectations. Basis swap contracts allow us to exchange one floating interest rate basis for another, for example, 3 month LIBOR and Fed Funds Rates, thereby allowing us to diversify our floating rate basis exposures. We also utilize forward contracts for the purchase or sale of TBA Agency Securities. We have agreements with our derivative counterparties that provide for the posting of collateral based on the fair values of our interest rate swap contracts, swaptions, basis swap contracts and TBA Agency Securities. Through this margin process, either we or our swap counterparty may be required to pledge cash or securities as collateral. Collateral requirements vary by counterparty and change over time based on the fair value, notional amount and remaining term of the contracts. Certain interest rate swap contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty. Interest rate swaptions generally provide us the option to enter into an interest rate swap agreement at a certain point of time in the future with a predetermined notional amount, stated term and stated rate of interest in the fixed leg and interest rate index on the floating leg. TBA Agency Securities are forward contracts for the purchase (“long position”) or sale (“short position”) of Agency Securities at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency Securities delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. We may enter into TBA Agency Securities as a means of hedging against short-term changes in interest rates. We may also enter into TBA Agency Securities as a means of acquiring or disposing of Agency Securities and we may from time to time utilize TBA dollar roll transactions to finance Agency Security purchases. We estimate the fair value of TBA Agency Securities based on similar methods used to value our Agency Securities. The following tables present information about our derivatives at December 31, 2018 and December 31, 2017 . December 31, 2018 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 0-12 Months 11 1.21 % $ 550,000 $ 6,620 $ — Interest rate swap contracts 13-24 Months 18 1.48 % 675,000 11,136 — Interest rate swap contracts 25-36 Months 25 2.06 % 1,000,000 5,568 — Interest rate swap contracts 49-60 Months 54 1.95 % 1,725,000 32,723 — Interest rate swap contracts 61-72 Months 67 1.89 % 575,000 12,009 — Interest rate swap contracts 73-84 Months 73 2.33 % 350,000 — (1,709 ) Interest rate swap contracts 85-96 Months 95 1.93 % 1,050,000 32,240 — Interest rate swap contracts 97-108 Months 102 2.10 % 375,000 7,381 — Interest rate swap contracts 109-120 Months 114 2.62 % 1,050,000 — (22,796 ) TBA Agency Securities (2) 0-60 Months n/a n/a 900,000 4,236 — Total or Weighted Average $ 8,250,000 $ 111,913 $ (24,505 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. (2) Implied cost basis of $929,184 and implied market value of $933,420 . December 31, 2017 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount (3) Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 0-12 Months 5 0.92 % $ 50,000 $ 191 $ — Interest rate swap contracts 13-24 Months 23 1.21 % 550,000 6,398 — Interest rate swap contracts 25-36 Months 30 1.48 % 675,000 5,495 — Interest rate swap contracts 61-72 Months 65 1.97 % 1,975,000 11,624 (250 ) Interest rate swap contracts 73-84 Months 79 1.89 % 575,000 3,306 (1,885 ) Interest rate swap contracts 97-108 Months 107 1.93 % 1,050,000 9,263 (10 ) Interest rate swap contracts 109-120 Months 114 2.10 % 375,000 — (3,545 ) TBA Agency Securities (2) 0-60 Months n/a n/a 1,600,000 934 (2,258 ) Total or Weighted Average $ 6,850,000 $ 37,211 $ (7,948 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. (2) Implied cost basis of $1,674,438 and implied market value of $1,673,113 . We have netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association. We are also required to post or hold cash collateral based upon the net underlying market value of our open positions with the counterparty. The following tables present information about interest rate swap contracts and Agency Securities TBA and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying consolidated balance sheet at December 31, 2018 . December 31, 2018 Gross Amounts Not Offset in the Consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ 107,677 $ (24,505 ) $ (82,838 ) $ 334 TBA Agency Securities 4,236 — (2,593 ) 1,643 Totals $ 111,913 $ (24,505 ) $ (85,431 ) $ 1,977 December 31, 2018 Gross Amounts Not Offset in the Consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (24,505 ) $ 24,505 $ — $ — TBA Agency Securities — — — — Totals $ (24,505 ) $ 24,505 $ — $ — The following tables present information about interest rate swap contracts and Agency Securities TBA and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying consolidated balance sheet at December 31, 2017 . December 31, 2017 Gross Amounts Not Offset in the Consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ 36,277 $ (5,690 ) $ (22,689 ) $ 7,898 TBA Agency Securities 934 (2,258 ) 8,068 6,744 Totals $ 37,211 $ (7,948 ) $ (14,621 ) $ 14,642 December 31, 2017 Gross Amounts Not Offset in the Consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (5,690 ) $ 5,690 $ — $ — TBA Agency Securities (2,258 ) 2,258 — — Totals $ (7,948 ) $ 7,948 $ — $ — The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying consolidated statements of operations for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . Income (Loss) Recognized For the Years Ended Derivatives Location on consolidated statements of operations December 31, 2018 December 31, 2017 December 31, 2016 Interest rate swap contracts: Realized gain (loss) Realized loss on derivatives $ 2,655 $ 990 $ (370,192 ) Interest income Realized loss on derivatives 124,714 50,464 25,270 Interest expense Realized loss on derivatives (124,241 ) (83,797 ) (90,978 ) Changes in fair value Unrealized gain on derivatives 43,755 39,388 208,082 $ 46,883 $ 7,045 $ (227,818 ) Basis swap contracts: Realized gain Realized loss on derivatives — — 1,468 Interest income Realized loss on derivatives — — 2,617 Interest expense Realized loss on derivatives — — (3,116 ) Changes in fair value Unrealized gain on derivatives — — (661 ) $ — $ — $ 308 TBA Agency Securities: Realized gain (loss) Realized loss on derivatives (50,625 ) 9,668 (17,467 ) Changes in fair value Unrealized gain on derivatives 5,561 (116 ) (1,209 ) $ (45,064 ) $ 9,552 $ (18,676 ) Totals $ 1,819 $ 16,597 $ (246,186 ) |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 11 - Commitments and Contingencies Management Agreements with ACM The Company is managed by ACM, pursuant to management agreements (see also Note 16 , “ Related Party Transactions ” ) . The management agreements entitle ACM to receive a management fee payable monthly in arrears. Currently, the monthly ARMOUR management fee is 1/12th of the sum of (a) 1.5% of gross equity raised up to $1.0 billion plus (b) 0.75% of gross equity raised in excess of $1.0 billion . The cost of repurchased stock and any dividend representing a return of capital for tax purposes will reduce the amount of gross equity raised used to calculate the monthly management fee. At December 31, 2018 , December 31, 2017 and December 31, 2016 , the effective ARMOUR management fee was 1.03% , 1.04% and 1.05% based on gross equity raised of $2,658,969 , $2,618,020 and $2,469,368 , respectively. The ACM monthly management fees are not calculated based on the performance of our assets. Accordingly, the payment of our monthly management fees may not decline in the event of a decline in our earnings and may cause us to incur losses. We are also responsible for any costs and expenses that ACM incurred solely on behalf of ARMOUR or JAVELIN other than the various overhead expenses specified in the terms of the management agreements. ACM is further entitled to receive termination fees from ARMOUR and JAVELIN under certain circumstances. Indemnifications and Litigation We enter into certain contracts that contain a variety of indemnifications, principally with ACM and underwriters, against third party claims for errors and omissions in connection with their services to us. We have not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As a result, the estimated fair value of these agreements, as well as the maximum amount attributable to past events, is not material. Accordingly, we have no liabilities recorded for these agreements at December 31, 2018 and December 31, 2017 . Nine putative class action lawsuits have been filed in connection with the tender offer (the “Tender Offer”) and merger (the “Merger”) for JAVELIN ( Note 17 -Acquisition of JAVELIN Mortgage Investment Corp. for more information about the Tender Offer and Merger). The Tender Offer and Merger are collectively defined herein as the “Transactions.” All nine suits name ARMOUR, the previous members of JAVELIN’s board of directors prior to the Merger (of which eight are current members of ARMOUR’s board of directors) (the “Individual Defendants”) and JMI Acquisition Corporation (“Acquisition” ) as defendants. Certain cases also name ACM and JAVELIN as additional defendants. The lawsuits were brought by purported holders of JAVELIN’s common stock, both individually and on behalf of a putative class of JAVELIN’s stockholders, alleging that the Individual Defendants breached their fiduciary duties owed to the plaintiffs and the putative class of JAVELIN stockholders, including claims that the Individual Defendants failed to properly value JAVELIN; failed to take steps to maximize the value of JAVELIN to its stockholders; ignored or failed to protect against conflicts of interest; failed to disclose material information about the Transactions; took steps to avoid competitive bidding and to give ARMOUR an unfair advantage by failing to adequately solicit other potential acquirors or alternative transactions; and erected unreasonable barriers to other third-party bidders. The suits also allege that ARMOUR, JAVELIN, ACM and Acquisition aided and abetted the alleged breaches of fiduciary duties by the Individual Defendants. The lawsuits seek equitable relief, including, among other relief, to enjoin consummation of the Transactions, or rescind or unwind the Transactions if already consummated, and award costs and disbursements, including reasonable attorneys’ fees and expenses. The sole Florida lawsuit was never served on the defendants, and that case was voluntarily dismissed and closed on January 20, 2017 . On April 25, 2016, the Maryland court issued an order consolidating the eight Maryland cases into one action, captioned In re JAVELIN Mortgage Investment Corp. Shareholder Litigation (Case No. 24-C-16-001542), and designated counsel for one of the Maryland cases as interim lead co-counsel. On May 26, 2016, interim lead counsel filed the Consolidated Amended Class Action Complaint for Breach of Fiduciary Duty asserting consolidated claims of breach of fiduciary duty, aiding and abetting the breaches of fiduciary duty, and waste. On June 27, 2016, defendants filed a Motion to Dismiss the Consolidated Amended Class Action Complaint for failing to state a claim upon which relief can be granted. A hearing was held on the Motion to Dismiss on March 3, 2017, and the Court reserved ruling. To date, the Court has not issued an order on the Motion to Dismiss. |
Stock Based Compensation
Stock Based Compensation | 12 Months Ended |
Dec. 31, 2018 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Stock Based Compensation | Note 12 - Stock Based Compensation We adopted the 2009 Stock Incentive Plan as amended (the “Plan”) to attract, retain and reward directors and other persons who provide services to us in the course of operations. The Plan authorizes the Board to grant awards including common stock, restricted shares of common stock (“RSUs”), stock options, performance shares, performance units, stock appreciation rights and other equity and cash-based awards (collectively, “Awards”), subject to terms as provided in the Plan. At December 31, 2018 , there were 1,875 shares of common stock issuable under the Plan, of which 1,137 remain available for future issuance. Transactions related to awards for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 are summarized below: December 31, 2018 December 31, 2017 December 31, 2016 Number of Awards Weighted Average Fair Value per Award Number of Awards Weighted Average Number of Awards Weighted Average Unvested RSU Awards Outstanding beginning of period 472 $ 24.82 32 $ 39.80 78 $ 48.85 Granted — $ — 472 $ 24.82 — $ — Vested (112 ) $ 22.70 (32 ) $ 39.80 (46 ) $ 56.14 Unvested RSU Awards Outstanding end of period 360 $ 21.11 472 $ 24.82 32 $ 39.80 At December 31, 2018 , there was approximately $7,607 of unvested stock based compensation related to the Awards (based on a stock price of $21.11 per share), that we expect to recognize as an expense over the remaining average service period of 2.6 years . Our policy is to account for forfeitures as they occur. We also pay our non-executive Board quarterly fees of $33 |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 2018 | |
Equity [Abstract] | |
Stockholders' Equity | Note 13 - Stockholders' Equity Preferred Stock At December 31, 2018 and December 31, 2017 , we were authorized to issue up to 50,000 shares of preferred stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by our Board of Directors (“Board”) or a committee thereof. We have designated 9,610 shares as 8.250% Series A Preferred Stock and 7,650 shares as 7.875% Series B Preferred Stock. At December 31, 2018 , a total of 32,740 shares of our authorized preferred stock remain available for designation as future series. Series A Cumulative Preferred Shares (“Series A Preferred Stock”) At December 31, 2018 and December 31, 2017 , we had 2,181 shares of Series A Preferred Stock issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $54,514 in the aggregate. Shares designated as Series A Preferred Stock but unissued totaled 7,429 at December 31, 2018 . At December 31, 2018 and December 31, 2017 , there were no accrued or unpaid dividends on the Series A Preferred Stock. The Series A Preferred Stock is entitled to a dividend at a rate of 8.250% per year based on the $25.00 per share liquidation preference before the common stock is entitled to receive any dividends. The Series A Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends exclusively at our option commencing on June 7, 2017 (subject to our right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve our qualification as a REIT). The Series A Preferred Stock is senior to our common stock and therefore in the event of liquidation, dissolution or winding up, the Series A Preferred Stock will receive a liquidation preference of $25.00 per share plus accumulated and unpaid dividends before distributions are paid to holders of our common stock, with no right or claim to any of our remaining assets thereafter. The Series A Preferred Stock generally does not have voting rights, except if we fail to pay dividends on the Series A Preferred Stock for eighteen months , whether or not consecutive. Under such circumstances, the Series A Preferred Stock will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and set aside for payment. The Series A Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by us or converted into our common stock in connection with a change of control by the holders of Series A Preferred Stock. Series B Cumulative Preferred Shares (“Series B Preferred Stock”) At December 31, 2018 and December 31, 2017 , we had 6,369 and 6,262 shares of Series B Preferred Stock, respectively, issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $159,232 and $156,560 , respectively, in the aggregate. Shares designated as Series B Preferred Stock but unissued totaled 1,281 at December 31, 2018 . At December 31, 2018 and December 31, 2017 , there were no accrued or unpaid dividends on the Series B Preferred Stock. The Series B Preferred Stock is entitled to a dividend at a rate of 7.875% per year based on the $25.00 per share liquidation preference before the common stock is entitled to receive any dividends. The Series B Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends exclusively at our option commencing on February 12, 2018 (subject to our right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve our qualification as a REIT). The Series B Preferred Stock is senior to our common stock and rank on parity with the Series A Preferred Stock. In the event of liquidation, dissolution or winding up, the Series B Preferred Stock will receive a liquidation preference of $25.00 per share plus accumulated and unpaid dividends before distributions are paid to holders of our common stock, with no right or claim to any of our remaining assets thereafter. The Series B Preferred Stock generally does not have voting rights, except if we fail to pay dividends on the Series B Preferred Stock for eighteen months , whether or not consecutive. Under such circumstances, the Series B Preferred Stock will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and set aside for payment. The Series B Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by us or converted into our common stock in connection with a change of control by the holders of Series B Preferred Stock. On August 30, 2017, the Company entered into an ATM Equity Offering Sales Agreement (the “Preferred B ATM Sales Agreement”) relating to an "at-the-market" offering program for our Series B Preferred Stock. In accordance with the terms of the Preferred B ATM Sales Agreement, we may offer and sell over a period of time and from time to time, up to 2,000 shares of our Series B Preferred Stock. For the year ended December 31, 2018 , we sold 107 shares under this agreement. Proceeds from the sale of the 107 shares were $2,632 , net of issuance costs of approximately $42 . See tables below for Series B Preferred Stock equity raising activities. Common Stock At December 31, 2018 and December 31, 2017 , we were authorized to issue up to 125,000 shares of common stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by our Board. We had 43,702 shares of common stock issued and outstanding at December 31, 2018 and 41,877 shares of common stock issued and outstanding at December 31, 2017 . On May 26, 2017, the Company entered into an ATM Equity Offering Sales Agreement (the “Common stock ATM Sales Agreement”) relating to the shares of our common stock. In accordance with the terms of the Common stock ATM Sales Agreement, we may offer and sell over a period of time and from time to time, up to 5,000 shares of our common stock par value $0.001 per share. The Common stock ATM Sales Agreement relates to a proposed "at-the-market" offering program. On October 2, 2017, the Sales Agreement was amended. For the year ended December 31, 2018 , we sold 883 shares under this agreement. Proceeds from the sale of the 883 shares were $19,013 , net of issuance costs of approximately $262 . See tables below for common stock equity raising activities, including our dividend reinvestment and stock purchase plan ("DRIP"). Common Stock Repurchased At December 31, 2018 , December 31, 2017 and December 31, 2016 , there were 1,874 authorized shares remaining under our common stock repurchase program (the “Repurchase Program”). For the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 we did not repurchase any common shares under the Repurchase Program. Under the Repurchase Program, shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934, as amended, and related rules. We are not required to repurchase any shares under the Repurchase Program and it may be modified, suspended or terminated at any time for any reason. We do not intend to purchase shares from our Board or other affiliates. Under Maryland law, such repurchased shares are treated as authorized but unissued. Equity Capital Raising Activities The following tables present our equity transactions for the years ended December 31, 2018 and December 31, 2017 . We did not have equity raising transactions for the year ended December 31, 2016 . December 31, 2018 Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds Series B Preferred equity distribution agreement January 2, 2018-January 26, 2018 107 $ 24.62 $ 2,632 DRIP August 21, 2018-December 10, 2018 840 $ 22.61 $ 19,001 Common stock ATM Sales Agreement December 11, 2018-December 19, 2018 883 $ 21.53 $ 19,013 (1) Weighted average price December 31, 2017 Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds Series B Preferred ATM Sales Agreement August 31, 2017-December 30, 2017 612 $ 24.44 $ 14,968 Common stock follow-on public offering June 30, 2017 4,500 $ 25.96 $ 116,693 DRIP September 12, 2017-October 6, 2017 619 $ 26.44 $ 16,500 (1) Weighted average price Dividends The following tables present our common stock dividend transactions for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . December 31, 2018 Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 16, 2018 January 29, 2018 $ 0.19 $ 8,046 February 15, 2018 February 27, 2018 $ 0.19 8,046 March 15, 2018 March 28, 2018 $ 0.19 8,045 April 13, 2018 April 27, 2018 $ 0.19 8,046 May 15, 2018 May 30, 2018 $ 0.19 8,046 June 15, 2018 June 28, 2018 $ 0.19 8,045 July 16, 2018 July 27, 2018 $ 0.19 8,045 August 15, 2018 August 28, 2018 $ 0.19 8,045 September 17, 2018 September 27, 2018 $ 0.19 8,117 October 15, 2018 October 29, 2018 $ 0.19 8,118 November 15, 2018 November 27, 2018 $ 0.19 8,118 December 17, 2018 December 27, 2018 $ 0.19 8,307 Total dividends paid $ 97,024 December 31, 2017 Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 17, 2017 January 30, 2017 $ 0.19 $ 6,984 February 15, 2017 February 27, 2017 $ 0.19 6,984 March 15, 2017 March 30, 2017 $ 0.19 6,983 April 17, 2017 April 28, 2017 $ 0.19 6,984 May 15, 2017 May 30, 2017 $ 0.19 6,984 June 15, 2017 June 29, 2017 $ 0.19 6,983 July 17, 2017 July 27, 2017 $ 0.19 7,839 August 15, 2017 August 28, 2017 $ 0.19 7,839 September 15, 2017 September 28, 2017 $ 0.19 7,870 October 16, 2017 October 27, 2017 $ 0.19 7,956 November 15, 2017 November 27, 2017 $ 0.19 7,957 December 15, 2017 December 28, 2017 $ 0.19 8,046 Total dividends paid $ 89,409 December 31, 2016 Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.33 $ 12,131 February 13, 2016 February 26, 2016 $ 0.33 12,131 March 13, 2016 March 28, 2016 $ 0.33 12,131 April 15, 2016 April 27, 2016 $ 0.27 9,925 May 16, 2016 May 27, 2016 $ 0.22 8,087 June 15, 2016 June 29, 2016 $ 0.22 8,087 July 15, 2016 July 27, 2016 $ 0.22 8,087 August 15, 2016 August 29, 2016 $ 0.22 8,087 September 15, 2016 September 27, 2016 $ 0.22 8,087 October 14, 2016 October 27, 2016 $ 0.22 8,086 November 15, 2016 November 29, 2016 $ 0.22 8,086 December 16, 2016 December 27, 2016 $ 0.22 8,086 Total dividends paid $ 111,011 The following tables present our Series A Preferred Stock dividend transactions for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . December 31, 2018 Record Date Payment Date Rate per Series A Preferred Share Aggregate amount paid to holders of record January 15, 2018 January 29, 2018 $ 0.17 $ 374.8 February 15, 2018 February 27, 2018 $ 0.17 374.8 March 15, 2018 March 27, 2018 $ 0.17 374.8 April 15, 2018 April 27, 2018 $ 0.17 374.8 May 15, 2018 May 29, 2018 $ 0.17 374.8 June 15, 2018 June 27, 2018 $ 0.17 374.8 July 15, 2018 July 27, 2018 $ 0.17 374.8 August 15, 2018 August 27, 2018 $ 0.17 374.8 September 15, 2018 September 27, 2018 $ 0.17 374.8 October 15, 2018 October 29, 2018 $ 0.17 374.8 November 15, 2018 November 27, 2018 $ 0.17 374.8 December 15, 2018 December 27, 2018 $ 0.17 374.8 Total dividends paid $ 4,498 December 31, 2017 Record Date Payment Date Rate per Series A Preferred Share Aggregate amount paid to holders of record January 15, 2017 January 27, 2017 $ 0.17 $ 374.8 February 15, 2017 February 27, 2017 $ 0.17 374.8 March 15, 2017 March 27, 2017 $ 0.17 374.8 April 15, 2017 April 27, 2017 $ 0.17 374.8 May 15, 2017 May 30, 2017 $ 0.17 374.8 June 15, 2017 June 27, 2017 $ 0.17 374.8 July 15, 2017 July 27, 2017 $ 0.17 374.8 August 15, 2017 August 28, 2017 $ 0.17 374.8 September 15, 2017 September 27, 2017 $ 0.17 374.8 October 15, 2017 October 27, 2017 $ 0.17 374.8 November 15, 2017 November 27, 2017 $ 0.17 374.8 December 15, 2017 December 27, 2017 $ 0.17 374.8 Total dividends paid $ 4,498 December 31, 2016 Record Date Payment Date Rate per Series A Preferred Share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.17 $ 374.8 February 15, 2016 February 26, 2016 $ 0.17 374.8 March 15, 2016 March 28, 2016 $ 0.17 374.8 April 15, 2016 April 27, 2016 $ 0.17 374.8 May 15, 2016 May 27, 2016 $ 0.17 374.8 June 15, 2016 June 29, 2016 $ 0.17 374.8 July 15, 2016 July 27, 2016 $ 0.17 374.8 August 15, 2016 August 29, 2016 $ 0.17 374.8 September 15, 2016 September 27, 2016 $ 0.17 374.8 October 15, 2016 October 27, 2016 $ 0.17 374.8 November 15, 2016 November 27, 2016 $ 0.17 374.8 December 15, 2016 December 28, 2016 $ 0.17 374.8 Total dividends paid $ 4,498 The following tables present our Series B Preferred Stock dividend transactions for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . December 31, 2018 Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2018 January 29, 2018 $ 0.16 $ 1,039 February 15, 2018 February 27, 2018 $ 0.16 1,045 March 15, 2018 March 27, 2018 $ 0.16 1,045 April 15, 2018 April 27, 2018 $ 0.16 1,045 May 15, 2018 May 29, 2018 $ 0.16 1,045 June 15, 2018 June 27, 2018 $ 0.16 1,045 July 15, 2018 July 27, 2018 $ 0.16 1,045 August 15, 2018 August 27, 2018 $ 0.16 1,045 September 15, 2018 September 27, 2018 $ 0.16 1,045 October 15, 2018 October 29, 2018 $ 0.16 1,045 November 15, 2018 November 27, 2018 $ 0.16 1,045 December 15, 2018 December 27, 2018 $ 0.16 1,045 Total dividends paid $ 12,534 December 31, 2017 Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2017 January 27, 2017 $ 0.16 $ 927 February 15, 2017 February 27, 2017 $ 0.16 927 March 15, 2017 March 27, 2017 $ 0.16 927 April 15, 2017 April 27, 2017 $ 0.16 927 May 15, 2017 May 30, 2017 $ 0.16 927 June 15, 2017 June 27, 2017 $ 0.16 927 July 15, 2017 July 27, 2017 $ 0.16 927 August 15, 2017 August 28, 2017 $ 0.16 927 September 15, 2017 September 27, 2017 $ 0.16 962 October 15, 2017 October 27, 2017 $ 0.16 987 November 15, 2017 November 27, 2017 $ 0.16 998 December 15, 2017 December 27, 2017 $ 0.16 1,019 Total dividends paid $ 11,382 December 31, 2016 Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.16 $ 927 February 15, 2016 February 26, 2016 $ 0.16 927 March 15, 2016 March 28, 2016 $ 0.16 927 April 15, 2016 April 27, 2016 $ 0.16 927 May 15, 2016 May 27, 2016 $ 0.16 927 June 15, 2016 June 29, 2016 $ 0.16 927 July 15, 2016 July 27, 2016 $ 0.16 927 August 15, 2016 August 29, 2016 $ 0.16 927 September 15, 2016 September 27, 2016 $ 0.16 927 October 15, 2016 October 27, 2006 $ 0.16 927 November 15, 2016 November 27, 2016 $ 0.16 927 December 15, 2016 December 28, 2016 $ 0.16 927 Total dividends paid $ 11,124 |
Net Income per Common Share
Net Income per Common Share | 12 Months Ended |
Dec. 31, 2018 | |
Earnings Per Share [Abstract] | |
Net Income per Common Share | Note 14 - Net Income per Common Share The following table presents a reconciliation of net income (loss) and the shares used in calculating weighted average basic and diluted earnings per common share for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . For the Years Ended December 31, 2018 December 31, 2017 December 31, 2016 Net Income (Loss) $ (105,966 ) $ 181,154 $ (45,517 ) Less: Preferred dividends (17,032 ) (15,880 ) (15,622 ) Net Income (Loss) available (related) to common stockholders $ (122,998 ) $ 165,274 $ (61,139 ) Weighted average common shares outstanding – basic 42,128 39,170 36,698 Add: Effect of dilutive non-vested awards, assumed vested — 472 — Weighted average common shares outstanding – diluted 42,128 39,642 36,698 |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 15 - Income Taxes The following table reconciles our GAAP net income (loss) to estimated REIT taxable income for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . For the Years Ended December 31, 2018 December 31, 2017 December 31, 2016 GAAP net income (loss) $ (105,966 ) $ 181,154 $ (45,517 ) Book to tax differences: TRS income (265 ) — — Premium amortization expense (1,132 ) (468 ) — Credit Risk and Non-Agency Securities 26,509 (68,505 ) (60,914 ) Interest-Only Securities 318 1,216 (7,818 ) U.S. Treasury Securities 6,365 — — Changes in interest rate contracts (1,346 ) (49,930 ) 179,979 Losses on Sales of Agency Securities 152,950 8,486 18,211 Other than temporary loss on Agency Securities 12,090 13,707 6,540 Amortization of deferred hedging costs (56,378 ) (59,930 ) (47,952 ) Bargain purchase price on acquisition of JAVELIN — — (6,484 ) Other 16 15 19 Estimated taxable income $ 33,161 $ 25,745 $ 36,064 Interest rate contracts are treated as hedging transactions for tax purposes. Unrealized gains and losses on open interest rate contracts are not included in the determination of REIT taxable income. Realized gains and losses on interest rate contracts terminated before their maturity are deferred and amortized over the remainder of the original term of the contract for REIT taxable income. Net capital losses realized Amount Available to offset capital gains though 2014 (341,850 ) 2019 2015 (5,182 ) 2020 2016 (31,204 ) 2021 2017 (7,375 ) 2022 2018 (166,008 ) 2023 The aggregate tax basis of our assets and liabilities was greater than our total Stockholders’ Equity at December 31, 2018 , by approximately $66,103 , or approximately $1.51 per common share (based on the 43,702 common shares then outstanding). We are required and intend to timely distribute substantially all of our REIT taxable income in order to maintain our REIT status under the Code. Total dividend payments to stockholders were $114,056 , $105,289 and $126,633 for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , respectively. Our estimated REIT taxable income available for distribution as dividends was $33,161 , $25,745 and $36,064 for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , respectively. Our REIT taxable income and dividend requirements to maintain our REIT status are determined on an annual basis. Dividends paid in excess of REIT taxable income for the year (including amounts carried forward from prior years) will generally not be taxable to common stockholders. The portion of the dividends on our common stock which represented non-taxable return of capital was approximately 83.2% in 2018 , 89.0% in 2017 and 81.6% in 2016 . |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2018 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Note 16 - Related Party Transactions ACM The Company is managed by ACM, pursuant to management agreements with ARMOUR and JAVELIN. All of our executive officers are also employees of ACM. ACM manages our day-to-day operations, subject to the direction and oversight of the Board. The ARMOUR management agreement runs through June 18, 2024 and is thereafter automatically renewed for an additional five -year term unless terminated under certain circumstances. The JAVELIN Management Agreement renewed on October 5, 2017, for a one -year period, with the base management fee thereunder reduced to one dollar for the entirety of the renewal term. It will be automatically renewed annually for successive one -year terms unless terminated under certain circumstances. Either party must provide 180 days prior written notice of any such termination. Under the terms of the management agreements, ACM is responsible for costs incident to the performance of its duties, such as compensation of its employees and various overhead expenses. ACM is responsible for the following primary roles: • Advising us with respect to, arranging for and managing the acquisition, financing, management and disposition of, elements of our investment portfolio; • Evaluating the duration risk and prepayment risk within the investment portfolio and arranging borrowing and hedging strategies; • Coordinating capital raising activities; • Advising us on the formulation and implementation of operating strategies and policies, arranging for the acquisition of assets, monitoring the performance of those assets and providing administrative and managerial services in connection with our day-to-day operations; and • Providing executive and administrative personnel, office space and other appropriate services required in rendering management services to us. In accordance with the management agreements, we incurred $27,246 , $26,582 and $26,070 in management fees for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . In accordance with the JAVELIN management agreement, we paid management fees of one dollar for the year ended December 31, 2018 and $1,718 and $1,657 for the years ended December 31, 2017 and December 31, 2016 , reducing the liability recorded upon acquisition to zero at December 31, 2017 . We are required to take actions as may be reasonably required to permit and enable ACM to carry out its duties and obligations. We are also responsible for any costs and expenses that ACM incurred solely on our behalf other than the various overhead expenses specified in the terms of the management agreements. For the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 we reimbursed ACM $206 , $764 and $1,950 , respectively for other expenses incurred on our behalf. In 2013 and 2017, we elected to make a restricted stock unit awards to our executive officers and other ACM employees through ACM that vest over 5 years . In November 2017, we elected to make restricted stock unit awards to the Board. We recognized stock based compensation expense of $436 , $339 and $470 for the years ended , December 31, 2018 , December 31, 2017 and December 31, 2016 , respectively. BUCKLER In March 2017, we contributed $352 for a 10% ownership interest in BUCKLER, a Delaware limited liability company and a FINRA-regulated broker-dealer, controlled by ACM and certain executive officers of ARMOUR. The investment is included in prepaid and other assets in our consolidated balance sheet and is accounted for using the equity method as BUCKLER maintains specific ownership accounts. In 2018, we made additional contributions to BUCKLER of $133 . The value of the investment was $113 at December 31, 2018 and $84 at December 31, 2017 reflecting our total investment less our share of BUCKLER’s startup costs and operating losses, in accordance with the terms of the operating agreement of BUCKLER that our independent directors negotiated. The primary purpose of our investment in BUCKLER is to facilitate our access to repurchase financing, on potentially attractive terms (considering rate, term, size, haircut, relationship and funding commitment) compared to other suitable repurchase financing counterparties. Our operating agreement with BUCKLER contains certain provisions to benefit and protect the Company, including (1) sharing in any (a) defined profits realized by BUCKLER from the anticipated financing spreads resulting from repurchase financing facilitated by BUCKLER, and (b) distributions from BUCKLER to its members of net cash receipts, and (2) the realization of anticipated savings from reduced clearing, brokerage, trading and administrative fees. In addition, the independent directors of the Company, must approve in their sole discretion, any third-party business engaged by BUCKLER and may cause BUCKLER to wind up and dissolve and promptly return certain subordinated loans we provide to BUCKLER as regulatory capital (as described more fully below) if the independent directors reasonably determine that BUCKLER’s ability to provide attractive securities transactions for the Company is materially adversely affected. BUCKLER began trading operations on October 25, 2017. The Company has entered into three subordinated loan agreements with BUCKLER, totaling $105.0 million . The loans have a stated interest rate of zero , plus additional interest payable to us in an amount equal to the amount of interest earned by BUCKLER on the investment of the loan proceeds, generally in government securities funds. In 2018, the Company earned $2,019 of interest on these loans. The loans are repayable as follows: • $25.0 million due April 21, 2020. BUCKLER may at its option after obtaining the approval of the Financial Industry Regulatory Authority repay all or a portion of the principal amount of the loan. • $15.0 million due August 31, 2020. BUCKLER may at its option after obtaining the approval of the Financial Industry Regulatory Authority repay all or a portion of the principal amount of the loan. • $65.0 million due April 21, 2020. BUCKLER may at its option after obtaining the approval of the Financial Industry Regulatory Authority repay all or a portion of the principal amount of the loan. The Company had outstanding borrowings under repurchase agreements with BUCKLER totaling $3,503,750 and $2,903,769 at December 31, 2018 and December 31, 2017 , respectively. See also Note 9 , “ Repurchase Agreements ” for transactions with BUCKLER. During the year ended December 31, 2018 , we incurred approximately $67,156 in interest payments to BUCKLER on the repurchase agreements we entered into with BUCKLER. We also purchased an aggregate of $815,765 of U.S. Treasury Securities from BUCKLER and sold $563,258 of U.S. Treasury Securities to BUCKLER during the year ended December 31, 2018 . We also had $3,652,899 of collateral posted with BUCKLER securitizing the $3,503,750 of repurchase agreements at December 31, 2018 |
Acquisition of JAVELIN Mortgage
Acquisition of JAVELIN Mortgage Investment Corp. | 12 Months Ended |
Dec. 31, 2018 | |
Business Combinations [Abstract] | |
Acquisition of JAVELIN Mortgage Investment Corp. | Note 17 - Acquisition of JAVELIN Mortgage Investment Corp. On April 6, 2016, we completed our acquisition of all of the outstanding common stock of JAVELIN upon the merger of Acquisition with and into JAVELIN, for cash consideration of $85,200 . Subsequently, JAVELIN became a wholly-owned subsidiary of ARMOUR and continues to be managed by ACM pursuant to the pre-existing management agreement between JAVELIN and ACM. The acquisition expanded and diversified our investment portfolio. JAVELIN's complementary assets provided us with investment opportunities in Credit Risk and Non-Agency Securities MBS. We recognized JAVELIN’s assets and liabilities (including JAVELIN’s liability under JAVELIN’s management agreement with ACM) at their fair values on the date of the Merger. None of the bargain purchase price reflected in the table below was included in income for income tax purposes. The following table summarizes the consideration paid for JAVELIN and the amounts of the assets acquired and liabilities assumed recognized at the acquisition date, as well as the fair value at the acquisition date (amounts in millions): Consideration: Cash $ 85.2 Fair value of consideration transferred $ 85.2 Acquisition related costs (included in professional fees and other expenses) $ 2.5 Recognized amounts of identifiable assets acquired and liabilities assumed: Cash $ 12.0 Cash collateral 24.6 Agency Securities 440.7 Credit Risk and Non-Agency Securities 223.2 Accrued interest receivable 1.4 Prepaid and other assets 5.4 Repurchase agreements (589.6 ) Derivatives (17.5 ) Accrued interest payable (0.9 ) Accounts payable and other accrued expenses (7.6 ) Total identifiable net assets $ 91.7 Bargain purchase price (6.5 ) Total $ 85.2 Included in accounts payable and other accrued expenses was a liability of $3,375 which was recognized as the fair value of JAVELIN’s management agreement with ACM as of April 6, 2016. This liability was paid in full at December 31, 2017 . Total interest income of $13 , $10,784 and $13,986 and net (loss) income of $(123) , $(1,683) and $15,171 are included in the consolidated statements of operations from the operations of JAVELIN for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , respectively. Total identifiable net assets of $5,287 , $79,475 and $105,580 are included in the consolidated balance sheets at December 31, 2018 , December 31, 2017 and December 31, 2016 |
Interest Rate Risk
Interest Rate Risk | 12 Months Ended |
Dec. 31, 2018 | |
Interest Rate Risk [Abstract] | |
Interest Rate Risk | Note 18 - Interest Rate Risk |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 19 - Subsequent Events During the month of January 2019, the Company issued 884 Common shares under the ATM program for net proceeds of approximately $18,540 . On January 17, 2019, the Company completed the sale of 6,900 Common shares for proceeds of approximately $138,207 , net of underwriting discounts and commissions. On January 28, 2019, a cash dividend of $0.17 per outstanding share of Series A Preferred Stock, or $375 in the aggregate, and $0.16 per outstanding share of Series B Preferred Stock, or $1,045 in the aggregate, was paid to holders of record on January 15, 2019. We have also declared cash dividends of $0.17 and $0.16 per outstanding share of Series A Preferred Stock and Series B Preferred Stock, respectively, payable February 27, 2019 to holders of record on February 15, 2019 and payable March 27, 2019 to holders of record on March 15, 2019. On January 28, 2019, a cash dividend of $0.19 per outstanding common share, or $8,540 in the aggregate, was paid to holders of record on January 15, 2019. We have also declared cash dividends of $0.19 per outstanding common share payable February 15, 2019 to holders of record on February 28, 2019 and payable March 15, 2019 to holders of record on March 27, 2019. On February 13, 2019, the Company's independent directors approved an exchange of the current three subordinated loan agreements with BUCKLER for one new subordinated loan agreement in the amount of $105 |
Quarterly Financial Data (unaud
Quarterly Financial Data (unaudited) | 12 Months Ended |
Dec. 31, 2018 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Data (unaudited) | Note 20 - Quarterly Financial Data (unaudited) The following tables are a comparative breakdown of our unaudited quarterly financial results for the immediately preceding eight quarters. Quarter Ended March 31, June 30, September 30, December 31, Agency Securities, net of amortization of premium and fees $ 52,253 $ 47,809 $ 56,787 $ 61,542 Credit Risk and Non-Agency Securities, including discount accretion 14,006 14,330 14,573 13,518 Interest-Only Securities 442 417 413 395 U.S. Treasury Securities 844 2,805 404 591 BUCKLER Subordinated loans 624 430 457 508 Interest expense- repurchase agreements (32,018 ) (35,706 ) (40,359 ) (46,147 ) Net Interest Income $ 36,151 $ 30,085 $ 32,275 $ 30,407 Realized loss on sale of Agency Securities (reclassified from Other comprehensive income (loss)) (32,603 ) (25,316 ) (31,136 ) (63,895 ) Other than temporary impairment of Agency Securities (12,090 ) — — — Gain (Loss) on Credit Risk and Non-Agency Securities 1,283 (3,234 ) (2,115 ) (23,200 ) Gain (Loss) on Interest-Only Securities 298 (450 ) 210 (1,065 ) Gain (loss) U.S. Treasury Securities 2,576 (8,884 ) (84 ) 27 Realized gain (loss) on derivatives (1) (38,604 ) (14,341 ) 3,739 1,709 Unrealized gain (loss) on derivatives 97,201 45,054 54,169 (147,108 ) Expenses (2) (9,465 ) (9,352 ) (9,354 ) (8,854 ) Net Income (Loss) $ 44,747 $ 13,562 $ 47,704 $ (211,979 ) Dividends declared on preferred stock (4,253 ) (4,259 ) (4,259 ) (4,261 ) Net Income (Loss) available (related) to common stockholders $ 40,494 $ 9,303 $ 43,445 (216,240 ) Net income (loss) available (related) per share to common stockholders – Basic $ 0.97 $ 0.22 $ 1.03 $ (5.07 ) Net income (loss) available (related) per share to common stockholders – Diluted $ 0.96 $ 0.22 $ 1.02 $ (5.07 ) Dividends declared per common share $ 0.57 $ 0.57 $ 0.57 $ 0.57 Weighted average common shares outstanding – Basic 41,887 41,912 42,047 42,656 Weighted average common shares outstanding – Diluted 42,331 42,328 42,435 42,656 Quarter Ended March 31, June 30, September 30, December 31, Agency Securities, net of amortization of premium and fees $ 44,081 $ 44,937 $ 52,292 $ 54,991 Credit Risk and Non-Agency Securities, including discount accretion 13,898 14,514 13,973 13,584 Interest-Only Securities 603 577 516 467 Interest expense- repurchase agreements (18,064 ) (20,516 ) (27,137 ) (28,841 ) Net Interest Income $ 40,518 $ 39,512 $ 39,644 $ 40,201 Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss)) (11,154 ) (460 ) 891 2,237 Other than temporary impairment of Agency Securities — (10,338 ) (72 ) (3,297 ) Gain on Credit Risk and Non-Agency Securities 24,284 30,211 (7,571 ) 18,748 Gain (Loss) on Interest-Only Securities (3,743 ) 1,286 (183 ) (326 ) Realized gain (loss) on derivatives (1) (12,249 ) 9,641 897 (20,964 ) Unrealized gain (loss) on derivatives 23,768 (30,789 ) 2,574 43,719 Expenses (2) (8,706 ) (9,364 ) (8,456 ) (9,305 ) Net Income (Loss) $ 52,718 $ 29,699 $ 27,724 $ 71,013 Dividends declared on preferred stock (3,905 ) (3,905 ) (3,940 ) (4,130 ) Net Income (Loss) available (related) to common stockholders $ 48,813 $ 25,794 $ 23,784 $ 66,883 Net income (loss) available (related) per share to common stockholders – Basic $ 1.33 $ 0.70 $ 0.58 $ 1.60 Net income (loss) available (related) per share to common stockholders – Diluted $ 1.33 $ 0.70 $ 0.58 $ 1.58 Dividends declared per common share $ 0.57 $ 0.57 $ 0.57 $ 0.57 Weighted average common shares outstanding – Basic 36,724 36,782 41,288 41,857 Weighted average common shares outstanding – Diluted 36,748 36,798 41,296 42,329 |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2018 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The accompanying consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the U.S. (“GAAP”). The consolidated financial statements include the accounts of ARMOUR Residential REIT, Inc. and its subsidiaries. All intercompany accounts and transactions have been eliminated. 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 disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying consolidated financial statements include the valuation of MBS (as defined below), including an assessment of whether other-than-temporary impairment (“OTTI”) exists, and derivative instruments. |
Cash | Cash |
Cash Collateral Posted To/By Counterparties | Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents cash posted by us to counterparties or posted by counterparties to us as collateral. Cash collateral posted to/by counterparties may include collateral for interest rate swap contracts (including swaptions and basis swap contracts), |
Credit Risk, Non-Agency, and Interest-only Securities, Trading | Investments in Securities, at Fair Value We generally intend to hold most of our securities for extended periods of time. We may, from time to time, sell any of our securities as part of the overall management of our securities portfolio. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. Purchases and sales of our securities are recorded on the trade date. Agency Securities - At December 31, 2018 and December 31, 2017 , all of our Agency Securities were classified as available for sale securities. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the consolidated statements of comprehensive income (loss). Credit Risk and Non-Agency Securities - At December 31, 2018 and December 31, 2017 , all of our Credit Risk and Non-Agency Securities were classified as trading securities. Credit Risk and Non-Agency Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. Interest-Only Securities - At December 31, 2018 and December 31, 2017 , all of our Interest-Only Securities were classified as trading securities. Interest-Only Securities represent the right to receive a specified proportion of the contractual interest flows of specific Agency MBS. Interest-Only Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. U.S. Treasury Securities - At December 31, 2018 , all of our U.S. Treasury Securities were classified as trading securities and are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the consolidated statements of operations. We did not have any U.S. Treasury Securities at December 31, 2017 • |
Receivables and Payables for Unsettled Sales and Purchases | Receivables and Payables for Unsettled Sales and Purchases We account for purchases and sales of securities on the trade date, including purchases and sales for forward settlement. Receivables and payables for unsettled trades represent the agreed trade price multiplied by the outstanding balance of the securities at the balance sheet date. |
Accrued Interest Receivable and Payable | Accrued Interest Receivable and Payable |
Repurchase Agreements | Repurchase Agreements We finance the acquisition of the majority of our MBS through the use of repurchase agreements. Our repurchase agreements are secured by our MBS and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell MBS to a lender and agree to repurchase the same MBS in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement under which we pledge our MBS as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then prevailing interest rate. The repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. In addition to the repurchase agreement financing discussed above, at certain times we have entered into reverse repurchase agreements with certain of our repurchase agreement counterparties. Under a typical reverse repurchase agreement, we purchase U.S. Treasury Securities from a borrower in exchange for cash and agree to sell the same securities in the future in exchange for a price that is higher than the original purchase price. The difference between the purchase price originally paid and the sale price represents interest received from the borrower. Reverse repurchase agreement receivables and repurchase agreement liabilities are presented net when they meet certain criteria, including being with the same counterparty, being governed by the same master repurchase agreement (“MRA”), settlement through the same brokerage or clearing account and maturing on the same day. We did not have any reverse repurchase agreements outstanding at December 31, 2018 and December 31, 2017 |
Derivatives, at Fair Value | Derivatives, at Fair Value We recognize all derivatives as either assets or liabilities at fair value on our consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our consolidated statements of operations. We designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. These transactions include interest rate swap contracts, interest rate swaptions and basis swap contracts. We also may utilize forward contracts for the purchase or sale of TBA Agency Securities. We account for TBA Agency Securities as derivative instruments if it is reasonably possible that we will not take or make physical delivery of the Agency Security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. We may also purchase and sell TBA Agency Securities as a means of investing in and financing Agency Securities (thereby increasing our “at risk” leverage) or as a means of disposing of or reducing our exposure to Agency Securities (thereby reducing our “at risk” leverage). Pursuant to TBA Agency Securities, we agree to purchase or sell, for future delivery, Agency Securities with certain principal and interest terms and certain types of collateral, but the particular Agency Securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA Agency Security for a later settlement date. This transaction is commonly referred to as a “dollar |
Revenue Recognition | Credit Risk and Non-Agency Securities and Interest-Only Securities - Interest income on Credit Risk and Non-Agency Securities and Interest-Only Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Other than temporary impairments, which establish a new cost basis in the security for purposes of calculating effective yields, are recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. U.S. Treasury Securities - Agency Securities - |
Impairment of Assets | Impairment of Assets: We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities. |
Comprehensive Income (Loss) | Comprehensive Income (Loss) |
Recent Accounting Pronouncements | We consider the applicability and impact of all Accounting Standards Updates issued by the Financial Accounting Standards Board. Those not listed below were deemed to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. In the current year, we adopted Accounting Standards ASU 2016-18 , Statement of Cash Flows (Topic 230) - Restricted Cash which resulted in the presentation of cash collateral posted to counterparties with cash on the consolidated statements of cash flows when reconciling the total beginning and ending amounts. Prior period results have been revised to conform to the current presentation. In June 2018, the Financial Accounting Standards Board issued ASU 2018–07, Improvements to Nonemployee Share–Based Payment Accounting (Topic 718) . The standard largely aligns the accounting for share–based payment awards issued to employees and nonemployees. Equity–classified share–based payment awards issued to nonemployees will be measured on the grant date, instead of being remeasured through the performance completion date (generally the vesting date), as required under the current guidance. The standard is to be applied on a modified retrospective basis through a cumulative–effect adjustment to retained earnings as of the beginning of the fiscal year when adopted. The standard is effective for fiscal years beginning after December 15, 2018 including interim periods within that fiscal year. The cumulative effective adjustment to be recorded upon adoption of the standard in 2019 will not be material to the Company's financial condition or the results of operations. In August 2017, the Financial Accounting Standards Board issued ASU 2017-12, Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities . The standard amends the hedge accounting recognition and presentation requirements in ASC 815. The standard is effective for fiscal years beginning after December 15, 2018 and interim periods therein, however, early adoption is permitted. The Company may apply hedge accounting in the future. In July 2016, the Financial Accounting Standards Board issued ASU 2016-13, Financial Instruments–Credit Losses (Topic 326) |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance, December 31, 2017 Assets at Fair Value: Agency Securities $ — $ 7,478,966 $ — $ 7,478,966 Credit Risk and Non-Agency Securities $ — $ 975,829 $ — $ 975,829 Interest-Only Securities $ — $ 25,752 $ — $ 25,752 Derivatives $ — $ 37,211 $ — $ 37,211 Liabilities at Fair Value: Derivatives $ — $ 7,948 $ — $ 7,948 December 31, 2018 and December 31, 2017 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance, December 31, 2018 Assets at Fair Value: Agency Securities $ — $ 7,051,954 $ — $ 7,051,954 Credit Risk and Non-Agency Securities $ — $ 819,915 $ — $ 819,915 Interest-Only Securities $ — $ 20,623 $ — $ 20,623 U.S. Treasury Securities $ 98,646 $ — $ — $ 98,646 Derivatives $ — $ 111,913 $ — $ 111,913 Liabilities at Fair Value: Derivatives $ — $ 24,505 $ — $ 24,505 |
Carrying Values and Fair Values of Financial Assets and Liabilities | The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at December 31, 2018 and December 31, 2017 . December 31, 2018 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 221,668 $ 221,668 $ 221,668 $ — $ — Cash collateral posted to counterparties $ 10,531 $ 10,531 $ — $ 10,531 $ — Accrued interest receivable $ 22,505 $ 22,505 $ — $ 22,505 $ — Subordinated loans to BUCKLER $ 105,000 $ 105,000 $ — $ 105,000 — Financial Liabilities: Repurchase agreements $ 7,037,651 $ 7,037,651 $ — $ 7,037,651 $ — Cash collateral posted by counterparties $ 97,213 $ 97,213 $ — $ 97,213 $ — Payable for unsettled purchases $ 166,052 $ 166,052 $ — $ 166,052 $ — Accrued interest payable- repurchase agreements $ 10,268 $ 10,268 $ — $ 10,268 $ — December 31, 2017 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 265,232 $ 265,232 $ 265,232 $ — $ — Cash collateral posted to counterparties $ 17,162 $ 17,162 $ — $ 17,162 $ — Accrued interest receivable $ 22,165 $ 22,165 $ — $ 22,165 $ — Subordinated loans to BUCKLER $ 105,000 $ 105,000 $ — $ 105,000 $ — Financial Liabilities: Repurchase agreements $ 7,555,917 $ 7,555,917 $ — $ 7,555,917 $ — Cash collateral posted by counterparties $ 29,593 $ 29,593 $ — $ 29,593 $ — Accrued interest payable- repurchase agreements $ 6,452 $ 6,452 $ — $ 6,452 $ — |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following table provides a summary of the changes in Level 3 assets measured at fair value on a recurring basis at December 31, 2017 and December 31, 2016 . We did not have any Level 3 assets during the year ended December 31, 2018 . For the Year Ended Credit Risk and Non-Agency Securities December 31, 2017 December 31, 2016 Balance, beginning of year (1) $ 1,052,170 $ — Credit Risk and Non-Agency Securities acquired in the acquisition of JAVELIN, at fair value — 223,220 Purchases of Credit Risk and Non-Agency Securities, at cost 8,224 882,588 Principal repayments of Credit Risk and Non-Agency Securities (135,617 ) (53,033 ) Proceeds from the sale of Credit Risk and Non-Agency Securities (8,372 ) (61,843 ) Gain on Credit Risk and Non-Agency Securities 46,924 59,120 Accretion of net discount on Credit Risk and Non-Agency Securities 3,187 2,118 Level 3 transferred to Level 2 (966,516 ) — Balance, end of year $ — $ 1,052,170 Gain on Credit Risk and Non-Agency Securities $ 54,495 $ 59,120 |
Agency Securities (Tables)
Agency Securities (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Available-for-sale Securities in an Unrealized Gain or Loss Position | At December 31, 2017 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2017 are also presented below. Our Agency Securities had a weighted average coupon of 3.68% at December 31, 2017 . December 31, 2017 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 28,199 $ (229 ) $ 112 $ 28,082 0.38 % Multi-Family MBS 1,799,737 (5,132 ) 16,950 1,811,555 24.22 10 Year Fixed 60,634 (347 ) 137 60,424 0.81 15 Year Fixed 1,028,797 (4,955 ) 625 1,024,467 13.70 20 Year Fixed 29,832 (621 ) — 29,211 0.39 25 Year Fixed 9,367 (140 ) — 9,227 0.12 30 Year Fixed 2,938,655 (18,910 ) 431 2,920,176 39.05 Total Fannie Mae $ 5,895,221 $ (30,334 ) $ 18,255 $ 5,883,142 78.67 % Freddie Mac 10 Year Fixed 37,254 (158 ) 228 37,324 0.50 15 Year Fixed 354,878 (211 ) 787 355,454 4.75 25 Year Fixed 41,383 (857 ) — 40,526 0.54 30 Year Fixed 1,131,584 (7,300 ) — 1,124,284 15.03 Total Freddie Mac $ 1,565,099 $ (8,526 ) $ 1,015 $ 1,557,588 20.82 % Ginnie Mae ARMs & Hybrids 38,494 (532 ) 4 37,966 0.51 10 Year Fixed 263 — 7 270 0.00 Total Ginnie Mae $ 38,757 $ (532 ) $ 11 $ 38,236 0.51 % Total Agency Securities $ 7,499,077 $ (39,392 ) $ 19,281 $ 7,478,966 100.00 % December 31, 2018 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2018 are also presented below. Our Agency Securities had a weighted average coupon of 3.94% at December 31, 2018 . December 31, 2018 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 19,929 $ (249 ) $ 73 $ 19,753 0.28 % Multi-Family MBS 1,710,346 (17,128 ) 9,345 1,702,563 24.14 10 Year Fixed 115,654 (292 ) 129 115,491 1.64 15 Year Fixed 684,678 (388 ) 3,864 688,154 9.76 20 Year Fixed 3,734 (156 ) — 3,578 0.05 30 Year Fixed 2,803,125 (28,545 ) 3,349 2,777,929 39.39 Total Fannie Mae $ 5,337,466 $ (46,758 ) $ 16,760 $ 5,307,468 75.26 % Freddie Mac 10 Year Fixed 9,515 (68 ) — 9,447 0.13 15 Year Fixed 70,164 (272 ) 157 70,049 0.99 25 Year Fixed 37,939 (1,668 ) — 36,271 0.51 30 Year Fixed 1,299,695 (11,807 ) 500 1,288,388 18.28 Total Freddie Mac $ 1,417,313 $ (13,815 ) $ 657 $ 1,404,155 19.91 % Ginnie Mae ARMs & Hybrids 30,708 (466 ) 1 30,243 0.43 10 Year Fixed 231 (1 ) — 230 0.00 30 Year Fixed 310,106 (255 ) 7 309,858 4.40 Total Ginnie Mae $ 341,045 $ (722 ) $ 8 $ 340,331 4.83 % Total Agency Securities $ 7,095,824 $ (61,295 ) $ 17,425 $ 7,051,954 100.00 % December 31, 2018 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 98,646 $ (57 ) $ — $ — $ 98,646 $ (57 ) |
Investments Classified by Contractual Maturity Date | The following table summarizes the weighted average lives of our Agency Securities at December 31, 2018 and December 31, 2017 . December 31, 2018 December 31, 2017 Weighted Average Life of all Agency Securities Fair Value Amortized Fair Value Amortized Less than one year $ 75 $ 77 $ — $ — Greater than or equal to one year and less than three years 25,841 26,264 29,126 29,269 Greater than or equal to three years and less than five years 1,334,663 1,331,577 1,353,036 1,353,998 Greater than or equal to five years 5,691,375 5,737,906 6,096,804 6,115,810 Total Agency Securities $ 7,051,954 $ 7,095,824 $ 7,478,966 $ 7,499,077 December 31, 2018 and December 31, 2017 . December 31, 2018 December 31, 2017 Weighted Average Life of all Credit Risk and Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Greater than or equal to three years and less than five years $ 188,063 $ 169,692 $ 169,189 $ 149,436 Greater than or equal to five years 631,852 567,139 806,640 699,158 Total Credit Risk and Non-Agency Securities $ 819,915 $ 736,831 $ 975,829 $ 848,594 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 2,651,518 $ (18,135 ) $ 1,197,533 $ (43,160 ) $ 3,849,051 $ (61,295 ) December 31, 2017 $ 4,355,924 $ (28,906 ) $ 733,637 $ (10,486 ) $ 5,089,561 $ (39,392 ) |
Credit Risk and Non-Agency Se_2
Credit Risk and Non-Agency Securities (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Debt and Equity Securities, FV-NI [Line Items] | |
Carrying Value of Non-Agency Securities | The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2018 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2018 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 729,983 $ 653,681 $ 661,181 6.92 % Legacy Prime Fixed 13,394 12,698 16,051 6.02 % Legacy ALT-A Fixed 46,853 42,534 58,730 5.84 % Legacy Prime Hybrid 8,623 7,987 9,479 3.62 % Legacy ALT-A Hybrid 3,724 3,164 3,967 4.06 % New Issue Prime Fixed 17,338 16,767 17,714 3.69 % Total Credit Risk and Non-Agency Securities $ 819,915 $ 736,831 $ 767,122 6.73 % The components of the carrying value of our Credit Risk and Non-Agency Securities at December 31, 2017 are presented in the table below. Credit Risk and Non-Agency Securities December 31, 2017 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 870,494 $ 753,422 $ 764,172 6.05 % Legacy Prime Fixed 16,778 15,287 19,237 6.03 % Legacy ALT-A Fixed 54,727 48,516 65,920 5.85 % Legacy Prime Hybrid 10,469 9,517 11,452 3.17 % Legacy ALT-A Hybrid 4,660 3,895 4,901 3.47 % New Issue Prime Fixed 18,701 17,957 19,025 3.69 % Total Credit Risk and Non-Agency Securities $ 975,829 $ 848,594 $ 884,707 5.95 % |
Investments Classified by Contractual Maturity Date | The following table summarizes the weighted average lives of our Agency Securities at December 31, 2018 and December 31, 2017 . December 31, 2018 December 31, 2017 Weighted Average Life of all Agency Securities Fair Value Amortized Fair Value Amortized Less than one year $ 75 $ 77 $ — $ — Greater than or equal to one year and less than three years 25,841 26,264 29,126 29,269 Greater than or equal to three years and less than five years 1,334,663 1,331,577 1,353,036 1,353,998 Greater than or equal to five years 5,691,375 5,737,906 6,096,804 6,115,810 Total Agency Securities $ 7,051,954 $ 7,095,824 $ 7,478,966 $ 7,499,077 December 31, 2018 and December 31, 2017 . December 31, 2018 December 31, 2017 Weighted Average Life of all Credit Risk and Non-Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Greater than or equal to three years and less than five years $ 188,063 $ 169,692 $ 169,189 $ 149,436 Greater than or equal to five years 631,852 567,139 806,640 699,158 Total Credit Risk and Non-Agency Securities $ 819,915 $ 736,831 $ 975,829 $ 848,594 |
Continuous Unrealized Loss Position, Non-Agency Securities | The following table presents the unrealized losses and estimated fair value of our Credit Risk and Non-Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 and December 31, 2017 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total As of Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 1,860 $ (13 ) $ — $ — $ 1,860 $ (13 ) December 31, 2017 $ — $ — $ — $ — $ — $ — |
U.S. Treasury Securities (Table
U.S. Treasury Securities (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Unrealized Gain (Loss) on Investments | The components of the carrying value of our U.S. Treasury Securities at December 31, 2018 are also presented below. Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value U.S. Treasury Securities $ 98,703 $ (57 ) $ — $ 98,646 |
Available-for-sale Securities in an Unrealized Gain or Loss Position | At December 31, 2017 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2017 are also presented below. Our Agency Securities had a weighted average coupon of 3.68% at December 31, 2017 . December 31, 2017 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 28,199 $ (229 ) $ 112 $ 28,082 0.38 % Multi-Family MBS 1,799,737 (5,132 ) 16,950 1,811,555 24.22 10 Year Fixed 60,634 (347 ) 137 60,424 0.81 15 Year Fixed 1,028,797 (4,955 ) 625 1,024,467 13.70 20 Year Fixed 29,832 (621 ) — 29,211 0.39 25 Year Fixed 9,367 (140 ) — 9,227 0.12 30 Year Fixed 2,938,655 (18,910 ) 431 2,920,176 39.05 Total Fannie Mae $ 5,895,221 $ (30,334 ) $ 18,255 $ 5,883,142 78.67 % Freddie Mac 10 Year Fixed 37,254 (158 ) 228 37,324 0.50 15 Year Fixed 354,878 (211 ) 787 355,454 4.75 25 Year Fixed 41,383 (857 ) — 40,526 0.54 30 Year Fixed 1,131,584 (7,300 ) — 1,124,284 15.03 Total Freddie Mac $ 1,565,099 $ (8,526 ) $ 1,015 $ 1,557,588 20.82 % Ginnie Mae ARMs & Hybrids 38,494 (532 ) 4 37,966 0.51 10 Year Fixed 263 — 7 270 0.00 Total Ginnie Mae $ 38,757 $ (532 ) $ 11 $ 38,236 0.51 % Total Agency Securities $ 7,499,077 $ (39,392 ) $ 19,281 $ 7,478,966 100.00 % December 31, 2018 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2018 are also presented below. Our Agency Securities had a weighted average coupon of 3.94% at December 31, 2018 . December 31, 2018 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 19,929 $ (249 ) $ 73 $ 19,753 0.28 % Multi-Family MBS 1,710,346 (17,128 ) 9,345 1,702,563 24.14 10 Year Fixed 115,654 (292 ) 129 115,491 1.64 15 Year Fixed 684,678 (388 ) 3,864 688,154 9.76 20 Year Fixed 3,734 (156 ) — 3,578 0.05 30 Year Fixed 2,803,125 (28,545 ) 3,349 2,777,929 39.39 Total Fannie Mae $ 5,337,466 $ (46,758 ) $ 16,760 $ 5,307,468 75.26 % Freddie Mac 10 Year Fixed 9,515 (68 ) — 9,447 0.13 15 Year Fixed 70,164 (272 ) 157 70,049 0.99 25 Year Fixed 37,939 (1,668 ) — 36,271 0.51 30 Year Fixed 1,299,695 (11,807 ) 500 1,288,388 18.28 Total Freddie Mac $ 1,417,313 $ (13,815 ) $ 657 $ 1,404,155 19.91 % Ginnie Mae ARMs & Hybrids 30,708 (466 ) 1 30,243 0.43 10 Year Fixed 231 (1 ) — 230 0.00 30 Year Fixed 310,106 (255 ) 7 309,858 4.40 Total Ginnie Mae $ 341,045 $ (722 ) $ 8 $ 340,331 4.83 % Total Agency Securities $ 7,095,824 $ (61,295 ) $ 17,425 $ 7,051,954 100.00 % December 31, 2018 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses December 31, 2018 $ 98,646 $ (57 ) $ — $ — $ 98,646 $ (57 ) |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements | December 31, 2018 December 31, 2017 Maturing or Repricing Repurchase Agreements Weighted Average Contractual Rate Repurchase Agreements Weighted Average Contractual Rate Within 30 days $ 5,793,973 3.05 % $ 1,738,768 2.08 % 31 days to 60 days 1,243,678 2.60 % 2,394,450 1.59 % 61 days to 90 days — 0.00 % 3,422,699 1.61 % Greater than 90 days — 0.00 % — 0.00 % Total or Weighted Average $ 7,037,651 2.97 % $ 7,555,917 1.71 % December 31, 2018 and December 31, 2017 . No amounts below are subject to offsetting. December 31, 2018 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 6,456,823 2.95 % 14 4.22 % Credit Risk and Non-Agency Securities 580,828 3.23 % 14 17.79 % Total or Weighted Average $ 7,037,651 2.97 % 14 5.48 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. December 31, 2017 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 6,793,481 1.60 % 55 4.29 % Credit Risk and Non-Agency Securities 762,436 2.67 % 15 21.68 % Total or Weighted Average $ 7,555,917 1.71 % 51 6.39 % |
Derivatives (Tables)
Derivatives (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments | The following tables present information about our derivatives at December 31, 2018 and December 31, 2017 . December 31, 2018 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 0-12 Months 11 1.21 % $ 550,000 $ 6,620 $ — Interest rate swap contracts 13-24 Months 18 1.48 % 675,000 11,136 — Interest rate swap contracts 25-36 Months 25 2.06 % 1,000,000 5,568 — Interest rate swap contracts 49-60 Months 54 1.95 % 1,725,000 32,723 — Interest rate swap contracts 61-72 Months 67 1.89 % 575,000 12,009 — Interest rate swap contracts 73-84 Months 73 2.33 % 350,000 — (1,709 ) Interest rate swap contracts 85-96 Months 95 1.93 % 1,050,000 32,240 — Interest rate swap contracts 97-108 Months 102 2.10 % 375,000 7,381 — Interest rate swap contracts 109-120 Months 114 2.62 % 1,050,000 — (22,796 ) TBA Agency Securities (2) 0-60 Months n/a n/a 900,000 4,236 — Total or Weighted Average $ 8,250,000 $ 111,913 $ (24,505 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. (2) Implied cost basis of $929,184 and implied market value of $933,420 . December 31, 2017 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount (3) Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 0-12 Months 5 0.92 % $ 50,000 $ 191 $ — Interest rate swap contracts 13-24 Months 23 1.21 % 550,000 6,398 — Interest rate swap contracts 25-36 Months 30 1.48 % 675,000 5,495 — Interest rate swap contracts 61-72 Months 65 1.97 % 1,975,000 11,624 (250 ) Interest rate swap contracts 73-84 Months 79 1.89 % 575,000 3,306 (1,885 ) Interest rate swap contracts 97-108 Months 107 1.93 % 1,050,000 9,263 (10 ) Interest rate swap contracts 109-120 Months 114 2.10 % 375,000 — (3,545 ) TBA Agency Securities (2) 0-60 Months n/a n/a 1,600,000 934 (2,258 ) Total or Weighted Average $ 6,850,000 $ 37,211 $ (7,948 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. (2) Implied cost basis of $1,674,438 and implied market value of $1,673,113 . |
Offsetting Assets | The following tables present information about interest rate swap contracts and Agency Securities TBA and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying consolidated balance sheet at December 31, 2018 . December 31, 2018 Gross Amounts Not Offset in the Consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ 107,677 $ (24,505 ) $ (82,838 ) $ 334 TBA Agency Securities 4,236 — (2,593 ) 1,643 Totals $ 111,913 $ (24,505 ) $ (85,431 ) $ 1,977 December 31, 2017 . December 31, 2017 Gross Amounts Not Offset in the Consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ 36,277 $ (5,690 ) $ (22,689 ) $ 7,898 TBA Agency Securities 934 (2,258 ) 8,068 6,744 Totals $ 37,211 $ (7,948 ) $ (14,621 ) $ 14,642 |
Offsetting Liabilities | December 31, 2017 Gross Amounts Not Offset in the Consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (5,690 ) $ 5,690 $ — $ — TBA Agency Securities (2,258 ) 2,258 — — Totals $ (7,948 ) $ 7,948 $ — $ — December 31, 2018 Gross Amounts Not Offset in the Consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (24,505 ) $ 24,505 $ — $ — TBA Agency Securities — — — — Totals $ (24,505 ) $ 24,505 $ — $ — |
Derivative Instruments, Gain (Loss) | The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying consolidated statements of operations for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . Income (Loss) Recognized For the Years Ended Derivatives Location on consolidated statements of operations December 31, 2018 December 31, 2017 December 31, 2016 Interest rate swap contracts: Realized gain (loss) Realized loss on derivatives $ 2,655 $ 990 $ (370,192 ) Interest income Realized loss on derivatives 124,714 50,464 25,270 Interest expense Realized loss on derivatives (124,241 ) (83,797 ) (90,978 ) Changes in fair value Unrealized gain on derivatives 43,755 39,388 208,082 $ 46,883 $ 7,045 $ (227,818 ) Basis swap contracts: Realized gain Realized loss on derivatives — — 1,468 Interest income Realized loss on derivatives — — 2,617 Interest expense Realized loss on derivatives — — (3,116 ) Changes in fair value Unrealized gain on derivatives — — (661 ) $ — $ — $ 308 TBA Agency Securities: Realized gain (loss) Realized loss on derivatives (50,625 ) 9,668 (17,467 ) Changes in fair value Unrealized gain on derivatives 5,561 (116 ) (1,209 ) $ (45,064 ) $ 9,552 $ (18,676 ) Totals $ 1,819 $ 16,597 $ (246,186 ) |
Stock Based Compensation (Table
Stock Based Compensation (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Schedule of Nonvested Restricted Stock Units Activity | Transactions related to awards for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 are summarized below: December 31, 2018 December 31, 2017 December 31, 2016 Number of Awards Weighted Average Fair Value per Award Number of Awards Weighted Average Number of Awards Weighted Average Unvested RSU Awards Outstanding beginning of period 472 $ 24.82 32 $ 39.80 78 $ 48.85 Granted — $ — 472 $ 24.82 — $ — Vested (112 ) $ 22.70 (32 ) $ 39.80 (46 ) $ 56.14 Unvested RSU Awards Outstanding end of period 360 $ 21.11 472 $ 24.82 32 $ 39.80 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Equity [Abstract] | |
Schedule of Stock Issuances | The following tables present our equity transactions for the years ended December 31, 2018 and December 31, 2017 . We did not have equity raising transactions for the year ended December 31, 2016 . December 31, 2018 Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds Series B Preferred equity distribution agreement January 2, 2018-January 26, 2018 107 $ 24.62 $ 2,632 DRIP August 21, 2018-December 10, 2018 840 $ 22.61 $ 19,001 Common stock ATM Sales Agreement December 11, 2018-December 19, 2018 883 $ 21.53 $ 19,013 (1) Weighted average price December 31, 2017 Transaction Type Completion Date Number of Shares Per Share price (1) Net Proceeds Series B Preferred ATM Sales Agreement August 31, 2017-December 30, 2017 612 $ 24.44 $ 14,968 Common stock follow-on public offering June 30, 2017 4,500 $ 25.96 $ 116,693 DRIP September 12, 2017-October 6, 2017 619 $ 26.44 $ 16,500 (1) |
Dividends Transactions | The following tables present our common stock dividend transactions for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . December 31, 2018 Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 16, 2018 January 29, 2018 $ 0.19 $ 8,046 February 15, 2018 February 27, 2018 $ 0.19 8,046 March 15, 2018 March 28, 2018 $ 0.19 8,045 April 13, 2018 April 27, 2018 $ 0.19 8,046 May 15, 2018 May 30, 2018 $ 0.19 8,046 June 15, 2018 June 28, 2018 $ 0.19 8,045 July 16, 2018 July 27, 2018 $ 0.19 8,045 August 15, 2018 August 28, 2018 $ 0.19 8,045 September 17, 2018 September 27, 2018 $ 0.19 8,117 October 15, 2018 October 29, 2018 $ 0.19 8,118 November 15, 2018 November 27, 2018 $ 0.19 8,118 December 17, 2018 December 27, 2018 $ 0.19 8,307 Total dividends paid $ 97,024 December 31, 2017 Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 17, 2017 January 30, 2017 $ 0.19 $ 6,984 February 15, 2017 February 27, 2017 $ 0.19 6,984 March 15, 2017 March 30, 2017 $ 0.19 6,983 April 17, 2017 April 28, 2017 $ 0.19 6,984 May 15, 2017 May 30, 2017 $ 0.19 6,984 June 15, 2017 June 29, 2017 $ 0.19 6,983 July 17, 2017 July 27, 2017 $ 0.19 7,839 August 15, 2017 August 28, 2017 $ 0.19 7,839 September 15, 2017 September 28, 2017 $ 0.19 7,870 October 16, 2017 October 27, 2017 $ 0.19 7,956 November 15, 2017 November 27, 2017 $ 0.19 7,957 December 15, 2017 December 28, 2017 $ 0.19 8,046 Total dividends paid $ 89,409 December 31, 2016 Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.33 $ 12,131 February 13, 2016 February 26, 2016 $ 0.33 12,131 March 13, 2016 March 28, 2016 $ 0.33 12,131 April 15, 2016 April 27, 2016 $ 0.27 9,925 May 16, 2016 May 27, 2016 $ 0.22 8,087 June 15, 2016 June 29, 2016 $ 0.22 8,087 July 15, 2016 July 27, 2016 $ 0.22 8,087 August 15, 2016 August 29, 2016 $ 0.22 8,087 September 15, 2016 September 27, 2016 $ 0.22 8,087 October 14, 2016 October 27, 2016 $ 0.22 8,086 November 15, 2016 November 29, 2016 $ 0.22 8,086 December 16, 2016 December 27, 2016 $ 0.22 8,086 Total dividends paid $ 111,011 The following tables present our Series A Preferred Stock dividend transactions for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . December 31, 2018 Record Date Payment Date Rate per Series A Preferred Share Aggregate amount paid to holders of record January 15, 2018 January 29, 2018 $ 0.17 $ 374.8 February 15, 2018 February 27, 2018 $ 0.17 374.8 March 15, 2018 March 27, 2018 $ 0.17 374.8 April 15, 2018 April 27, 2018 $ 0.17 374.8 May 15, 2018 May 29, 2018 $ 0.17 374.8 June 15, 2018 June 27, 2018 $ 0.17 374.8 July 15, 2018 July 27, 2018 $ 0.17 374.8 August 15, 2018 August 27, 2018 $ 0.17 374.8 September 15, 2018 September 27, 2018 $ 0.17 374.8 October 15, 2018 October 29, 2018 $ 0.17 374.8 November 15, 2018 November 27, 2018 $ 0.17 374.8 December 15, 2018 December 27, 2018 $ 0.17 374.8 Total dividends paid $ 4,498 December 31, 2017 Record Date Payment Date Rate per Series A Preferred Share Aggregate amount paid to holders of record January 15, 2017 January 27, 2017 $ 0.17 $ 374.8 February 15, 2017 February 27, 2017 $ 0.17 374.8 March 15, 2017 March 27, 2017 $ 0.17 374.8 April 15, 2017 April 27, 2017 $ 0.17 374.8 May 15, 2017 May 30, 2017 $ 0.17 374.8 June 15, 2017 June 27, 2017 $ 0.17 374.8 July 15, 2017 July 27, 2017 $ 0.17 374.8 August 15, 2017 August 28, 2017 $ 0.17 374.8 September 15, 2017 September 27, 2017 $ 0.17 374.8 October 15, 2017 October 27, 2017 $ 0.17 374.8 November 15, 2017 November 27, 2017 $ 0.17 374.8 December 15, 2017 December 27, 2017 $ 0.17 374.8 Total dividends paid $ 4,498 December 31, 2016 Record Date Payment Date Rate per Series A Preferred Share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.17 $ 374.8 February 15, 2016 February 26, 2016 $ 0.17 374.8 March 15, 2016 March 28, 2016 $ 0.17 374.8 April 15, 2016 April 27, 2016 $ 0.17 374.8 May 15, 2016 May 27, 2016 $ 0.17 374.8 June 15, 2016 June 29, 2016 $ 0.17 374.8 July 15, 2016 July 27, 2016 $ 0.17 374.8 August 15, 2016 August 29, 2016 $ 0.17 374.8 September 15, 2016 September 27, 2016 $ 0.17 374.8 October 15, 2016 October 27, 2016 $ 0.17 374.8 November 15, 2016 November 27, 2016 $ 0.17 374.8 December 15, 2016 December 28, 2016 $ 0.17 374.8 Total dividends paid $ 4,498 The following tables present our Series B Preferred Stock dividend transactions for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . December 31, 2018 Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2018 January 29, 2018 $ 0.16 $ 1,039 February 15, 2018 February 27, 2018 $ 0.16 1,045 March 15, 2018 March 27, 2018 $ 0.16 1,045 April 15, 2018 April 27, 2018 $ 0.16 1,045 May 15, 2018 May 29, 2018 $ 0.16 1,045 June 15, 2018 June 27, 2018 $ 0.16 1,045 July 15, 2018 July 27, 2018 $ 0.16 1,045 August 15, 2018 August 27, 2018 $ 0.16 1,045 September 15, 2018 September 27, 2018 $ 0.16 1,045 October 15, 2018 October 29, 2018 $ 0.16 1,045 November 15, 2018 November 27, 2018 $ 0.16 1,045 December 15, 2018 December 27, 2018 $ 0.16 1,045 Total dividends paid $ 12,534 December 31, 2017 Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2017 January 27, 2017 $ 0.16 $ 927 February 15, 2017 February 27, 2017 $ 0.16 927 March 15, 2017 March 27, 2017 $ 0.16 927 April 15, 2017 April 27, 2017 $ 0.16 927 May 15, 2017 May 30, 2017 $ 0.16 927 June 15, 2017 June 27, 2017 $ 0.16 927 July 15, 2017 July 27, 2017 $ 0.16 927 August 15, 2017 August 28, 2017 $ 0.16 927 September 15, 2017 September 27, 2017 $ 0.16 962 October 15, 2017 October 27, 2017 $ 0.16 987 November 15, 2017 November 27, 2017 $ 0.16 998 December 15, 2017 December 27, 2017 $ 0.16 1,019 Total dividends paid $ 11,382 December 31, 2016 Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.16 $ 927 February 15, 2016 February 26, 2016 $ 0.16 927 March 15, 2016 March 28, 2016 $ 0.16 927 April 15, 2016 April 27, 2016 $ 0.16 927 May 15, 2016 May 27, 2016 $ 0.16 927 June 15, 2016 June 29, 2016 $ 0.16 927 July 15, 2016 July 27, 2016 $ 0.16 927 August 15, 2016 August 29, 2016 $ 0.16 927 September 15, 2016 September 27, 2016 $ 0.16 927 October 15, 2016 October 27, 2006 $ 0.16 927 November 15, 2016 November 27, 2016 $ 0.16 927 December 15, 2016 December 28, 2016 $ 0.16 927 Total dividends paid $ 11,124 |
Net Income per Common Share (Ta
Net Income per Common Share (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Earnings Per Share [Abstract] | |
Schedule of Weighted Average Number of Shares | The following table presents a reconciliation of net income (loss) and the shares used in calculating weighted average basic and diluted earnings per common share for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . For the Years Ended December 31, 2018 December 31, 2017 December 31, 2016 Net Income (Loss) $ (105,966 ) $ 181,154 $ (45,517 ) Less: Preferred dividends (17,032 ) (15,880 ) (15,622 ) Net Income (Loss) available (related) to common stockholders $ (122,998 ) $ 165,274 $ (61,139 ) Weighted average common shares outstanding – basic 42,128 39,170 36,698 Add: Effect of dilutive non-vested awards, assumed vested — 472 — Weighted average common shares outstanding – diluted 42,128 39,642 36,698 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Schedule of Effective Income Tax Rate Reconciliation | The following table reconciles our GAAP net income (loss) to estimated REIT taxable income for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 . For the Years Ended December 31, 2018 December 31, 2017 December 31, 2016 GAAP net income (loss) $ (105,966 ) $ 181,154 $ (45,517 ) Book to tax differences: TRS income (265 ) — — Premium amortization expense (1,132 ) (468 ) — Credit Risk and Non-Agency Securities 26,509 (68,505 ) (60,914 ) Interest-Only Securities 318 1,216 (7,818 ) U.S. Treasury Securities 6,365 — — Changes in interest rate contracts (1,346 ) (49,930 ) 179,979 Losses on Sales of Agency Securities 152,950 8,486 18,211 Other than temporary loss on Agency Securities 12,090 13,707 6,540 Amortization of deferred hedging costs (56,378 ) (59,930 ) (47,952 ) Bargain purchase price on acquisition of JAVELIN — — (6,484 ) Other 16 15 19 Estimated taxable income $ 33,161 $ 25,745 $ 36,064 |
Schedule of Tax Credit Carryforwards | Net capital losses realized Amount Available to offset capital gains though 2014 (341,850 ) 2019 2015 (5,182 ) 2020 2016 (31,204 ) 2021 2017 (7,375 ) 2022 2018 (166,008 ) 2023 |
Acquisition of JAVELIN Mortga_2
Acquisition of JAVELIN Mortgage Investment Corp. (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Business Combinations [Abstract] | |
Schedule of Recognized Identified Assets Acquired and Liabilities Assumed | The following table summarizes the consideration paid for JAVELIN and the amounts of the assets acquired and liabilities assumed recognized at the acquisition date, as well as the fair value at the acquisition date (amounts in millions): Consideration: Cash $ 85.2 Fair value of consideration transferred $ 85.2 Acquisition related costs (included in professional fees and other expenses) $ 2.5 Recognized amounts of identifiable assets acquired and liabilities assumed: Cash $ 12.0 Cash collateral 24.6 Agency Securities 440.7 Credit Risk and Non-Agency Securities 223.2 Accrued interest receivable 1.4 Prepaid and other assets 5.4 Repurchase agreements (589.6 ) Derivatives (17.5 ) Accrued interest payable (0.9 ) Accounts payable and other accrued expenses (7.6 ) Total identifiable net assets $ 91.7 Bargain purchase price (6.5 ) Total $ 85.2 |
Quarterly Financial Data (una_2
Quarterly Financial Data (unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of Quarterly Financial Information | The following tables are a comparative breakdown of our unaudited quarterly financial results for the immediately preceding eight quarters. Quarter Ended March 31, June 30, September 30, December 31, Agency Securities, net of amortization of premium and fees $ 52,253 $ 47,809 $ 56,787 $ 61,542 Credit Risk and Non-Agency Securities, including discount accretion 14,006 14,330 14,573 13,518 Interest-Only Securities 442 417 413 395 U.S. Treasury Securities 844 2,805 404 591 BUCKLER Subordinated loans 624 430 457 508 Interest expense- repurchase agreements (32,018 ) (35,706 ) (40,359 ) (46,147 ) Net Interest Income $ 36,151 $ 30,085 $ 32,275 $ 30,407 Realized loss on sale of Agency Securities (reclassified from Other comprehensive income (loss)) (32,603 ) (25,316 ) (31,136 ) (63,895 ) Other than temporary impairment of Agency Securities (12,090 ) — — — Gain (Loss) on Credit Risk and Non-Agency Securities 1,283 (3,234 ) (2,115 ) (23,200 ) Gain (Loss) on Interest-Only Securities 298 (450 ) 210 (1,065 ) Gain (loss) U.S. Treasury Securities 2,576 (8,884 ) (84 ) 27 Realized gain (loss) on derivatives (1) (38,604 ) (14,341 ) 3,739 1,709 Unrealized gain (loss) on derivatives 97,201 45,054 54,169 (147,108 ) Expenses (2) (9,465 ) (9,352 ) (9,354 ) (8,854 ) Net Income (Loss) $ 44,747 $ 13,562 $ 47,704 $ (211,979 ) Dividends declared on preferred stock (4,253 ) (4,259 ) (4,259 ) (4,261 ) Net Income (Loss) available (related) to common stockholders $ 40,494 $ 9,303 $ 43,445 (216,240 ) Net income (loss) available (related) per share to common stockholders – Basic $ 0.97 $ 0.22 $ 1.03 $ (5.07 ) Net income (loss) available (related) per share to common stockholders – Diluted $ 0.96 $ 0.22 $ 1.02 $ (5.07 ) Dividends declared per common share $ 0.57 $ 0.57 $ 0.57 $ 0.57 Weighted average common shares outstanding – Basic 41,887 41,912 42,047 42,656 Weighted average common shares outstanding – Diluted 42,331 42,328 42,435 42,656 Quarter Ended March 31, June 30, September 30, December 31, Agency Securities, net of amortization of premium and fees $ 44,081 $ 44,937 $ 52,292 $ 54,991 Credit Risk and Non-Agency Securities, including discount accretion 13,898 14,514 13,973 13,584 Interest-Only Securities 603 577 516 467 Interest expense- repurchase agreements (18,064 ) (20,516 ) (27,137 ) (28,841 ) Net Interest Income $ 40,518 $ 39,512 $ 39,644 $ 40,201 Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss)) (11,154 ) (460 ) 891 2,237 Other than temporary impairment of Agency Securities — (10,338 ) (72 ) (3,297 ) Gain on Credit Risk and Non-Agency Securities 24,284 30,211 (7,571 ) 18,748 Gain (Loss) on Interest-Only Securities (3,743 ) 1,286 (183 ) (326 ) Realized gain (loss) on derivatives (1) (12,249 ) 9,641 897 (20,964 ) Unrealized gain (loss) on derivatives 23,768 (30,789 ) 2,574 43,719 Expenses (2) (8,706 ) (9,364 ) (8,456 ) (9,305 ) Net Income (Loss) $ 52,718 $ 29,699 $ 27,724 $ 71,013 Dividends declared on preferred stock (3,905 ) (3,905 ) (3,940 ) (4,130 ) Net Income (Loss) available (related) to common stockholders $ 48,813 $ 25,794 $ 23,784 $ 66,883 Net income (loss) available (related) per share to common stockholders – Basic $ 1.33 $ 0.70 $ 0.58 $ 1.60 Net income (loss) available (related) per share to common stockholders – Diluted $ 1.33 $ 0.70 $ 0.58 $ 1.58 Dividends declared per common share $ 0.57 $ 0.57 $ 0.57 $ 0.57 Weighted average common shares outstanding – Basic 36,724 36,782 41,288 41,857 Weighted average common shares outstanding – Diluted 36,748 36,798 41,296 42,329 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Additional Information (Details) | 12 Months Ended |
Dec. 31, 2018dealer | |
Fair Value Disclosures [Abstract] | |
Trading securities, number of dealers | 3 |
Number of dealers received quotes from | 3 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Assets at Fair Value: | ||
Agency Securities | $ 7,051,954 | $ 7,478,966 |
Derivatives, at fair value | 111,913 | 37,211 |
Liabilities at Fair Value: | ||
Derivatives, at fair value | 24,505 | 7,948 |
Fair Value, Measurements, Recurring | ||
Assets at Fair Value: | ||
Agency Securities | 7,051,954 | 7,478,966 |
Derivatives, at fair value | 111,913 | 37,211 |
Liabilities at Fair Value: | ||
Derivatives, at fair value | 24,505 | 7,948 |
Fair Value, Measurements, Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Assets at Fair Value: | ||
Agency Securities | 0 | 0 |
Derivatives, at fair value | 0 | 0 |
Liabilities at Fair Value: | ||
Derivatives, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Significant Observable Inputs (Level 2) | ||
Assets at Fair Value: | ||
Agency Securities | 7,051,954 | 7,478,966 |
Derivatives, at fair value | 111,913 | 37,211 |
Liabilities at Fair Value: | ||
Derivatives, at fair value | 24,505 | 7,948 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
Assets at Fair Value: | ||
Agency Securities | 0 | 0 |
Derivatives, at fair value | 0 | 0 |
Liabilities at Fair Value: | ||
Derivatives, at fair value | 0 | 0 |
Credit Risk and Non-Agency Securities | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 819,915 | 975,829 |
Credit Risk and Non-Agency Securities | Fair Value, Measurements, Recurring | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 819,915 | 975,829 |
Credit Risk and Non-Agency Securities | Fair Value, Measurements, Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 0 | 0 |
Credit Risk and Non-Agency Securities | Fair Value, Measurements, Recurring | Significant Observable Inputs (Level 2) | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 819,915 | 975,829 |
Credit Risk and Non-Agency Securities | Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 0 | 0 |
Interest-Only Securities | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 20,623 | 25,752 |
Interest-Only Securities | Fair Value, Measurements, Recurring | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 20,623 | 25,752 |
Interest-Only Securities | Fair Value, Measurements, Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 0 | 0 |
Interest-Only Securities | Fair Value, Measurements, Recurring | Significant Observable Inputs (Level 2) | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 20,623 | 25,752 |
Interest-Only Securities | Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 0 | 0 |
US Treasury Securities | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 98,646 | $ 0 |
US Treasury Securities | Fair Value, Measurements, Recurring | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 98,646 | |
US Treasury Securities | Fair Value, Measurements, Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 98,646 | |
US Treasury Securities | Fair Value, Measurements, Recurring | Significant Observable Inputs (Level 2) | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | 0 | |
US Treasury Securities | Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
Assets at Fair Value: | ||
Securities, trading, at fair value | $ 0 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Carrying Values and Fair Values of Financial Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Financial Assets: | ||
Cash | $ 221,668 | $ 265,232 |
Cash collateral posted to counterparties | 0 | 0 |
Accrued interest receivable | 0 | 0 |
Subordinated loans to BUCKLER | 0 | 0 |
Financial Liabilities: | ||
Repurchase agreements | 0 | 0 |
Cash collateral posted by counterparties | 0 | 0 |
Payable for unsettled purchases | 0 | |
Accrued interest payable- repurchase agreements | 0 | 0 |
Significant Observable Inputs (Level 2) | ||
Financial Assets: | ||
Cash | 0 | 0 |
Cash collateral posted to counterparties | 10,531 | 17,162 |
Accrued interest receivable | 22,505 | 22,165 |
Subordinated loans to BUCKLER | 105,000 | 105,000 |
Financial Liabilities: | ||
Repurchase agreements | 7,037,651 | 7,555,917 |
Cash collateral posted by counterparties | 97,213 | 29,593 |
Payable for unsettled purchases | 166,052 | |
Accrued interest payable- repurchase agreements | 10,268 | 6,452 |
Fair Value, Inputs, Level 3 | ||
Financial Assets: | ||
Cash | 0 | 0 |
Cash collateral posted to counterparties | 0 | 0 |
Accrued interest receivable | 0 | 0 |
Subordinated loans to BUCKLER | 0 | 0 |
Financial Liabilities: | ||
Repurchase agreements | 0 | 0 |
Cash collateral posted by counterparties | 0 | 0 |
Payable for unsettled purchases | 0 | |
Accrued interest payable- repurchase agreements | 0 | 0 |
Carrying Value | ||
Financial Assets: | ||
Cash | 221,668 | 265,232 |
Cash collateral posted to counterparties | 10,531 | 17,162 |
Accrued interest receivable | 22,505 | 22,165 |
Subordinated loans to BUCKLER | 105,000 | 105,000 |
Financial Liabilities: | ||
Repurchase agreements | 7,037,651 | 7,555,917 |
Cash collateral posted by counterparties | 97,213 | 29,593 |
Payable for unsettled purchases | 166,052 | |
Accrued interest payable- repurchase agreements | 10,268 | 6,452 |
Fair Value | ||
Financial Assets: | ||
Cash | 221,668 | 265,232 |
Cash collateral posted to counterparties | 10,531 | 17,162 |
Accrued interest receivable | 22,505 | 22,165 |
Subordinated loans to BUCKLER | 105,000 | 105,000 |
Financial Liabilities: | ||
Repurchase agreements | 7,037,651 | 7,555,917 |
Cash collateral posted by counterparties | 97,213 | 29,593 |
Payable for unsettled purchases | 166,052 | |
Accrued interest payable- repurchase agreements | $ 10,268 | $ 6,452 |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Summary of Changes in Level 3 Assets Measured on a Recurring Basis (Details) - Credit Risk and Non-Agency Securities - Fair Value, Inputs, Level 3 - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning of year | $ 1,052,170 | $ 0 |
Credit Risk and Non-Agency Securities acquired in the acquisition of JAVELIN, at fair value | 0 | 223,220 |
Purchases of Credit Risk and Non-Agency Securities, at cost | 8,224 | 882,588 |
Principal repayments of Credit Risk and Non-Agency Securities | (135,617) | (53,033) |
Proceeds from the sale of Credit Risk and Non-Agency Securities | (8,372) | (61,843) |
Gain on Credit Risk and Non-Agency Securities | 46,924 | 59,120 |
Accretion of net discount on Credit Risk and Non-Agency Securities | 3,187 | 2,118 |
Level 3 transferred to Level 2 | (966,516) | 0 |
Balance, end of year | 0 | 1,052,170 |
Gain on Credit Risk and Non-Agency Securities | $ 54,495 | $ 59,120 |
Agency Securities - Additional
Agency Securities - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Debt Securities, Available-for-sale [Line Items] | ||||||||||||
Other than temporary impairment of Agency Securities | $ 0 | $ 0 | $ 0 | $ (12,090) | $ (3,297) | $ (72) | $ (10,338) | $ 0 | $ (12,090) | $ (13,707) | $ (6,540) | |
Proceeds from sale of debt securities, AFS | 4,496,015 | 4,012,398 | 7,195,157 | |||||||||
Realized gain (loss) on debt securities, available for sale | $ (63,895) | $ (31,136) | $ (25,316) | (32,603) | $ 2,237 | $ 891 | (460) | $ (11,154) | $ (152,950) | $ (8,486) | $ (18,211) | |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises | ||||||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||||||
Other than temporary impairment of Agency Securities | $ (12,090) | $ (13,707) | $ (6,540) | |||||||||
AFS securities interest rate | 3.00% | |||||||||||
Debt securities, AFS, term | 15 years | 15 years | ||||||||||
Agency Securities | ||||||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||||||
Weighted average coupon rate | 3.94% | 3.68% | 3.94% | 3.68% | ||||||||
Investment-related payables | $ 166,052 | $ 166,052 | ||||||||||
Portfolio Concentration Risk | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises | MBS | ||||||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||||||
Percentage of portfolio invested | 88.20% | 88.20% |
Agency Securities - Unrealized
Agency Securities - Unrealized Gain or Loss Position and Components of Carrying Value of Available for Sale Agency Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 7,095,824 | $ 7,499,077 |
Gross Unrealized Loss | (61,295) | (39,392) |
Gross Unrealized Gain | 17,425 | 19,281 |
Fair Value | $ 7,051,954 | $ 7,478,966 |
Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 100.00% | 100.00% |
Fannie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 5,337,466 | $ 5,895,221 |
Gross Unrealized Loss | (46,758) | (30,334) |
Gross Unrealized Gain | 16,760 | 18,255 |
Fair Value | $ 5,307,468 | $ 5,883,142 |
Fannie Mae | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 75.26% | 78.67% |
Fannie Mae | ARMs & Hybrids | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 19,929 | $ 28,199 |
Gross Unrealized Loss | (249) | (229) |
Gross Unrealized Gain | 73 | 112 |
Fair Value | $ 19,753 | $ 28,082 |
Fannie Mae | ARMs & Hybrids | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 0.28% | 0.38% |
Fannie Mae | Multi-Family MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 1,710,346 | $ 1,799,737 |
Gross Unrealized Loss | (17,128) | (5,132) |
Gross Unrealized Gain | 9,345 | 16,950 |
Fair Value | $ 1,702,563 | $ 1,811,555 |
Fannie Mae | Multi-Family MBS | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 24.14% | 24.22% |
Fannie Mae | 10 Year Fixed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 115,654 | $ 60,634 |
Gross Unrealized Loss | (292) | (347) |
Gross Unrealized Gain | 129 | 137 |
Fair Value | $ 115,491 | $ 60,424 |
Fannie Mae | 10 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 1.64% | 0.81% |
Fannie Mae | 15 Year Fixed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 684,678 | $ 1,028,797 |
Gross Unrealized Loss | (388) | (4,955) |
Gross Unrealized Gain | 3,864 | 625 |
Fair Value | $ 688,154 | $ 1,024,467 |
Fannie Mae | 15 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 9.76% | 13.70% |
Fannie Mae | 20 Year Fixed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 3,734 | $ 29,832 |
Gross Unrealized Loss | (156) | (621) |
Gross Unrealized Gain | 0 | 0 |
Fair Value | $ 3,578 | $ 29,211 |
Fannie Mae | 20 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 0.05% | 0.39% |
Fannie Mae | 25 Year Fixed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 9,367 | |
Gross Unrealized Loss | (140) | |
Gross Unrealized Gain | 0 | |
Fair Value | $ 9,227 | |
Fannie Mae | 25 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 0.12% | |
Fannie Mae | 30 Year Fixed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 2,803,125 | $ 2,938,655 |
Gross Unrealized Loss | (28,545) | (18,910) |
Gross Unrealized Gain | 3,349 | 431 |
Fair Value | $ 2,777,929 | $ 2,920,176 |
Fannie Mae | 30 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 39.39% | 39.05% |
Freddie Mac | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 1,417,313 | $ 1,565,099 |
Gross Unrealized Loss | (13,815) | (8,526) |
Gross Unrealized Gain | 657 | 1,015 |
Fair Value | $ 1,404,155 | $ 1,557,588 |
Freddie Mac | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 19.91% | 20.82% |
Freddie Mac | 10 Year Fixed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 9,515 | $ 37,254 |
Gross Unrealized Loss | (68) | (158) |
Gross Unrealized Gain | 0 | 228 |
Fair Value | $ 9,447 | $ 37,324 |
Freddie Mac | 10 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 0.13% | 0.50% |
Freddie Mac | 15 Year Fixed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 70,164 | $ 354,878 |
Gross Unrealized Loss | (272) | (211) |
Gross Unrealized Gain | 157 | 787 |
Fair Value | $ 70,049 | $ 355,454 |
Freddie Mac | 15 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 0.99% | 4.75% |
Freddie Mac | 25 Year Fixed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 37,939 | $ 41,383 |
Gross Unrealized Loss | (1,668) | (857) |
Gross Unrealized Gain | 0 | 0 |
Fair Value | $ 36,271 | $ 40,526 |
Freddie Mac | 25 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 0.51% | 0.54% |
Freddie Mac | 30 Year Fixed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 1,299,695 | $ 1,131,584 |
Gross Unrealized Loss | (11,807) | (7,300) |
Gross Unrealized Gain | 500 | 0 |
Fair Value | $ 1,288,388 | $ 1,124,284 |
Freddie Mac | 30 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 18.28% | 15.03% |
Ginnie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 341,045 | $ 38,757 |
Gross Unrealized Loss | (722) | (532) |
Gross Unrealized Gain | 8 | 11 |
Fair Value | $ 340,331 | $ 38,236 |
Ginnie Mae | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 4.83% | 0.51% |
Ginnie Mae | ARMs & Hybrids | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 30,708 | $ 38,494 |
Gross Unrealized Loss | (466) | (532) |
Gross Unrealized Gain | 1 | 4 |
Fair Value | $ 30,243 | $ 37,966 |
Ginnie Mae | ARMs & Hybrids | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 0.43% | 0.51% |
Ginnie Mae | 10 Year Fixed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 231 | $ 263 |
Gross Unrealized Loss | (1) | 0 |
Gross Unrealized Gain | 0 | 7 |
Fair Value | $ 230 | $ 270 |
Ginnie Mae | 10 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 0.00% | 0.00% |
Ginnie Mae | 30 Year Fixed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 310,106 | |
Gross Unrealized Loss | (255) | |
Gross Unrealized Gain | 7 | |
Fair Value | $ 309,858 | |
Ginnie Mae | 30 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of concentration risk | 4.40% |
Agency Securities - Summary of
Agency Securities - Summary of Weighted Average Lives of Agency Securities (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Fair Value | ||
Less than one year | $ 75 | $ 0 |
Greater than or equal to one year and less than three years | 25,841 | 29,126 |
Greater than or equal to three years and less than five years | 1,334,663 | 1,353,036 |
Greater than or equal to five years | 5,691,375 | 6,096,804 |
Total Agency Securities | 7,051,954 | 7,478,966 |
Amortized Cost | ||
Less than one year | 77 | 0 |
Greater than or equal to one year and less than three years | 26,264 | 29,269 |
Greater than or equal to three years and less than five years | 1,331,577 | 1,353,998 |
Greater than or equal to five years | 5,737,906 | 6,115,810 |
Amortized Cost | $ 7,095,824 | $ 7,499,077 |
Agency Securities - Gross Unrea
Agency Securities - Gross Unrealized Losses and Estimated Fair Value of Agency Securities (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Fair Value | ||
Less than 12 Months | $ 2,651,518 | $ 4,355,924 |
12 Months or More | 1,197,533 | 733,637 |
Fair Value | 3,849,051 | 5,089,561 |
Unrealized Losses | ||
Less than 12 Months | (18,135) | (28,906) |
12 Months or More | (43,160) | (10,486) |
Unrealized Losses | $ (61,295) | $ (39,392) |
Credit Risk and Non-Agency Se_3
Credit Risk and Non-Agency Securities - Additional Information (Details) - Credit Risk and Non-Agency Securities - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Debt and Equity Securities, FV-NI [Line Items] | |||
Proceeds from sale of trading securities | $ 97,758 | $ 8,372 | $ 61,843 |
Gain on Credit Risk and Non-Agency Securities | $ 16,886 | $ 85 | $ 333 |
Portfolio Concentration Risk | Credit Risk and Non-Agency Securities | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Percentage of concentration risk | 10.30% | 11.50% |
Credit Risk and Non-Agency Se_4
Credit Risk and Non-Agency Securities - Carrying Value of Non-Agency Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Credit Risk Transfer | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fair Value | $ 729,983 | $ 870,494 |
Amortized Cost | 653,681 | 753,422 |
Principal Amount | $ 661,181 | $ 764,172 |
Weighted Average Coupon | 6.92% | 6.05% |
Legacy Prime Fixed | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fair Value | $ 13,394 | $ 16,778 |
Amortized Cost | 12,698 | 15,287 |
Principal Amount | $ 16,051 | $ 19,237 |
Weighted Average Coupon | 6.02% | 6.03% |
Legacy ALTA Fixed | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fair Value | $ 46,853 | $ 54,727 |
Amortized Cost | 42,534 | 48,516 |
Principal Amount | $ 58,730 | $ 65,920 |
Weighted Average Coupon | 5.84% | 5.85% |
Legacy Prime Hybrid | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fair Value | $ 8,623 | $ 10,469 |
Amortized Cost | 7,987 | 9,517 |
Principal Amount | $ 9,479 | $ 11,452 |
Weighted Average Coupon | 3.62% | 3.17% |
Legacy ALTA Hybrid | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fair Value | $ 3,724 | $ 4,660 |
Amortized Cost | 3,164 | 3,895 |
Principal Amount | $ 3,967 | $ 4,901 |
Weighted Average Coupon | 4.06% | 3.47% |
New Issue Prime Fixed Non-Agency | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fair Value | $ 17,338 | $ 18,701 |
Amortized Cost | 16,767 | 17,957 |
Principal Amount | $ 17,714 | $ 19,025 |
Weighted Average Coupon | 3.69% | 3.69% |
Credit Risk and Non-Agency Securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fair Value | $ 819,915 | $ 975,829 |
Amortized Cost | 736,831 | 848,594 |
Principal Amount | $ 767,122 | $ 884,707 |
Weighted Average Coupon | 6.73% | 5.95% |
Credit Risk and Non-Agency Se_5
Credit Risk and Non-Agency Securities - Weighted Average Lives of Non-Agency Securities (Details) - Credit Risk and Non-Agency Securities - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Fair Value | ||
Greater than or equal to three years and less than five years | $ 188,063 | $ 169,189 |
Greater than or equal to five years | 631,852 | 806,640 |
Total Credit Risk and Non-Agency Securities | 819,915 | 975,829 |
Amortized Cost | ||
Greater than or equal to three years and less than five years | 169,692 | 149,436 |
Greater than or equal to five years | 567,139 | 699,158 |
Total Credit Risk and Non-Agency Securities | $ 736,831 | $ 848,594 |
Credit Risk and Non-Agency Se_6
Credit Risk and Non-Agency Securities - Continuous Unrealized Loss Position (Details) - Credit Risk and Non-Agency Securities - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Fair Value | ||
Less than 12 months, fair value | $ 1,860 | $ 0 |
12 months or more, fair value | 0 | 0 |
Total, fair value | 1,860 | 0 |
Unrealized Losses | ||
Less than 12 months, unrealized loss | (13) | 0 |
12 months or more, unrealized loss | 0 | 0 |
Total, unrealized loss | $ (13) | $ 0 |
U.S. Treasury Securities - Unre
U.S. Treasury Securities - Unrealized Gain or (Loss) Position (Details) - US Treasury Securities - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Debt and Equity Securities, FV-NI [Line Items] | ||
Amortized Cost | $ 98,703 | |
Gross Unrealized Loss | (57) | |
Gross Unrealized Gain | 0 | |
Fair Value | $ 98,646 | $ 0 |
Portfolio Concentration Risk | US Treasury Securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Percentage of portfolio invested | 1.20% |
U.S. Treasury Securities - Un_2
U.S. Treasury Securities - Unrealized Losses and Estimated Fair Value (Details) - US Treasury Securities $ in Thousands | Dec. 31, 2018USD ($) |
Fair Value | |
Less than 12 months, fair value | $ 98,646 |
12 months or more, fair value | 0 |
Total, fair value | 98,646 |
Unrealized Losses | |
Less than 12 Months | (57) |
12 Months or More | 0 |
Total, unrealized loss | $ (57) |
Repurchase Agreements - Additio
Repurchase Agreements - Additional Information (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018USD ($)counterparty | Dec. 31, 2017USD ($)counterparty | |
Concentration Risk [Line Items] | ||
Number of counterparties with master repurchase agreements | 48 | 46 |
Repurchase agreements, carrying amount | $ | $ 7,037,651 | $ 7,555,917 |
Number of counterparties with repurchase agreements outstanding | 23 | 32 |
Counterparty Concentration Risk | Repurchase Agreement Borrowings | ||
Concentration Risk [Line Items] | ||
Number of counterparties | 1 | 1 |
Counterparty Concentration Risk | Repurchase Agreement Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of concentration risk | 6.80% | 5.10% |
Counterparty Concentration Risk | BUCKLER Securities, LLC | Repurchase Agreement Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of concentration risk | 49.80% | 38.40% |
Counterparty Concentration Risk | BUCKLER Securities, LLC | Stockholders' Equity, Total | ||
Concentration Risk [Line Items] | ||
Percentage of concentration risk | 13.00% | 9.00% |
Weighted average maturity | 14 days | 70 days |
Maximum | ||
Concentration Risk [Line Items] | ||
Ratio of indebtedness to net capital | 12 | |
Maximum | Counterparty Concentration Risk | Repurchase Agreement Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of concentration risk | 10.00% | 10.00% |
Minimum | Counterparty Concentration Risk | Repurchase Agreement Borrowings | ||
Concentration Risk [Line Items] | ||
Percentage of concentration risk | 5.00% | 5.00% |
Repurchase Agreements - Contrac
Repurchase Agreements - Contractual Repricing, Master Repurchase Agreements (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 7,037,651 | $ 7,555,917 |
Weighted Average Contractual Rate | 2.97% | 1.71% |
Weighted Average Maturity in days | 14 days | 51 days |
Haircut for Repurchase Agreements | 5.48% | 6.39% |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 6,456,823 | $ 6,793,481 |
Weighted Average Contractual Rate | 2.95% | 1.60% |
Weighted Average Maturity in days | 14 days | 55 days |
Haircut for Repurchase Agreements | 4.22% | 4.29% |
Credit Risk and Non-Agency Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 580,828 | $ 762,436 |
Weighted Average Contractual Rate | 3.23% | 2.67% |
Weighted Average Maturity in days | 14 days | 15 days |
Haircut for Repurchase Agreements | 17.79% | 21.68% |
Repurchase Agreements - Repurch
Repurchase Agreements - Repurchase Agreements by Maturity Period (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 7,037,651 | $ 7,555,917 |
Weighted Average Contractual Rate | 2.97% | 1.71% |
Maturity up to 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 5,793,973 | $ 1,738,768 |
Weighted Average Contractual Rate | 3.05% | 2.08% |
Maturity 31 to 60 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 1,243,678 | $ 2,394,450 |
Weighted Average Contractual Rate | 2.60% | 1.59% |
Maturity 61 to 90 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 0 | $ 3,422,699 |
Weighted Average Contractual Rate | 0.00% | 1.61% |
Maturity over 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $ 0 | $ 0 |
Weighted Average Contractual Rate | 0.00% | 0.00% |
Derivatives - Interest Rate Swa
Derivatives - Interest Rate Swap Contracts, Swaptions and Futures Contracts (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative [Line Items] | ||
Notional Amount | $ 8,250,000 | $ 6,850,000 |
Asset Fair Value | 111,913 | 37,211 |
Liability Fair Value | $ (24,505) | $ (7,948) |
Interest Rate Swap, 0-12 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 11 months | 5 months |
Weighted Average Rate | 1.21% | 0.92% |
Notional Amount | $ 550,000 | $ 50,000 |
Asset Fair Value | 6,620 | 191 |
Liability Fair Value | $ 0 | $ 0 |
Interest Rate Swap 13-24 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 18 months | 23 months |
Weighted Average Rate | 1.48% | 1.21% |
Notional Amount | $ 675,000 | $ 550,000 |
Asset Fair Value | 11,136 | 6,398 |
Liability Fair Value | $ 0 | $ 0 |
Interest Rate Swap 25-36 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 25 months | 30 months |
Weighted Average Rate | 2.06% | 1.48% |
Notional Amount | $ 1,000,000 | $ 675,000 |
Asset Fair Value | 5,568 | 5,495 |
Liability Fair Value | $ 0 | $ 0 |
Interest Rate Swap 49-60 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 54 months | |
Weighted Average Rate | 1.95% | |
Notional Amount | $ 1,725,000 | |
Asset Fair Value | 32,723 | |
Liability Fair Value | $ 0 | |
Interest Rate Swap 61-72 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 67 months | 65 months |
Weighted Average Rate | 1.89% | 1.97% |
Notional Amount | $ 575,000 | $ 1,975,000 |
Asset Fair Value | 12,009 | 11,624 |
Liability Fair Value | $ 0 | $ (250) |
Interest Rate Swap 73-84 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 73 months | 79 months |
Weighted Average Rate | 2.33% | 1.89% |
Notional Amount | $ 350,000 | $ 575,000 |
Asset Fair Value | 0 | 3,306 |
Liability Fair Value | $ (1,709) | $ (1,885) |
Interest Rate Swap 85-96 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 95 months | |
Weighted Average Rate | 1.93% | |
Notional Amount | $ 1,050,000 | |
Asset Fair Value | 32,240 | |
Liability Fair Value | $ 0 | |
Interest Rate Swap 97-108 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 102 months | 107 months |
Weighted Average Rate | 2.10% | 1.93% |
Notional Amount | $ 375,000 | $ 1,050,000 |
Asset Fair Value | 7,381 | 9,263 |
Liability Fair Value | $ 0 | $ (10) |
Interest Rate Swap 109-120 Months | ||
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 114 months | 114 months |
Weighted Average Rate | 2.62% | 2.10% |
Notional Amount | $ 1,050,000 | $ 375,000 |
Asset Fair Value | 0 | 0 |
Liability Fair Value | (22,796) | (3,545) |
TBA Agency Securities | ||
Derivative [Line Items] | ||
Notional Amount | 900,000 | 1,600,000 |
Asset Fair Value | 4,236 | 934 |
Liability Fair Value | 0 | (2,258) |
Implied cost basis | 929,184 | 1,674,438 |
Implied market value | $ 933,420 | $ 1,673,113 |
Minimum | Interest Rate Swap, 0-12 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 0 months | 0 months |
Minimum | Interest Rate Swap 13-24 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 13 months | 13 months |
Minimum | Interest Rate Swap 25-36 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 25 months | 25 months |
Minimum | Interest Rate Swap 49-60 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 49 months | |
Minimum | Interest Rate Swap 61-72 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 61 months | 61 months |
Minimum | Interest Rate Swap 73-84 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 73 months | 73 months |
Minimum | Interest Rate Swap 85-96 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 85 months | |
Minimum | Interest Rate Swap 97-108 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 97 months | 97 months |
Minimum | Interest Rate Swap 109-120 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 109 months | 109 months |
Minimum | TBA Agency Securities | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 0 months | 0 months |
Maximum | Interest Rate Swap, 0-12 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 12 months | 12 months |
Maximum | Interest Rate Swap 13-24 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 24 months | 24 months |
Maximum | Interest Rate Swap 25-36 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 36 months | 36 months |
Maximum | Interest Rate Swap 49-60 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 60 months | |
Maximum | Interest Rate Swap 61-72 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 72 months | 72 months |
Maximum | Interest Rate Swap 73-84 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 84 months | 84 months |
Maximum | Interest Rate Swap 85-96 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 96 months | |
Maximum | Interest Rate Swap 97-108 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 108 months | 108 months |
Maximum | Interest Rate Swap 109-120 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 120 months | 120 months |
Maximum | TBA Agency Securities | ||
Derivative [Line Items] | ||
Remaining / Underlying Term | 60 months | 60 months |
Derivatives - Offsetting Assets
Derivatives - Offsetting Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Offsetting Assets [Line Items] | ||
Net Amounts of Assets Presented in the Consolidated Balance Sheet | $ 111,913 | $ 37,211 |
Gross Amounts of Assets Presented in the Consolidated Balance Sheet | 111,913 | 37,211 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | (24,505) | (7,948) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Net Cash Collateral Held | (85,431) | (14,621) |
Net Amount | 1,977 | 14,642 |
Interest rate swap contracts | ||
Offsetting Assets [Line Items] | ||
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 107,677 | 36,277 |
Gross Amounts of Assets Presented in the Consolidated Balance Sheet | 107,677 | 36,277 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | (24,505) | (5,690) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Net Cash Collateral Held | (82,838) | (22,689) |
Net Amount | 334 | 7,898 |
TBA Agency Securities | ||
Offsetting Assets [Line Items] | ||
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 4,236 | 934 |
Gross Amounts of Assets Presented in the Consolidated Balance Sheet | 4,236 | 934 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | 0 | (2,258) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Net Cash Collateral Held | (2,593) | 8,068 |
Net Amount | $ 1,643 | $ 6,744 |
Derivatives - Offsetting Liabil
Derivatives - Offsetting Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Offsetting Liabilities [Line Items] | ||
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | $ (24,505) | $ (7,948) |
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | (24,505) | (7,948) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | 24,505 | 7,948 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted | 0 | 0 |
Net Amount | 0 | 0 |
Interest rate swap contracts | ||
Offsetting Liabilities [Line Items] | ||
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | (24,505) | (5,690) |
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | (24,505) | (5,690) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | 24,505 | 5,690 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted | 0 | 0 |
Net Amount | 0 | 0 |
TBA Agency Securities | ||
Offsetting Liabilities [Line Items] | ||
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | 0 | (2,258) |
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | 0 | (2,258) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | 0 | 2,258 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted | 0 | 0 |
Net Amount | $ 0 | $ 0 |
Derivatives - Location and Info
Derivatives - Location and Information of Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Realized gain (loss) | $ 1,709 | $ 3,739 | $ (14,341) | $ (38,604) | $ (20,964) | $ 897 | $ 9,641 | $ (12,249) | $ (47,497) | [1] | $ (22,675) | [1] | $ (452,398) | [1] |
Unrealized gain on derivatives | $ (147,108) | $ 54,169 | $ 45,054 | $ 97,201 | $ 43,719 | $ 2,574 | $ (30,789) | $ 23,768 | 49,316 | 39,272 | 206,212 | |||
Subtotal | 1,819 | 16,597 | (246,186) | |||||||||||
Interest rate swap contracts | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Realized gain (loss) | 2,655 | 990 | (370,192) | |||||||||||
Interest income | 124,714 | 50,464 | 25,270 | |||||||||||
Interest expense | (124,241) | (83,797) | (90,978) | |||||||||||
Unrealized gain on derivatives | 43,755 | 39,388 | 208,082 | |||||||||||
Subtotal | 46,883 | 7,045 | (227,818) | |||||||||||
Basis swap contracts | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Realized gain (loss) | 0 | 0 | 1,468 | |||||||||||
Interest income | 0 | 0 | 2,617 | |||||||||||
Interest expense | 0 | 0 | (3,116) | |||||||||||
Unrealized gain on derivatives | 0 | 0 | (661) | |||||||||||
Subtotal | 0 | 0 | 308 | |||||||||||
TBA Agency Securities | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Realized gain (loss) | (50,625) | 9,668 | (17,467) | |||||||||||
Unrealized gain on derivatives | 5,561 | (116) | (1,209) | |||||||||||
Subtotal | $ (45,064) | $ 9,552 | $ (18,676) | |||||||||||
[1] | Interest expense related to our interest rate swap contracts is recorded as realized loss on derivatives on the consolidated statements of operations. For additional information, see Note 10 |
Commitments and Contingencies (
Commitments and Contingencies (Details) $ in Thousands | Apr. 25, 2016lawsuit | Apr. 24, 2016defendant | Mar. 01, 2016lawsuit | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) |
Other Commitments [Line Items] | ||||||
Monthly percentage of effective management fee percentage | 8.33% | |||||
Gross equity raised | $ | $ 2,658,969 | $ 2,618,020 | $ 2,469,368 | |||
Transactions Case | ||||||
Other Commitments [Line Items] | ||||||
Number of new claims filed | 9 | |||||
Number of defendants, current directors | defendant | 8 | |||||
Number of consolidated claims | 1 | |||||
ARRM | ||||||
Other Commitments [Line Items] | ||||||
Percentage of gross equity raised used in calculation of management fee up to 1 Billion | 1.50% | |||||
Percentage of gross equity raised used in calculation of management fee in excess of 1 Billion | 0.75% | |||||
Effective management fee | 1.03% | 1.04% | 1.05% |
Stock Based Compensation - Addi
Stock Based Compensation - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Board of Directors | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Nonemployee services transaction, quarterly fee | $ 33 | |||
The 2009 Stock Incentive Plan | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Common stock, shares authorized (in shares) | 1,875,000 | |||
Capital shares reserved for future issuance (in shares) | 1,137,000 | |||
Compensation cost not yet recognized | $ 7,607 | |||
Period for recognition for compensation cost not yet recognized | 2 years 7 months 6 days | |||
The 2009 Stock Incentive Plan | Restricted Stock | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Unvested RSU awards outstanding (in dollars per share) | $ 21.11 | $ 24.82 | $ 39.80 | $ 48.85 |
Stock Based Compensation - Sche
Stock Based Compensation - Schedule of Restricted Stock Units (Details) - The 2009 Stock Incentive Plan - Restricted Stock - $ / shares shares in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Number of Awards | |||
Unvested RSU Awards Outstanding beginning of period (in shares) | 472 | 32 | 78 |
Granted (in shares) | 0 | 472 | 0 |
Vested (in shares) | (112) | (32) | (46) |
Unvested RSU Awards Outstanding end of period (in shares) | 360 | 472 | 32 |
Weighted Average Fair Value per Award | |||
Unvested RSU Awards Outstanding beginning of period (in dollars per share) | $ 24.82 | $ 39.80 | $ 48.85 |
Granted (in dollars per share) | 0 | 24.82 | 0 |
Vested (in dollars per share) | 22.70 | 39.80 | 56.14 |
Unvested RSU Awards Outstanding end of period (in dollars per share) | $ 21.11 | $ 24.82 | $ 39.80 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Details) $ / shares in Units, $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2018USD ($)director$ / sharesshares | Dec. 31, 2017USD ($)$ / sharesshares | Oct. 02, 2017$ / sharesshares | Aug. 30, 2017shares | Dec. 31, 2016shares | |
Class of Stock [Line Items] | |||||
Preferred stock, shares authorized (in shares) | 50,000,000 | 50,000,000 | |||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.001 | $ 0.001 | |||
Preferred stock, undesignated shares authorized (in shares) | 32,740,000 | ||||
Net proceeds | $ | $ 2,632 | $ 14,968 | |||
Common stock, shares authorized (in shares) | 125,000,000 | 125,000,000 | |||
Common stock, par value (in dollars per share) | $ / shares | $ 0.001 | $ 0.001 | |||
Common stock, shares issued (in shares) | 43,702,000 | 41,877,000 | |||
Common stock, shares outstanding (in shares) | 43,702,000 | 41,877,000 | |||
Remaining shares authorized to be repurchased (in shares) | 1,874,000 | 1,874,000 | 1,874,000 | ||
At-The-Market Offering Program | |||||
Class of Stock [Line Items] | |||||
Common stock, shares authorized (in shares) | 5,000 | ||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.001 | ||||
Series A Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock, shares authorized (in shares) | 9,610,000 | ||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.001 | $ 0.001 | |||
Preferred stock, dividend rate | 8.25% | 8.25% | |||
Preferred stock, shares issued (in shares) | 2,181,000 | 2,181,000 | |||
Preferred stock, shares outstanding (in shares) | 2,181,000 | 2,181,000 | |||
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares | $ 25 | $ 25 | |||
Preferred stock, aggregate liquidation preference | $ | $ 54,514 | $ 54,514 | |||
Preferred stock, designated but unissued shares authorized (in shares) | 7,429,000 | ||||
Preferred stock, period stock receives voting rights if dividends are not paid (in months) | 18 months | ||||
Number of additional directors elected | director | 2 | ||||
Series B Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock, shares authorized (in shares) | 7,650,000 | 2,000 | |||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.001 | $ 0.001 | |||
Preferred stock, dividend rate | 7.875% | 7.875% | |||
Preferred stock, shares issued (in shares) | 6,369,000 | 6,262,000 | |||
Preferred stock, shares outstanding (in shares) | 6,369,000 | 6,262,000 | |||
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares | $ 25 | $ 25 | |||
Preferred stock, aggregate liquidation preference | $ | $ 159,232 | $ 156,560 | |||
Preferred stock, designated but unissued shares authorized (in shares) | 1,281,000 | ||||
Preferred stock, period stock receives voting rights if dividends are not paid (in months) | 18 months | ||||
Number of additional directors elected | director | 2 | ||||
Payments of stock issuance costs | $ | $ 42 | ||||
Series B Preferred Stock | Series B Preferred Equity Distribution Agreement | |||||
Class of Stock [Line Items] | |||||
Number of shares (in shares) | 107,000 | ||||
Net proceeds | $ | $ 2,632 | ||||
Common Stock | Common Stock ATM Sale Agreement | |||||
Class of Stock [Line Items] | |||||
Number of shares (in shares) | 883,000 | ||||
Net proceeds | $ | $ 19,013 | ||||
Payments of stock issuance costs | $ | $ 262 |
Stockholders' Equity - Equity T
Stockholders' Equity - Equity Transactions (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Class of Stock [Line Items] | ||
Net proceeds | $ 2,632 | $ 14,968 |
Series B Preferred Equity Distribution Agreement | Series B Preferred Stock | ||
Class of Stock [Line Items] | ||
Number of shares (in shares) | 107 | |
Per Share price (in dollars per share) | $ 24.62 | |
Net proceeds | $ 2,632 | |
Common Stock Dividend Reinvestment Program | Common Stock | ||
Class of Stock [Line Items] | ||
Number of shares (in shares) | 840 | 619 |
Per Share price (in dollars per share) | $ 22.61 | $ 26.44 |
Net proceeds | $ 19,001 | $ 16,500 |
Common Stock ATM Sale Agreement | Common Stock | ||
Class of Stock [Line Items] | ||
Number of shares (in shares) | 883 | |
Per Share price (in dollars per share) | $ 21.53 | |
Net proceeds | $ 19,013 | |
Series B Preferred ATM Sales Agreement | Series B Preferred Stock | ||
Class of Stock [Line Items] | ||
Number of shares (in shares) | 612 | |
Per Share price (in dollars per share) | $ 24.44 | |
Net proceeds | $ 14,968 | |
Follow-On Public Offering | Common Stock | ||
Class of Stock [Line Items] | ||
Number of shares (in shares) | 4,500 | |
Per Share price (in dollars per share) | $ 25.96 | |
Net proceeds | $ 116,693 |
Stockholders' Equity - Dividend
Stockholders' Equity - Dividend Transactions (Details) - USD ($) | Dec. 27, 2018 | Nov. 27, 2018 | Oct. 29, 2018 | Sep. 27, 2018 | Aug. 28, 2018 | Aug. 27, 2018 | Jul. 27, 2018 | Jun. 28, 2018 | Jun. 27, 2018 | May 30, 2018 | May 29, 2018 | Apr. 27, 2018 | Mar. 28, 2018 | Mar. 27, 2018 | Feb. 27, 2018 | Jan. 29, 2018 | Dec. 28, 2017 | Dec. 27, 2017 | Nov. 27, 2017 | Oct. 27, 2017 | Sep. 28, 2017 | Sep. 27, 2017 | Aug. 28, 2017 | Jul. 27, 2017 | Jun. 29, 2017 | Jun. 27, 2017 | May 30, 2017 | Apr. 28, 2017 | Apr. 27, 2017 | Mar. 30, 2017 | Mar. 27, 2017 | Feb. 27, 2017 | Jan. 30, 2017 | Jan. 27, 2017 | Dec. 28, 2016 | Dec. 27, 2016 | Nov. 29, 2016 | Nov. 27, 2016 | Oct. 27, 2016 | Sep. 27, 2016 | Aug. 29, 2016 | Jul. 27, 2016 | Jun. 29, 2016 | May 27, 2016 | Apr. 27, 2016 | Mar. 28, 2016 | Feb. 26, 2016 | Jan. 27, 2016 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Class of Stock [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||
Common stock dividends cash paid (in dollars per share) | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.27 | $ 0.33 | $ 0.33 | $ 0.33 | |||||||||||||||
Aggregate amount paid to holders of record | $ 8,307,000 | $ 8,118,000 | $ 8,118,000 | $ 8,117,000 | $ 8,045,000 | $ 8,045,000 | $ 8,045,000 | $ 8,046,000 | $ 8,046,000 | $ 8,045,000 | $ 8,046,000 | $ 8,046,000 | $ 8,046,000 | $ 7,957,000 | $ 7,956,000 | $ 7,870,000 | $ 7,839,000 | $ 7,839,000 | $ 6,983,000 | $ 6,984,000 | $ 6,984,000 | $ 6,983,000 | $ 6,984,000 | $ 6,984,000 | $ 8,086,000 | $ 8,086,000 | $ 8,086,000 | $ 8,087,000 | $ 8,087,000 | $ 8,087,000 | $ 8,087,000 | $ 8,087,000 | $ 9,925,000 | $ 12,131,000 | $ 12,131,000 | $ 12,131,000 | $ 97,024,000 | $ 89,409,000 | $ 111,011,000 | ||||||||||||
Series A Preferred Stock | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred stock dividends cash paid (in dollars per share) | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | |||||||||||||||
Payments of dividends | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | 4,498,000 | 4,498,000 | 4,498,000 | ||||||||||||
Series B Preferred Stock | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred stock dividends cash paid (in dollars per share) | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | |||||||||||||||
Payments of dividends | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,039,000 | $ 1,019,000 | $ 998,000 | $ 987,000 | $ 962,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 12,534,000 | $ 11,382,000 | $ 11,124,000 |
Net Income per Common Share - R
Net Income per Common Share - Reconciliation of Net Income (Loss) and Shares Used in Calculating Basic and Diluted Earnings Per Share (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Earnings Per Share [Abstract] | |||||||||||
Net Income (Loss) | $ (211,979) | $ 47,704 | $ 13,562 | $ 44,747 | $ 71,013 | $ 27,724 | $ 29,699 | $ 52,718 | $ (105,966) | $ 181,154 | $ (45,517) |
Less: Preferred dividends | (4,261) | (4,259) | (4,259) | (4,253) | (4,130) | (3,940) | (3,905) | (3,905) | (17,032) | (15,880) | (15,622) |
Net Income (Loss) available (related) to common stockholders | $ (216,240) | $ 43,445 | $ 9,303 | $ 40,494 | $ 66,883 | $ 23,784 | $ 25,794 | $ 48,813 | $ (122,998) | $ 165,274 | $ (61,139) |
Weighted average common shares outstanding – basic (in shares) | 42,656 | 42,047 | 41,912 | 41,887 | 41,857 | 41,288 | 36,782 | 36,724 | 42,128 | 39,170 | 36,698 |
Add: Effect of dilutive non-vested awards, assumed vested (in shares) | 0 | 472 | 0 | ||||||||
Weighted average common shares outstanding – diluted (in shares) | 42,656 | 42,435 | 42,328 | 42,331 | 42,329 | 41,296 | 36,798 | 36,748 | 42,128 | 39,642 | 36,698 |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of GAAP Net Income to Estimated REIT Taxable Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |||||||||||
GAAP net income (loss) | $ (211,979) | $ 47,704 | $ 13,562 | $ 44,747 | $ 71,013 | $ 27,724 | $ 29,699 | $ 52,718 | $ (105,966) | $ 181,154 | $ (45,517) |
Book to tax differences: | |||||||||||
TRS income | (265) | 0 | 0 | ||||||||
Premium amortization expense | (1,132) | (468) | 0 | ||||||||
Credit Risk and Non-Agency Securities | 26,509 | (68,505) | (60,914) | ||||||||
Interest-Only Securities | 318 | 1,216 | (7,818) | ||||||||
U.S. Treasury Securities | 6,365 | 0 | 0 | ||||||||
Changes in interest rate contracts | (1,346) | (49,930) | 179,979 | ||||||||
Losses on Sales of Agency Securities | 152,950 | 8,486 | 18,211 | ||||||||
Other than temporary loss on Agency Securities | 12,090 | 13,707 | 6,540 | ||||||||
Amortization of deferred hedging costs | (56,378) | (59,930) | (47,952) | ||||||||
Bargain purchase price on acquisition of JAVELIN | 0 | 0 | (6,484) | ||||||||
Other | 16 | 15 | 19 | ||||||||
Estimated taxable income | $ 33,161 | $ 25,745 | $ 36,064 |
Income Taxes - Capital Gains (L
Income Taxes - Capital Gains (Losses) (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 |
Capital Loss Carryforward | |||||
Operating Loss Carryforwards [Line Items] | |||||
Tax credit carryforward | $ (166,008) | $ (7,375) | $ (31,204) | $ (5,182) | $ (341,850) |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities | $ 66,103 | ||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities (in dollars per share) | $ 1.51 | ||
Common stock, shares issued (in shares) | 43,702,000 | 41,877,000 | |
Payment of dividends | $ 114,056 | $ 105,289 | $ 126,633 |
Estimated REIT taxable Income | $ 33,161 | $ 25,745 | $ 36,064 |
Percent of dividends that represent nontaxable return of capital | 83.20% | 89.00% | 81.60% |
Related Party Transactions (Det
Related Party Transactions (Details) | 1 Months Ended | 12 Months Ended | ||
Mar. 31, 2017USD ($) | Dec. 31, 2018USD ($)loan | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | |
Related Party Transaction [Line Items] | ||||
Management fees | $ 27,246,000 | $ 26,582,000 | $ 26,070,000 | |
US Treasury Securities | ||||
Related Party Transaction [Line Items] | ||||
Purchases of trading securities | 765,828,000 | 0 | 0 | |
Proceeds from sale of trading securities | 661,883,000 | 0 | 0 | |
ARRM | ||||
Related Party Transaction [Line Items] | ||||
Annual management fee | $ 1 | |||
Period of written notice of termination | 180 days | |||
Management fees | $ 27,246,000 | 26,582,000 | 26,070,000 | |
ARRM | Restricted Stock Units (RSUs) | ||||
Related Party Transaction [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Period | 5 years | |||
ARRM | Armour Management Agreement | ||||
Related Party Transaction [Line Items] | ||||
Automatic renewal period of management agreement | 5 years | |||
ARRM | Javelin Management Agreement | ||||
Related Party Transaction [Line Items] | ||||
Automatic renewal period of management agreement | 1 year | |||
Management agreement, term | 1 year | |||
ARRM | Other Expense | ||||
Related Party Transaction [Line Items] | ||||
Management fees | $ 206,000 | 764,000 | 1,950,000 | |
ARRM | Stock Based Compensation Expense | ||||
Related Party Transaction [Line Items] | ||||
Management fees | 436,000 | 339,000 | 470,000 | |
Javelin Mortgage Investment Corp. | Management Fee | ||||
Related Party Transaction [Line Items] | ||||
Management fees | 1 | 1,718,000 | $ 1,657,000 | |
Due to related parties | $ 0 | |||
Corporate Joint Venture | BUCKLER Securities, LLC | ||||
Related Party Transaction [Line Items] | ||||
Ownership percentage | 10.00% | |||
Corporate Joint Venture | BUCKLER Securities, LLC | ||||
Related Party Transaction [Line Items] | ||||
Due to related parties | 3,503,750,000 | $ 2,903,769,000 | ||
Payments to acquire equity method investments | $ 352,000 | 133,000 | ||
Equity method investments, value | 113,000 | $ 84,000 | ||
Interest payable | 67,156,000 | |||
Collateral pledged | 3,652,899,000 | |||
Corporate Joint Venture | BUCKLER Securities, LLC | US Treasury Securities | ||||
Related Party Transaction [Line Items] | ||||
Purchases of trading securities | 815,765,000 | |||
Proceeds from sale of trading securities | $ 563,258,000 | |||
Corporate Joint Venture | Required Regulatory Capital Requirement of Related Party | BUCKLER Securities, LLC | ||||
Related Party Transaction [Line Items] | ||||
Number of loans | loan | 3 | |||
Loans receivable related parties | $ 105,000,000 | |||
Related party transaction, rate | 0.00% | |||
Interest expense, related party | $ 2,019,000 | |||
Corporate Joint Venture | BUCKLER Subordinated Loan Due April 25, 2020 | BUCKLER Securities, LLC | ||||
Related Party Transaction [Line Items] | ||||
Loans receivable related parties | 15,000,000 | |||
Corporate Joint Venture | BUCKLER Subordinated Loan Due August 31, 2020 | BUCKLER Securities, LLC | ||||
Related Party Transaction [Line Items] | ||||
Loans receivable related parties | 65,000,000 | |||
Corporate Joint Venture | BUCKLER Subordinated Loan Due August 31, 2019 | BUCKLER Securities, LLC | ||||
Related Party Transaction [Line Items] | ||||
Loans receivable related parties | $ 25,000,000 |
Acquisition of JAVELIN Mortga_3
Acquisition of JAVELIN Mortgage Investment Corp. (Details) - USD ($) $ in Thousands | Apr. 06, 2016 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Recognized amounts of identifiable assets acquired and liabilities assumed: | ||||
Bargain purchase price on acquisition of JAVELIN | $ 0 | $ 0 | $ (6,484) | |
Management Agreement | ARRM | ||||
Recognized amounts of identifiable assets acquired and liabilities assumed: | ||||
Accounts payable and other accrued expenses | $ (3,375) | |||
Javelin Mortgage Investment Corp. | ||||
Business Acquisition [Line Items] | ||||
Cash | 85,200 | |||
Fair value of consideration transferred | 85,200 | |||
Acquisition related costs (included in professional fees and other expenses) | 2,500 | |||
Recognized amounts of identifiable assets acquired and liabilities assumed: | ||||
Cash | 12,000 | |||
Cash collateral | 24,600 | |||
Agency Securities | 440,700 | |||
Credit Risk and Non-Agency Securities | 223,200 | |||
Accrued interest receivable | 1,400 | |||
Prepaid and other assets | 5,400 | |||
Repurchase agreements | (589,600) | |||
Derivatives | (17,500) | |||
Accrued interest payable | (900) | |||
Accounts payable and other accrued expenses | (7,600) | |||
Total identifiable net assets | 91,700 | 5,287 | 79,475 | 105,580 |
Bargain purchase price on acquisition of JAVELIN | $ (6,500) | |||
Total interest income | 13 | 10,784 | 13,986 | |
Net income (loss) | $ (123) | $ (1,683) | $ 15,171 |
Subsequent Events (Details)
Subsequent Events (Details) $ / shares in Units, shares in Thousands | Mar. 15, 2019$ / shares | Feb. 27, 2019$ / shares | Feb. 15, 2019$ / shares | Jan. 17, 2019USD ($)shares | Jan. 15, 2019USD ($)$ / shares | Dec. 27, 2018USD ($)$ / shares | Nov. 27, 2018USD ($)$ / shares | Oct. 29, 2018USD ($)$ / shares | Sep. 27, 2018USD ($)$ / shares | Aug. 28, 2018USD ($)$ / shares | Aug. 27, 2018USD ($)$ / shares | Jul. 27, 2018USD ($)$ / shares | Jun. 28, 2018USD ($)$ / shares | Jun. 27, 2018USD ($)$ / shares | May 30, 2018USD ($)$ / shares | May 29, 2018USD ($)$ / shares | Apr. 27, 2018USD ($)$ / shares | Mar. 28, 2018USD ($)$ / shares | Mar. 27, 2018USD ($)$ / shares | Feb. 27, 2018USD ($)$ / shares | Jan. 29, 2018USD ($)$ / shares | Dec. 28, 2017USD ($)$ / shares | Dec. 27, 2017USD ($)$ / shares | Nov. 27, 2017USD ($)$ / shares | Oct. 27, 2017USD ($)$ / shares | Sep. 28, 2017USD ($)$ / shares | Sep. 27, 2017USD ($)$ / shares | Aug. 28, 2017USD ($)$ / shares | Jul. 27, 2017USD ($)$ / shares | Jun. 29, 2017USD ($)$ / shares | Jun. 27, 2017USD ($)$ / shares | May 30, 2017USD ($)$ / shares | Apr. 28, 2017USD ($)$ / shares | Apr. 27, 2017USD ($)$ / shares | Mar. 30, 2017USD ($)$ / shares | Mar. 27, 2017USD ($)$ / shares | Feb. 27, 2017USD ($)$ / shares | Jan. 30, 2017USD ($)$ / shares | Jan. 27, 2017USD ($)$ / shares | Dec. 28, 2016USD ($)$ / shares | Dec. 27, 2016USD ($)$ / shares | Nov. 29, 2016USD ($)$ / shares | Nov. 27, 2016USD ($)$ / shares | Oct. 27, 2016USD ($)$ / shares | Sep. 27, 2016USD ($)$ / shares | Aug. 29, 2016USD ($)$ / shares | Jul. 27, 2016USD ($)$ / shares | Jun. 29, 2016USD ($)$ / shares | May 27, 2016USD ($)$ / shares | Apr. 27, 2016USD ($)$ / shares | Mar. 28, 2016USD ($)$ / shares | Feb. 26, 2016USD ($)$ / shares | Jan. 27, 2016USD ($)$ / shares | Jan. 31, 2019USD ($)shares | Dec. 31, 2018USD ($)loanshares | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | Feb. 13, 2019USD ($)loan |
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net proceeds | $ 2,632,000 | $ 14,968,000 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common stock dividends cash paid (in dollars per share) | $ / shares | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.19 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.27 | $ 0.33 | $ 0.33 | $ 0.33 | ||||||||||||||||||||||
Aggregate amount paid to holders of record | $ 8,307,000 | $ 8,118,000 | $ 8,118,000 | $ 8,117,000 | $ 8,045,000 | $ 8,045,000 | $ 8,045,000 | $ 8,046,000 | $ 8,046,000 | $ 8,045,000 | $ 8,046,000 | $ 8,046,000 | $ 8,046,000 | $ 7,957,000 | $ 7,956,000 | $ 7,870,000 | $ 7,839,000 | $ 7,839,000 | $ 6,983,000 | $ 6,984,000 | $ 6,984,000 | $ 6,983,000 | $ 6,984,000 | $ 6,984,000 | $ 8,086,000 | $ 8,086,000 | $ 8,086,000 | $ 8,087,000 | $ 8,087,000 | $ 8,087,000 | $ 8,087,000 | $ 8,087,000 | $ 9,925,000 | $ 12,131,000 | $ 12,131,000 | $ 12,131,000 | $ 97,024,000 | 89,409,000 | $ 111,011,000 | |||||||||||||||||||
BUCKLER Securities, LLC | Corporate Joint Venture | Required Regulatory Capital Requirement of Related Party | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of loans | loan | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable related parties | $ 105,000,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Series A Preferred Stock | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred stock dividends cash paid (in dollars per share) | $ / shares | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | $ 0.17 | ||||||||||||||||||||||
Payments of dividends | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | $ 374,800 | 4,498,000 | 4,498,000 | 4,498,000 | |||||||||||||||||||
Series B Preferred Stock | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred stock dividends cash paid (in dollars per share) | $ / shares | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | $ 0.16 | ||||||||||||||||||||||
Payments of dividends | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,045,000 | $ 1,039,000 | $ 1,019,000 | $ 998,000 | $ 987,000 | $ 962,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 927,000 | $ 12,534,000 | $ 11,382,000 | $ 11,124,000 | |||||||||||||||||||
Scenario, Forecast | Series A Preferred Stock | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred stock dividends cash paid (in dollars per share) | $ / shares | $ 0.17 | $ 0.17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Payments of dividends | $ 375,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Scenario, Forecast | Series B Preferred Stock | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred stock dividends cash paid (in dollars per share) | $ / shares | $ 0.16 | $ 0.16 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Payments of dividends | $ 1,045,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common Stock ATM Sale Agreement | Common Stock | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of Series B Preferred stock, net (in shares) | shares | 883 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net proceeds | $ 19,013,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common stock dividends cash paid (in dollars per share) | $ / shares | $ 0.19 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Aggregate amount paid to holders of record | $ 8,540,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event | BUCKLER Securities, LLC | Corporate Joint Venture | Required Regulatory Capital Requirement of Related Party | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of loans | loan | 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable related parties | $ 105,000,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event | Common Stock | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of Series B Preferred stock, net (in shares) | shares | 6,900 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net proceeds | $ 138,207,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event | Scenario, Forecast | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common stock dividends cash paid (in dollars per share) | $ / shares | $ 0.19 | $ 0.19 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event | Common Stock ATM Sale Agreement | Common Stock | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of Series B Preferred stock, net (in shares) | shares | 884 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net proceeds | $ 18,540,000 |
Quarterly Financial Data (una_3
Quarterly Financial Data (unaudited) (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | ||||
Condensed Income Statements, Captions [Line Items] | ||||||||||||||
Agency Securities, net of amortization of premium and fees | $ 61,542 | $ 56,787 | $ 47,809 | $ 52,253 | $ 54,991 | $ 52,292 | $ 44,937 | $ 44,081 | $ 218,391 | $ 196,301 | $ 225,796 | |||
Interest expense- repurchase agreements | (46,147) | (40,359) | (35,706) | (32,018) | (28,841) | (27,137) | (20,516) | (18,064) | (154,230) | (94,558) | (73,107) | |||
Net Interest Income | 30,407 | 32,275 | 30,085 | 36,151 | 40,201 | 39,644 | 39,512 | 40,518 | 128,918 | 159,875 | 190,888 | |||
Realized gain (loss) on debt securities, available for sale | (63,895) | (31,136) | (25,316) | (32,603) | 2,237 | 891 | (460) | (11,154) | (152,950) | (8,486) | (18,211) | |||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income (loss)) | 0 | 0 | 0 | (12,090) | (3,297) | (72) | (10,338) | 0 | (12,090) | (13,707) | (6,540) | |||
Realized gain (loss) on derivatives | 1,709 | 3,739 | (14,341) | (38,604) | (20,964) | 897 | 9,641 | (12,249) | (47,497) | [1] | (22,675) | [1] | (452,398) | [1] |
Unrealized gain (loss) on derivatives | (147,108) | 54,169 | 45,054 | 97,201 | 43,719 | 2,574 | (30,789) | 23,768 | 49,316 | 39,272 | 206,212 | |||
Expenses | (8,854) | (9,354) | (9,352) | (9,465) | (9,305) | (8,456) | (9,364) | (8,706) | (37,025) | (35,831) | (37,503) | |||
Net Income (Loss) | (211,979) | 47,704 | 13,562 | 44,747 | 71,013 | 27,724 | 29,699 | 52,718 | (105,966) | 181,154 | (45,517) | |||
Dividends on preferred stock | (4,261) | (4,259) | (4,259) | (4,253) | (4,130) | (3,940) | (3,905) | (3,905) | (17,032) | (15,880) | (15,622) | |||
Net Income (Loss) available (related) to common stockholders | $ (216,240) | $ 43,445 | $ 9,303 | $ 40,494 | $ 66,883 | $ 23,784 | $ 25,794 | $ 48,813 | $ (122,998) | $ 165,274 | $ (61,139) | |||
Net income (loss) available (related) per share to common stockholders - Basic (in dollars per share) | $ (5.07) | $ 1.03 | $ 0.22 | $ 0.97 | $ 1.60 | $ 0.58 | $ 0.70 | $ 1.33 | $ (2.92) | $ 4.22 | $ (1.67) | |||
Net income (loss) available (related) per share to common stockholders - Diluted (in dollars per share) | (5.07) | 1.02 | 0.22 | 0.96 | 1.58 | 0.58 | 0.70 | 1.33 | (2.92) | 4.17 | (1.67) | |||
Dividends declared per common share (in dollars per share) | $ 0.57 | $ 0.57 | $ 0.57 | $ 0.57 | $ 0.57 | $ 0.57 | $ 0.57 | $ 0.57 | $ 2.28 | $ 2.28 | $ 3.02 | |||
Weighted average common shares outstanding – basic (in shares) | 42,656 | 42,047 | 41,912 | 41,887 | 41,857 | 41,288 | 36,782 | 36,724 | 42,128 | 39,170 | 36,698 | |||
Weighted average common shares outstanding - diluted (in shares) | 42,656 | 42,435 | 42,328 | 42,331 | 42,329 | 41,296 | 36,798 | 36,748 | 42,128 | 39,642 | 36,698 | |||
Credit Risk and Non-Agency Securities | ||||||||||||||
Condensed Income Statements, Captions [Line Items] | ||||||||||||||
Debt securities, trading | $ 13,518 | $ 14,573 | $ 14,330 | $ 14,006 | $ 13,584 | $ 13,973 | $ 14,514 | $ 13,898 | $ 56,427 | $ 55,969 | $ 36,573 | |||
Debt securities, trading | (23,200) | (2,115) | (3,234) | 1,283 | 18,748 | (7,571) | 30,211 | 24,284 | (27,266) | 65,672 | 59,120 | |||
Interest-Only Securities | ||||||||||||||
Condensed Income Statements, Captions [Line Items] | ||||||||||||||
Debt securities, trading | 395 | 413 | 417 | 442 | 467 | 516 | 577 | 603 | 1,667 | 2,163 | 1,626 | |||
Debt securities, trading | (1,065) | 210 | (450) | 298 | $ (326) | $ (183) | $ 1,286 | $ (3,743) | (1,007) | (2,966) | 6,431 | |||
US Treasury Securities | ||||||||||||||
Condensed Income Statements, Captions [Line Items] | ||||||||||||||
Debt securities, trading | 591 | 404 | 2,805 | 844 | 4,644 | 0 | 0 | |||||||
Debt securities, trading | 27 | (84) | (8,884) | 2,576 | (6,365) | 0 | 0 | |||||||
Corporate Debt Securities | ||||||||||||||
Condensed Income Statements, Captions [Line Items] | ||||||||||||||
Debt securities, trading | $ 508 | $ 457 | $ 430 | $ 624 | $ 2,019 | $ 0 | $ 0 | |||||||
[1] | Interest expense related to our interest rate swap contracts is recorded as realized loss on derivatives on the consolidated statements of operations. For additional information, see Note 10 |