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CMO Capstead Mortgage

Document and Entity Information

Document and Entity Information - shares3 Months Ended
Mar. 31, 2021May 04, 2021
Document Information [Line Items]
Entity Registrant NameCAPSTEAD MORTGAGE CORPORATION
Entity Central Index Key0000766701
Current Fiscal Year End Date--12-31
Entity Current Reporting StatusYes
Entity Filer CategoryAccelerated Filer
Entity Shell Companyfalse
Entity Small Businessfalse
Entity Emerging Growth Companyfalse
Document Quarterly Reporttrue
Document Transition Reportfalse
Entity Common Stock, Shares Outstanding96,847,910
Document Fiscal Year Focus2021
Document Fiscal Period FocusQ1
Document Type10-Q
Amendment Flagfalse
Document Period End DateMar. 31,
2021
Entity File Number001-08896
Entity Tax Identification Number75-2027937
Entity Address, Address Line One8401 North Central Expressway
Entity Address, Address Line TwoSuite 800
Entity Address, City or TownDallas
Entity Address, State or ProvinceTX
Entity Address, Postal Zip Code75225-4404
City Area Code214
Local Phone Number874-2323
Entity Interactive Data CurrentYes
Entity Incorporation, State or Country CodeMD
Common Stock [Member]
Document Information [Line Items]
Trading SymbolCMO
Title of 12(b) SecurityCommon Stock ($0.01 par value)
Security Exchange NameNYSE
Cumulative Redeemable Preferred Stock, Series E [Member]
Document Information [Line Items]
Trading SymbolCMOPRE
Title of 12(b) Security7.50% Series E Cumulative Redeemable    
   Preferred Stock ($0.10 par value)
Security Exchange NameNYSE

CONSOLIDATED BALANCE SHEETS (UN

CONSOLIDATED BALANCE SHEETS (UNAUDITED) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Assets
Residential mortgage investments ($7.16 and $7.71 billion pledged at March 31, 2021 and December 31, 2020, respectively) $ 7,405,411 $ 7,937,552
Cash collateral receivable from derivative counterparties61,796 74,411
Derivatives at fair value151
Cash and cash equivalents259,233 257,180
Receivables and other assets143,295 136,107
Total assets7,869,886 8,405,250
Liabilities
Secured borrowings6,805,061 7,319,083
Derivatives at fair value27,223 41,484
Unsecured borrowings98,519 98,493
Common stock dividend payable15,173 15,281
Accounts payable and accrued expenses20,217 20,746
Total liabilities6,966,193 7,495,087
Stockholders’ equity
Preferred stock - $0.10 par value; 100,000 shares authorized: 7.50% Cumulative Redeemable Preferred Stock, Series E, 10,329 shares issued and outstanding ($258,226 aggregate liquidation preference) at March 31, 2021 and December 31, 2020250,946 250,946
Common stock - $0.01 par value; 250,000 shares authorized: 96,481 and 94,606 shares issued and outstanding at March 31, 2021 and December 31, 2020, respectively968 965
Paid-in capital1,269,021 1,268,439
Accumulated deficit(651,551)(651,071)
Accumulated other comprehensive income34,309 40,884
Total stockholders' equity903,693 910,163
Total liabilities and equity $ 7,869,886 $ 8,405,250

CONSOLIDATED BALANCE SHEETS (_2

CONSOLIDATED BALANCE SHEETS (UNAUDITED) (Parenthetical) - USD ($) shares in Thousands, $ in Thousands3 Months Ended12 Months Ended
Mar. 31, 2021Dec. 31, 2020
Assets
Residential mortgage investments pledged $ 7,160,000 $ 7,710,000
Stockholders’ equity
Preferred stock, par value (in dollars per share) $ 0.10 $ 0.10
Preferred stock, shares authorized (in shares)100,000 100,000
Common stock, par value (in dollars per share) $ 0.01 $ 0.01
Common stock, shares authorized (in shares)250,000 250,000
Common stock, shares issued (in shares)96,848 96,481
Common stock, shares outstanding (in shares)96,848 96,481
Cumulative Redeemable Preferred Stock, Series E [Member]
Stockholders’ equity
Preferred stock, shares issued (in shares)10,329 10,329
Preferred stock, shares outstanding (in shares)10,329 10,329
Preferred stock, dividend rate7.50%7.50%
Preferred stock, aggregate liquidation preference $ 258,226 $ 258,226

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Interest income
Residential mortgage investments $ 26,165 $ 69,207
Other13 403
Interest income26,178 69,610
Interest expense
Secured borrowings(4,172)(45,256)
Unsecured borrowings(1,891)(1,900)
Interest expense(6,063)(47,156)
Net interest income (expense)20,115 22,454
Other (expense) income
Gain (loss) on derivative instruments (net)[1]2,382 (155,739)
Loss on sale of investments (net)(67,820)
Compensation-related expense(2,092)(2,204)
Other general and administrative expense(1,465)(1,202)
Miscellaneous other revenue (expense)2 (142)
Operating expenses(1,173)(227,107)
Net income (loss)18,942 (204,653)
Less preferred stock dividends(4,842)(4,842)
Net income (loss) to common stockholders $ 14,100 $ (209,495)
Net income (loss) per common share
Basic and diluted $ 0.15 $ (2.21)
Weighted average common shares outstanding
Basic95,894 94,897
Diluted96,230 94,897
[1]Included in “Loss on derivative instruments (net)” on the face of the Consolidated Statement of Operations.

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (UNAUDITED) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Statement Of Income And Comprehensive Income [Abstract]
Net income (loss) $ 18,942 $ (204,653)
Amounts related to available for sale securities:
Change in net unrealized gain or loss(21,483)(65,770)
Reclassification adjustment for amounts included in net income (loss)66,864
Amounts related to cash flow hedges:
Change in net unrealized gain or loss13,292 (21,251)
Reclassification adjustment for amounts included in net income (loss)1,616 480
Other comprehensive income(6,575)(19,677)
Comprehensive income (loss) $ 12,367 $ (224,330)

CONSOLIDATED STATEMENTS OF STOC

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) - USD ($) $ in ThousandsTotalPreferred Stock [Member]Common Stock [Member]Paid-in Capital [Member]Accumulated Deficit [Member]Accumulated Other Comprehensive Income (Loss) [Member]
Beginning Balance at Dec. 31, 2019 $ 1,073,733 $ 250,946 $ 946 $ 1,252,481 $ (444,039) $ 13,399
Net income (loss)(204,653)(204,653)
Change in unrealized gain on mortgage securities, net1,094 1,094
Amounts related to cash flow hedges, net(20,771)(20,771)
Cash dividends:
Common(14,519)(14,519)
Preferred(4,842)(4,842)
Issuance of common stock12,857 16 12,841
Other additions to capital725 2 723
Ending Balance at Mar. 31, 2020843,624 250,946 964 1,266,045 (668,053)(6,278)
Beginning Balance at Dec. 31, 2020910,163 250,946 965 1,268,439 (651,071)40,884
Net income (loss)18,942 18,942
Change in unrealized gain on mortgage securities, net(21,483)(21,483)
Amounts related to cash flow hedges, net14,908 14,908
Cash dividends:
Common(14,580)(14,580)
Preferred(4,842)(4,842)
Other additions to capital585 3 582
Ending Balance at Mar. 31, 2021 $ 903,693 $ 250,946 $ 968 $ 1,269,021 $ (651,551) $ 34,309

CONSOLIDATED STATEMENTS OF ST_2

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) (Parenthetical) - $ / shares3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Statement Of Stockholders Equity [Abstract]
Common per share (in dollars per share) $ 0.15 $ 0.12
Preferred per share (in dollars per share) $ 0.47 $ 0.47

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Operating activities
Net income (loss) $ 18,942 $ (204,653)
Adjustments to reconcile net income (loss) to cash provided by operating activities:
Amortization of investment premiums20,887 20,691
Amortization of equity-based awards706 835
Amortization of unrealized loss (gain) on de-designated hedges646 (103)
Loss on sale of mortgage investments67,820
(Gain) loss on derivative instruments (net)(2,228)156,747
Other depreciation and amortization30 29
Net change in receivables, other assets, accounts payable and accrued expenses2,394 (1,872)
Net cash provided by operating activities41,377 39,494
Investing activities
Purchases of residential mortgage investments(404,224)(814,547)
Proceeds from sales of residential mortgage investments2,540,426
Interest receivable acquired with the purchase of residential mortgage investments(652)(1,495)
Principal collections on residential mortgage investments, including changes in mortgage securities principal remittance receivable884,482 902,873
Net cash provided by investing activities479,606 2,627,257
Financing activities
Proceeds from repurchase arrangements and similar borrowings13,609,509 29,271,292
Principal payments on repurchase arrangements and similar borrowings(14,123,531)(31,167,283)
Decrease (increase) in cash collateral receivable from derivative counterparties12,615 (30,452)
Increase in cash collateral receivable from secured borrowing counterparties(359,168)
Net receipts from (payments on) derivative settlements2,125 (150,760)
Issuance of common stock12,882
Other capital stock transactions(104)(107)
Dividends paid(19,544)(19,104)
Net cash used in financing activities(518,930)(2,442,700)
Net change in cash and cash equivalents2,053 224,051
Cash and cash equivalents at beginning of period257,180 105,397
Cash and cash equivalents at end of period $ 259,233 $ 329,448

BUSINESS

BUSINESS3 Months Ended
Mar. 31, 2021
Organization Consolidation And Presentation Of Financial Statements [Abstract]
BUSINESSNOTE 1 — Capstead Mortgage Corporation operates as a self-managed real estate investment trust for federal income tax purposes (a “REIT”) and is based in Dallas, Texas. Unless the context otherwise indicates, Capstead Mortgage Corporation, together with its subsidiaries, is referred to as “Capstead” or the “Company.” Capstead earns income from investing in a leveraged portfolio of residential mortgage pass-through securities currently consisting primarily of adjustable-rate mortgage (“ARM”) securities issued and guaranteed by government-sponsored enterprises, either Fannie Mae, Freddie Mac, or by an agency of the federal government, Ginnie Mae. Together these securities are referred to as “Agency Securities” and are considered to have limited, if any, credit risk.

BASIS OF PRESENTATION

BASIS OF PRESENTATION3 Months Ended
Mar. 31, 2021
Organization Consolidation And Presentation Of Financial Statements [Abstract]
BASIS OF PRESENTATIONNOTE 2 — Interim Financial Reporting The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the quarter ended March 31, 2021 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2021. For further information refer to the audited consolidated financial statements and footnotes thereto included in the Company’s annual report on Form 10-K for the year ended December 31, 2020.

NET INCOME (LOSS) PER COMMON SH

NET INCOME (LOSS) PER COMMON SHARE3 Months Ended
Mar. 31, 2021
Earnings Per Share [Abstract]
NET INCOME (LOSS) PER COMMON SHARENOTE 3 — Basic net income (loss) per common share is computed by dividing net income, after deducting dividends paid or accrued on preferred stock and allocating earnings to equity awards deemed to be participating securities pursuant to the two-class method, by the average number of shares of common stock outstanding, calculated excluding unvested stock awards. Participating securities include unvested equity awards that contain non-forfeitable rights to dividends prior to vesting. Diluted net income (loss) per common share is computed by dividing the numerator used to compute basic net income (loss) per common share by the denominator used to compute basic net income (loss) per common share, further adjusted for the dilutive effect, if any, of equity awards and shares of preferred stock when and if convertible into shares of common stock. Shares of the Company’s 7.50% Series E Cumulative Redeemable Preferred Stock are contingently convertible into shares of common stock only upon the occurrence of a change in control and therefore are not considered dilutive securities absent such an occurrence. Any unvested equity awards that are deemed participating securities are included in the calculation of diluted net income (loss) per common share, if dilutive, under either the two-class method or the treasury stock method, depending upon which method produces the more dilutive result. Components of the computation of basic and diluted net income (loss) per common share were as follows for the indicated periods (dollars in thousands, except per share amounts) :
Quarter Ended
March 31
2021
2020
Basic net income (loss) per common share
Numerator for basic net income (loss) per common share:
Net income (loss)
$
18,942
$
(204,653
)
Preferred stock dividends
(4,842
)
(4,842
)
Earnings participation of unvested equity awards
(36
)
(32
)
$
14,064
$
(209,527
)
Denominator for basic net income (loss) per common share:
Average number of shares of common stock outstanding
96,793
95,636
Average unvested stock awards outstanding
(899
)
(739
)
95,894
94,897
$
0.15
$
(2.21
)
Diluted net income (loss) per common share
Numerator for diluted net income (loss) per common share
$
14,064
$
(209,527
)
Denominator for diluted net income (loss) per common share:
Denominator for basic net income (loss) per common share
95,894
94,897
Net effect of dilutive equity awards
336

96,230
94,897
$
0.15
$
(2.21
) Anti-dilutive securities that could be potentially dilutive in the future that were not included in the computation of diluted net income (loss) per common share include 80,000 equity awards excludable under the treasury stock method for the quarter ended March 31, 2021. There were 920,000 potentially dilutive securities excluded from the computation of diluted net income (loss) per common share for the quarter ended March 31, 2020.

RESIDENTIAL MORTGAGE INVESTMENT

RESIDENTIAL MORTGAGE INVESTMENTS3 Months Ended
Mar. 31, 2021
Residential Mortgage [Member]
RESIDENTIAL MORTGAGE INVESTMENTSNOTE 4 — Residential mortgage investments classified by collateral type and interest rate characteristics as of the indicated dates were as follows (dollars in thousands):
Unpaid Principal Balance
Investment Premiums
Amortized Cost Basis
Carrying Amount (a)
Net WAC (b)
Average Yield (c)
March 31, 2021
Agency Securities:
Fannie Mae/Freddie Mac ARMs
$
6,538,592
$
250,015
$
6,788,607
$
6,843,364
2.56
%
1.40
%
Ginnie Mae ARMs
537,617
16,119
553,736
562,047
3.25
1.16
$
7,076,209
$
266,134
$
7,342,343
$
7,405,411
2.61
1.38
December 31, 2020
Agency Securities:
Fannie Mae/Freddie Mac ARMs
$
6,982,650
$
252,921
$
7,235,571
$
7,310,089
2.67
%
1.51
%
Ginnie Mae ARMs
599,726
17,704
617,430
627,463
3.39
2.05
$
7,582,376
$
270,625
$
7,853,001
$
7,937,552
2.73
1.55
(a)
Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale.
(b)
Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date. Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments.
( c )
Average yield is presented for the quarter then ended and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments. Agency Securities are considered to have limited, if any, credit risk because the timely payment of principal and interest is guaranteed. The maturity of Agency Securities is directly affected by prepayments of principal on the underlying mortgage loans. Consequently, actual maturities will be significantly shorter than the portfolio’s weighted average contractual maturity of 289 months. Capstead’s ARM Agency Securities are backed by residential mortgage loans that have coupon interest rates that adjust at least annually to more current interest rates or begin doing so after an initial fixed-rate period. After the initial fixed-rate period, if applicable, mortgage loans underlying ARM securities typically either (i) adjust annually based on specified margins over the one-year London interbank offered rate (“LIBOR”) or the one-year Constant Maturity U.S. Treasury Note Rate (“CMT”), (ii) adjust semiannually based on specified margins over six-month LIBOR, or (iii) adjust monthly based on specified margins over indices such as one-month LIBOR, the Eleventh District Federal Reserve Bank Cost of Funds Index, or over a rolling twelve month average of the one-year CMT index, usually subject to periodic and lifetime limits, or caps, on the amount of such adjustments during any single interest rate adjustment period and over the contractual term of the underlying loans. Capstead classifies its ARM investments based on average number of months until coupon reset (“months to roll”). Months to roll is an indicator of asset duration which is a measure of market price sensitivity to interest rate movements. A shorter duration generally indicates less interest rate risk. Current-reset ARM investments have months to roll of less than 18 months while longer-to-reset ARM investments have months to roll of 18 months or greater. As of March 31, 2021, the average months to roll for the Company’s $2.97 billion (amortized cost basis) in current-reset ARM investments was approximately seven months while the average months to roll for the Company’s $ billion (amortized cost basis) in longer-to-reset ARM investments was approximately 55 months . The Company did not sell any securities during the quarter ended March 31, 2021. In March 2020, the Company sold available-for-sale securities using the specific identification method for proceeds totaling $2.56 billion recognizing no gross realized gains and gross realized losses totaling $67.8 million.

SECURED BORROWINGS

SECURED BORROWINGS3 Months Ended
Mar. 31, 2021
Disclosure Of Repurchase Agreements [Abstract]
SECURED BORROWINGSNOTE 5 — Capstead pledges its Residential mortgage investments The terms and conditions of secured borrowings are negotiated on a transaction-by-transaction basis when each such borrowing is initiated or renewed. The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an agreed-upon discount, referred to as a “haircut.” Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings. Interest may be paid monthly or at the termination of a borrowing at which time the Secured borrowings (and related pledged collateral, including accrued interest receivable), classified by collateral type and remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands):
Collateral Type
Agency Securities Pledged
Accrued Interest Receivable
Borrowings Outstanding
Average Borrowing Rates
March 31, 2021
Borrowings under repurchase arrangements with maturities of 30 days or less
$
6,420,936
$
14,801
$
6,095,509
0.16
%
Borrowings under repurchase arrangements with maturities of 31 to 90 days
217,480
464
209,552
0.16
Borrowings under repurchase arrangements with maturities of greater than 90 days
520,869
1,132
500,000
0.29
$
7,159,285
$
16,397
$
6,805,061
0.17
December 31, 2020
Borrowings under repurchase arrangements with maturities of 30 days or less
$
5,249,989
$
12,597
$
4,972,181
0.21
%
Borrowings under repurchase arrangements with maturities of 31 to 90 days
1,939,034
4,225
1,846,902
0.20
Borrowings under repurchase arrangements with maturities of greater than 90 days
522,969
1,167
500,000
0.29
$
7,711,992
$
17,989
$
7,319,083
0.21
Average secured borrowings outstanding were $6.9 billion and $10.3 billion during the quarters ended March 31, 2021 and 2020, respectively. Average secured borrowings outstanding during the indicated periods differed from respective ending balances primarily due to sales in March 2020, changes in portfolio levels and differences in the timing of portfolio acquisitions relative to portfolio runoff.

USE OF DERIVATIVES, OFFSETTING

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT3 Months Ended
Mar. 31, 2021
Derivative Instruments And Hedging Activities Disclosure [Abstract]
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENTNOTE 6 — Capstead’s portfolio of derivative financial instruments (“Derivatives”) hedge the variability of the underlying benchmark interest rate of current and forecasted 30- to 90-day secured borrowings. The Company attempts to mitigate exposure to higher interest rates primarily by entering into SOFR- and OIS-indexed, pay-fixed, receive-variable, interest rate swap agreements for terms between eighteen months and three years. From an economic perspective, this hedge relationship establishes a relatively stable fixed rate on related borrowings because the variable-rate payments received on the swap agreements offset a portion of the interest accruing on the borrowings, leaving primarily the fixed-rate swap payments as the Company’s effective borrowing rate. Additionally, changes in fair value of these Derivatives tend to partially offset opposing changes in fair value of the Company’s residential mortgage investments that can occur in response to changes in market interest rates. During the quarter ended March 31, 2021, Capstead entered into swap agreements with notional amounts totaling $250 million requiring fixed-rate interest payments averaging 0.26%. No swap agreements matured during the quarter ended March 31, 2021. At March 31, 2021 the Company’s swap positions related to secured borrowings had the following characteristics (dollars in thousands):
Period of Contract Expiration
Notional Amount
Average Fixed-Rate Payment Requirement
Second quarter 2022
$
400,000
0.02
%
Third quarter 2022
1,200,000
0.01
Fourth quarter 2022
900,000
0.07
First quarter 2023
50,000
0.13
Third quarter 2023
100,000
0.03
Fourth quarter 2023
374,500
0.09
First quarter 2024
150,000
0.28
Second quarter 2024
50,000
0.34
$
3,224,500
T he Company has three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements with notional amounts totaling $100 million and average fixed rates of 4.09% with 20-year payment terms coinciding with the floating-rate terms of the Company’s Unsecured borrowings that mature in 2035 and 2036. These Derivatives, which are designated as cash flow hedges for accounting purposes, hedge the variability of the underlying benchmark interest rate associated with the floating-rate terms of these long-term borrowings. These Derivatives’ LIBOR-indexed receive rates match the underlying floating-rate terms of the Company’s Unsecured borrowings and therefore the eventual replacement of the LIBOR index on these Derivatives is not expected to have any financial impact. Interest rate swap agreements are measured at fair value on a recurring basis primarily using Level 2 Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820) The Company also incorporates both its own nonperformance risk and its counterparties’ nonperformance risk in determining fair value. In considering the effect of nonperformance risk, the Company considered the impact The fair value of exchange-traded swap agreements hedging Secured borrowings separately presenting on the balance sheet a significantly reduced fair value amount representing the unsettled fair value of these Derivatives. Non-exchange traded swap agreements held as cash flow hedges of Unsecured borrowings are reported at fair value calculated excluding accrued interest. Cash collateral receivable from derivative counterparties includes initial margin for all Derivatives and variation margin for non-exchange traded Derivatives . Accrued interest for non-exchange traded swap agreements is included in Accounts payable and accrued expenses . The following tables include fair value and other related disclosures regarding all Derivatives held as of and for the indicated periods (in thousands):
Balance Sheet
March 31
December 31
Location
2021
2020
Balance sheet-related
Swap agreements in a gain position (an asset) related to secured borrowings
(a)
$
151
$

Swap agreements in a loss position (a liability) related to
unsecured borrowings
(a)
(27,223
)
(41,484
)
Related net interest payable
(b)
(1,105
)
(597
)
$
(28,177
)
$
(42,081
)
(a)
The fair value of Derivatives with unrealized gains are aggregated and recorded as an asset on the face of the Balance Sheets separately from the fair value of Derivatives with unrealized losses that are recorded as a liability.
(b)
Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets.
Location of Gain or (Loss) Recognized in
Quarter Ended March 31
Net Income
2021
2020
Income statement-related
Component of Secured borrowings-related effects on interest expense:
Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives
$
(647
)
$
103
(a)
(647
)
103
Component of Unsecured borrowings-related effects on interest expense:
Amount of loss reclassified from Accumulated other comprehensive income (loss)
(b)
(969
)
(583
)
Decrease in interest expense as a result of the use of Derivatives
$
(1,616
)
$
(480
)
Realized and unrealized gain (loss) on non-designated Derivatives (net) related to:
Interest rate swap agreements
$
2,382
$
(153,224
)
Eurodollar futures

(2,515
)
(c)
$
2,382
$
(155,739
)
Other comprehensive income-related
Amount of gain (loss) recognized in Other comprehensive income
$
13,292
$
(21,251
)
(a)
Included in “Interest expense: Secured borrowings” on the face of the Consolidated Statements of Operations.
(b)
Included in “Interest expense: Unsecured borrowings” on the face of the Consolidated Statements of Operations
(c)
Included in “Loss on derivative instruments (net)” on the face of the Consolidated Statement of Operations. Capstead’s swap agreements and borrowings under repurchase arrangements are subject to master netting arrangements in the event of default on, or termination of, any one contract. See NOTE 5 for more information on the Company’s use of secured borrowings. The following tables provide disclosures concerning offsetting of financial liabilities and Derivatives as of the indicated dates (in thousands):
Offsetting of Derivative Assets
Gross
Net Amounts
Gross Amounts Not Offset
Gross
Amounts
of Assets
in the Balance Sheet (b)
Amounts of
Offset in
Presented in
Cash
Recognized
the Balance
the Balance
Financial
Collateral
Net
Assets (a)
Sheet (a)
Sheet
Instruments
Received
Amount
March 31, 2021
Counterparty 4
$
4,949
$
(4,798
)
$
151
$

$

$
151
December 31, 2020
Counterparty 4
$
2,673
$
(2,673
)
$

$

$

$

(a)
Included in gross amounts of recognized assets at March 31, 2021 are the fair value of exchange-traded swap agreements, calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swaps at March 31, 2021.
(b)
Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
Offsetting of Financial Liabilities and Derivative Liabilities
Gross
Net Amounts
Gross Amounts Not Offset
Gross
Amounts
of Liabilities
in the Balance Sheet (c)
Amounts of
Offset in
Presented in
Cash
Recognized
the Balance
the Balance
Financial
Collateral
Net
Liabilities (a)
Sheet (a)
Sheet (b)
Instruments
Pledged
Amount
March 31, 2021
Derivatives by counterparty:
Counterparty 1
$
28,329
$

$
28,329
$

$
(28,329
)
$

Counterparty 4
81
(81
)




28,410
(81
)
28,329

(28,329
)

Borrowings under repurchase arrangements (d)
6,806,138

6,806,138
(6,806,138
)


$
6,834,548
$
(81
)
$
6,834,467
$
(6,806,138
)
$
(28,329
)
$

December 31, 2020
Derivatives by counterparty:
Counterparty 1
$
42,082
$

$
42,082
$

$
(42,082
)
$

Counterparty 4
257
(257
)




42,339
(257
)
42,082

(42,082
)

Borrowings under repurchase arrangements (d)
7,320,090

7,320,090
(7,320,090
)


$
7,362,429
$
(257
)
$
7,362,172
$
(7,320,090
)
$
(42,082
)
$

(a)
Included in gross amounts of recognized liabilities at March 31, 2021 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at March 31, 2021.
(b)
Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
(c)
Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
(d)
Amounts include accrued interest payable of $1.1 million and $1.0 million on borrowings under repurchase arrangements as of March 31, 2021 and December 31, 2020, respectively. The amount of unrealized losses, net of unrealized gains, included in Accumulated other comprehensive income (loss) Changes in Accumulated other comprehensive income by component for the quarter ended March 31, 2021 were as follows (in thousands):
Unrealized Gains and Losses on Cash Flow Hedges
Unrealized Gains and Losses on Available-for-Sale Securities
Total
Balance at December 31, 2020
$
(43,667
)
$
84,551
$
40,884
Activity for the quarter ended March 31, 2021:
Other comprehensive income (loss) before reclassifications
13,292
(21,483
)
(8,191
)
Amounts reclassified from accumulated other comprehensive income (loss)
1,616

1,616
Other comprehensive income (loss)
14,908
(21,483
)
(6,575
)
Balance at March 31, 2021
$
(28,759
)
$
63,068
$
34,309

UNSECURED BORROWINGS

UNSECURED BORROWINGS3 Months Ended
Mar. 31, 2021
Debt Disclosure [Abstract]
UNSECURED BORROWINGSNOTE 7 — Unsecured borrowings consist of 30-year junior subordinated notes issued in 2005 and 2006 and maturing in 2035 and 2036, for a total face amount of $100 million. The notes are currently redeemable, in whole or in part, without penalty, at the Company’s option. Balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for effects of related Derivatives held as cash flow hedges) were as follows (dollars in thousands):
March 31, 2021
December 31, 2020
Borrowings Outstanding
Average Rate
Borrowings Outstanding
Average Rate
Junior subordinated notes maturing in:
October 2035 ($35,000 face amount)
$
34,441
7.87
%
$
34,431
7.87
%
December 2035 ($40,000 face amount)
39,445
7.63
39,435
7.64
September 2036 ($25,000 face amount)
24,633
7.67
24,627
7.68
$
98,519
7.72
$
98,493
7.73

FAIR VALUE

FAIR VALUE3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]
FAIR VALUENOTE 8 — The fair value of Capstead’s financial assets and liabilities are influenced by changes in, and market expectations for changes in, interest rates and market liquidity conditions, as well as other factors beyond the control of management. A ll fair values were determined using Level 2 Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820). Residential mortgage investments , all of which are mortgage securities classified as available-for-sale, are measured at fair value on a recurring basis. In determining fair value estimates the Company considers recent trading activity for similar investments and pricing levels indicated by lenders in connection with designating collateral for secured borrowings, provided such pricing levels are considered indicative of actual market clearing transactions. In determining fair value estimates for with initial terms of greater than 120 days, the Company considers pricing levels indicated by lenders for entering into new transactions using similar pledged collateral with terms equal to the remaining terms of these borrowings. The Company bases fair value for on discounted cash flows using Company estimates for market yields. Excluded from these disclosures are financial instruments for which cost basis is deemed to approximate fair value due primarily to the short duration of these instruments, which are valued using primarily Level 1 measurements, including , , receivables, payables and secured borrowings with initial terms of 120 days or less. See NOTE 6 for information relative to the valuation of interest rate swap agreements. Fair value-related disclosures for financial instruments other than debt securities were as follows as of the indicated dates (in thousands):
March 31, 2021
December 31, 2020
Fair Value Hierarchy
Carrying Amount
Fair Value
Carrying Amount
Fair Value
Financial assets:
Secured borrowings-related interest rate swap agreements
Level 2
$
151
$
151
$

$

Financial liabilities:
Secured borrowings with initial terms of greater than 120 days
Level 2
500,000
500,300
500,000
500,100
Unsecured borrowings
Level 2
98,519
75,800
98,493
59,900
Unsecured borrowings-related interest rate swap agreements
Level 2
27,223
27,223
41,484
41,484
Fair value-related disclosures for debt securities were as follows as of the indicated dates (in thousands):
Amortized
Gross Unrealized
Cost Basis
Gains
Losses
Fair Value
March 31, 2021
Agency Securities classified as available-for-sale:
Fannie Mae/Freddie Mac
$
6,788,607
$
72,845
$
18,088
$
6,843,364
Ginnie Mae
553,736
8,894
583
562,047
December 31, 2020
Agency Securities classified as available-for-sale:
Fannie Mae/Freddie Mac
7,235,571
87,158
12,640
7,310,089
Ginnie Mae
617,430
10,541
508
627,463
March 31, 2021
December 31, 2020
Fair Value
Unrealized Loss
Fair Value
Unrealized Loss
Securities in an unrealized loss position of one year or greater:
Fannie Mae/Freddie Mac
$
478,686
$
7,519
$
690,227
$
9,533
Ginnie Mae
41,173
424
27,462
285
Securities in an unrealized loss position less than one year:
Fannie Mae/Freddie Mac
1,470,536
10,569
583,870
3,107
Ginnie Mae
44,442
160
41,527
223
$
2,034,837
$
18,672
$
1,343,086
$
13,148
From a credit risk perspective, federal government support for Fannie Mae and Freddie Mac helps ensure that fluctuations in value are due to interest rate changes and are not due to credit risk associated with these securities. The unrealized losses on the Company’s investment in ARM Agency Securities were caused by interest rate changes, and the contractual cash flows of those investments are guaranteed by an agency of the U.S. government. The Company does not intend to sell the investments as of March 31, 2021 and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases.

EQUITY INCENTIVE PLAN

EQUITY INCENTIVE PLAN3 Months Ended
Mar. 31, 2021
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract]
EQUITY INCENTIVE PLANNOTE 9 — All equity-based awards and other long-term incentive awards are made pursuant to the Company’s Amended and Restated 2014 Flexible Incentive Plan that was approved by stockholders in May 2014. At March 31, 2021, this plan had 1,878,295 shares of common stock remaining available for future issuances. Long-term Equity-based Awards – Performance-based Restricted Stock Units (“RSUs”) RSU activity and related information for the quarter ended March 31, 2021 is summarized below:
Weighted
Average
Number of
Grant Date
Shares
Fair Value
Unvested RSU awards outstanding at December 31, 2020
581,365
$
7.83
Grants
267,573
5.86
Forfeitures
(111,897
)
8.71
Vestings
(71,240
)
8.71
Unvested RSU awards outstanding at March 31, 2021
665,801
6.80
During the quarters ended March 31, 2021 and 2020, the Company recognized in Compensation-related expense Dividends accrue from the date of grant and will be paid in cash to the extent the units convert into shares of common stock following completion of the related performance periods. If these shares do not vest, the related dividends will be forfeited. Included in Common stock dividends payable Long-term Equity-based Awards – Restricted Stock Awards Restricted stock award activity for the quarter ended March 31, 2021 is summarized below:
Weighted
Average
Number of
Grant Date
Shares
Fair Value
Unvested stock awards outstanding at December 31, 2020
768,041
$
7.42
Grants
335,654
5.67
Forfeitures
(21,145
)
6.76
Vestings
(173,734
)
8.60
Unvested stock awards outstanding at March 31, 2021
908,816
6.57
During the quarters ended March 31, 2021 and 2020, the Company recognized in Compensation-related expense Other general and administrative expense Service-based stock awards issued to non-executive employees and to directors receive dividends on a current basis without risk of forfeiture if the related awards do not vest. Stock awards issued to executives defer the payment of dividends accruing between the grant dates and the end of related service periods. If these awards do not vest, the related accrued dividends will be forfeited. Included in Common stock dividend payable

BASIS OF PRESENTATION (Policies

BASIS OF PRESENTATION (Policies)3 Months Ended
Mar. 31, 2021
Organization Consolidation And Presentation Of Financial Statements [Abstract]
Interim Financial ReportingInterim Financial Reporting The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the quarter ended March 31, 2021 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2021. For further information refer to the audited consolidated financial statements and footnotes thereto included in the Company’s annual report on Form 10-K for the year ended December 31, 2020.

NET INCOME (LOSS) PER COMMON _2

NET INCOME (LOSS) PER COMMON SHARE (Tables)3 Months Ended
Mar. 31, 2021
Earnings Per Share [Abstract]
Components of Computation of Basic and Diluted Net Income per Common ShareComponents of the computation of basic and diluted net income (loss) per common share were as follows for the indicated periods (dollars in thousands, except per share amounts) :
Quarter Ended
March 31
2021
2020
Basic net income (loss) per common share
Numerator for basic net income (loss) per common share:
Net income (loss)
$
18,942
$
(204,653
)
Preferred stock dividends
(4,842
)
(4,842
)
Earnings participation of unvested equity awards
(36
)
(32
)
$
14,064
$
(209,527
)
Denominator for basic net income (loss) per common share:
Average number of shares of common stock outstanding
96,793
95,636
Average unvested stock awards outstanding
(899
)
(739
)
95,894
94,897
$
0.15
$
(2.21
)
Diluted net income (loss) per common share
Numerator for diluted net income (loss) per common share
$
14,064
$
(209,527
)
Denominator for diluted net income (loss) per common share:
Denominator for basic net income (loss) per common share
95,894
94,897
Net effect of dilutive equity awards
336

96,230
94,897
$
0.15
$
(2.21
)

RESIDENTIAL MORTGAGE INVESTME_2

RESIDENTIAL MORTGAGE INVESTMENTS (Tables)3 Months Ended
Mar. 31, 2021
Investments Debt And Equity Securities [Abstract]
Schedule of Residential Mortgage InvestmentsResidential mortgage investments classified by collateral type and interest rate characteristics as of the indicated dates were as follows (dollars in thousands):
Unpaid Principal Balance
Investment Premiums
Amortized Cost Basis
Carrying Amount (a)
Net WAC (b)
Average Yield (c)
March 31, 2021
Agency Securities:
Fannie Mae/Freddie Mac ARMs
$
6,538,592
$
250,015
$
6,788,607
$
6,843,364
2.56
%
1.40
%
Ginnie Mae ARMs
537,617
16,119
553,736
562,047
3.25
1.16
$
7,076,209
$
266,134
$
7,342,343
$
7,405,411
2.61
1.38
December 31, 2020
Agency Securities:
Fannie Mae/Freddie Mac ARMs
$
6,982,650
$
252,921
$
7,235,571
$
7,310,089
2.67
%
1.51
%
Ginnie Mae ARMs
599,726
17,704
617,430
627,463
3.39
2.05
$
7,582,376
$
270,625
$
7,853,001
$
7,937,552
2.73
1.55
(a)
Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale.
(b)
Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date. Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments.
( c )
Average yield is presented for the quarter then ended and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments.

SECURED BORROWINGS (Tables)

SECURED BORROWINGS (Tables)3 Months Ended
Mar. 31, 2021
Disclosure Of Repurchase Agreements [Abstract]
Schedule of Secured BorrowingsSecured borrowings (and related pledged collateral, including accrued interest receivable), classified by collateral type and remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands):
Collateral Type
Agency Securities Pledged
Accrued Interest Receivable
Borrowings Outstanding
Average Borrowing Rates
March 31, 2021
Borrowings under repurchase arrangements with maturities of 30 days or less
$
6,420,936
$
14,801
$
6,095,509
0.16
%
Borrowings under repurchase arrangements with maturities of 31 to 90 days
217,480
464
209,552
0.16
Borrowings under repurchase arrangements with maturities of greater than 90 days
520,869
1,132
500,000
0.29
$
7,159,285
$
16,397
$
6,805,061
0.17
December 31, 2020
Borrowings under repurchase arrangements with maturities of 30 days or less
$
5,249,989
$
12,597
$
4,972,181
0.21
%
Borrowings under repurchase arrangements with maturities of 31 to 90 days
1,939,034
4,225
1,846,902
0.20
Borrowings under repurchase arrangements with maturities of greater than 90 days
522,969
1,167
500,000
0.29
$
7,711,992
$
17,989
$
7,319,083
0.21

USE OF DERIVATIVES, OFFSETTIN_2

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables)3 Months Ended
Mar. 31, 2021
Derivative Instruments And Hedging Activities Disclosure [Abstract]
Schedule of Swap Agreements Expiration Period and CharacteristicsAt March 31, 2021 the Company’s swap positions related to secured borrowings had the following characteristics (dollars in thousands):
Period of Contract Expiration
Notional Amount
Average Fixed-Rate Payment Requirement
Second quarter 2022
$
400,000
0.02
%
Third quarter 2022
1,200,000
0.01
Fourth quarter 2022
900,000
0.07
First quarter 2023
50,000
0.13
Third quarter 2023
100,000
0.03
Fourth quarter 2023
374,500
0.09
First quarter 2024
150,000
0.28
Second quarter 2024
50,000
0.34
$
3,224,500
Impact of Derivative Instruments on Statements of Financial Performance and Financial PositionThe following tables include fair value and other related disclosures regarding all Derivatives held as of and for the indicated periods (in thousands):
Balance Sheet
March 31
December 31
Location
2021
2020
Balance sheet-related
Swap agreements in a gain position (an asset) related to secured borrowings
(a)
$
151
$

Swap agreements in a loss position (a liability) related to
unsecured borrowings
(a)
(27,223
)
(41,484
)
Related net interest payable
(b)
(1,105
)
(597
)
$
(28,177
)
$
(42,081
)
(a)
The fair value of Derivatives with unrealized gains are aggregated and recorded as an asset on the face of the Balance Sheets separately from the fair value of Derivatives with unrealized losses that are recorded as a liability.
(b)
Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets.
Location of Gain or (Loss) Recognized in
Quarter Ended March 31
Net Income
2021
2020
Income statement-related
Component of Secured borrowings-related effects on interest expense:
Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives
$
(647
)
$
103
(a)
(647
)
103
Component of Unsecured borrowings-related effects on interest expense:
Amount of loss reclassified from Accumulated other comprehensive income (loss)
(b)
(969
)
(583
)
Decrease in interest expense as a result of the use of Derivatives
$
(1,616
)
$
(480
)
Realized and unrealized gain (loss) on non-designated Derivatives (net) related to:
Interest rate swap agreements
$
2,382
$
(153,224
)
Eurodollar futures

(2,515
)
(c)
$
2,382
$
(155,739
)
Other comprehensive income-related
Amount of gain (loss) recognized in Other comprehensive income
$
13,292
$
(21,251
)
(a)
Included in “Interest expense: Secured borrowings” on the face of the Consolidated Statements of Operations.
(b)
Included in “Interest expense: Unsecured borrowings” on the face of the Consolidated Statements of Operations
(c)
Included in “Loss on derivative instruments (net)” on the face of the Consolidated Statement of Operations.
Schedule of Offsetting Disclosures for Asset Derivatives Held and Repurchase Arrangements and Similar Borrowings OutstandingThe following tables provide disclosures concerning offsetting of financial liabilities and Derivatives as of the indicated dates (in thousands):
Offsetting of Derivative Assets
Gross
Net Amounts
Gross Amounts Not Offset
Gross
Amounts
of Assets
in the Balance Sheet (b)
Amounts of
Offset in
Presented in
Cash
Recognized
the Balance
the Balance
Financial
Collateral
Net
Assets (a)
Sheet (a)
Sheet
Instruments
Received
Amount
March 31, 2021
Counterparty 4
$
4,949
$
(4,798
)
$
151
$

$

$
151
December 31, 2020
Counterparty 4
$
2,673
$
(2,673
)
$

$

$

$

(a)
Included in gross amounts of recognized assets at March 31, 2021 are the fair value of exchange-traded swap agreements, calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swaps at March 31, 2021.
(b)
Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
Schedule of Offsetting Disclosures for Liability Derivatives Held and Repurchase Arrangements and Similar Borrowings OutstandingOffsetting of Financial Liabilities and Derivative Liabilities
Gross
Net Amounts
Gross Amounts Not Offset
Gross
Amounts
of Liabilities
in the Balance Sheet (c)
Amounts of
Offset in
Presented in
Cash
Recognized
the Balance
the Balance
Financial
Collateral
Net
Liabilities (a)
Sheet (a)
Sheet (b)
Instruments
Pledged
Amount
March 31, 2021
Derivatives by counterparty:
Counterparty 1
$
28,329
$

$
28,329
$

$
(28,329
)
$

Counterparty 4
81
(81
)




28,410
(81
)
28,329

(28,329
)

Borrowings under repurchase arrangements (d)
6,806,138

6,806,138
(6,806,138
)


$
6,834,548
$
(81
)
$
6,834,467
$
(6,806,138
)
$
(28,329
)
$

December 31, 2020
Derivatives by counterparty:
Counterparty 1
$
42,082
$

$
42,082
$

$
(42,082
)
$

Counterparty 4
257
(257
)




42,339
(257
)
42,082

(42,082
)

Borrowings under repurchase arrangements (d)
7,320,090

7,320,090
(7,320,090
)


$
7,362,429
$
(257
)
$
7,362,172
$
(7,320,090
)
$
(42,082
)
$

(a)
Included in gross amounts of recognized liabilities at March 31, 2021 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at March 31, 2021.
(b)
Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
(c)
Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
(d)
Amounts include accrued interest payable of $1.1 million and $1.0 million on borrowings under repurchase arrangements as of March 31, 2021 and December 31, 2020, respectively.
Changes in Accumulated Other Comprehensive IncomeChanges in Accumulated other comprehensive income by component for the quarter ended March 31, 2021 were as follows (in thousands):
Unrealized Gains and Losses on Cash Flow Hedges
Unrealized Gains and Losses on Available-for-Sale Securities
Total
Balance at December 31, 2020
$
(43,667
)
$
84,551
$
40,884
Activity for the quarter ended March 31, 2021:
Other comprehensive income (loss) before reclassifications
13,292
(21,483
)
(8,191
)
Amounts reclassified from accumulated other comprehensive income (loss)
1,616

1,616
Other comprehensive income (loss)
14,908
(21,483
)
(6,575
)
Balance at March 31, 2021
$
(28,759
)
$
63,068
$
34,309

UNSECURED BORROWINGS (Tables)

UNSECURED BORROWINGS (Tables)3 Months Ended
Mar. 31, 2021
Debt Disclosure [Abstract]
Schedule of Subordinated Note Balances and Related Weighted Average Interest RatesThe notes are currently redeemable, in whole or in part, without penalty, at the Company’s option. Balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for effects of related Derivatives held as cash flow hedges) were as follows (dollars in thousands):
March 31, 2021
December 31, 2020
Borrowings Outstanding
Average Rate
Borrowings Outstanding
Average Rate
Junior subordinated notes maturing in:
October 2035 ($35,000 face amount)
$
34,441
7.87
%
$
34,431
7.87
%
December 2035 ($40,000 face amount)
39,445
7.63
39,435
7.64
September 2036 ($25,000 face amount)
24,633
7.67
24,627
7.68
$
98,519
7.72
$
98,493
7.73

FAIR VALUE (Tables)

FAIR VALUE (Tables)3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]
Financial Instruments Other than Debt SecuritiesFair value-related disclosures for financial instruments other than debt securities were as follows as of the indicated dates (in thousands):
March 31, 2021
December 31, 2020
Fair Value Hierarchy
Carrying Amount
Fair Value
Carrying Amount
Fair Value
Financial assets:
Secured borrowings-related interest rate swap agreements
Level 2
$
151
$
151
$

$

Financial liabilities:
Secured borrowings with initial terms of greater than 120 days
Level 2
500,000
500,300
500,000
500,100
Unsecured borrowings
Level 2
98,519
75,800
98,493
59,900
Unsecured borrowings-related interest rate swap agreements
Level 2
27,223
27,223
41,484
41,484
Fair Value and Related Disclosures for Debt SecuritiesFair value-related disclosures for debt securities were as follows as of the indicated dates (in thousands):
Amortized
Gross Unrealized
Cost Basis
Gains
Losses
Fair Value
March 31, 2021
Agency Securities classified as available-for-sale:
Fannie Mae/Freddie Mac
$
6,788,607
$
72,845
$
18,088
$
6,843,364
Ginnie Mae
553,736
8,894
583
562,047
December 31, 2020
Agency Securities classified as available-for-sale:
Fannie Mae/Freddie Mac
7,235,571
87,158
12,640
7,310,089
Ginnie Mae
617,430
10,541
508
627,463
Securities in Unrealized Loss PositionMarch 31, 2021
December 31, 2020
Fair Value
Unrealized Loss
Fair Value
Unrealized Loss
Securities in an unrealized loss position of one year or greater:
Fannie Mae/Freddie Mac
$
478,686
$
7,519
$
690,227
$
9,533
Ginnie Mae
41,173
424
27,462
285
Securities in an unrealized loss position less than one year:
Fannie Mae/Freddie Mac
1,470,536
10,569
583,870
3,107
Ginnie Mae
44,442
160
41,527
223
$
2,034,837
$
18,672
$
1,343,086
$
13,148

EQUITY INCENTIVE PLAN (Tables)

EQUITY INCENTIVE PLAN (Tables)3 Months Ended
Mar. 31, 2021
Performance-based RSUs [Member]
Schedule of Performance-Based and Service-Based Stock Award ActivityRSU activity and related information for the quarter ended March 31, 2021 is summarized below:
Weighted
Average
Number of
Grant Date
Shares
Fair Value
Unvested RSU awards outstanding at December 31, 2020
581,365
$
7.83
Grants
267,573
5.86
Forfeitures
(111,897
)
8.71
Vestings
(71,240
)
8.71
Unvested RSU awards outstanding at March 31, 2021
665,801
6.80
Restricted Stock Award Activity [Member]
Schedule of Performance-Based and Service-Based Stock Award ActivityRestricted stock award activity for the quarter ended March 31, 2021 is summarized below:
Weighted
Average
Number of
Grant Date
Shares
Fair Value
Unvested stock awards outstanding at December 31, 2020
768,041
$
7.42
Grants
335,654
5.67
Forfeitures
(21,145
)
6.76
Vestings
(173,734
)
8.60
Unvested stock awards outstanding at March 31, 2021
908,816
6.57

NET INCOME (LOSS) PER COMMON _3

NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares3 Months Ended12 Months Ended
Mar. 31, 2021Mar. 31, 2020Dec. 31, 2020
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items]
Potentially dilutive securities excluded from the computation of diluted net income (loss) per common share80,000 920,000
Cumulative Redeemable Preferred Stock, Series E [Member]
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items]
Preferred stock, dividend rate7.50%7.50%

NET INCOME (LOSS) PER COMMON _4

NET INCOME (LOSS) PER COMMON SHARE - Components of Computation of Basic and Diluted Net Income (loss) per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Numerator for basic net income (loss) per common share [Abstract]
Net income (loss) $ 18,942 $ (204,653)
Preferred stock dividends(4,842)(4,842)
Earnings participation of unvested equity awards(36)(32)
Numerator for basic net income (loss) per common share $ 14,064 $ (209,527)
Denominator for basic net income (loss) per common share [Abstract]
Average number of shares of common stock outstanding (in shares)96,793 95,636
Average unvested stock awards outstanding (in shares)(899)(739)
Denominator for basic net income (loss) per common share (in shares)95,894 94,897
Basic net income (loss) per common share (in dollars per share) $ 0.15 $ (2.21)
Numerator for diluted net income (loss) per common share [Abstract]
Numerator for basic net income (loss) per common share $ 14,064 $ (209,527)
Denominator for diluted net income (loss) per common share [Abstract]
Denominator for basic net income (loss) per common share (in shares)95,894 94,897
Net effect of dilutive equity awards (in shares)336
Denominator for diluted net income (loss) per common share (in shares)96,230 94,897
Diluted net income (loss) per common share (in dollars per share) $ 0.15 $ (2.21)

RESIDENTIAL MORTGAGE INVESTME_3

RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - Agency Securities [Member] - USD ($) $ in Thousands3 Months Ended12 Months Ended
Mar. 31, 2021Dec. 31, 2020
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance $ 7,076,209 $ 7,582,376
Investment Premiums266,134 270,625
Amortized Cost Basis7,342,343 7,853,001
Carrying Amount[1] $ 7,405,411 $ 7,937,552
Net WAC[2]2.61%2.73%
Average Yield[3]1.38%1.55%
Fannie Mae/Freddie Mac [Member] | ARMs [Member]
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance $ 6,538,592 $ 6,982,650
Investment Premiums250,015 252,921
Amortized Cost Basis6,788,607 7,235,571
Carrying Amount[1] $ 6,843,364 $ 7,310,089
Net WAC[2]2.56%2.67%
Average Yield[3]1.40%1.51%
Ginnie Mae [Member] | ARMs [Member]
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance $ 537,617 $ 599,726
Investment Premiums16,119 17,704
Amortized Cost Basis553,736 617,430
Carrying Amount[1] $ 562,047 $ 627,463
Net WAC[2]3.25%3.39%
Average Yield[3]1.16%2.05%
[1]Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale.
[2]Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date.  Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments.
[3]Average yield is presented for the quarter then ended and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums.  Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments.

RESIDENTIAL MORTGAGE INVESTME_4

RESIDENTIAL MORTGAGE INVESTMENTS - Additional Information (Details) - USD ($)1 Months Ended3 Months Ended
Mar. 31, 2020Mar. 31, 2021
Financing Receivable, Recorded Investment [Line Items]
Mortgage securities weighted average contractual maturity289 months
Available for sale ARM securities, current-reset $ 2,970,000,000
Available for sale ARM securities, longer-to-reset4,370,000,000
Available for sale securities $ 2,560,000,000 $ 0
Available-for-sale securities, gross realized gains0
Available-for-sale securities, gross realized losses $ 67,800,000
Current-Reset ARMs [Member]
Financing Receivable, Recorded Investment [Line Items]
Agency securities average months to roll7 months
Current-Reset ARMs [Member] | Maximum [Member]
Financing Receivable, Recorded Investment [Line Items]
Agency securities months to roll18 months
Longer-To-Reset ARMs [Member]
Financing Receivable, Recorded Investment [Line Items]
Agency securities average months to roll55 months
Longer-To-Reset ARMs [Member] | Minimum [Member]
Financing Receivable, Recorded Investment [Line Items]
Agency securities months to roll18 months

SECURED BORROWINGS - Schedule o

SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Agency securities pledged $ 7,160,000 $ 7,710,000
Borrowings outstanding[1],[2]6,806,138 7,320,090
Borrowings with Maturities Greater than 90 Days [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Agency securities pledged522,969
Accrued interest receivable1,167
Borrowings outstanding $ 500,000
Average borrowing rates0.29%
Agency Securities [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Agency securities pledged7,159,285 $ 7,711,992
Accrued interest receivable16,397 17,989
Borrowings outstanding $ 6,805,061 $ 7,319,083
Average borrowing rates0.17%0.21%
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Agency securities pledged $ 6,420,936 $ 5,249,989
Accrued interest receivable14,801 12,597
Borrowings outstanding $ 6,095,509 $ 4,972,181
Average borrowing rates0.16%0.21%
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Agency securities pledged $ 217,480 $ 1,939,034
Accrued interest receivable464 4,225
Borrowings outstanding $ 209,552 $ 1,846,902
Average borrowing rates0.16%0.20%
Agency Securities [Member] | Borrowings with Maturities Greater than 90 Days [Member]
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]
Agency securities pledged $ 520,869
Accrued interest receivable1,132
Borrowings outstanding $ 500,000
Average borrowing rates0.29%
[1]Amounts include accrued interest payable of $1.1 million and $1.0 million on borrowings under repurchase arrangements as of March 31, 2021 and December 31, 2020, respectively.
[2]Included in gross amounts of recognized liabilities at March 31, 2021 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest.  Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at March 31, 2021.

SECURED BORROWINGS - Additional

SECURED BORROWINGS - Additional Information (Details) - USD ($) $ in Billions3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Disclosure Of Repurchase Agreements [Abstract]
Average secured borrowings $ 6.9 $ 10.3

USE OF DERIVATIVES, OFFSETTIN_3

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Additional Information (Details) - USD ($) $ in Millions3 Months Ended12 Months Ended
Mar. 31, 2021Dec. 31, 2010
Derivative Instruments And Hedging Activities Disclosures [Line Items]
SWAP agreement notional amount during period $ 250 $ 100
SWAP agreement average interest rate during period0.26%4.09%
Derivative instruments unrealized gains to be recognized $ 5.4
Interest Rate Swap Agreements [Member]
Derivative Instruments And Hedging Activities Disclosures [Line Items]
Payment term of SOFR interest rate agreement20 years
Interest Rate Swap Agreements [Member] | Minimum [Member]
Derivative Instruments And Hedging Activities Disclosures [Line Items]
Payment term of SOFR interest rate agreement18 months
Interest Rate Swap Agreements [Member] | Maximum [Member]
Derivative Instruments And Hedging Activities Disclosures [Line Items]
Payment term of SOFR interest rate agreement3 years

USE OF DERIVATIVES, OFFSETTIN_4

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Swap Agreements Expiration Period and Characteristics (Details) $ in ThousandsMar. 31, 2021USD ($)
Notional Disclosures [Abstract]
Swap Notional Amounts $ 3,224,500
Interest Rate SWAP Currently-Paying Contracts Expiring Second Quarter 2022 [Member]
Notional Disclosures [Abstract]
Swap Notional Amounts $ 400,000
Average Fixed Rates0.02%
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2022 [Member]
Notional Disclosures [Abstract]
Swap Notional Amounts $ 1,200,000
Average Fixed Rates0.01%
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2022 [Member]
Notional Disclosures [Abstract]
Swap Notional Amounts $ 900,000
Average Fixed Rates0.07%
Interest Rate SWAP Currently-Paying Contracts Expiring First Quarter 2023 [Member]
Notional Disclosures [Abstract]
Swap Notional Amounts $ 50,000
Average Fixed Rates0.13%
Interest Rate SWAP Currently-Paying Contracts Expiring Third Quarter 2023 [Member]
Notional Disclosures [Abstract]
Swap Notional Amounts $ 100,000
Average Fixed Rates0.03%
Interest Rate SWAP Currently-Paying Contracts Expiring Fourth Quarter 2023 [Member]
Notional Disclosures [Abstract]
Swap Notional Amounts $ 374,500
Average Fixed Rates0.09%
Currently Paying Contracts Expiring First Quarter Two Thousand Twenty Four
Notional Disclosures [Abstract]
Swap Notional Amounts $ 150,000
Average Fixed Rates0.28%
Interest Rate SWAP Currently-Paying Contracts Expiring Second Quarter 2024 [Member]
Notional Disclosures [Abstract]
Swap Notional Amounts $ 50,000
Average Fixed Rates0.34%

USE OF DERIVATIVES, OFFSETTIN_5

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Components of Balance Sheet (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Balance sheet-related [Abstract]
Swap agreements in a loss position (a liability) related to borrowings $ (27,223) $ (41,484)
Interest rate swap agreements at fair value, net assets (liability)(28,177)(42,081)
Swap agreements in a gain position (an asset) related to borrowing151
Interest Rate Swap Agreements at Fair Value [Member] | Secured Borrowings [Member]
Balance sheet-related [Abstract]
Swap agreements in a gain position (an asset) related to borrowing[1]151
Interest Rate Swap Agreements at Fair Value [Member] | Unsecured Borrowings [Member]
Balance sheet-related [Abstract]
Swap agreements in a loss position (a liability) related to borrowings[1](27,223)(41,484)
Accounts Payable and Accrued Liabilities [Member]
Balance sheet-related [Abstract]
Related net interest payable[2] $ (1,105) $ (597)
[1]The fair value of Derivatives with unrealized gains are aggregated and recorded as an asset on the face of the Balance Sheets separately from the fair value of Derivatives with unrealized losses that are recorded as a liability.
[2]Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets.

USE OF DERIVATIVES, OFFSETTIN_6

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Components of Income Statement and Other Comprehensive Income (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Income statement-related [Abstract]
Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives $ (646) $ 103
Decrease in interest expense and increase in Net (loss) income as a result of the use of Derivatives(1,616)(480)
Amount of loss reclassified from Accumulated other comprehensive income (loss)(1,616)(480)
Decrease in interest expense as a result of the use of Derivatives(1,616)(480)
Realized and unrealized (loss) gain on non-designated Derivatives (net)[1]2,382 (155,739)
Other comprehensive income (loss)-related [Abstract]
Amount of gain (loss) recognized in Other comprehensive income13,292 (21,251)
Interest Rate Swap Agreements [Member]
Income statement-related [Abstract]
Realized and unrealized (loss) gain on non-designated Derivatives (net)2,382 (153,224)
Eurodollar Futures Contract [Member]
Income statement-related [Abstract]
Realized and unrealized (loss) gain on non-designated Derivatives (net)(2,515)
Interest Expense [Member] | Secured Borrowings [Member]
Income statement-related [Abstract]
Amortization of unrealized gain, net of unrealized losses on de-designated Derivatives(647)103
Decrease in interest expense and increase in Net (loss) income as a result of the use of Derivatives[2](647)103
Decrease in interest expense as a result of the use of Derivatives[2](647)103
Interest Expense [Member] | Unsecured Borrowings [Member]
Income statement-related [Abstract]
Amount of loss reclassified from Accumulated other comprehensive income (loss)[3] $ (969) $ (583)
[1]Included in “Loss on derivative instruments (net)” on the face of the Consolidated Statement of Operations.
[2]Included in “Interest expense:  Secured borrowings” on the face of the Consolidated Statements of Operations.
[3]Included in “Interest expense:  Unsecured borrowings” on the face of the Consolidated Statements of Operations

USE OF DERIVATIVES, OFFSETTIN_7

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Derivative Assets (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Offsetting of derivative assets [Abstract]
Gross Amounts of Recognized Assets $ 151
Net Amounts of Assets Presented in the Balance Sheet28,177 $ 42,081
Offsetting Derivatives Assets [Member] | Counterparty 4 [Member]
Offsetting of derivative assets [Abstract]
Gross Amounts of Recognized Assets[1]4,949 2,673
Gross Amounts Offset in the Balance Sheet[1](4,798)(2,673)
Net Amounts of Assets Presented in the Balance Sheet151 0
Financial Instruments[2]0 0
Cash Collateral Received[2]0 0
Net Amount $ 151 $ 0
[1]Included in gross amounts of recognized assets at March 31, 2021 are the fair value of exchange-traded swap agreements, calculated including accrued interest.  Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swaps at March 31, 2021.
[2]Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.

USE OF DERIVATIVES, OFFSETTIN_8

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Financial Liabilities and Derivative Liabilities (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Offsetting of financial liabilities and derivative liabilities [Abstract]
Gross Amounts of Recognized Liabilities (Derivatives) $ 27,223 $ 41,484
Cash Collateral Pledged (Derivatives)(61,796)(74,411)
Gross Amounts of Recognized Liabilities (Repurchase Arrangements)[1],[2]6,806,138 7,320,090
Gross Amounts Offset in the Balance Sheet (Repurchase Arrangements)[1],[2]0 0
Net Amounts of Liabilities Presented in the Balance Sheet (Repurchase Arrangements)[1],[3]6,806,138 7,320,090
Financial Instruments (Repurchase Arrangements)[1],[4](6,806,138)(7,320,090)
Cash Collateral Pledged (Repurchase Arrangements)[1],[4]0 0
Net Amount (Repurchase Arrangements)[1]0 0
Gross Amounts of Recognized Liabilities (Financial Liabilities Total)[2]6,834,548 7,362,429
Gross Amounts Offset in the Balance Sheet (Financial Liabilities Total)[2](81)(257)
Net Amounts of Liabilities Presented in the Balance Sheet (Financial Liabilities Total)[3]6,834,467 7,362,172
Financial Instruments (Financial Liabilities Total)[4](6,806,138)(7,320,090)
Cash Collateral Pledged (Financial Liabilities Total)[4](28,329)(42,082)
Net Amount (Financial Liabilities Total)0 0
Counterparty 1 [Member]
Offsetting of financial liabilities and derivative liabilities [Abstract]
Gross Amounts of Recognized Liabilities (Derivatives)[2]28,329 42,082
Gross Amounts Offset in the Balance Sheet (Derivatives)[2]0 0
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives)[3]28,329 42,082
Financial Instruments (Derivatives)[4]0 0
Cash Collateral Pledged (Derivatives)[4](28,329)(42,082)
Net Amount (Derivatives)0 0
Counterparty 4 [Member]
Offsetting of financial liabilities and derivative liabilities [Abstract]
Gross Amounts of Recognized Liabilities (Derivatives)[2]81 257
Gross Amounts Offset in the Balance Sheet (Derivatives)[2](81)(257)
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives)[3]0 0
Financial Instruments (Derivatives)[4]0 0
Cash Collateral Pledged (Derivatives)[4]0 0
Net Amount (Derivatives)0 0
Derivative Counterparties [Member]
Offsetting of financial liabilities and derivative liabilities [Abstract]
Gross Amounts of Recognized Liabilities (Derivatives)[2]28,410 42,339
Gross Amounts Offset in the Balance Sheet (Derivatives)[2](81)(257)
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives)[3]28,329 42,082
Financial Instruments (Derivatives)[4]0 0
Cash Collateral Pledged (Derivatives)[4](28,329)(42,082)
Net Amount (Derivatives) $ 0 $ 0
[1]Amounts include accrued interest payable of $1.1 million and $1.0 million on borrowings under repurchase arrangements as of March 31, 2021 and December 31, 2020, respectively.
[2]Included in gross amounts of recognized liabilities at March 31, 2021 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest.  Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at March 31, 2021.
[3]Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
[4]Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.

USE OF DERIVATIVES, OFFSETTIN_9

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Financial Liabilities and Derivative Liabilities (Parenthetical) (Details) - USD ($) $ in MillionsMar. 31, 2021Dec. 31, 2020
Portfolio-Related Secured Borrowings [Member]
Notional Disclosures [Abstract]
Accrued interest payable $ 1.1 $ 1

USE OF DERIVATIVES, OFFSETTI_10

USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME (LOSS) BY COMPONENT - Changes in Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Mar. 31, 2020
Accumulated Other Comprehensive Income (Loss) [Line Items]
Beginning Balance $ 910,163 $ 1,073,733
Other comprehensive income(6,575)(19,677)
Ending Balance903,693 843,624
Unrealized Gains and Losses on Cash Flow Hedges [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
Beginning Balance(43,667)
Other comprehensive income (loss) before reclassifications13,292
Amounts reclassified from accumulated other comprehensive income (loss)1,616
Other comprehensive income14,908
Ending Balance(28,759)
Unrealized Gains and Losses on Available-for-sale Securities [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
Beginning Balance84,551
Other comprehensive income (loss) before reclassifications(21,483)
Amounts reclassified from accumulated other comprehensive income (loss)0
Other comprehensive income(21,483)
Ending Balance63,068
Accumulated Other Comprehensive Income (Loss) [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
Beginning Balance40,884 13,399
Other comprehensive income (loss) before reclassifications(8,191)
Amounts reclassified from accumulated other comprehensive income (loss)1,616
Other comprehensive income(6,575)
Ending Balance $ 34,309 $ (6,278)

UNSECURED BORROWINGS - Addition

UNSECURED BORROWINGS - Additional Information (Details) - Junior Subordinated Debt [Member] $ in Millions3 Months Ended
Mar. 31, 2021USD ($)
Debt Instrument [Line Items]
Junior subordinated notes maturity term30 years
Face amount of junior subordinated notes $ 100

UNSECURED BORROWINGS - Schedule

UNSECURED BORROWINGS - Schedule of Subordinated Note Balances and Related Weighted Average Interest Rates (Details) - USD ($) $ in Thousands3 Months Ended
Mar. 31, 2021Dec. 31, 2020
Debt Instrument [Line Items]
Borrowings Outstanding $ 98,519 $ 98,493
Effective interest rate7.72%7.73%
October 2035 [Member]
Debt Instrument [Line Items]
Borrowings Outstanding $ 34,441 $ 34,431
Effective interest rate7.87%7.87%
Junior subordinated notes, maturity periodOct. 31,
2035
Face amount of junior subordinated notes $ 35,000
December 2035 [Member]
Debt Instrument [Line Items]
Borrowings Outstanding $ 39,445 $ 39,435
Effective interest rate7.63%7.64%
Junior subordinated notes, maturity periodDec. 31,
2035
Face amount of junior subordinated notes $ 40,000
September 2036 [Member]
Debt Instrument [Line Items]
Borrowings Outstanding $ 24,633 $ 24,627
Effective interest rate7.67%7.68%
Junior subordinated notes, maturity periodSep. 30,
2036
Face amount of junior subordinated notes $ 25,000

FAIR VALUE - Additional Informa

FAIR VALUE - Additional Information (Details)3 Months Ended
Mar. 31, 2021
Minimum [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Investment Repurchase Agreement Initial Term120 days
Maximum [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Investment Repurchase Agreement Initial Term120 days

FAIR VALUE - Financial Instrume

FAIR VALUE - Financial Instruments Other than Debt Securities (Details) - Level 2 [Member] - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Carrying Amount [Member]
Financial liabilities [Abstract]
Unsecured borrowings $ 98,519 $ 98,493
Secured borrowings with initial terms of greater than 120 days500,000 500,000
Fair Value [Member]
Financial liabilities [Abstract]
Unsecured borrowings75,800 59,900
Secured borrowings with initial terms of greater than 120 days500,300 500,100
Interest Rate Swap Agreements [Member] | Carrying Amount [Member] | Secured Borrowings [Member]
Financial assets [Abstract]
Secured borrowings-related interest rate swap agreements151
Interest Rate Swap Agreements [Member] | Carrying Amount [Member] | Unsecured Borrowings [Member]
Financial liabilities [Abstract]
Interest rate swap agreements27,223 41,484
Interest Rate Swap Agreements [Member] | Fair Value [Member] | Secured Borrowings [Member]
Financial assets [Abstract]
Secured borrowings-related interest rate swap agreements151
Interest Rate Swap Agreements [Member] | Fair Value [Member] | Unsecured Borrowings [Member]
Financial liabilities [Abstract]
Interest rate swap agreements $ 27,223 $ 41,484

FAIR VALUE - Fair Value and Rel

FAIR VALUE - Fair Value and Related Disclosures for Debt Securities (Details) - Agency Securities Classified as Available-for-sale [Member] - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Fannie Mae/Freddie Mac [Member]
Available-for-sale securities disclosure Items [Abstract]
Available-for-sale securities, Amortized Cost Basis $ 6,788,607 $ 7,235,571
Available-for-sale securities, Gross Unrealized Gains72,845 87,158
Available-for-sale securities, Gross Unrealized Losses18,088 12,640
Available-for-sale securities, Fair Value6,843,364 7,310,089
Ginnie Mae [Member]
Available-for-sale securities disclosure Items [Abstract]
Available-for-sale securities, Amortized Cost Basis553,736 617,430
Available-for-sale securities, Gross Unrealized Gains8,894 10,541
Available-for-sale securities, Gross Unrealized Losses583 508
Available-for-sale securities, Fair Value $ 562,047 $ 627,463

FAIR VALUE - Securities in Unre

FAIR VALUE - Securities in Unrealized Loss Position (Details) - USD ($) $ in ThousandsMar. 31, 2021Dec. 31, 2020
Securities in an unrealized loss position, fair value [Abstract]
Fair Value, Total $ 2,034,837 $ 1,343,086
Securities in an unrealized loss position, aggregate loss [Abstract]
Unrealized Losses, Total18,672 13,148
Fannie Mae/Freddie Mac [Member]
Securities in an unrealized loss position, fair value [Abstract]
One year or greater478,686 690,227
Less than one year1,470,536 583,870
Securities in an unrealized loss position, aggregate loss [Abstract]
One year or greater7,519 9,533
Less than one year10,569 3,107
Ginnie Mae [Member]
Securities in an unrealized loss position, fair value [Abstract]
One year or greater41,173 27,462
Less than one year44,442 41,527
Securities in an unrealized loss position, aggregate loss [Abstract]
One year or greater424 285
Less than one year $ 160 $ 223

EQUITY INCENTIVE PLAN - Additio

EQUITY INCENTIVE PLAN - Additional Information (Details) - USD ($)3 Months Ended
Mar. 31, 2021Mar. 31, 2020Dec. 31, 2020
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Common stock dividend payable $ 15,173,000 $ 15,281,000
Long-Term Equity-Based Awards [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Common shares available for future issuances (in shares)1,878,295
Performance-based RSUs [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Total of unrecognized compensation expense for unvested stock award $ 2,500,000
Compensation cost not yet recognized, period for recognition1 year 7 months 6 days
Long term incentive compensation expense $ 139,000 $ 270,000
Common stock dividend payable310,000
Stock Awards Activity [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Total of unrecognized compensation expense for unvested stock award $ 3,300,000
Compensation cost not yet recognized, period for recognition1 year 6 months
Common stock dividend payable $ 436,000
Long term incentive compensation expense410,000 433,000
Other general and administrative expense $ 158,000 $ 131,000

EQUITY INCENTIVE PLAN - Schedul

EQUITY INCENTIVE PLAN - Schedule of Performance-Based Restricted Stock Units Activity (Details) - Performance-based RSUs [Member]3 Months Ended
Mar. 31, 2021$ / sharesshares
Number of Shares
Unvested equity awards outstanding at beginning of period (in shares) | shares581,365
Grants (in shares) | shares267,573
Forfeitures (in shares) | shares(111,897)
Vestings (in shares) | shares(71,240)
Unvested equity outstanding at end of period (in shares) | shares665,801
Weighted Average Grant Date Fair Value
Unvested equity awards outstanding at beginning of period (in dollars per share) | $ / shares $ 7.83
Grants (in dollars per share) | $ / shares5.86
Forfeitures (in dollars per share) | $ / shares8.71
Vestings (in dollars per share) | $ / shares8.71
Unvested equity awards outstanding at end of period (in dollars per share) | $ / shares $ 6.80

EQUITY INCENTIVE PLAN - Sched_2

EQUITY INCENTIVE PLAN - Schedule of Restricted Stock Award Activity (Details) - Restricted Stock Award Activity [Member]3 Months Ended
Mar. 31, 2021$ / sharesshares
Number of Shares
Unvested equity awards outstanding at beginning of period (in shares) | shares768,041
Grants (in shares) | shares335,654
Forfeitures (in shares) | shares(21,145)
Vestings (in shares) | shares(173,734)
Unvested equity outstanding at end of period (in shares) | shares908,816
Weighted Average Grant Date Fair Value
Unvested equity awards outstanding at beginning of period (in dollars per share) | $ / shares $ 7.42
Grants (in dollars per share) | $ / shares5.67
Vestings (in dollars per share) | $ / shares8.60
Unvested equity awards outstanding at end of period (in dollars per share) | $ / shares6.57
Forfeitures (in dollars per share) | $ / shares $ 6.76