Document_And_Entity_Informatio
Document And Entity Information | 9 Months Ended | ||
Sep. 30, 2013 | Oct. 31, 2013 | Oct. 31, 2013 | |
Common Class A [Member] | Common Class B [Member] | ||
Document Information [Line Items] | ' | ' | ' |
Entity Registrant Name | 'Arlington Asset Investment Corp. | ' | ' |
Entity Central Index Key | '0001209028 | ' | ' |
Current Fiscal Year End Date | '--12-31 | ' | ' |
Entity Filer Category | 'Accelerated Filer | ' | ' |
Trading Symbol | 'AI | ' | ' |
Entity Common Stock, Shares Outstanding | ' | 16,047,965 | 554,055 |
Document Type | '10-Q | ' | ' |
Amendment Flag | 'false | ' | ' |
Document Period End Date | 30-Sep-13 | ' | ' |
Document Fiscal Period Focus | 'Q3 | ' | ' |
Document Fiscal Year Focus | '2013 | ' | ' |
CONSOLIDATED_BALANCE_SHEETS_Un
CONSOLIDATED BALANCE SHEETS (Unaudited) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
ASSETS | ' | ' |
Cash and cash equivalents | $16,347 | $35,837 |
Receivables | ' | ' |
Interest | 5,271 | 4,869 |
Sold securities receivable | 0 | 26,773 |
Other | 461 | 644 |
Mortgage-backed securities, at fair value | ' | ' |
Available-for-sale | 344,165 | 199,156 |
Trading | 1,633,263 | 1,556,440 |
Other investments | 2,180 | 2,347 |
Derivative assets, at fair value | 1,851 | 0 |
Deferred tax assets, net | 151,255 | 162,281 |
Deposits | 63,869 | 85,652 |
Prepaid expenses and other assets | 1,437 | 159 |
Total assets | 2,220,099 | 2,074,158 |
LIABILITIES AND EQUITY | ' | ' |
Repurchase agreements | 1,574,244 | 1,497,191 |
Interest payable | 791 | 582 |
Accrued compensation and benefits | 4,025 | 1,542 |
Dividend payable | 14,633 | 0 |
Derivative liabilities, at fair value | 43,034 | 76,850 |
Accounts payable, accrued expenses and other liabilities | 13,719 | 17,837 |
Long-term debt | 40,000 | 15,000 |
Total liabilities | 1,690,446 | 1,609,002 |
Commitments and contingencies | 0 | 0 |
Equity: | ' | ' |
Preferred stock, $0.01 par value, 25,000,000 shares authorized, none issued and outstanding | 0 | 0 |
Additional paid-in capital | 1,726,518 | 1,638,061 |
Accumulated other comprehensive income, net of taxes of $7,652 and $429, respectively | 49,378 | 38,985 |
Accumulated deficit | -1,246,409 | -1,212,022 |
Total equity | 529,653 | 465,156 |
Total liabilities and equity | 2,220,099 | 2,074,158 |
Common Class A [Member] | ' | ' |
Equity: | ' | ' |
Common stock | 160 | 126 |
Common Class B [Member] | ' | ' |
Equity: | ' | ' |
Common stock | $6 | $6 |
CONSOLIDATED_BALANCE_SHEETS_Un1
CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, except Share data, unless otherwise specified | ||
Preferred stock, par value (in dollars per share) | $0.01 | $0.01 |
Preferred stock, shares authorized (in shares) | 25,000,000 | 25,000,000 |
Preferred stock, issued (in shares) | 0 | 0 |
Preferred stock, outstanding (in shares) | 0 | 0 |
Accumulated other comprehensive income, taxes (in dollars) | $7,652 | $429 |
Common Class A [Member] | ' | ' |
Common stock, par value (in dollars per share) | $0.01 | $0.01 |
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 |
Common stock, shares issued (in shares) | 16,047,965 | 12,560,970 |
Common stock, shares outstanding (in shares) | 16,047,965 | 12,560,970 |
Common Class B [Member] | ' | ' |
Common stock, par value (in dollars per share) | $0.01 | $0.01 |
Common stock, shares authorized (in shares) | 100,000,000 | 100,000,000 |
Common stock, shares issued (in shares) | 554,055 | 554,055 |
Common stock, shares outstanding (in shares) | 554,055 | 554,055 |
CONSOLIDATED_STATEMENTS_OF_COM
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Interest income | $22,995 | $15,519 | $64,468 | $44,913 |
Interest expense | ' | ' | ' | ' |
Interest on short-term debt | 1,758 | 1,125 | 5,061 | 2,811 |
Interest on long-term debt | 556 | 123 | 1,077 | 371 |
Total interest expense | 2,314 | 1,248 | 6,138 | 3,182 |
Net interest income | 20,681 | 14,271 | 58,330 | 41,731 |
Other loss, net | ' | ' | ' | ' |
Investment loss, net | -11,100 | -5,663 | -35,882 | -11,532 |
Other loss | -3 | -3 | -11 | -11 |
Total other loss, net | -11,103 | -5,666 | -35,893 | -11,543 |
Operating income before other expenses | 9,578 | 8,605 | 22,437 | 30,188 |
Other expenses | ' | ' | ' | ' |
Compensation and benefits | 3,042 | 3,519 | 8,034 | 7,580 |
Professional services | 297 | 862 | 1,973 | 3,337 |
Business development | 45 | 39 | 107 | 111 |
Occupancy and equipment | 96 | 110 | 328 | 355 |
Communications | 49 | 49 | 142 | 154 |
Other operating expenses | 501 | 453 | 1,142 | 1,351 |
Total other expenses | 4,030 | 5,032 | 11,726 | 12,888 |
Income before income taxes | 5,548 | 3,573 | 10,711 | 17,300 |
Income tax provision | 2,455 | 450 | 1,247 | 1,271 |
Net income | 3,093 | 3,123 | 9,464 | 16,029 |
Basic earnings per share (in dollars per share) | $0.19 | $0.31 | $0.60 | $1.74 |
Diluted earnings per share (in dollars per share) | $0.18 | $0.31 | $0.59 | $1.74 |
Dividends declared per share (in dollars per share) | $0.88 | $0.88 | $2.63 | $2.63 |
Weighted-average shares outstanding (in thousands) | ' | ' | ' | ' |
Basic (in shares) | 16,669 | 9,977 | 15,761 | 9,192 |
Diluted (in shares) | 16,845 | 10,041 | 15,934 | 9,219 |
Other comprehensive income, net of taxes | ' | ' | ' | ' |
Unrealized gains (losses) for the period on available-for-sale securities (net of taxes of $1,471, $-0-, $9,863, and $-0-, respectively) | 2,116 | -3,903 | 14,192 | -12,994 |
Reclassification | ' | ' | ' | ' |
Included in investment loss, net, in the statement of comprehensive income related to sales of available-for-sale securities (net of taxes of $1,654, $-0-, $3,161, and $-0-, respectively) | -2,380 | 0 | -4,548 | 0 |
Included in investment loss, net, in the statement of comprehensive income related to other-than-temporary impairment charges on available-for-sale securities (net of taxes of $156, $-0-, $521, and $-0-, respectively) | 224 | 6,900 | 749 | 11,431 |
Comprehensive income | $3,053 | $6,120 | $19,857 | $14,466 |
CONSOLIDATED_STATEMENTS_OF_COM1
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) (Parenthetical) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Unrealized gains (losses) for the period on available-for-sale securities, taxes | $1,471 | $0 | $9,863 | $0 |
Included in investment loss, net, in the statement of comprehensive income related to sales of available-for-sale securities, taxes | 1,654 | 0 | 3,161 | 0 |
Included in investment loss, net, in the statement of comprehensive income related to other-than-temporary impairment charges on available-for-sale securities, taxes | $156 | $0 | $521 | $0 |
CONSOLIDATED_STATEMENTS_OF_CHA
CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Unaudited) (USD $) | Total | Common Class A [Member] | Common Class B [Member] | Additional Paid-in Capital [Member] | Accumulated Other Comprehensive Income [Member] | Accumulated Deficit [Member] |
In Thousands, except Share data, unless otherwise specified | ||||||
Beginning Balances at Dec. 31, 2011 | $183,372 | $71 | $6 | $1,508,713 | $38,367 | ($1,363,785) |
Beginning Balances (in shares) at Dec. 31, 2011 | ' | 7,099,336 | 566,112 | ' | ' | ' |
Net income | 191,826 | 0 | 0 | 0 | 0 | 191,826 |
Conversion of Class B shares to Class A shares | 0 | 0 | 0 | 0 | 0 | 0 |
Conversion of Class B shares to Class A shares (in shares) | ' | 12,057 | -12,057 | ' | ' | ' |
Issuance of Class A common stock | 129,249 | 55 | 0 | 129,194 | 0 | 0 |
Issuance of Class A common stock (in shares) | ' | 5,493,750 | 0 | ' | ' | ' |
Repurchase of Class A common stock | -786 | 0 | 0 | -786 | 0 | 0 |
Repurchase of Class A common stock (in shares) | ' | -41,790 | 0 | ' | ' | ' |
Forfeitures of Class A common stock | -55 | 0 | 0 | -55 | 0 | 0 |
Forfeitures of Class A common stock (in shares) | ' | -2,383 | 0 | ' | ' | ' |
Amortization of Class A common shares issued as stock-based awards | 995 | 0 | 0 | 995 | 0 | 0 |
Other comprehensive income | ' | ' | ' | ' | ' | ' |
Net change in unrealized gain on available-for-sale investment securities | 618 | 0 | 0 | 0 | 618 | 0 |
Dividends declared | -40,063 | 0 | 0 | 0 | 0 | -40,063 |
Ending Balances at Dec. 31, 2012 | 465,156 | 126 | 6 | 1,638,061 | 38,985 | -1,212,022 |
Ending Balances (in shares) at Dec. 31, 2012 | ' | 12,560,970 | 554,055 | ' | ' | ' |
Net income | 9,464 | 0 | 0 | 0 | 0 | 9,464 |
Issuance of Class A common stock | 86,964 | 34 | 0 | 86,930 | 0 | 0 |
Issuance of Class A common stock (in shares) | ' | 3,492,667 | 0 | ' | ' | ' |
Forfeitures of Class A common stock | -142 | 0 | 0 | -142 | 0 | 0 |
Forfeitures of Class A common stock (in shares) | ' | -5,672 | 0 | ' | ' | ' |
Amortization of Class A common shares issued as stock-based awards | 1,669 | 0 | 0 | 1,669 | 0 | 0 |
Other comprehensive income | ' | ' | ' | ' | ' | ' |
Net change in unrealized gain on available-for-sale investment securities | 10,393 | 0 | 0 | 0 | 10,393 | 0 |
Dividends declared | -43,851 | 0 | 0 | 0 | 0 | -43,851 |
Ending Balances at Sep. 30, 2013 | $529,653 | $160 | $6 | $1,726,518 | $49,378 | ($1,246,409) |
Ending Balances (in shares) at Sep. 30, 2013 | ' | 16,047,965 | 554,055 | ' | ' | ' |
CONSOLIDATED_STATEMENTS_OF_CHA1
CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Unaudited) (Parenthetical) (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Net change in unrealized gain on available-for-sale investment securities, taxes | $7,223 | $429 |
CONSOLIDATED_STATEMENTS_OF_CAS
CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 |
Cash flows from operating activities: | ' | ' |
Net income | $9,464 | $16,029 |
Adjustments to reconcile net income to net cash provided by operating activities | ' | ' |
Net investment loss, net | 35,882 | 11,532 |
Net discount accretion on mortgage-backed securities | -6,332 | -7,912 |
Deferred tax provision | 3,803 | 0 |
Other | 1,581 | 614 |
Changes in operating assets | ' | ' |
Interest receivable | -402 | -611 |
Other receivables | 183 | -491 |
Prepaid expenses and other assets | -1,156 | -160 |
Changes in operating liabilities | ' | ' |
Accounts payable and other liabilities | -3,955 | 451 |
Accrued compensation and benefits | 2,483 | -1,224 |
Net cash provided by operating activities | 41,551 | 18,228 |
Cash flows from investing activities: | ' | ' |
Purchases of available-for-sale mortgage-backed securities | -167,682 | -22,681 |
Purchases of trading mortgage-backed securities | -1,139,008 | -602,264 |
Proceeds from sales of available-for-sale mortgage-backed securities | 54,884 | 985 |
Proceeds from sales of trading mortgage-backed securities | 837,013 | 288,950 |
Receipt of principal payments on available-for-sale mortgage-backed securities | 4,124 | 4,813 |
Receipt of principal payments on trading mortgage-backed securities | 132,478 | 52,702 |
Payments for purchased securities payable | 0 | -15,820 |
Proceeds from sold securities receivable | 26,773 | 41,321 |
Proceeds (payments) from derivatives and deposits, net | 31,527 | -26,926 |
Other | 15 | 1,636 |
Net cash used in investing activities | -219,876 | -277,284 |
Cash flows from financing activities: | ' | ' |
Proceeds from repurchase agreements, net | 77,053 | 219,079 |
Proceeds from stock issuance, net | 86,964 | 129,367 |
Proceeds from long-term debt issuance, net | 24,038 | 0 |
Dividends paid | -29,220 | -23,670 |
Net cash provided by financing activities | 158,835 | 324,776 |
Net (decrease) increase in cash and cash equivalents | -19,490 | 65,720 |
Cash and cash equivalents, beginning of period | 35,837 | 20,018 |
Cash and cash equivalents, end of period | 16,347 | 85,738 |
Supplemental cash flow information | ' | ' |
Cash payments for interest | 5,474 | 3,284 |
Cash payments for taxes | $452 | $545 |
Basis_of_Presentation
Basis of Presentation | 9 Months Ended |
Sep. 30, 2013 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Basis of Presentation | ' |
1. Basis of Presentation: | |
The consolidated financial statements of Arlington Asset Investment Corp. (Arlington Asset) and its subsidiaries (unless the context otherwise provides, collectively, the Company) have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information and with the instructions to Form 10-Q. Therefore, they do not include all information required by GAAP for complete financial statements. The interim financial statements reflect all adjustments (consisting only of normal recurring adjustments) which are, in the opinion of management, necessary for a fair statement of the results for the periods presented. All significant intercompany accounts and transactions have been eliminated in consolidation. The results of operations for the three and nine months ended September 30, 2013 are not necessarily indicative of the operating results for the entire year or any other subsequent interim period. The Company’s unaudited condensed consolidated financial statements and notes thereto should be read in conjunction with the Company’s audited consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2012. | |
The preparation of the Company’s financial statements in conformity with GAAP requires the Company to make estimates and assumptions affecting the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company based the estimates and assumptions on historical experience, when available, market information, and on various other factors that the Company believes to be reasonable under the circumstances, management exercises significant judgment in the final determination of the estimates. Actual results may differ from these estimates. | |
Certain amounts in the consolidated financial statements and notes for prior periods have been reclassified to conform to the current period presentation. These reclassifications had no effect on the results of operations of the Company. | |
Financial_Instruments
Financial Instruments | 9 Months Ended | |||||||||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||||||||||||||||||||
Financial Instruments | ' | |||||||||||||||||||||||||||||||||
2. Financial Instruments: | ||||||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | ||||||||||||||||||||||||||||||||||
The accounting principles related to fair value measurements define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, not adjusted for transaction costs. Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 820, Fair Value Measurements and Disclosures (ASC 820), establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three broad levels giving the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3) as described below: | ||||||||||||||||||||||||||||||||||
Level 1 Inputs — | Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by the Company; | |||||||||||||||||||||||||||||||||
Level 2 Inputs — | Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and | |||||||||||||||||||||||||||||||||
Level 3 Inputs — | Unobservable inputs for the asset or liability, including significant assumptions of the Company and other market participants. | |||||||||||||||||||||||||||||||||
The Company determines fair values for the following assets and liabilities: | ||||||||||||||||||||||||||||||||||
Mortgage-backed securities (MBS), at fair value — | ||||||||||||||||||||||||||||||||||
Agency-backed MBS — The Company’s agency-backed MBS, the principal and interest payments on which are guaranteed by the Federal National Mortgage Association (Fannie Mae) or the Federal Home Loan Mortgage Corporation (Freddie Mac), are generally classified within Level 2 of the fair value hierarchy as they are valued after considering quoted market prices provided by a broker or dealer, or alternative pricing sources with reasonable levels of price transparency. The Company reviews broker or pricing service quotes to determine whether the quotes are relevant, for example, whether an active market exists to provide price transparency or whether the quote is an indicative price or a binding offer. The independent brokers and dealers providing market prices are those who make markets in or specialists with expertise in the valuation of these financial instruments. | ||||||||||||||||||||||||||||||||||
Private-label MBS — The Company classifies private-label MBS within Level 3 of the fair value hierarchy because they trade infrequently and, therefore, have little or no price transparency. The Company utilizes present value techniques based on estimated cash flows of the instrument taking into consideration various assumptions derived by management and other assumptions used by other market participants. These assumptions are corroborated by evidence such as historical data, risk characteristics, transactions in similar instruments, and completed or pending transactions, when available. The significant inputs in the Company’s valuation process include default rate, loss severity, prepayment rate and discount rate. In general, significant increases (decreases) in default rate, loss severity or discount rate, in isolation, would result in a significantly lower (higher) fair value measurement. However, significant increases (decreases) in prepayment rate may result in a significantly higher (lower) fair value measurement. It is difficult to generalize the interrelationships between these significant inputs as the actual results could differ considerably on an individual security basis. For example, an increase in the default rate may not increase the loss severity rate if actual losses are lower than the average. Also, changes in discount rates may be greatly influenced by market expectation at any given point based upon many variables not directly related to the MBS market. Therefore, each significant input is closely analyzed to ascertain the reasonableness for the Company’s valuation purposes. | ||||||||||||||||||||||||||||||||||
Establishing fair value is inherently subjective given the volatile and sometimes illiquid markets for these private-label MBS and requires management to make a number of assumptions, including assumptions about the future of interest rates, prepayment rates, discount rates, credit loss rates, and the timing of cash flows and credit losses. The assumptions the Company applies are specific to each security. Although the Company relies on the internal calculations to compute the fair value of these private-label MBS, the Company requests and considers indications of value (mark) from third-party dealers and the actual sales of private-label MBS to assist in the valuation process and calibrate our model. | ||||||||||||||||||||||||||||||||||
Other investments — The Company’s other investments, which is classified within Level 3 of the fair value hierarchy, consists of investments in equity securities, investment funds, interest-only MBS, and other MBS-related securities. | ||||||||||||||||||||||||||||||||||
Derivative instruments — In the normal course of the Company’s operations, the Company is a party to various financial instruments that are accounted for as derivatives in accordance with ASC 815, Derivatives and Hedging (ASC 815). The derivative instruments that trade in active markets or exchanges are classified within Level 1 of the fair value hierarchy because they are valued using quoted market prices. Other derivative instruments are generally classified within Level 2 of the fair value hierarchy because they are valued using broker or dealer quotations, which are model-based calculations based on market-based inputs, including, but not limited to, contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. | ||||||||||||||||||||||||||||||||||
Other — Cash and cash equivalents, interest receivable, deposits, other receivable, interest payable, accounts payable, accrued expenses and other liabilities are reflected in the consolidated balance sheets at their amortized cost, which approximates fair value because of the short term nature of these instruments, and classified within Level 1 of the fair value hierarchy except for certain cash equivalents that are held in money market funds, which is classified within Level 2 of the fair value hierarchy. | ||||||||||||||||||||||||||||||||||
— Sold securities receivable, repurchase agreements and purchased securities payable are reflected in the consolidated balance sheets at the cost basis, which approximates fair value because of the short term nature of these instruments, and classified within Level 2 of the fair value hierarchy. | ||||||||||||||||||||||||||||||||||
— Long-term debt represents remaining balances of trust preferred debt and senior debt issued by the Company. Trust preferred debt is classified within Level 3 of the fair value hierarchy and senior debt, which is publicly traded on New York Stock Exchange, is classified within Level 1 of the fair value hierarchy. | ||||||||||||||||||||||||||||||||||
The estimated fair values of the Company’s financial instruments are as follows: | ||||||||||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||
Carrying Amount | Estimated Fair Value | Carrying Amount | Estimated | |||||||||||||||||||||||||||||||
Fair Value | ||||||||||||||||||||||||||||||||||
Financial assets | ||||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 16,347 | $ | 16,347 | $ | 35,837 | $ | 35,837 | ||||||||||||||||||||||||||
Interest receivable | 5,271 | 5,271 | 4,869 | 4,869 | ||||||||||||||||||||||||||||||
Sold securities receivable | — | — | 26,773 | 26,773 | ||||||||||||||||||||||||||||||
Other receivables | 461 | 461 | 644 | 644 | ||||||||||||||||||||||||||||||
MBS | ||||||||||||||||||||||||||||||||||
Agency-backed MBS | 1,633,310 | 1,633,310 | 1,556,510 | 1,556,510 | ||||||||||||||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||||||||||||
Senior securities | 7,037 | 7,037 | 7,519 | 7,519 | ||||||||||||||||||||||||||||||
Re-REMIC securities | 337,081 | 337,081 | 191,567 | 191,567 | ||||||||||||||||||||||||||||||
Derivative assets | 1,851 | 1,851 | — | — | ||||||||||||||||||||||||||||||
Other investments | 2,180 | 2,180 | 2,347 | 2,347 | ||||||||||||||||||||||||||||||
Deposits | 63,869 | 63,869 | 85,652 | 85,652 | ||||||||||||||||||||||||||||||
Financial liabilities | ||||||||||||||||||||||||||||||||||
Repurchase agreements | 1,574,244 | 1,574,244 | 1,497,191 | 1,497,191 | ||||||||||||||||||||||||||||||
Interest payable | 791 | 791 | 582 | 582 | ||||||||||||||||||||||||||||||
Long-term debt | 40,000 | 37,250 | 15,000 | 15,000 | ||||||||||||||||||||||||||||||
Derivative liabilities | 43,034 | 43,034 | 76,850 | 76,850 | ||||||||||||||||||||||||||||||
Accounts payable, accrued expenses and other liabilities | 13,719 | 13,719 | 17,837 | 17,837 | ||||||||||||||||||||||||||||||
Fair Value Hierarchy | ||||||||||||||||||||||||||||||||||
The following tables set forth financial instruments accounted for under ASC 820 by level within the fair value hierarchy as of September 30, 2013 and December 31, 2012. As required by ASC 820, assets and liabilities that are measured at fair value are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. | ||||||||||||||||||||||||||||||||||
Financial Instruments Measured at Fair Value on a Recurring Basis | ||||||||||||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||||||||
MBS, at fair value | ||||||||||||||||||||||||||||||||||
Trading | ||||||||||||||||||||||||||||||||||
Agency-backed MBS | $ | 1,633,263 | $ | — | $ | 1,633,263 | $ | — | ||||||||||||||||||||||||||
Available-for-sale | ||||||||||||||||||||||||||||||||||
Agency-backed MBS | 47 | — | 47 | — | ||||||||||||||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||||||||||||
Senior securities | 7,037 | — | — | 7,037 | ||||||||||||||||||||||||||||||
Re-REMIC securities | 337,081 | — | — | 337,081 | ||||||||||||||||||||||||||||||
Total available-for-sale | 344,165 | — | 47 | 344,118 | ||||||||||||||||||||||||||||||
Total MBS | 1,977,428 | — | 1,633,310 | 344,118 | ||||||||||||||||||||||||||||||
Derivative assets, at fair value | 1,851 | 1,667 | 184 | — | ||||||||||||||||||||||||||||||
Derivative liabilities, at fair value | (43,034 | ) | (43,034 | ) | — | — | ||||||||||||||||||||||||||||
Interest-only MBS, at fair value | 349 | — | — | 349 | ||||||||||||||||||||||||||||||
Total | $ | 1,936,594 | $ | (41,367 | ) | $ | 1,633,494 | $ | 344,467 | |||||||||||||||||||||||||
31-Dec-12 | ||||||||||||||||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||||||||
MBS, at fair value | ||||||||||||||||||||||||||||||||||
Trading | ||||||||||||||||||||||||||||||||||
Agency-backed MBS | $ | 1,556,440 | $ | — | $ | 1,556,440 | $ | — | ||||||||||||||||||||||||||
Available-for-sale | ||||||||||||||||||||||||||||||||||
Agency-backed MBS | 70 | — | 70 | — | ||||||||||||||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||||||||||||
Senior securities | 7,519 | — | — | 7,519 | ||||||||||||||||||||||||||||||
Re-REMIC securities | 191,567 | — | — | 191,567 | ||||||||||||||||||||||||||||||
Total available-for-sale | 199,156 | — | 70 | 199,086 | ||||||||||||||||||||||||||||||
Total MBS | 1,755,596 | — | 1,556,510 | 199,086 | ||||||||||||||||||||||||||||||
Derivative liabilities, at fair value | (76,850 | ) | (76,850 | ) | — | — | ||||||||||||||||||||||||||||
Interest-only MBS, at fair value | 478 | — | — | 478 | ||||||||||||||||||||||||||||||
Total | $ | 1,679,224 | $ | (76,850 | ) | $ | 1,556,510 | $ | 199,564 | |||||||||||||||||||||||||
The total financial assets measured and reported at fair value on a recurring basis and classified within Level 3 were $344,467, or 15.52%, and $199,564, or 9.62%, of the Company’s total assets as of September 30, 2013 and December 31, 2012, respectively. | ||||||||||||||||||||||||||||||||||
There were no transfers of securities in or out of Levels 1, 2 or 3 during the three and nine months ended September 30, 2013 or the year ended December 31, 2012. | ||||||||||||||||||||||||||||||||||
Level 3 Financial Assets and Liabilities | ||||||||||||||||||||||||||||||||||
Financial Instruments Measured at Fair Value on a Recurring Basis | ||||||||||||||||||||||||||||||||||
The fair value of the Company’s Level 3, available-for-sale, private-label MBS was $344,118 and $199,086 as of September 30, 2013 and December 31, 2012, respectively. These securities are primarily senior and re-REMIC tranches in securitization trusts issued between 2005 and 2010. The senior securities represent interests in securitizations that have the first right to cash flows and absorb losses last. The re-REMIC securities represent interests in re-securitizations of senior MBS and pro-rata mezzanine securities. For re-REMIC securities, the cash flows from, and any credit losses absorbed by, the underlying MBS are allocated among the re-REMIC securities issued in the re-securitization transactions based on the re-REMIC structure. For example, prime and non-prime residential senior securities have been resecuritized to create a two-tranche structure with a re-REMIC senior security and a re-REMIC subordinated security. In these re-REMIC securities, all principal payments from the underlying securities are directed to the re-REMIC senior security until the face value is fully paid off. Thereafter, all principal payments are directed to the re-REMIC subordinated security. For pro-rata mezzanine securities, principal payments from the underlying MBS are typically allocated concurrently and proportionally to the mezzanine securities along with senior securities. The re-REMIC subordinated and mezzanine securities absorb credit losses, if any, first; however, these credit losses occur only when credit losses exceed the credit protection provided to the underlying securities. Senior, re-REMIC and mezzanine securities receive interest while any face value is outstanding. | ||||||||||||||||||||||||||||||||||
The Company’s senior securities and re-REMIC securities were collateralized by residential Prime and Alt-A mortgage loans and had the following weighted-averages, based on face value, as of the dates indicated: | ||||||||||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||
Original loan-to-value | 70 | % | 70 | % | ||||||||||||||||||||||||||||||
Original FICO score | 726 | 730 | ||||||||||||||||||||||||||||||||
Three-month prepayment rate | 18 | % | 17 | % | ||||||||||||||||||||||||||||||
Three-month loss severities | 41 | % | 46 | % | ||||||||||||||||||||||||||||||
Weighted average coupon | 3.44 | % | 4.4 | % | ||||||||||||||||||||||||||||||
The significant unobservable inputs for the valuation model include the following weighted-averages, based on face value, as of the dates indicated: | ||||||||||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||||||||||
Senior | Re-REMIC | Senior | Re-REMIC | |||||||||||||||||||||||||||||||
Securities | Securities | Securities | Securities | |||||||||||||||||||||||||||||||
Discount rate | 6 | % | 6.71 | % | 6.5 | % | 7.43 | % | ||||||||||||||||||||||||||
Default rate | 9.3 | % | 3.87 | % | 9.3 | % | 5 | % | ||||||||||||||||||||||||||
Loss severity rate | 55 | % | 45.27 | % | 60 | % | 46.6 | % | ||||||||||||||||||||||||||
Prepayment rate | 16.3 | % | 11.78 | % | 16.3 | % | 13.75 | % | ||||||||||||||||||||||||||
The ranges of the significant unobservable inputs for the valuation model were as follows as of the dates indicated: | ||||||||||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||
Senior | Re-REMIC | Senior | Re-REMIC | |||||||||||||||||||||||||||||||
Securities | Securities | Securities | Securities | |||||||||||||||||||||||||||||||
Discount rate | 6 | % | 6.00 – 10.00 | % | 6.5 | % | 6.50 – 13.25 | % | ||||||||||||||||||||||||||
Default rate | 9.3 | % | 0.95 – 9.45 | % | 9.3 | % | 0.95 – 11.10 | % | ||||||||||||||||||||||||||
Loss severity rate | 55 | % | 28.36 – 57.50 | % | 60 | % | 28.26 – 57.50 | % | ||||||||||||||||||||||||||
Prepayment rate | 16.3 | % | 6.35 – 19.55 | % | 16.3 | % | 6.95 – 20.40 | % | ||||||||||||||||||||||||||
The tables below set forth a summary of changes in the fair value and gains and losses of the Company’s Level 3 financial assets and liabilities that are measured at fair value on a recurring basis for the three and nine months ended September 30, 2013 and 2012. | ||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2013 | ||||||||||||||||||||||||||||||||||
Senior Securities | Re-REMIC Securities | Total | ||||||||||||||||||||||||||||||||
Beginning balance, July 1, 2013 | $ | 7,246 | $ | 321,674 | $ | 328,920 | ||||||||||||||||||||||||||||
Total net gains (losses) | ||||||||||||||||||||||||||||||||||
Included in earnings | — | 4,509 | 4,509 | |||||||||||||||||||||||||||||||
Included in other comprehensive income | (117 | ) | 72 | (45 | ) | |||||||||||||||||||||||||||||
Purchases | — | 36,479 | 36,479 | |||||||||||||||||||||||||||||||
Sales | — | (27,086 | ) | (27,086 | ) | |||||||||||||||||||||||||||||
Payments, net | (313 | ) | (5,446 | ) | (5,759 | ) | ||||||||||||||||||||||||||||
Accretion of discount | 221 | 6,879 | 7,100 | |||||||||||||||||||||||||||||||
Ending balance, September 30, 2013 | $ | 7,037 | $ | 337,081 | $ | 344,118 | ||||||||||||||||||||||||||||
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | $ | — | $ | (380 | ) | $ | (380 | ) | ||||||||||||||||||||||||||
Three Months Ended September 30, 2012 | ||||||||||||||||||||||||||||||||||
Senior Securities | Re-REMIC Securities | Total | ||||||||||||||||||||||||||||||||
Beginning balance, July 1, 2012 | $ | 8,498 | $ | 164,450 | $ | 172,948 | ||||||||||||||||||||||||||||
Total net gains (losses) | ||||||||||||||||||||||||||||||||||
Included in earnings | (1,914 | ) | (4,937 | ) | (6,851 | ) | ||||||||||||||||||||||||||||
Included in other comprehensive income | 1,423 | 1,628 | 3,051 | |||||||||||||||||||||||||||||||
Purchases | — | 26,686 | 26,686 | |||||||||||||||||||||||||||||||
Sales | — | (985 | ) | (985 | ) | |||||||||||||||||||||||||||||
Payments, net | (342 | ) | (4,476 | ) | (4,818 | ) | ||||||||||||||||||||||||||||
Accretion of discount | 352 | 5,574 | 5,926 | |||||||||||||||||||||||||||||||
Ending balance, September 30, 2012 | $ | 8,017 | $ | 187,940 | $ | 195,957 | ||||||||||||||||||||||||||||
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | $ | (1,914 | ) | $ | (4,986 | ) | $ | (6,900 | ) | |||||||||||||||||||||||||
Nine Months Ended September 30, 2013 | ||||||||||||||||||||||||||||||||||
Senior Securities | Re-REMIC Securities | Total | ||||||||||||||||||||||||||||||||
Beginning balance, January 1, 2013 | $ | 7,519 | $ | 191,567 | $ | 199,086 | ||||||||||||||||||||||||||||
Total net gains (losses) | ||||||||||||||||||||||||||||||||||
Included in earnings | — | 12,299 | 12,299 | |||||||||||||||||||||||||||||||
Included in other comprehensive income | (204 | ) | 17,875 | 17,671 | ||||||||||||||||||||||||||||||
Purchases | — | 167,682 | 167,682 | |||||||||||||||||||||||||||||||
Sales | — | (54,884 | ) | (54,884 | ) | |||||||||||||||||||||||||||||
Payments, net | (950 | ) | (16,205 | ) | (17,155 | ) | ||||||||||||||||||||||||||||
Accretion of discount | 672 | 18,747 | 19,419 | |||||||||||||||||||||||||||||||
Ending balance, September 30, 2013 | $ | 7,037 | $ | 337,081 | $ | 344,118 | ||||||||||||||||||||||||||||
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | $ | — | $ | (1,270 | ) | $ | (1,270 | ) | ||||||||||||||||||||||||||
Nine Months Ended September 30, 2012 | ||||||||||||||||||||||||||||||||||
Senior Securities | Re-REMIC Securities | Total | ||||||||||||||||||||||||||||||||
Beginning balance, January 1, 2012 | $ | 9,311 | $ | 170,116 | $ | 179,427 | ||||||||||||||||||||||||||||
Total net gains (losses) | ||||||||||||||||||||||||||||||||||
Included in earnings | (1,914 | ) | (9,468 | ) | (11,382 | ) | ||||||||||||||||||||||||||||
Included in other comprehensive income | 742 | (2,145 | ) | (1,403 | ) | |||||||||||||||||||||||||||||
Purchases | — | 27,156 | 27,156 | |||||||||||||||||||||||||||||||
Sales | — | (985 | ) | (985 | ) | |||||||||||||||||||||||||||||
Payments, net | (1,181 | ) | (14,291 | ) | (15,472 | ) | ||||||||||||||||||||||||||||
Accretion of discount | 1,059 | 17,557 | 18,616 | |||||||||||||||||||||||||||||||
Ending balance, September 30, 2012 | $ | 8,017 | $ | 187,940 | $ | 195,957 | ||||||||||||||||||||||||||||
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | $ | (1,914 | ) | $ | (9,517 | ) | $ | (11,431 | ) | |||||||||||||||||||||||||
Gains and losses included in earnings for the three and nine months ended September 30, 2013 and 2012 are reported in the following statement of comprehensive income line descriptions: | ||||||||||||||||||||||||||||||||||
Other Loss, Investment Loss, net | ||||||||||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended | |||||||||||||||||||||||||||||||||
September 30, | ||||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Total gains (losses) included in earnings for the period | $ | 4,509 | $ | (6,851 | ) | $ | 12,299 | $ | (11,382 | ) | ||||||||||||||||||||||||
Change in unrealized gains (losses) relating to assets still held at reporting date | $ | (380 | ) | $ | (6,900 | ) | $ | (1,270 | ) | $ | (11,431 | ) | ||||||||||||||||||||||
Level 3 Financial Instruments Measured at Fair Value on a Non-Recurring Basis | ||||||||||||||||||||||||||||||||||
The Company also measures certain financial assets at fair value on a non-recurring basis. Adjustments to the fair value of these assets usually result from the application of lower-of-cost-or-market accounting or write-downs of individual assets due to impairments. Due to the nature of these financial assets, enterprise values are primarily used to value these financial assets. In determining the enterprise value, the Company analyzes various financial, performance and market factors to estimate fair value, including where applicable, market trading activity. As a result, these financial assets are classified within Level 3 of the fair value hierarchy. As of September 30, 2013 and December 31, 2012, these financial assets are classified within the other investments category, represent the Company’s interest in non-public equity securities and investment funds and are valued at $1,831 and $1,869, respectively. For the nine months ended September 30, 2013, the Company recorded losses of $138, respectively, in the carrying value of these financial assets. For the three and nine months ended September 30, 2012, the Company recorded losses of $64 in the carrying value of these financial assets. For the three months ended September 30, 2013, there were no changes to the carrying value of these financial assets. | ||||||||||||||||||||||||||||||||||
MBS, at Fair Value | ||||||||||||||||||||||||||||||||||
MBS, at fair value(1)(2), consisted of the following as of the dates indicated: | ||||||||||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||||||||||
Fair Value | Net | Percent of | Weighted | Weighted | Fair Value | Net | Percent of | Weighted | Weighted | |||||||||||||||||||||||||
Unamortized | Total Fair | Average | Average | Unamortized | Total Fair | Average | Average | |||||||||||||||||||||||||||
Premium | Value | Life | Rating(3) | Premium | Value | Life | Rating(3) | |||||||||||||||||||||||||||
(Discount) | (Discount) | |||||||||||||||||||||||||||||||||
Trading | ||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 1,046,994 | $ | — | 52.95 | % | 9.4 | AAA | $ | 1,083,810 | $ | — | 61.73 | % | 4.9 | AAA | ||||||||||||||||||
Freddie Mac | 586,269 | — | 29.65 | % | 9.4 | AAA | 472,630 | — | 26.92 | % | 5.1 | AAA | ||||||||||||||||||||||
Available-for-sale: | ||||||||||||||||||||||||||||||||||
Agency-backed | ||||||||||||||||||||||||||||||||||
Fannie Mae | 47 | — | — | 5 | AAA | 70 | — | 0.01 | % | 2.8 | AAA | |||||||||||||||||||||||
Private-label | ||||||||||||||||||||||||||||||||||
Senior securities | 7,037 | -5,247 | 0.35 | % | 4.9 | C- | 7,519 | -6,519 | 0.43 | % | 5.2 | C | ||||||||||||||||||||||
Re-REMIC | 337,081 | -219,520 | 17.05 | % | 11.7 | NR | 191,567 | -164,422 | 10.91 | % | 11.4 | NR | ||||||||||||||||||||||
securities | ||||||||||||||||||||||||||||||||||
$ | 1,977,428 | $ | -224,767 | 100 | % | $ | 1,755,596 | $ | -170,941 | 100 | % | |||||||||||||||||||||||
-1 | The Company’s MBS portfolio was primarily comprised of fixed-rate MBS at September 30, 2013 and December 31, 2012. The weighted-average coupon of the MBS portfolio at September 30, 2013 and December 31, 2012 was 3.92% and 4.11%, respectively. | |||||||||||||||||||||||||||||||||
-2 | As of September 30, 2013 and December 31, 2012, the Company’s MBS investments with a fair value of $1,748,166 and $1,615,421, respectively, were pledged as collateral for repurchase agreements. | |||||||||||||||||||||||||||||||||
-3 | The securities issued by Fannie Mae and Freddie Mac are not rated by any rating agency; however, they are commonly thought of as having an implied rating of “AAA.” There is no assurance, particularly given the downgrade of the U.S. credit rating to “AA+” by Standard & Poors during the quarter ended September 30, 2011 and Fitch Ratings Inc.’s announcement on October 15, 2013 that it had placed the U.S. credit rating on negative watch, that these securities would receive such a rating if they were ever rated by a rating agency. The weighted-average rating of the Company’s private-label senior securities is calculated based on face value of the securities. | |||||||||||||||||||||||||||||||||
The Company has generally purchased private-label MBS at a discount. The Company, at least on a quarterly basis, estimates the future expected cash flows based on the Company’s observation of current information and events and applies a number of assumptions related to prepayment rates, interest rates, default rates, loss severity rates, and the timing and amount of cash flows and credit losses. These assumptions are difficult to predict as they are subject to uncertainties and contingencies related to future events that may impact the Company’s estimates and its interest income. | ||||||||||||||||||||||||||||||||||
Interest income on the private-label MBS that were purchased at a discount to face value is recognized based on the security’s expected effective interest rate. At acquisition, the accretable yield is calculated as the difference between the undiscounted expected cash flows and the purchase price which is expected to be accreted into interest income over the remaining life of the security on a level-yield basis. The difference between the contractually required payments and the undiscounted expected cash flows represents the non-accretable difference. Based on actual payment activities and changes in estimates of undiscounted expected future cash flows, the accretable yield and the non-accretable difference can change over time. Significant increases in the amount or timing of undiscounted expected future cash flows are recognized prospectively as an adjustment to the accretable yield. | ||||||||||||||||||||||||||||||||||
The following table presents the changes in the accretable yield on available-for-sale, private-label MBS for the three and nine months ended September 30, 2013 and 2012: | ||||||||||||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||||||||
September 30, | September 30, | |||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Beginning balance | $ | 317,695 | $ | 180,201 | $ | 207,853 | $ | 194,619 | ||||||||||||||||||||||||||
Accretion of discount | (7,099 | ) | (5,926 | ) | (19,418 | ) | (18,617 | ) | ||||||||||||||||||||||||||
Reclassifications, net | 18,639 | 1,746 | 51,248 | (1,731 | ) | |||||||||||||||||||||||||||||
Acquisitions | 36,901 | 38,721 | 150,646 | 40,471 | ||||||||||||||||||||||||||||||
Sales | (27,372 | ) | (92 | ) | (51,565 | ) | (92 | ) | ||||||||||||||||||||||||||
Ending balance | $ | 338,764 | $ | 214,650 | $ | 338,764 | $ | 214,650 | ||||||||||||||||||||||||||
For the available-for-sale, private-label MBS acquired during the three and nine months ended September 30, 2013 and 2012, the contractually required payments receivable, the cash flow expected to be collected, and the fair value at the acquisition date were as follows for the dates indicated: | ||||||||||||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||||||||
September 30, | September 30, | |||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Contractually required payments receivable | $ | 87,640 | $ | 95,073 | $ | 420,500 | $ | 97,292 | ||||||||||||||||||||||||||
Cash flows expected to be collected | 73,380 | 65,341 | 318,328 | 67,560 | ||||||||||||||||||||||||||||||
Basis in acquired securities | 36,479 | 26,620 | 167,682 | 27,089 | ||||||||||||||||||||||||||||||
The Company’s available-for-sale MBS are carried at fair value in accordance with ASC 320, Debt and Equity Securities (ASC 320), with resulting unrealized gains and losses reflected as other comprehensive income or loss. Gross unrealized gains and losses on these securities were the following as of the dates indicated: | ||||||||||||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||||||||||||
Amortized Cost/ | Unrealized | |||||||||||||||||||||||||||||||||
Cost Basis(1) | Gains | Losses | Fair Value | |||||||||||||||||||||||||||||||
Agency-backed MBS | $ | 43 | $ | 4 | $ | — | $ | 47 | ||||||||||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||||||||||||
Senior securities | 5,332 | 1,705 | — | 7,037 | ||||||||||||||||||||||||||||||
Re-REMIC securities | 281,707 | 55,480 | (106 | ) | 337,081 | |||||||||||||||||||||||||||||
Total | $ | 287,082 | $ | 57,189 | $ | (106 | ) | $ | 344,165 | |||||||||||||||||||||||||
-1 | The amortized cost of MBS includes unamortized net discounts of $224,767 at September 30, 2013. | |||||||||||||||||||||||||||||||||
31-Dec-12 | ||||||||||||||||||||||||||||||||||
Amortized Cost/ | Unrealized | |||||||||||||||||||||||||||||||||
Cost Basis(1) | Gains | Losses | Fair Value | |||||||||||||||||||||||||||||||
Agency-backed MBS | $ | 64 | $ | 6 | $ | — | $ | 70 | ||||||||||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||||||||||||
Senior securities | 5,611 | 1,908 | — | 7,519 | ||||||||||||||||||||||||||||||
Re-REMIC securities | 154,067 | 37,500 | — | 191,567 | ||||||||||||||||||||||||||||||
Total | $ | 159,742 | $ | 39,414 | $ | — | $ | 199,156 | ||||||||||||||||||||||||||
-1 | The amortized cost of MBS includes unamortized net discounts of $170,941 at December 31, 2012. | |||||||||||||||||||||||||||||||||
For the three and nine months ended September 30, 2013, the Company recorded other-than-temporary impairment charges of $380 and $1,270, respectively, as a component of investment loss, net on the consolidated statements of comprehensive income related to deterioration in credit quality on available-for-sale, private-label MBS with a cost basis of $10,104 and $11,688, respectively, prior to recognizing the other-than-temporary impairment charges. For the three and nine months ended September 30, 2012, the Company recorded other-than-temporary impairment charges of $6,900 and $11,431, respectively, as a component of investment loss, net, on the consolidated statements of comprehensive income related to deterioration in credit quality on available-for-sale, private-label MBS with a cost basis on $24,044 and $36,076, respectively, prior to recognizing the other-than-temporary impairment charges. | ||||||||||||||||||||||||||||||||||
The following table presents a summary of other-than-temporary impairment charges included in earnings for the periods indicated and cumulative other-than-temporary impairment charges recognized on the MBS held as of the dates indicated: | ||||||||||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Cumulative other-than-temporary impairment, beginning balance | $ | 23,283 | $ | 13,125 | $ | 23,768 | $ | 8,594 | ||||||||||||||||||||||||||
Additions | ||||||||||||||||||||||||||||||||||
Other-than-temporary impairments not previously recognized | 380 | 6,533 | 380 | 10,792 | ||||||||||||||||||||||||||||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | — | 367 | 890 | 639 | ||||||||||||||||||||||||||||||
Reductions | ||||||||||||||||||||||||||||||||||
Decreases related to other-than-temporary impairments on sold securities with previously recognized other-than-temporary impairments | — | — | (1,375 | ) | — | |||||||||||||||||||||||||||||
Cumulative other-than-temporary impairment, ending balance | $ | 23,663 | $ | 20,025 | $ | 23,663 | $ | 20,025 | ||||||||||||||||||||||||||
The following table presents the results of sales of MBS for the periods indicated: | ||||||||||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Agency- | Private- | Agency- | Private- | Agency- | Private- | Agency- | Private- | |||||||||||||||||||||||||||
Backed | Label | Backed | Label | Backed | Label | Backed | Label | |||||||||||||||||||||||||||
MBS | MBS | MBS | MBS | MBS | MBS | MBS | MBS | |||||||||||||||||||||||||||
Proceeds from sales | $ | 309,518 | $ | 27,085 | $ | 189,095 | $ | 985 | $ | 837,257 | $ | 54,884 | $ | 301,223 | $ | 985 | ||||||||||||||||||
Gross gains | 238 | 4,778 | 1,624 | 49 | 531 | 13,267 | 4,041 | 49 | ||||||||||||||||||||||||||
Gross losses | 4,118 | — | 106 | — | 26,469 | — | 251 | — | ||||||||||||||||||||||||||
Other Investments | ||||||||||||||||||||||||||||||||||
The Company’s other investments consisted of the following as of the dates indicated: | ||||||||||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||
Interest-only MBS | $ | 349 | $ | 478 | ||||||||||||||||||||||||||||||
Non-public equity securities | 975 | 975 | ||||||||||||||||||||||||||||||||
Investment funds | 856 | 894 | ||||||||||||||||||||||||||||||||
Total other investments | $ | 2,180 | $ | 2,347 | ||||||||||||||||||||||||||||||
Borrowings
Borrowings | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Debt Disclosure [Abstract] | ' | ||||||||||||||||
Borrowings | ' | ||||||||||||||||
3. Borrowings: | |||||||||||||||||
Repurchase Agreements | |||||||||||||||||
The Company has entered into repurchase agreements to fund its investments in MBS. Securities sold under agreements to repurchase, which are treated as financing transactions for financial reporting purposes, are collateralized by MBS and are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. Under the repurchase agreements, the Company pledges its securities as collateral to secure the borrowing, which is equal in value to a specified percentage of the fair value of the pledged collateral, while the Company retains beneficial ownership of the pledged collateral. The counterparty to the repurchase agreements may require that the Company pledge additional securities or cash as additional collateral to secure borrowings when the value of the collateral declines. | |||||||||||||||||
As of September 30, 2013, the Company had no amount at risk with a single repurchase agreement counterparty or lender greater than 10% of equity. As of December 31, 2012, the amount at risk related to $482,097 of repurchase agreements with Credit Suisse Securities (USA) LLC was $50,171, or 10.79%, of the Company’s equity with a weighted-average maturity of 15 days. The amount at risk is defined as the excess of the higher of carrying amount or market value of the collateral provided under repurchase agreements, including any cash or other assets on deposit to secure the repurchase obligation, over the amount of the repurchase liability. The following tables provide information regarding the Company’s outstanding repurchase agreement borrowings as of the dates and for the periods indicated: | |||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Outstanding balance | $ | 1,574,244 | $ | 1,497,191 | |||||||||||||
Value of assets pledged as collateral | |||||||||||||||||
Agency-backed MBS | 1,618,029 | 1,547,760 | |||||||||||||||
Private-label MBS | 130,137 | 67,661 | |||||||||||||||
Net amount(1) | 173,922 | 118,230 | |||||||||||||||
Weighted-average rate | 0.44 | % | 0.52 | % | |||||||||||||
Weighted-average term to maturity | 10.9 days | 14.5 days | |||||||||||||||
-1 | Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. | ||||||||||||||||
30-Sep-13 | 30-Sep-12 | ||||||||||||||||
Weighted-average outstanding balance during the three months ended | $ | 1,581,663 | $ | 926,746 | |||||||||||||
Weighted-average rate during the three months ended | 0.44 | % | 0.48 | % | |||||||||||||
Weighted-average outstanding balance during the nine months ended | $ | 1,504,878 | $ | 821,625 | |||||||||||||
Weighted-average rate during the nine months ended | 0.44 | % | 0.45 | % | |||||||||||||
Long-Term Debt | |||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company had $40,000 and $15,000, respectively, of outstanding long-term debentures. On May 1, 2013, the Company completed a public offering of $25,000 of its 6.625% Senior Notes due in 2023 and received net proceeds of $24,038 after payment of underwriting discounts and commissions and expenses. These Senior Notes will mature on May 1, 2023, and may be redeemed in whole or in part at any time and from time to time at the Company’s option on or after May 1, 2016, at a redemption price equal to the principal amount redeemed plus accrued and unpaid interest. The interest payments on these Senior Notes are payable quarterly on February 1, May 1, August 1, and November 1 of each year, beginning on August 1, 2013. These Senior Notes are publicly traded on the New York Stock Exchange under the ticker symbol “AIW”. The Company’s long-term debentures consisted of the following as of the dates indicated: | |||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Senior | Trust | Senior | Trust | ||||||||||||||
Notes | Preferred Debt | Notes | Preferred Debt | ||||||||||||||
Outstanding Principal | $ | 25,000 | $ | 15,000 | $ | — | $ | 15,000 | |||||||||
Annual Interest Rate | 6.625 | % | LIBOR+2.25 -3.00% | — | LIBOR+2.25 -3.00% | ||||||||||||
Interest Payment Frequency | Quarterly | Quarterly | — | Quarterly | |||||||||||||
Weighted-Average Interest Rate | 6.625 | % | 3.02 | % | — | 3.09 | % | ||||||||||
Maturity | 1-May-23 | 2033 - 2035 | — | 2033 - 2035 | |||||||||||||
Early Redemption Date | 1-May-16 | 2008 - 2010 | — | 2008 - 2010 | |||||||||||||
Derivative_Financial_Instrumen
Derivative Financial Instruments and Hedging Activities | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||
Derivative Financial Instruments and Hedging Activities | ' | ||||||||||||||||
4. Derivative Financial Instruments and Hedging Activities: | |||||||||||||||||
In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative financial instruments in accordance with ASC 815. These instruments may include interest rate swaps, Eurodollar futures, swap futures, and U.S. Treasury futures contracts, put options and certain commitments to purchase and sell MBS. The exchange traded derivatives such as Eurodollar futures and swap futures are cash settled on a daily basis. The Company may be required to pledge collateral for margin requirements with third-party custodians in connection with certain derivative transactions. These transactions are not under master netting agreements. | |||||||||||||||||
During the three and nine months ended September 30, 2013, the Company entered into various financial contracts to hedge certain MBS and related borrowings and other long-term debt. These financial contracts are not designated as hedges under ASC 815. The changes in fair value on these derivatives are recorded to net investment gain or loss in the statement of comprehensive income. For the three and nine months ended September 30, 2013, the Company recorded net (losses) gains of $(14,457) and $44,577, respectively, on these derivatives. For the three and nine months ended September 30, 2012, the Company recorded net losses of $10,972 and $27,966, respectively, on these derivatives. The Company held the following derivative instruments as of the dates indicated: | |||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Notional Amount | Fair Value | Notional Amount | Fair Value | ||||||||||||||
No hedge designation | |||||||||||||||||
Eurodollar futures | |||||||||||||||||
Derivative assets | $ | 1,883,000 | $ | 1,667 | $ | — | $ | — | |||||||||
Derivative liabilities | 14,350,000 | (41,440 | ) | 17,525,000 | (76,850 | ) | |||||||||||
Total Eurodollar futures(1) | 16,233,000 | (39,773 | ) | 17,525,000 | (76,850 | ) | |||||||||||
10-year swap futures(2) | 640,000 | (1,500 | ) | — | — | ||||||||||||
10-year U.S. Treasury note futures(3) | 12,000 | (56 | ) | — | — | ||||||||||||
5-year U.S. Treasury note futures(4) | 10,000 | (38 | ) | — | — | ||||||||||||
Commitment to purchase MBS(5) | 25,000 | 184 | — | — | |||||||||||||
-1 | The $16,233,000 total notional amount of Eurodollar futures contracts as of September 30, 2013 represents the accumulation of Eurodollar futures contracts that mature on a quarterly basis between 2013 and 2018. As of September 30, 2013, the Company maintained $52,408 as a deposit and margin against the open Eurodollar futures contracts. | ||||||||||||||||
-2 | The total notional amount of $640,000 represents the accumulation of 10-year swap futures that mature in December 2013. As of September 30, 2013, the Company maintained $11,100 as a deposit and margin against the open swap futures contracts. | ||||||||||||||||
-3 | The total notional amount of $12,000 represents the accumulation of 10-year U.S. Treasury note futures that mature in December 2013. As of September 30, 2013, the Company maintained $233 as a deposit and margin against the open 10-year U.S. Treasury note futures contracts. | ||||||||||||||||
-4 | The total notional amount of $10,000 represents the accumulation of 5-year U.S. Treasury note futures that mature in December 2013. As of September 30, 2013, the Company maintained $128 as a deposit and margin against the open 5-year U.S. Treasury note futures contracts. | ||||||||||||||||
-5 | The total notional amount of commitment to purchase MBS represents forward commitments to purchase fixed-rate MBS securities. | ||||||||||||||||
Income_Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2013 | |
Income Tax Disclosure [Abstract] | ' |
Income Taxes | ' |
5. Income Taxes: | |
The total income tax provision for the three and nine months ended September 30, 2013 was $2,455 and $1,247, respectively. The total income tax provision for the three and nine months ended September 30, 2012 was $450 and $1,271, respectively. | |
The Company’s effective tax rate for the nine months ended September 30, 2013 and 2012 was 11.64% and 7.35%, respectively. The effective tax rate during the nine months ended September 30, 2013 was lower than the statutory tax rate due to the realization of previously unrecognized tax benefits, including related accrued interest, that were fully reserved. The effective tax rate during the nine months ended September 30, 2012 was lower than the statutory tax rate due to the realization of deferred tax assets that were offset by a full valuation allowance. The Company will continue to provide a valuation allowance against the portion of the capital loss carryforwards which the Company believes that it is more likely than not that the benefits will not be realized prior to expiration. The Company will continue to assess the need for a valuation allowance at each reporting date. | |
The Company is subject to examination by the U.S. Internal Revenue Service (IRS) and other taxing jurisdictions. In March 2013, an IRS examination of the Company’s tax years 2009 and 2010 was completed without any adjustment. As a result, the Company reversed $3,200 of unrecognized federal tax benefit related to an uncertain tax position and $544 of related accrued interest as of March 31, 2013. The Company believes that the statute of limitation on the 2009 state tax return expired as of October 15, 2013. As a result, during the quarter ending December 31, 2013, the Company expects to reverse $9,600 of unrecognized state tax benefit related to an uncertain tax position and $2,867 of related accrued interest. | |
Earnings_Per_Share
Earnings Per Share | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Earnings Per Share [Abstract] | ' | ||||||||||||||||
Earnings Per Share | ' | ||||||||||||||||
6. Earnings Per Share: | |||||||||||||||||
Basic earnings per share includes no dilution and is computed by dividing net income or loss applicable to common stock by the weighted-average number of common shares outstanding for the respective period. Diluted earnings per share includes the impact of dilutive securities such as stock options, unvested shares of restricted stock, and performance share units. The following tables present the computations of basic and diluted earnings per share for the periods indicated: | |||||||||||||||||
(Shares in thousands) | Three Months Ended September 30, | ||||||||||||||||
2013 | 2012 | ||||||||||||||||
Basic | Diluted | Basic | Diluted | ||||||||||||||
Weighted-average shares outstanding | |||||||||||||||||
Common stock | 16,669 | 16,669 | 9,977 | 9,977 | |||||||||||||
Stock options, performance share units, and unvested restricted stock | — | 176 | — | 64 | |||||||||||||
Weighted-average common and common equivalent shares outstanding | 16,669 | 16,845 | 9,977 | 10,041 | |||||||||||||
Net income applicable to common stock | $ | 3,093 | $ | 3,093 | $ | 3,123 | $ | 3,123 | |||||||||
Net income per common share | $ | 0.19 | $ | 0.18 | $ | 0.31 | $ | 0.31 | |||||||||
(Shares in thousands) | Nine Months Ended September 30, | ||||||||||||||||
2013 | 2012 | ||||||||||||||||
Basic | Diluted | Basic | Diluted | ||||||||||||||
Weighted-average shares outstanding | |||||||||||||||||
Common stock | 15,761 | 15,761 | 9,192 | 9,192 | |||||||||||||
Stock options, performance share units, and unvested restricted stock | — | 173 | — | 27 | |||||||||||||
Weighted-average common and common equivalent shares outstanding | 15,761 | 15,934 | 9,192 | 9,219 | |||||||||||||
Net income applicable to common stock | $ | 9,464 | $ | 9,464 | $ | 16,029 | $ | 16,029 | |||||||||
Net income per common share | $ | 0.6 | $ | 0.59 | $ | 1.74 | $ | 1.74 | |||||||||
The diluted earnings per share for the three and nine months ended September 30, 2013 did not include the antidilutive effect of 43,598 and 23,796 shares, respectively, of stock options, unvested shares of restricted stock, and performance share units. The diluted earnings per share for the three and nine months ended September 30, 2012 did not include the antidilutive effect of 10,364 and 29,786 shares, respectively, of stock options, unvested shares of restricted stock, and performance share units. | |||||||||||||||||
Equity
Equity | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Equity [Abstract] | ' | ||||||||||||||||
Equity | ' | ||||||||||||||||
7. Equity: | |||||||||||||||||
Equity Offering | |||||||||||||||||
During the nine months ended September 30, 2013, the Company completed a public offering of its Class A Common Stock as follows: | |||||||||||||||||
Closing date of the offering | 13-Mar-13 | ||||||||||||||||
Shares sold to public | 3,000,000 | ||||||||||||||||
Shares sold pursuant to the underwriter over-allotment | 450,000 | ||||||||||||||||
Total shares of Class A common stock | 3,450,000 | ||||||||||||||||
Public offering price per share | $ | 25.50 | |||||||||||||||
Net proceeds(1) | $ | 86,964 | |||||||||||||||
-1 | Net of underwriting discounts and commissions and expenses. | ||||||||||||||||
Dividends | |||||||||||||||||
Pursuant to the Company’s variable dividend policy, the Board of Directors evaluates dividends on a quarterly basis and, in its sole discretion, approves the payment of dividends. The Company’s dividend payments, if any, may vary significantly from quarter to quarter. The Board of Directors has approved and the Company has declared the following dividends to date in 2013: | |||||||||||||||||
Quarter Ended | Dividend Amount | Declaration Date | Record Date | Pay Date | |||||||||||||
30-Sep | $ | 0.875 | 18-Sep | 30-Sep | 31-Oct | ||||||||||||
30-Jun | 0.875 | 17-Jun | 28-Jun | 31-Jul | |||||||||||||
31-Mar | 0.875 | 15-Mar | 28-Mar | 30-Apr | |||||||||||||
The Board of Directors approved and the Company declared and paid the following dividends for 2012: | |||||||||||||||||
Quarter Ended | Dividend Amount | Declaration Date | Record Date | Pay Date | |||||||||||||
31-Dec | $ | 0.875 | 5-Dec | 17-Dec | 31-Dec | ||||||||||||
30-Sep | 0.875 | 13-Sep | 28-Sep | 31-Oct | |||||||||||||
30-Jun | 0.875 | 15-Jun | 29-Jun | 31-Jul | |||||||||||||
31-Mar | 0.875 | 16-Mar | 26-Mar | 30-Apr | |||||||||||||
Long-Term Incentive Plan | |||||||||||||||||
On April 13, 2011, the Board of Directors adopted the Arlington Asset Investment Corp. 2011 Long-Term Incentive Plan (2011 Plan). The 2011 Plan was approved by the Company’s shareholders and became effective on June 2, 2011. Under the 2011 Plan, shares of Class A common stock of the Company may be issued to employees, directors, consultants and advisors of the Company and its affiliates. As of September 30, 2013 and December 31, 2012, 443,504 and 489,448 shares, respectively, remained available for issuance under the 2011 Plan. | |||||||||||||||||
Performance-Based Long-Term Incentive Program | |||||||||||||||||
On August 13, 2012, the Compensation Committee of the Board of Directors of the Company adopted a performance-based long-term incentive program (Performance-based Program) that provides for the issuance of two types of performance share units (PSUs) pursuant to the Company’s 2011 Plan. | |||||||||||||||||
The Compensation Committee established performance goals under the Performance-based Program. Two types of PSUs may be awarded under the Performance-based Program: Book Value PSUs and Total Shareholder Return Units (TSR PSUs). The Book Value PSUs are eligible to vest based on the compound annualized growth in the Company’s book value per share (i.e., book value change plus dividends on a reinvested basis) during the applicable performance period. The TSR PSUs are eligible to vest based on the Company’s compound annualized total shareholder return (i.e., share price change plus dividends on a reinvested basis) during the applicable performance period. | |||||||||||||||||
On July 1, 2013, the Company granted an aggregate of 34,221 Book Value PSUs and 34,567 TSR PSUs to the participants in the Performance-based Program (2013 PSU Grants). For the 2013 PSU grants, the Compensation Committee awarded PSUs with an aggregate grant date fair value equal to 100% of the awardee’s base salary, with 50% of the total grant date fair value represented by Book Value PSUs and 50% of the total grant date fair value represented by TSR PSUs. The 2013 PSU Grants have a three-year performance period. | |||||||||||||||||
The actual number of shares of Class A common stock that will be issued to each participant at the end of the applicable performance period will vary between 0% and 250% of the number of PSUs granted, depending on performance results. If the threshold level of performance goals are not achieved, no PSUs are earned. Participants will earn 50% of the granted PSUs for Company performance at the threshold level, 100% of the granted PSUs for Company performance at the target level and 250% of the granted PSUs for Company performance at the maximum level, with linear interpolation for achievement falling between the performance levels. | |||||||||||||||||
The Company recorded $398 and $915, in compensation expenses related to the Performance-based Program during the three and nine months ended September 30, 2013, respectively. The Company recorded $96 in compensation expenses related to the Performance-based Program during the three and nine months ended September 30, 2012. | |||||||||||||||||
Restricted Stock | |||||||||||||||||
The following tables present the activities and balances related to restricted stock for the dates and periods indicated: | |||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||
Shares granted | — | 25,500 | 36,000 | 25,500 | |||||||||||||
Weight-average share price | $ | — | $ | 22.99 | $ | 26.74 | $ | 22.99 | |||||||||
Compensation expense recognized during the period | $ | 223 | $ | 75 | $ | 432 | $ | 161 | |||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Restricted Class A shares outstanding, unvested | 57,673 | 34,835 | |||||||||||||||
Unrecognized compensation cost related to unvested shares | $1,038 | $507 | |||||||||||||||
Weighted-average vesting period remaining | 2.30 years | 2.22 years | |||||||||||||||
Recent_Accounting_Pronouncemen
Recent Accounting Pronouncements | 9 Months Ended |
Sep. 30, 2013 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | ' |
Recent Accounting Pronouncements | ' |
8. Recent Accounting Pronouncements: | |
On July 18, 2013, the FASB issued Accounting Standards Update 2013-11, Income Taxes (Topic 740), Presentation of an Unrecognized Tax Benefit When a Net Operating Loss Carryforward, a Similar Tax Loss, or a Tax Credit Carryforward Exists. This standard requires the netting of unrecognized tax benefits against a deferred tax asset for a loss or other carryforward that would apply in settlement of the uncertain tax positions. Under the new standard, unrecognized tax benefits will be netted against all available same- jurisdiction loss or other tax carryforward that would be utilized, rather than only against carryforwards that are created by the unrecognized tax benefits. This standard will be effective for the Company beginning on January 1, 2014. The Company is assessing the impact of this standard on the Company’s financial statements. | |
Financial_Instruments_Tables
Financial Instruments (Tables) | 9 Months Ended | |||||||||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||||||||||||||||||||
Fair Value, by Balance Sheet Grouping [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
The estimated fair values of the Company’s financial instruments are as follows: | ||||||||||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||
Carrying Amount | Estimated Fair Value | Carrying Amount | Estimated | |||||||||||||||||||||||||||||||
Fair Value | ||||||||||||||||||||||||||||||||||
Financial assets | ||||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 16,347 | $ | 16,347 | $ | 35,837 | $ | 35,837 | ||||||||||||||||||||||||||
Interest receivable | 5,271 | 5,271 | 4,869 | 4,869 | ||||||||||||||||||||||||||||||
Sold securities receivable | — | — | 26,773 | 26,773 | ||||||||||||||||||||||||||||||
Other receivables | 461 | 461 | 644 | 644 | ||||||||||||||||||||||||||||||
MBS | ||||||||||||||||||||||||||||||||||
Agency-backed MBS | 1,633,310 | 1,633,310 | 1,556,510 | 1,556,510 | ||||||||||||||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||||||||||||
Senior securities | 7,037 | 7,037 | 7,519 | 7,519 | ||||||||||||||||||||||||||||||
Re-REMIC securities | 337,081 | 337,081 | 191,567 | 191,567 | ||||||||||||||||||||||||||||||
Derivative assets | 1,851 | 1,851 | — | — | ||||||||||||||||||||||||||||||
Other investments | 2,180 | 2,180 | 2,347 | 2,347 | ||||||||||||||||||||||||||||||
Deposits | 63,869 | 63,869 | 85,652 | 85,652 | ||||||||||||||||||||||||||||||
Financial liabilities | ||||||||||||||||||||||||||||||||||
Repurchase agreements | 1,574,244 | 1,574,244 | 1,497,191 | 1,497,191 | ||||||||||||||||||||||||||||||
Interest payable | 791 | 791 | 582 | 582 | ||||||||||||||||||||||||||||||
Long-term debt | 40,000 | 37,250 | 15,000 | 15,000 | ||||||||||||||||||||||||||||||
Derivative liabilities | 43,034 | 43,034 | 76,850 | 76,850 | ||||||||||||||||||||||||||||||
Accounts payable, accrued expenses and other liabilities | 13,719 | 13,719 | 17,837 | 17,837 | ||||||||||||||||||||||||||||||
Fair Value Measurements, Recurring and Nonrecurring [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
Financial Instruments Measured at Fair Value on a Recurring Basis | ||||||||||||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||||||||
MBS, at fair value | ||||||||||||||||||||||||||||||||||
Trading | ||||||||||||||||||||||||||||||||||
Agency-backed MBS | $ | 1,633,263 | $ | — | $ | 1,633,263 | $ | — | ||||||||||||||||||||||||||
Available-for-sale | ||||||||||||||||||||||||||||||||||
Agency-backed MBS | 47 | — | 47 | — | ||||||||||||||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||||||||||||
Senior securities | 7,037 | — | — | 7,037 | ||||||||||||||||||||||||||||||
Re-REMIC securities | 337,081 | — | — | 337,081 | ||||||||||||||||||||||||||||||
Total available-for-sale | 344,165 | — | 47 | 344,118 | ||||||||||||||||||||||||||||||
Total MBS | 1,977,428 | — | 1,633,310 | 344,118 | ||||||||||||||||||||||||||||||
Derivative assets, at fair value | 1,851 | 1,667 | 184 | — | ||||||||||||||||||||||||||||||
Derivative liabilities, at fair value | (43,034 | ) | (43,034 | ) | — | — | ||||||||||||||||||||||||||||
Interest-only MBS, at fair value | 349 | — | — | 349 | ||||||||||||||||||||||||||||||
Total | $ | 1,936,594 | $ | (41,367 | ) | $ | 1,633,494 | $ | 344,467 | |||||||||||||||||||||||||
31-Dec-12 | ||||||||||||||||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||||||||
MBS, at fair value | ||||||||||||||||||||||||||||||||||
Trading | ||||||||||||||||||||||||||||||||||
Agency-backed MBS | $ | 1,556,440 | $ | — | $ | 1,556,440 | $ | — | ||||||||||||||||||||||||||
Available-for-sale | ||||||||||||||||||||||||||||||||||
Agency-backed MBS | 70 | — | 70 | — | ||||||||||||||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||||||||||||
Senior securities | 7,519 | — | — | 7,519 | ||||||||||||||||||||||||||||||
Re-REMIC securities | 191,567 | — | — | 191,567 | ||||||||||||||||||||||||||||||
Total available-for-sale | 199,156 | — | 70 | 199,086 | ||||||||||||||||||||||||||||||
Total MBS | 1,755,596 | — | 1,556,510 | 199,086 | ||||||||||||||||||||||||||||||
Derivative liabilities, at fair value | (76,850 | ) | (76,850 | ) | — | — | ||||||||||||||||||||||||||||
Interest-only MBS, at fair value | 478 | — | — | 478 | ||||||||||||||||||||||||||||||
Total | $ | 1,679,224 | $ | (76,850 | ) | $ | 1,556,510 | $ | 199,564 | |||||||||||||||||||||||||
Weighted Average Underlying Loan Characteristics Private Label MBS [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
The Company’s senior securities and re-REMIC securities were collateralized by residential Prime and Alt-A mortgage loans and had the following weighted-averages, based on face value, as of the dates indicated: | ||||||||||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||
Original loan-to-value | 70 | % | 70 | % | ||||||||||||||||||||||||||||||
Original FICO score | 726 | 730 | ||||||||||||||||||||||||||||||||
Three-month prepayment rate | 18 | % | 17 | % | ||||||||||||||||||||||||||||||
Three-month loss severities | 41 | % | 46 | % | ||||||||||||||||||||||||||||||
Weighted average coupon | 3.44 | % | 4.4 | % | ||||||||||||||||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
The significant unobservable inputs for the valuation model include the following weighted-averages, based on face value, as of the dates indicated: | ||||||||||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||||||||||
Senior | Re-REMIC | Senior | Re-REMIC | |||||||||||||||||||||||||||||||
Securities | Securities | Securities | Securities | |||||||||||||||||||||||||||||||
Discount rate | 6 | % | 6.71 | % | 6.5 | % | 7.43 | % | ||||||||||||||||||||||||||
Default rate | 9.3 | % | 3.87 | % | 9.3 | % | 5 | % | ||||||||||||||||||||||||||
Loss severity rate | 55 | % | 45.27 | % | 60 | % | 46.6 | % | ||||||||||||||||||||||||||
Prepayment rate | 16.3 | % | 11.78 | % | 16.3 | % | 13.75 | % | ||||||||||||||||||||||||||
The ranges of the significant unobservable inputs for the valuation model were as follows as of the dates indicated: | ||||||||||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||
Senior | Re-REMIC | Senior | Re-REMIC | |||||||||||||||||||||||||||||||
Securities | Securities | Securities | Securities | |||||||||||||||||||||||||||||||
Discount rate | 6 | % | 6.00 – 10.00 | % | 6.5 | % | 6.50 – 13.25 | % | ||||||||||||||||||||||||||
Default rate | 9.3 | % | 0.95 – 9.45 | % | 9.3 | % | 0.95 – 11.10 | % | ||||||||||||||||||||||||||
Loss severity rate | 55 | % | 28.36 – 57.50 | % | 60 | % | 28.26 – 57.50 | % | ||||||||||||||||||||||||||
Prepayment rate | 16.3 | % | 6.35 – 19.55 | % | 16.3 | % | 6.95 – 20.40 | % | ||||||||||||||||||||||||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
The tables below set forth a summary of changes in the fair value and gains and losses of the Company’s Level 3 financial assets and liabilities that are measured at fair value on a recurring basis for the three and nine months ended September 30, 2013 and 2012. | ||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2013 | ||||||||||||||||||||||||||||||||||
Senior Securities | Re-REMIC Securities | Total | ||||||||||||||||||||||||||||||||
Beginning balance, July 1, 2013 | $ | 7,246 | $ | 321,674 | $ | 328,920 | ||||||||||||||||||||||||||||
Total net gains (losses) | ||||||||||||||||||||||||||||||||||
Included in earnings | — | 4,509 | 4,509 | |||||||||||||||||||||||||||||||
Included in other comprehensive income | (117 | ) | 72 | (45 | ) | |||||||||||||||||||||||||||||
Purchases | — | 36,479 | 36,479 | |||||||||||||||||||||||||||||||
Sales | — | (27,086 | ) | (27,086 | ) | |||||||||||||||||||||||||||||
Payments, net | (313 | ) | (5,446 | ) | (5,759 | ) | ||||||||||||||||||||||||||||
Accretion of discount | 221 | 6,879 | 7,100 | |||||||||||||||||||||||||||||||
Ending balance, September 30, 2013 | $ | 7,037 | $ | 337,081 | $ | 344,118 | ||||||||||||||||||||||||||||
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | $ | — | $ | (380 | ) | $ | (380 | ) | ||||||||||||||||||||||||||
Three Months Ended September 30, 2012 | ||||||||||||||||||||||||||||||||||
Senior Securities | Re-REMIC Securities | Total | ||||||||||||||||||||||||||||||||
Beginning balance, July 1, 2012 | $ | 8,498 | $ | 164,450 | $ | 172,948 | ||||||||||||||||||||||||||||
Total net gains (losses) | ||||||||||||||||||||||||||||||||||
Included in earnings | (1,914 | ) | (4,937 | ) | (6,851 | ) | ||||||||||||||||||||||||||||
Included in other comprehensive income | 1,423 | 1,628 | 3,051 | |||||||||||||||||||||||||||||||
Purchases | — | 26,686 | 26,686 | |||||||||||||||||||||||||||||||
Sales | — | (985 | ) | (985 | ) | |||||||||||||||||||||||||||||
Payments, net | (342 | ) | (4,476 | ) | (4,818 | ) | ||||||||||||||||||||||||||||
Accretion of discount | 352 | 5,574 | 5,926 | |||||||||||||||||||||||||||||||
Ending balance, September 30, 2012 | $ | 8,017 | $ | 187,940 | $ | 195,957 | ||||||||||||||||||||||||||||
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | $ | (1,914 | ) | $ | (4,986 | ) | $ | (6,900 | ) | |||||||||||||||||||||||||
Nine Months Ended September 30, 2013 | ||||||||||||||||||||||||||||||||||
Senior Securities | Re-REMIC Securities | Total | ||||||||||||||||||||||||||||||||
Beginning balance, January 1, 2013 | $ | 7,519 | $ | 191,567 | $ | 199,086 | ||||||||||||||||||||||||||||
Total net gains (losses) | ||||||||||||||||||||||||||||||||||
Included in earnings | — | 12,299 | 12,299 | |||||||||||||||||||||||||||||||
Included in other comprehensive income | (204 | ) | 17,875 | 17,671 | ||||||||||||||||||||||||||||||
Purchases | — | 167,682 | 167,682 | |||||||||||||||||||||||||||||||
Sales | — | (54,884 | ) | (54,884 | ) | |||||||||||||||||||||||||||||
Payments, net | (950 | ) | (16,205 | ) | (17,155 | ) | ||||||||||||||||||||||||||||
Accretion of discount | 672 | 18,747 | 19,419 | |||||||||||||||||||||||||||||||
Ending balance, September 30, 2013 | $ | 7,037 | $ | 337,081 | $ | 344,118 | ||||||||||||||||||||||||||||
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | $ | — | $ | (1,270 | ) | $ | (1,270 | ) | ||||||||||||||||||||||||||
Nine Months Ended September 30, 2012 | ||||||||||||||||||||||||||||||||||
Senior Securities | Re-REMIC Securities | Total | ||||||||||||||||||||||||||||||||
Beginning balance, January 1, 2012 | $ | 9,311 | $ | 170,116 | $ | 179,427 | ||||||||||||||||||||||||||||
Total net gains (losses) | ||||||||||||||||||||||||||||||||||
Included in earnings | (1,914 | ) | (9,468 | ) | (11,382 | ) | ||||||||||||||||||||||||||||
Included in other comprehensive income | 742 | (2,145 | ) | (1,403 | ) | |||||||||||||||||||||||||||||
Purchases | — | 27,156 | 27,156 | |||||||||||||||||||||||||||||||
Sales | — | (985 | ) | (985 | ) | |||||||||||||||||||||||||||||
Payments, net | (1,181 | ) | (14,291 | ) | (15,472 | ) | ||||||||||||||||||||||||||||
Accretion of discount | 1,059 | 17,557 | 18,616 | |||||||||||||||||||||||||||||||
Ending balance, September 30, 2012 | $ | 8,017 | $ | 187,940 | $ | 195,957 | ||||||||||||||||||||||||||||
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | $ | (1,914 | ) | $ | (9,517 | ) | $ | (11,431 | ) | |||||||||||||||||||||||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Gain Loss Included In Other Comprehensive Income Loss [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
Gains and losses included in earnings for the three and nine months ended September 30, 2013 and 2012 are reported in the following statement of comprehensive income line descriptions: | ||||||||||||||||||||||||||||||||||
Other Loss, Investment Loss, net | ||||||||||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended | |||||||||||||||||||||||||||||||||
September 30, | ||||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Total gains (losses) included in earnings for the period | $ | 4,509 | $ | (6,851 | ) | $ | 12,299 | $ | (11,382 | ) | ||||||||||||||||||||||||
Change in unrealized gains (losses) relating to assets still held at reporting date | $ | (380 | ) | $ | (6,900 | ) | $ | (1,270 | ) | $ | (11,431 | ) | ||||||||||||||||||||||
Mortgage Backed Securities Fair Value [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
MBS, at fair value(1)(2), consisted of the following as of the dates indicated: | ||||||||||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||||||||||
Fair Value | Net | Percent of | Weighted | Weighted | Fair Value | Net | Percent of | Weighted | Weighted | |||||||||||||||||||||||||
Unamortized | Total Fair | Average | Average | Unamortized | Total Fair | Average | Average | |||||||||||||||||||||||||||
Premium | Value | Life | Rating(3) | Premium | Value | Life | Rating(3) | |||||||||||||||||||||||||||
(Discount) | (Discount) | |||||||||||||||||||||||||||||||||
Trading | ||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 1,046,994 | $ | — | 52.95 | % | 9.4 | AAA | $ | 1,083,810 | $ | — | 61.73 | % | 4.9 | AAA | ||||||||||||||||||
Freddie Mac | 586,269 | — | 29.65 | % | 9.4 | AAA | 472,630 | — | 26.92 | % | 5.1 | AAA | ||||||||||||||||||||||
Available-for-sale: | ||||||||||||||||||||||||||||||||||
Agency-backed | ||||||||||||||||||||||||||||||||||
Fannie Mae | 47 | — | — | 5 | AAA | 70 | — | 0.01 | % | 2.8 | AAA | |||||||||||||||||||||||
Private-label | ||||||||||||||||||||||||||||||||||
Senior securities | 7,037 | -5,247 | 0.35 | % | 4.9 | C- | 7,519 | -6,519 | 0.43 | % | 5.2 | C | ||||||||||||||||||||||
Re-REMIC | 337,081 | -219,520 | 17.05 | % | 11.7 | NR | 191,567 | -164,422 | 10.91 | % | 11.4 | NR | ||||||||||||||||||||||
securities | ||||||||||||||||||||||||||||||||||
$ | 1,977,428 | $ | -224,767 | 100 | % | $ | 1,755,596 | $ | -170,941 | 100 | % | |||||||||||||||||||||||
-1 | The Company’s MBS portfolio was primarily comprised of fixed-rate MBS at September 30, 2013 and December 31, 2012. The weighted-average coupon of the MBS portfolio at September 30, 2013 and December 31, 2012 was 3.92% and 4.11%, respectively. | |||||||||||||||||||||||||||||||||
-2 | As of September 30, 2013 and December 31, 2012, the Company’s MBS investments with a fair value of $1,748,166 and $1,615,421, respectively, were pledged as collateral for repurchase agreements. | |||||||||||||||||||||||||||||||||
-3 | The securities issued by Fannie Mae and Freddie Mac are not rated by any rating agency; however, they are commonly thought of as having an implied rating of “AAA.” There is no assurance, particularly given the downgrade of the U.S. credit rating to “AA+” by Standard & Poors during the quarter ended September 30, 2011 and Fitch Ratings Inc.’s announcement on October 15, 2013 that it had placed the U.S. credit rating on negative watch, that these securities would receive such a rating if they were ever rated by a rating agency. The weighted-average rating of the Company’s private-label senior securities is calculated based on face value of the securities. | |||||||||||||||||||||||||||||||||
Private Label MBS Available-for-sale Accretable Yield [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
The following table presents the changes in the accretable yield on available-for-sale, private-label MBS for the three and nine months ended September 30, 2013 and 2012: | ||||||||||||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||||||||
September 30, | September 30, | |||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Beginning balance | $ | 317,695 | $ | 180,201 | $ | 207,853 | $ | 194,619 | ||||||||||||||||||||||||||
Accretion of discount | (7,099 | ) | (5,926 | ) | (19,418 | ) | (18,617 | ) | ||||||||||||||||||||||||||
Reclassifications, net | 18,639 | 1,746 | 51,248 | (1,731 | ) | |||||||||||||||||||||||||||||
Acquisitions | 36,901 | 38,721 | 150,646 | 40,471 | ||||||||||||||||||||||||||||||
Sales | (27,372 | ) | (92 | ) | (51,565 | ) | (92 | ) | ||||||||||||||||||||||||||
Ending balance | $ | 338,764 | $ | 214,650 | $ | 338,764 | $ | 214,650 | ||||||||||||||||||||||||||
Schedule Of Available For Sale Private Label MBS Acquired [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
For the available-for-sale, private-label MBS acquired during the three and nine months ended September 30, 2013 and 2012, the contractually required payments receivable, the cash flow expected to be collected, and the fair value at the acquisition date were as follows for the dates indicated: | ||||||||||||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||||||||
September 30, | September 30, | |||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Contractually required payments receivable | $ | 87,640 | $ | 95,073 | $ | 420,500 | $ | 97,292 | ||||||||||||||||||||||||||
Cash flows expected to be collected | 73,380 | 65,341 | 318,328 | 67,560 | ||||||||||||||||||||||||||||||
Basis in acquired securities | 36,479 | 26,620 | 167,682 | 27,089 | ||||||||||||||||||||||||||||||
Unrealized Gain (Loss) on Investments [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
The Company’s available-for-sale MBS are carried at fair value in accordance with ASC 320, Debt and Equity Securities (ASC 320), with resulting unrealized gains and losses reflected as other comprehensive income or loss. Gross unrealized gains and losses on these securities were the following as of the dates indicated: | ||||||||||||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||||||||||||
Amortized Cost/ | Unrealized | |||||||||||||||||||||||||||||||||
Cost Basis(1) | Gains | Losses | Fair Value | |||||||||||||||||||||||||||||||
Agency-backed MBS | $ | 43 | $ | 4 | $ | — | $ | 47 | ||||||||||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||||||||||||
Senior securities | 5,332 | 1,705 | — | 7,037 | ||||||||||||||||||||||||||||||
Re-REMIC securities | 281,707 | 55,480 | (106 | ) | 337,081 | |||||||||||||||||||||||||||||
Total | $ | 287,082 | $ | 57,189 | $ | (106 | ) | $ | 344,165 | |||||||||||||||||||||||||
-1 | The amortized cost of MBS includes unamortized net discounts of $224,767 at September 30, 2013. | |||||||||||||||||||||||||||||||||
31-Dec-12 | ||||||||||||||||||||||||||||||||||
Amortized Cost/ | Unrealized | |||||||||||||||||||||||||||||||||
Cost Basis(1) | Gains | Losses | Fair Value | |||||||||||||||||||||||||||||||
Agency-backed MBS | $ | 64 | $ | 6 | $ | — | $ | 70 | ||||||||||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||||||||||||
Senior securities | 5,611 | 1,908 | — | 7,519 | ||||||||||||||||||||||||||||||
Re-REMIC securities | 154,067 | 37,500 | — | 191,567 | ||||||||||||||||||||||||||||||
Total | $ | 159,742 | $ | 39,414 | $ | — | $ | 199,156 | ||||||||||||||||||||||||||
-1 | The amortized cost of MBS includes unamortized net discounts of $170,941 at December 31, 2012. | |||||||||||||||||||||||||||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
The following table presents a summary of other-than-temporary impairment charges included in earnings for the periods indicated and cumulative other-than-temporary impairment charges recognized on the MBS held as of the dates indicated: | ||||||||||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Cumulative other-than-temporary impairment, beginning balance | $ | 23,283 | $ | 13,125 | $ | 23,768 | $ | 8,594 | ||||||||||||||||||||||||||
Additions | ||||||||||||||||||||||||||||||||||
Other-than-temporary impairments not previously recognized | 380 | 6,533 | 380 | 10,792 | ||||||||||||||||||||||||||||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | — | 367 | 890 | 639 | ||||||||||||||||||||||||||||||
Reductions | ||||||||||||||||||||||||||||||||||
Decreases related to other-than-temporary impairments on sold securities with previously recognized other-than-temporary impairments | — | — | (1,375 | ) | — | |||||||||||||||||||||||||||||
Cumulative other-than-temporary impairment, ending balance | $ | 23,663 | $ | 20,025 | $ | 23,663 | $ | 20,025 | ||||||||||||||||||||||||||
Realized Gain (Loss) on Investments [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
The following table presents the results of sales of MBS for the periods indicated: | ||||||||||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Agency- | Private- | Agency- | Private- | Agency- | Private- | Agency- | Private- | |||||||||||||||||||||||||||
Backed | Label | Backed | Label | Backed | Label | Backed | Label | |||||||||||||||||||||||||||
MBS | MBS | MBS | MBS | MBS | MBS | MBS | MBS | |||||||||||||||||||||||||||
Proceeds from sales | $ | 309,518 | $ | 27,085 | $ | 189,095 | $ | 985 | $ | 837,257 | $ | 54,884 | $ | 301,223 | $ | 985 | ||||||||||||||||||
Gross gains | 238 | 4,778 | 1,624 | 49 | 531 | 13,267 | 4,041 | 49 | ||||||||||||||||||||||||||
Gross losses | 4,118 | — | 106 | — | 26,469 | — | 251 | — | ||||||||||||||||||||||||||
Investment [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
The Company’s other investments consisted of the following as of the dates indicated: | ||||||||||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||
Interest-only MBS | $ | 349 | $ | 478 | ||||||||||||||||||||||||||||||
Non-public equity securities | 975 | 975 | ||||||||||||||||||||||||||||||||
Investment funds | 856 | 894 | ||||||||||||||||||||||||||||||||
Total other investments | $ | 2,180 | $ | 2,347 | ||||||||||||||||||||||||||||||
Borrowings_Tables
Borrowings (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Debt Disclosure [Abstract] | ' | ||||||||||||||||
Schedule of Repurchase Agreements [Table Text Block] | ' | ||||||||||||||||
The following tables provide information regarding the Company’s outstanding repurchase agreement borrowings as of the dates and for the periods indicated: | |||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Outstanding balance | $ | 1,574,244 | $ | 1,497,191 | |||||||||||||
Value of assets pledged as collateral | |||||||||||||||||
Agency-backed MBS | 1,618,029 | 1,547,760 | |||||||||||||||
Private-label MBS | 130,137 | 67,661 | |||||||||||||||
Net amount(1) | 173,922 | 118,230 | |||||||||||||||
Weighted-average rate | 0.44 | % | 0.52 | % | |||||||||||||
Weighted-average term to maturity | 10.9 days | 14.5 days | |||||||||||||||
-1 | Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. | ||||||||||||||||
30-Sep-13 | 30-Sep-12 | ||||||||||||||||
Weighted-average outstanding balance during the three months ended | $ | 1,581,663 | $ | 926,746 | |||||||||||||
Weighted-average rate during the three months ended | 0.44 | % | 0.48 | % | |||||||||||||
Weighted-average outstanding balance during the nine months ended | $ | 1,504,878 | $ | 821,625 | |||||||||||||
Weighted-average rate during the nine months ended | 0.44 | % | 0.45 | % | |||||||||||||
Schedule of Long-term Debt Instruments [Table Text Block] | ' | ||||||||||||||||
The Company’s long-term debentures consisted of the following as of the dates indicated: | |||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Senior | Trust | Senior | Trust | ||||||||||||||
Notes | Preferred Debt | Notes | Preferred Debt | ||||||||||||||
Outstanding Principal | $ | 25,000 | $ | 15,000 | $ | — | $ | 15,000 | |||||||||
Annual Interest Rate | 6.625 | % | LIBOR+2.25 -3.00% | — | LIBOR+2.25 -3.00% | ||||||||||||
Interest Payment Frequency | Quarterly | Quarterly | — | Quarterly | |||||||||||||
Weighted-Average Interest Rate | 6.625 | % | 3.02 | % | — | 3.09 | % | ||||||||||
Maturity | 1-May-23 | 2033 - 2035 | — | 2033 - 2035 | |||||||||||||
Early Redemption Date | 1-May-16 | 2008 - 2010 | — | 2008 - 2010 | |||||||||||||
Derivative_Financial_Instrumen1
Derivative Financial Instruments and Hedging Activities (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||
Schedule of Derivative Instruments [Table Text Block] | ' | ||||||||||||||||
The Company held the following derivative instruments as of the dates indicated: | |||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Notional Amount | Fair Value | Notional Amount | Fair Value | ||||||||||||||
No hedge designation | |||||||||||||||||
Eurodollar futures | |||||||||||||||||
Derivative assets | $ | 1,883,000 | $ | 1,667 | $ | — | $ | — | |||||||||
Derivative liabilities | 14,350,000 | (41,440 | ) | 17,525,000 | (76,850 | ) | |||||||||||
Total Eurodollar futures(1) | 16,233,000 | (39,773 | ) | 17,525,000 | (76,850 | ) | |||||||||||
10-year swap futures(2) | 640,000 | (1,500 | ) | — | — | ||||||||||||
10-year U.S. Treasury note futures(3) | 12,000 | (56 | ) | — | — | ||||||||||||
5-year U.S. Treasury note futures(4) | 10,000 | (38 | ) | — | — | ||||||||||||
Commitment to purchase MBS(5) | 25,000 | 184 | — | — | |||||||||||||
-1 | The $16,233,000 total notional amount of Eurodollar futures contracts as of September 30, 2013 represents the accumulation of Eurodollar futures contracts that mature on a quarterly basis between 2013 and 2018. As of September 30, 2013, the Company maintained $52,408 as a deposit and margin against the open Eurodollar futures contracts. | ||||||||||||||||
-2 | The total notional amount of $640,000 represents the accumulation of 10-year swap futures that mature in December 2013. As of September 30, 2013, the Company maintained $11,100 as a deposit and margin against the open swap futures contracts. | ||||||||||||||||
-3 | The total notional amount of $12,000 represents the accumulation of 10-year U.S. Treasury note futures that mature in December 2013. As of September 30, 2013, the Company maintained $233 as a deposit and margin against the open 10-year U.S. Treasury note futures contracts. | ||||||||||||||||
-4 | The total notional amount of $10,000 represents the accumulation of 5-year U.S. Treasury note futures that mature in December 2013. As of September 30, 2013, the Company maintained $128 as a deposit and margin against the open 5-year U.S. Treasury note futures contracts. | ||||||||||||||||
-5 | The total notional amount of commitment to purchase MBS represents forward commitments to purchase fixed-rate MBS securities. | ||||||||||||||||
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Earnings Per Share [Abstract] | ' | ||||||||||||||||
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | ' | ||||||||||||||||
The following tables present the computations of basic and diluted earnings per share for the periods indicated: | |||||||||||||||||
(Shares in thousands) | Three Months Ended September 30, | ||||||||||||||||
2013 | 2012 | ||||||||||||||||
Basic | Diluted | Basic | Diluted | ||||||||||||||
Weighted-average shares outstanding | |||||||||||||||||
Common stock | 16,669 | 16,669 | 9,977 | 9,977 | |||||||||||||
Stock options, performance share units, and unvested restricted stock | — | 176 | — | 64 | |||||||||||||
Weighted-average common and common equivalent shares outstanding | 16,669 | 16,845 | 9,977 | 10,041 | |||||||||||||
Net income applicable to common stock | $ | 3,093 | $ | 3,093 | $ | 3,123 | $ | 3,123 | |||||||||
Net income per common share | $ | 0.19 | $ | 0.18 | $ | 0.31 | $ | 0.31 | |||||||||
(Shares in thousands) | Nine Months Ended September 30, | ||||||||||||||||
2013 | 2012 | ||||||||||||||||
Basic | Diluted | Basic | Diluted | ||||||||||||||
Weighted-average shares outstanding | |||||||||||||||||
Common stock | 15,761 | 15,761 | 9,192 | 9,192 | |||||||||||||
Stock options, performance share units, and unvested restricted stock | — | 173 | — | 27 | |||||||||||||
Weighted-average common and common equivalent shares outstanding | 15,761 | 15,934 | 9,192 | 9,219 | |||||||||||||
Net income applicable to common stock | $ | 9,464 | $ | 9,464 | $ | 16,029 | $ | 16,029 | |||||||||
Net income per common share | $ | 0.6 | $ | 0.59 | $ | 1.74 | $ | 1.74 | |||||||||
Equity_Tables
Equity (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Equity [Abstract] | ' | ||||||||||||||||
Equity Offerings [Table Text Block] | ' | ||||||||||||||||
During the nine months ended September 30, 2013, the Company completed a public offering of its Class A Common Stock as follows: | |||||||||||||||||
Closing date of the offering | 13-Mar-13 | ||||||||||||||||
Shares sold to public | 3,000,000 | ||||||||||||||||
Shares sold pursuant to the underwriter over-allotment | 450,000 | ||||||||||||||||
Total shares of Class A common stock | 3,450,000 | ||||||||||||||||
Public offering price per share | $ | 25.50 | |||||||||||||||
Net proceeds(1) | $ | 86,964 | |||||||||||||||
-1 | Net of underwriting discounts and commissions and expenses. | ||||||||||||||||
Schedule of Dividends Payable [Table Text Block] | ' | ||||||||||||||||
The Board of Directors has approved and the Company has declared the following dividends to date in 2013: | |||||||||||||||||
Quarter Ended | Dividend Amount | Declaration Date | Record Date | Pay Date | |||||||||||||
30-Sep | $ | 0.875 | 18-Sep | 30-Sep | 31-Oct | ||||||||||||
30-Jun | 0.875 | 17-Jun | 28-Jun | 31-Jul | |||||||||||||
31-Mar | 0.875 | 15-Mar | 28-Mar | 30-Apr | |||||||||||||
The Board of Directors approved and the Company declared and paid the following dividends for 2012: | |||||||||||||||||
Quarter Ended | Dividend Amount | Declaration Date | Record Date | Pay Date | |||||||||||||
31-Dec | $ | 0.875 | 5-Dec | 17-Dec | 31-Dec | ||||||||||||
30-Sep | 0.875 | 13-Sep | 28-Sep | 31-Oct | |||||||||||||
30-Jun | 0.875 | 15-Jun | 29-Jun | 31-Jul | |||||||||||||
31-Mar | 0.875 | 16-Mar | 26-Mar | 30-Apr | |||||||||||||
Schedule of Share-based Compensation, Restricted Stock Units Award Activity [Table Text Block] | ' | ||||||||||||||||
The following tables present the activities and balances related to restricted stock for the dates and periods indicated: | |||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||
Shares granted | — | 25,500 | 36,000 | 25,500 | |||||||||||||
Weight-average share price | $ | — | $ | 22.99 | $ | 26.74 | $ | 22.99 | |||||||||
Compensation expense recognized during the period | $ | 223 | $ | 75 | $ | 432 | $ | 161 | |||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Restricted Class A shares outstanding, unvested | 57,673 | 34,835 | |||||||||||||||
Unrecognized compensation cost related to unvested shares | $1,038 | $507 | |||||||||||||||
Weighted-average vesting period remaining | 2.30 years | 2.22 years | |||||||||||||||
Financial_Instruments_Details
Financial Instruments (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Financial assets, Carrying Amount | ' | ' |
Cash and cash equivalents, Carrying Amount | $16,347 | $35,837 |
Interest receivable, Carrying Amount | 5,271 | 4,869 |
Sold securities receivable, Carrying Amount | 0 | 26,773 |
Other receivables, Carrying Amount | 461 | 644 |
MBS, Carrying Amount | ' | ' |
Agency-backed MBS, Carrying Amount | 1,633,310 | 1,556,510 |
Private-label MBS, Carrying Amount | ' | ' |
Senior securities, Carrying Amount | 7,037 | 7,519 |
Re-REMIC securities, Carrying Amount | 337,081 | 191,567 |
Derivative assets, Carrying Amount | 1,851 | 0 |
Other Investments, Carrying Amount | 2,180 | 2,347 |
Deposits, Carrying Amount | 63,869 | 85,652 |
Financial liabilities, Carrying Amount | ' | ' |
Repurchase agreements, Carrying Amount | 1,574,244 | 1,497,191 |
Interest payable, Carrying Amount | 791 | 582 |
Long-term debt, Carrying Amount | 40,000 | 15,000 |
Derivative liabilities, Carrying Amount | 43,034 | 76,850 |
Accounts payable, accrued expenses and other liabilities, Carrying Amount | 13,719 | 17,837 |
Financial assets, Estimated Fair Value | ' | ' |
Cash and cash equivalents, Estimated Fair Value | 16,347 | 35,837 |
Interest receivable, Estimated Fair Value | 5,271 | 4,869 |
Sold securities receivable, Estimated Fair Value | 0 | 26,773 |
Other receivables, Estimated Fair Value | 461 | 644 |
MBS, Estimated Fair Value | ' | ' |
Agency-backed MBS, Estimated Fair Value | 1,633,310 | 1,556,510 |
Private-label MBS, Estimated Fair Value | ' | ' |
Senior securities, Estimated Fair Value | 7,037 | 7,519 |
Re-REMIC securities, Estimated Fair Value | 337,081 | 191,567 |
Derivative assets, Estimated Fair Value | 1,851 | 0 |
Other investments, Estimated Fair Value | 2,180 | 2,347 |
Deposits, Estimated Fair Value | 63,869 | 85,652 |
Financial liabilities, Estimated Fair Value | ' | ' |
Repurchase agreements, Estimated Fair Value | 1,574,244 | 1,497,191 |
Interest payable, Estimated Fair Value | 791 | 582 |
Long-term debt, Estimated Fair Value | 37,250 | 15,000 |
Derivative liabilities, Estimated Fair Value | 43,034 | 76,850 |
Accounts payable, accrued expenses and other liabilities, Estimated Fair Value | $13,719 | $17,837 |
Financial_Instruments_Details_
Financial Instruments (Details 1) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
MBS, at fair value | ' | ' |
Trading, Agency-backed MBS | $1,633,263 | $1,556,440 |
Available-for-sale | ' | ' |
Agency-backed MBS | 47 | 70 |
Private-label MBS | ' | ' |
Senior securities | 7,037 | 7,519 |
Re-REMIC securities | 337,081 | 191,567 |
Total available-for-sale | 344,165 | 199,156 |
Total MBS | 1,977,428 | 1,755,596 |
Derivative assets, at fair value | 1,851 | 0 |
Derivative liabilities, at fair value | -43,034 | -76,850 |
Interest-only MBS, at fair value | 349 | 478 |
Total | 1,936,594 | 1,679,224 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ' | ' |
MBS, at fair value | ' | ' |
Trading, Agency-backed MBS | 0 | 0 |
Available-for-sale | ' | ' |
Agency-backed MBS | 0 | 0 |
Private-label MBS | ' | ' |
Senior securities | 0 | 0 |
Re-REMIC securities | 0 | 0 |
Total available-for-sale | 0 | 0 |
Total MBS | 0 | 0 |
Derivative assets, at fair value | 1,667 | ' |
Derivative liabilities, at fair value | -43,034 | -76,850 |
Interest-only MBS, at fair value | 0 | 0 |
Total | -41,367 | -76,850 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ' | ' |
MBS, at fair value | ' | ' |
Trading, Agency-backed MBS | 1,633,263 | 1,556,440 |
Available-for-sale | ' | ' |
Agency-backed MBS | 47 | 70 |
Private-label MBS | ' | ' |
Senior securities | 0 | 0 |
Re-REMIC securities | 0 | 0 |
Total available-for-sale | 47 | 70 |
Total MBS | 1,633,310 | 1,556,510 |
Derivative assets, at fair value | 184 | ' |
Derivative liabilities, at fair value | 0 | 0 |
Interest-only MBS, at fair value | 0 | 0 |
Total | 1,633,494 | 1,556,510 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ' | ' |
MBS, at fair value | ' | ' |
Trading, Agency-backed MBS | 0 | 0 |
Available-for-sale | ' | ' |
Agency-backed MBS | 0 | 0 |
Private-label MBS | ' | ' |
Senior securities | 7,037 | 7,519 |
Re-REMIC securities | 337,081 | 191,567 |
Total available-for-sale | 344,118 | 199,086 |
Total MBS | 344,118 | 199,086 |
Derivative assets, at fair value | 0 | ' |
Derivative liabilities, at fair value | 0 | 0 |
Interest-only MBS, at fair value | 349 | 478 |
Total | $344,467 | $199,564 |
Financial_Instruments_Details_1
Financial Instruments (Details 2) | Sep. 30, 2013 | Dec. 31, 2012 |
Scores | Scores | |
Underlying Collateral Quantitative Disclosures [Line Items] | ' | ' |
Original loan-to-value | 70.00% | 70.00% |
Original FICO score | 726 | 730 |
Three-month prepayment rate | 18.00% | 17.00% |
Three-month loss severities | 41.00% | 46.00% |
Weighted average coupon | 3.44% | 4.40% |
Financial_Instruments_Details_2
Financial Instruments (Details 3) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2013 | Dec. 31, 2012 | |
Senior Securities [Member] | ' | ' |
Fair Value Inputs Assets Quantitative Information [Line Items] | ' | ' |
Discount rate | 6.00% | 6.50% |
Default rate | 9.30% | 9.30% |
Loss severity rate | 55.00% | 60.00% |
Prepayment rate | 16.30% | 16.30% |
Re-REMIC Securities [Member] | ' | ' |
Fair Value Inputs Assets Quantitative Information [Line Items] | ' | ' |
Discount rate | 6.71% | 7.43% |
Default rate | 3.87% | 5.00% |
Loss severity rate | 45.27% | 46.60% |
Prepayment rate | 11.78% | 13.75% |
Re-REMIC Securities [Member] | Maximum [Member] | ' | ' |
Fair Value Inputs Assets Quantitative Information [Line Items] | ' | ' |
Discount rate | 10.00% | 13.25% |
Default rate | 9.45% | 11.10% |
Loss severity rate | 57.50% | 57.50% |
Prepayment rate | 19.55% | 20.40% |
Re-REMIC Securities [Member] | Minimum [Member] | ' | ' |
Fair Value Inputs Assets Quantitative Information [Line Items] | ' | ' |
Discount rate | 6.00% | 6.50% |
Default rate | 0.95% | 0.95% |
Loss severity rate | 28.36% | 28.26% |
Prepayment rate | 6.35% | 6.95% |
Financial_Instruments_Details_3
Financial Instruments (Details 4) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ' | ' |
Beginning balance | $328,920 | $172,948 | $199,086 | $179,427 |
Total net gains (losses) | ' | ' | ' | ' |
Included in earnings | 4,509 | -6,851 | 12,299 | -11,382 |
Included in other comprehensive income | -45 | 3,051 | 17,671 | -1,403 |
Purchases | 36,479 | 26,686 | 167,682 | 27,156 |
Sales | -27,086 | -985 | -54,884 | -985 |
Payments, net | -5,759 | -4,818 | -17,155 | -15,472 |
Accretion of discount | 7,100 | 5,926 | 19,419 | 18,616 |
Ending balance | 344,118 | 195,957 | 344,118 | 195,957 |
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | -380 | -6,900 | -1,270 | -11,431 |
Senior Securities [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ' | ' |
Beginning balance | 7,246 | 8,498 | 7,519 | 9,311 |
Total net gains (losses) | ' | ' | ' | ' |
Included in earnings | 0 | -1,914 | 0 | -1,914 |
Included in other comprehensive income | -117 | 1,423 | -204 | 742 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Payments, net | -313 | -342 | -950 | -1,181 |
Accretion of discount | 221 | 352 | 672 | 1,059 |
Ending balance | 7,037 | 8,017 | 7,037 | 8,017 |
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | 0 | -1,914 | 0 | -1,914 |
Re-REMIC Securities [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ' | ' |
Beginning balance | 321,674 | 164,450 | 191,567 | 170,116 |
Total net gains (losses) | ' | ' | ' | ' |
Included in earnings | 4,509 | -4,937 | 12,299 | -9,468 |
Included in other comprehensive income | 72 | 1,628 | 17,875 | -2,145 |
Purchases | 36,479 | 26,686 | 167,682 | 27,156 |
Sales | -27,086 | -985 | -54,884 | -985 |
Payments, net | -5,446 | -4,476 | -16,205 | -14,291 |
Accretion of discount | 6,879 | 5,574 | 18,747 | 17,557 |
Ending balance | 337,081 | 187,940 | 337,081 | 187,940 |
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | ($380) | ($4,986) | ($1,270) | ($9,517) |
Financial_Instruments_Details_4
Financial Instruments (Details 5) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Gains and losses included in earnings [Abstract] | ' | ' | ' | ' |
Total gains (losses) included in earnings for the period | $4,509 | ($6,851) | $12,299 | ($11,382) |
Change in unrealized gains (losses) relating to assets still held at reporting date | ($380) | ($6,900) | ($1,270) | ($11,431) |
Financial_Instruments_Details_5
Financial Instruments (Details 6) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ' | ' | ||
Fair Value | $1,977,428 | [1],[2] | $1,755,596 | [1],[2] |
Net Unamortized Premium (Discount) | -224,767 | -170,941 | ||
Percentage of Total Fair Value | 100.00% | 100.00% | ||
Trading, Fannie Mae [Member] | ' | ' | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ' | ' | ||
Fair Value | 1,046,994 | [1],[2] | 1,083,810 | [1],[2] |
Net Unamortized Premium (Discount) | 0 | 0 | ||
Percentage of Total Fair Value | 52.95% | 61.73% | ||
Weighted Average Life | '9 years 4 months 24 days | '4 years 10 months 24 days | ||
Weighted Average Rating | 'AAA | 'AAA | [3] | |
Trading, Freddie Mac [Member] | ' | ' | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ' | ' | ||
Fair Value | 586,269 | [1],[2] | 472,630 | [1],[2] |
Net Unamortized Premium (Discount) | 0 | 0 | ||
Percentage of Total Fair Value | 29.65% | 26.92% | ||
Weighted Average Life | '9 years 4 months 24 days | '5 years 1 month 6 days | ||
Weighted Average Rating | 'AAA | 'AAA | [3] | |
Available-for-sale, Agency-backed, Fannie Mae [Member] | ' | ' | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ' | ' | ||
Fair Value | 47 | [1],[2] | 70 | [1],[2] |
Net Unamortized Premium (Discount) | 0 | 0 | ||
Percentage of Total Fair Value | 0.00% | 0.01% | ||
Weighted Average Life | '5 years | '2 years 9 months 18 days | ||
Weighted Average Rating | 'AAA | 'AAA | [3] | |
Private-label, Senior Securities [Member] | ' | ' | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ' | ' | ||
Fair Value | 7,037 | [1],[2] | 7,519 | [1],[2] |
Net Unamortized Premium (Discount) | -5,247 | -6,519 | ||
Percentage of Total Fair Value | 0.35% | 0.43% | ||
Weighted Average Life | '4 years 10 months 24 days | '5 years 2 months 12 days | ||
Weighted Average Rating | 'C- | 'C | [3] | |
Private-label, Re-REMIC Securities [Member] | ' | ' | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ' | ' | ||
Fair Value | 337,081 | [1],[2] | 191,567 | [1],[2] |
Net Unamortized Premium (Discount) | ($219,520) | ($164,422) | ||
Percentage of Total Fair Value | 17.05% | 10.91% | ||
Weighted Average Life | '11 years 8 months 12 days | '11 years 4 months 24 days | ||
Weighted Average Rating | 'NR | 'NR | [3] | |
[1] | The Companybs MBS portfolio was primarily comprised of fixed-rate MBS at September 30, 2013 and December 31, 2012. The weighted-average coupon of the MBS portfolio at September 30, 2013 and December 31, 2012 was 3.92% and 4.11%, respectively. | |||
[2] | As of September 30, 2013 and December 31, 2012, the Companybs MBS investments with a fair value of $1,748,166 and $1,615,421, respectively, were pledged as collateral for repurchase agreements. | |||
[3] | The securities issued by Fannie Mae and Freddie Mac are not rated by any rating agency; however, they are commonly thought of as having an implied rating of bAAA.b There is no assurance, particularly given the downgrade of the U.S. credit rating to bAA+b by Standard & Poors during the quarter ended September 30, 2011 and Fitch Ratings Inc.bs announcement on October 15, 2013 that it had placed the U.S. credit rating on negative watch, that these securities would receive such a rating if they were ever rated by a rating agency. The weighted-average rating of the Companybs private-label senior securities is calculated based on face value of the securities. |
Financial_Instruments_Details_6
Financial Instruments (Details 7) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ' | ' |
Beginning balance | $317,695 | $180,201 | $207,853 | $194,619 |
Accretion of discount | -7,099 | -5,926 | -19,418 | -18,617 |
Reclassifications, net | 18,639 | 1,746 | 51,248 | -1,731 |
Acquisitions | 36,901 | 38,721 | 150,646 | 40,471 |
Sales | -27,372 | -92 | -51,565 | -92 |
Ending balance | $338,764 | $214,650 | $338,764 | $214,650 |
Financial_Instruments_Details_7
Financial Instruments (Details 8) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ' | ' |
Contractually required payments receivable | $87,640 | $95,073 | $420,500 | $97,292 |
Cash flows expected to be collected | 73,380 | 65,341 | 318,328 | 67,560 |
Basis in acquired securities | $36,479 | $26,620 | $167,682 | $27,089 |
Financial_Instruments_Details_8
Financial Instruments (Details 9) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost/Cost Basis | $287,082 | [1] | $159,742 | [2] |
Unrealized Gains | 57,189 | 39,414 | ||
Unrealized Losses | -106 | 0 | ||
Fair Value | 344,165 | 199,156 | ||
Agency Backed MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost/Cost Basis | 43 | [1] | 64 | [2] |
Unrealized Gains | 4 | 6 | ||
Unrealized Losses | 0 | 0 | ||
Fair Value | 47 | 70 | ||
Private-label MBS Senior Securities [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost/Cost Basis | 5,332 | [1] | 5,611 | [2] |
Unrealized Gains | 1,705 | 1,908 | ||
Unrealized Losses | 0 | 0 | ||
Fair Value | 7,037 | 7,519 | ||
Private-label MBS Re-REMIC Securities [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost/Cost Basis | 281,707 | [1] | 154,067 | [2] |
Unrealized Gains | 55,480 | 37,500 | ||
Unrealized Losses | -106 | 0 | ||
Fair Value | $337,081 | $191,567 | ||
[1] | The amortized cost of MBS includes unamortized net discounts of $224,767 at September 30, 2013. | |||
[2] | The amortized cost of MBS includes unamortized net discounts of $170,941 at December 31, 2012. |
Financial_Instruments_Details_9
Financial Instruments (Details 10) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Cumulative other-than-temporary impairment, beginning balance | $23,283 | $13,125 | $23,768 | $8,594 |
Additions | ' | ' | ' | ' |
Other-than-temporary impairments not previously recognized | 380 | 6,533 | 380 | 10,792 |
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 0 | 367 | 890 | 639 |
Reductions | ' | ' | ' | ' |
Decreases related to other-than-temporary impairments on sold securities with previously recognized other-than-temporary impairments | 0 | 0 | -1,375 | 0 |
Cumulative other-than-temporary impairment, ending balance | $23,663 | $20,025 | $23,663 | $20,025 |
Recovered_Sheet1
Financial Instruments (Details 11) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Agency Backed MBS [Member] | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Proceeds from sales | $309,518 | $189,095 | $837,257 | $301,223 |
Gross gains | 238 | 1,624 | 531 | 4,041 |
Gross losses | 4,118 | 106 | 26,469 | 251 |
Private label MBS [Member] | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Proceeds from sales | 27,085 | 985 | 54,884 | 985 |
Gross gains | 4,778 | 49 | 13,267 | 49 |
Gross losses | $0 | $0 | $0 | $0 |
Recovered_Sheet2
Financial Instruments (Details 12) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Interest-only MBS | $349 | $478 |
Non-public equity securities | 975 | 975 |
Investment funds | 856 | 894 |
Total other investments | $2,180 | $2,347 |
Recovered_Sheet3
Financial Instruments (Details Textual) (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 |
Fair Value Inputs Assets Quantitative Information [Line Items] | ' | ' | ' | ' | ' |
Percentage of Total Asset Measured and Reported at Fair Value, Recurring Basis | 15.52% | ' | 15.52% | ' | 9.62% |
Company's Interest in Non Public Equity Securities and Investment Funds | $1,831 | ' | $1,831 | ' | $1,869 |
Fair Value Measured on Nonrecurring Basis, Gain (Loss) Included in Earnings | 0 | 64 | 138 | 64 | ' |
Weighted Average Coupon Rate for MBS Portfolio | 3.92% | ' | 3.92% | ' | 4.11% |
Pledged Assets Separately Reported, Securities Pledged as Collateral, at Fair Value | 1,748,166 | ' | 1,748,166 | ' | 1,615,421 |
Financial Instrument Unamortized Discount Premium Net | 224,767 | ' | 224,767 | ' | 170,941 |
Other than Temporary Impairment Losses MBS | 380 | 6,900 | 1,270 | 11,431 | ' |
Cost Basis MBS Prior to Other than Temporary Impairment | $10,104 | $24,044 | $11,688 | $36,076 | ' |
Borrowings_Details
Borrowings (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ' | ' | ' | |||
Outstanding balance | $1,574,244 | ' | $1,574,244 | ' | $1,497,191 | |||
Value of assets pledged as collateral | ' | ' | ' | ' | ' | |||
Net amount | 173,922 | [1] | ' | 173,922 | [1] | ' | 118,230 | [1] |
Weighted-average rate | 0.44% | ' | 0.44% | ' | 0.52% | |||
Weighted-average term to maturity (in days) | ' | ' | '10.9 days | ' | '14.5 days | |||
Weighted-average outstanding balance | 1,581,663 | 926,746 | 1,504,878 | 821,625 | ' | |||
Weighted-average rate | 0.44% | 0.48% | 0.44% | 0.45% | ' | |||
Agency Backed MBS [Member] | ' | ' | ' | ' | ' | |||
Value of assets pledged as collateral | ' | ' | ' | ' | ' | |||
Value of assets pledged as collateral | 1,618,029 | ' | 1,618,029 | ' | 1,547,760 | |||
Private label MBS [Member] | ' | ' | ' | ' | ' | |||
Value of assets pledged as collateral | ' | ' | ' | ' | ' | |||
Value of assets pledged as collateral | $130,137 | ' | $130,137 | ' | $67,661 | |||
[1] | Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. |
Borrowings_Details_1
Borrowings (Details 1) (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Trust Preferrd Debt [Member] | ' | ' |
Outstanding Principal | $15,000 | $15,000 |
Annual Interest Rate | 'LIBOR+2.25 - 3.00% | 'LIBOR+2.25 - 3.00% |
Interest Payment Frequency | 'Quarterly | 'Quarterly |
Weighted-Average Interest Rate | 3.02% | 3.09% |
Maturity | '2033 - 2035 | '2033 - 2035 |
Early Redemption Date | '2008 - 2010 | '2008 - 2010 |
Senior Notes [Member] | ' | ' |
Outstanding Principal | $25,000 | $0 |
Annual Interest Rate | 6.63% | ' |
Interest Payment Frequency | 'Quarterly | ' |
Weighted-Average Interest Rate | 6.63% | 0.00% |
Maturity | 1-May-23 | ' |
Early Redemption Date, Start | 1-May-16 | ' |
Borrowings_Details_Textual
Borrowings (Details Textual) (USD $) | 9 Months Ended | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 |
Senior Notes [Member] | Credit Suisse Securities USA LLC [Member] | ||||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ' | ' | ' |
Securities Sold under Agreements to Repurchase | $1,574,244 | ' | $1,497,191 | ' | $482,097 |
Repurchase Agreement Counterparty, Amount at Risk | ' | ' | ' | ' | 50,171 |
Repurchase Agreement Counterparty, Amount at Risk, Percentage | ' | ' | ' | ' | 10.79% |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | ' | ' | ' | ' | '15 days |
Long-term Debt | 40,000 | ' | 15,000 | ' | ' |
Debt Instrument, Face Amount | ' | ' | ' | 25,000 | ' |
Debt Instrument, Interest Rate, Stated Percentage | ' | ' | ' | 6.63% | ' |
Debt Instrument, Maturity Date | ' | ' | ' | 1-May-23 | ' |
Proceeds from Issuance of Long-term Debt, Total | $24,038 | $0 | ' | $24,038 | ' |
Debt Instrument, Frequency of Periodic Payment | ' | ' | ' | 'payable quarterly on February 1, May 1, August 1, and November 1 of each year, beginning on August 1, 2013 | ' |
Derivative_Financial_Instrumen2
Derivative Financial Instruments and Hedging Activities (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Derivative [Line Items] | ' | ' | ||
Derivative assets, Fair Value | $1,851 | $0 | ||
Derivative liabilities, Fair Value | 43,034 | 76,850 | ||
No Hedge Designation [Member] | Eurodollar Futures Asset [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative asset, Notional Amount | 1,883,000 | 0 | ||
Derivative assets, Fair Value | 1,667 | 0 | ||
No Hedge Designation [Member] | Eurodollar Futures Liabilities [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative liabilities, Notional Amount | 14,350,000 | 17,525,000 | ||
Derivative liabilities, Fair Value | -41,440 | -76,850 | ||
No Hedge Designation [Member] | Eurodollar Futures [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Notional Amount | 16,233,000 | [1] | 17,525,000 | [1] |
Fair Value | -39,773 | [1] | -76,850 | [1] |
No Hedge Designation [Member] | 10-Year Swap Futures [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Notional Amount | 640,000 | [2] | 0 | [2] |
Fair Value | -1,500 | [2] | 0 | [2] |
No Hedge Designation [Member] | 10-year U.S. Treasury note futures [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Notional Amount | 12,000 | [3] | 0 | [3] |
Fair Value | -56 | [3] | 0 | [3] |
No Hedge Designation [Member] | 5-year U.S. Treasury note futures [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Notional Amount | 10,000 | [4] | 0 | [4] |
Fair Value | -38 | [4] | 0 | [4] |
No Hedge Designation [Member] | Commitment to Purchase MBS [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Notional Amount | 25,000 | [5] | 0 | [5] |
Fair Value | $184 | [5] | $0 | [5] |
[1] | The $16,233,000 total notional amount of Eurodollar futures contracts as of September 30, 2013 represents the accumulation of Eurodollar futures contracts that mature on a quarterly basis between 2013 and 2018. As of September 30, 2013, the Company maintained $52,408 as a deposit and margin against the open Eurodollar futures contracts. | |||
[2] | The total notional amount of $640,000 represents the accumulation of 10-year swap futures that mature in December 2013. As of September 30, 2013, the Company maintained $11,100 as a deposit and margin against the open swap futures contracts. | |||
[3] | The total notional amount of $12,000 represents the accumulation of 10-year U.S. Treasury note futures that mature in December 2013. As of September 30, 2013, the Company maintained $233 as a deposit and margin against the open 10-year U.S. Treasury note futures contracts. | |||
[4] | The total notional amount of $10,000 represents the accumulation of 5-year U.S. Treasury note futures that mature in December 2013. As of September 30, 2013, the Company maintained $128 as a deposit and margin against the open 5-year U.S. Treasury note futures contracts. | |||
[5] | The total notional amount of commitment to purchase MBS represents forward commitments to purchase fixed-rate MBS securities. |
Derivative_Financial_Instrumen3
Derivative Financial Instruments and Hedging Activities (Details Textual) (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 |
Derivative [Line Items] | ' | ' | ' | ' | ' |
Gain (Loss) on Derivative Instruments, Net, Pretax | ($14,457) | ($10,972) | $44,577 | ($27,966) | ' |
Deposit Assets | 63,869 | ' | 63,869 | ' | 85,652 |
Eurodollar Futures [Member] | ' | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' | ' |
Deposit Assets | 52,408 | ' | 52,408 | ' | ' |
10-Year Swap Futures [Member] | ' | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' | ' |
Deposit Assets | 11,100 | ' | 11,100 | ' | ' |
Ten year U.S. Treasury note futures [Member] | ' | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' | ' |
Deposit Assets | 233 | ' | 233 | ' | ' |
Five year U.S. Treasury note futures [Member] | ' | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' | ' |
Deposit Assets | $128 | ' | $128 | ' | ' |
Income_Taxes_Details_Textual
Income Taxes (Details Textual) (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Mar. 31, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Income tax provision | $2,455 | ' | $450 | $1,247 | $1,271 |
Effective income tax rate | ' | ' | ' | 11.64% | 7.35% |
Release of previously unrecognized tax benefit, uncertain tax position | ' | 3,200 | ' | 9,600 | ' |
Release of previously unrecognized tax benefit, uncertain tax position, accrued interest | $2,867 | $544 | ' | $2,867 | ' |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Basic | ' | ' | ' | ' |
Weighted-average shares outstanding - common stock (in shares) | 16,669 | 9,977 | 15,761 | 9,192 |
Stock options, performance share units, and unvested restricted stock (in shares) | 0 | 0 | 0 | 0 |
Weighted average common and common equivalent shares outstanding (in shares) | 16,669 | 9,977 | 15,761 | 9,192 |
Net income applicable to common stock | $3,093 | $3,123 | $9,464 | $16,029 |
Net income per common share (in dollars per share) | $0.19 | $0.31 | $0.60 | $1.74 |
Diluted | ' | ' | ' | ' |
Weighted-average shares outstanding - common stock (in shares) | 16,669 | 9,977 | 15,761 | 9,192 |
Stock options, performance share units, and unvested restricted stock (in shares) | 176 | 64 | 173 | 27 |
Weighted-average common and common equivalent shares outstanding (in shares) | 16,845 | 10,041 | 15,934 | 9,219 |
Net income applicable to common stock | $3,093 | $3,123 | $9,464 | $16,029 |
Net income per common share (in dollars per share) | $0.18 | $0.31 | $0.59 | $1.74 |
Earnings_Per_Share_Details_Tex
Earnings Per Share (Details Textual) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 43,598 | 10,364 | 23,796 | 29,786 |
Equity_Details
Equity (Details) (USD $) | 9 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | |
Closing date of the offering | 13-Mar-13 | |
Shares sold to public (in shares) | 3,000,000 | |
Shares sold pursuant to the underwriter over-allotment (in shares) | 450,000 | |
Total shares of Class A common stock (in shares) | 3,450,000 | |
Public offering price per share (in dollars per share) | $25.50 | |
Net proceeds | $86,964 | [1] |
[1] | Net of underwriting discounts and commissions and expenses. |
Equity_Details_1
Equity (Details 1) (USD $) | 3 Months Ended | 9 Months Ended | |||||||
Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Dividend Amount (in dollars per share) | $0.88 | $0.88 | $0.88 | $0.88 | $0.88 | $0.88 | $0.88 | $2.63 | $2.63 |
Declaration Date | 18-Sep-13 | 17-Jun-13 | 15-Mar-13 | 5-Dec-12 | 13-Sep-12 | 15-Jun-12 | 16-Mar-12 | ' | ' |
Record Date | 30-Sep-13 | 28-Jun-13 | 28-Mar-13 | 17-Dec-12 | 28-Sep-12 | 29-Jun-12 | 26-Mar-12 | ' | ' |
Pay Date | 31-Oct-13 | 31-Jul-13 | 30-Apr-13 | 31-Dec-12 | 31-Oct-12 | 31-Jul-12 | 30-Apr-12 | ' | ' |
Equity_Details_2
Equity (Details 2) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' | ' |
Shares granted (in shares) | 0 | 25,500 | 36,000 | 25,500 | ' |
Weight-average share price (in dollars per share) | $0 | $22.99 | $26.74 | $22.99 | ' |
Compensation expense recognized during the period | $223 | $75 | $432 | $161 | ' |
Restricted Class A shares outstanding, unvested (in shares) | 57,673 | ' | 57,673 | ' | 34,835 |
Unrecognized compensation cost related to unvested shares | $1,038 | ' | $1,038 | ' | $507 |
Weighted-average vesting period remaining | ' | ' | '2 years 3 months 18 days | ' | '2 years 2 months 19 days |
Equity_Details_Textual
Equity (Details Textual) (USD $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 1 Months Ended | |||||||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Jul. 31, 2013 | Jul. 31, 2013 |
Long Term Incentive Plan [Member] | Long Term Incentive Plan [Member] | Long Term Incentive Plan [Member] | Long Term Incentive Plan [Member] | Long Term Incentive Plan [Member] | Long Term Incentive Plan [Member] | Book Value PSU [Member] | TSR PSU [Member] | |||||
Common Class A [Member] | Common Class A [Member] | |||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Share available for issuance | ' | ' | ' | ' | ' | ' | ' | ' | 443,504 | 489,448 | ' | ' |
Compensation expense recognized during the period related to performance-based program | $223 | $75 | $432 | $161 | $398 | $96 | $915 | $96 | ' | ' | ' | ' |
Number of shares approved for initial grant (in shares) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 34,221 | 34,567 |