Document_And_Entity_Informatio
Document And Entity Information | 9 Months Ended | |
Sep. 30, 2013 | Oct. 18, 2013 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | FALSE | |
Document Period End Date | 30-Sep-13 | |
Document Fiscal Period Focus | Q3 | |
Document Fiscal Year Focus | 2013 | |
Entity Registrant Name | CYS Investments, Inc. | |
Entity Central Index Key | 1396446 | |
Current Fiscal Year End Date | -19 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 166,894,242 |
Condensed_Statements_Of_Assets
Condensed Statements Of Assets And Liabilities (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, except Per Share data, unless otherwise specified | |||
ASSETS: | |||
Investments in securities, at fair value (including pledged assets of $12,407,463 and $14,831,648, respectively) | $14,456,252 | $20,861,718 | [1] |
Derivative assets, at fair value | 267,409 | 124,169 | [1] |
Cash and cash equivalents | 10,597 | 13,882 | [1] |
Receivable for securities sold and principal repayments | 744,491 | 10,343 | [1] |
Interest receivable | 38,773 | 46,558 | [1] |
Other assets | 892 | 826 | [1] |
Total assets | 15,518,414 | 21,057,496 | [1] |
LIABILITIES: | |||
Repurchase agreements | 11,735,071 | 13,981,307 | [1] |
Derivative liabilities, at fair value | 49,537 | 98,575 | [1] |
Payable for securities purchased | 1,656,724 | 4,515,501 | [1] |
Payable for cash received as collateral | 35,488 | 28,910 | [1] |
Distribution payable | 61,149 | 1,243 | [1] |
Accrued interest payable (including accrued interest on repurchase agreements of $2,865 and $11,717, respectively) | 15,139 | 28,863 | [1] |
Accrued expenses and other liabilities | 5,219 | 435 | [1] |
Total liabilities | 13,558,327 | 18,654,834 | [1] |
Commitments and contingencies (note 6) | 0 | 0 | [1] |
NET ASSETS | 1,960,087 | 2,402,662 | [1] |
Net assets consist of: | |||
7.75% Series A Cumulative Redeemable Preferred Stock, (3,000 and 3,000 shares issued and outstanding, respectively, $75,000 in aggregate liquidation preference) | 72,369 | 72,369 | [1] |
7.50% Series B Cumulative Redeemable Preferred Stock, (8,000 and 0 shares issued and outstanding, respectively, $200,000 in aggregate liquidation preference) | 193,550 | 0 | [1] |
Common Stock, $0.01 par value, 500,000 shares authorized (166,880 and 174,924 shares issued and outstanding, respectively) | 1,669 | 1,749 | [1] |
Additional paid in capital | 2,167,393 | 2,237,512 | [1] |
Retained earnings (accumulated deficit) | ($474,894) | $91,032 | [1] |
NET ASSET VALUE PER COMMON SHARE | $10.10 | $13.31 | [1] |
[1] | Derived from audited financial statements. |
Condensed_Statements_Of_Assets1
Condensed Statements Of Assets And Liabilities (Parenthetical) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, except Share data, unless otherwise specified | ||
Common Stock, Number of Shares, Par Value and Other Disclosures [Abstract] | ||
Investments in securities, pledged assets | $12,407,463 | $14,831,648 |
Accrued interest payable, accrued interest on repurchase agreements | 2,865 | 11,717 |
Series Cumulative Redeemable Preferred Stock, par value | $0.01 | $0.01 |
Preferred Stock, shares authorized | 50,000,000 | 50,000,000 |
Series A Cumulative Redeemable Preferred Stock, shares issued | 3,000,000 | 3,000,000 |
Series A Cumulative Redeemable Preferred Stock, shares outstanding | 3,000,000 | 3,000,000 |
Series A Cumulative Redeemable Preferred Stock, aggregate liquidation value | 75,000 | 75,000 |
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $25 | $25 |
Series B Cumulative Redeemable Preferred Stock, shares issued | 8,000,000 | 0 |
Series B Cumulative Redeemable Preferred Stock, shares outstanding | 8,000,000 | 0 |
Series B Cumulative Redeemable Preferred Stock, aggregate liquidation value | $200,000 | $0 |
Series B Cumulative Redeemable Preferred Stock, liquidation preference per share | $25 | $25 |
Common stock, par value | $0.01 | $0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 166,880,305 | 174,924,149 |
Common stock, shares outstanding | 166,880,305 | 174,924,149 |
Condensed_Schedules_Of_Investm
Condensed Schedules Of Investments (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | $14,456,252,000 | $20,861,718,000 | [1] | |
Fixed Income Securities [Member] | ||||
Investment Holdings [Line Items] | ||||
Percent of Investments in Securities | 737.50% | [2] | 868.30% | [2] |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 13,987,280,000 | 19,681,502,000 | ||
Financial Instruments, Owned, at Fair Value | 14,449,307,000 | 20,804,143,000 | ||
Percent of Investments in Securities | 737.20% | [2] | 865.90% | [2] |
Cost | 14,346,058 | 20,560,760 | ||
US Treasury Bill [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 38,000,000 | |||
Financial Instruments, Owned, at Fair Value | 37,999,000 | |||
Percent of Investments in Securities | 1.60% | [2] | ||
Cost | 37,995 | |||
Other Investments [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 6,945,000 | 20,473,000 | [2],[3] | |
Financial Instruments, Owned, at Fair Value | 6,945,000 | 19,576,000 | [2],[3] | |
Percent of Investments in Securities | 0.30% | [2] | 0.80% | [2],[3] |
Cost | 6,945 | [3] | 12,855 | [2],[3] |
Investments In Securities [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 13,994,225,000 | 19,739,975,000 | ||
Financial Instruments, Owned, at Fair Value | 14,456,252,000 | 20,861,718,000 | ||
Cost | 14,353,003 | 20,611,610 | ||
Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 215,992,000 | 122,989,000 | ||
Derivative, Notional Amount | 3,900,000,000 | 3,400,000,000 | ||
Percent of Investments in Securities | 11.00% | [2],[4] | 5.10% | [2],[4] |
Cost | 143,373 | 134,815 | ||
Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 1,880,000 | -97,395,000 | ||
Derivative, Notional Amount | 7,090,000,000 | 7,490,000,000 | ||
Percent of Investments in Securities | -0.10% | [2],[4] | -4.10% | [2],[4] |
Cost | 0 | |||
Derivative, Fixed Interest Rate | 0.00% | |||
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 2,546,894,000 | 871,029,000 | ||
Financial Instruments, Owned, at Fair Value | 2,604,026,000 | 913,223,000 | ||
Percent of Investments in Securities | 132.80% | [2] | 38.00% | [2] |
Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 11,349,467,000 | 18,695,972,000 | ||
Financial Instruments, Owned, at Fair Value | 11,749,900,000 | 19,768,633,000 | ||
Percent of Investments in Securities | 599.50% | [2] | 822.80% | [2] |
Ginnie Mae Pools [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 90,919,000 | 114,501,000 | ||
Financial Instruments, Owned, at Fair Value | 95,381,000 | 122,287,000 | ||
Percent of Investments in Securities | 4.90% | [2] | 5.10% | [2] |
2.15%, due 10/1/2042 - 2/1/2043 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 132,758,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 133,571,000 | [5],[6] | ||
2.18%, due 11/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 29,783,000 | [5],[6] | 34,926,000 | [7] |
Financial Instruments, Owned, at Fair Value | 30,001,000 | [5],[6] | 36,246,000 | [7] |
2.24%, due 10/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 47,341,000 | [5],[6] | 49,605,000 | [7] |
Financial Instruments, Owned, at Fair Value | 47,928,000 | [5],[6] | 51,511,000 | [7] |
2.26%, due 11/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 40,479,000 | [5],[6] | 45,372,000 | [7] |
Financial Instruments, Owned, at Fair Value | 40,891,000 | [5],[6] | 47,149,000 | [7] |
2.34%, due 11/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 65,636,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 66,511,000 | [5],[6] | ||
2.37%, due 1/1/2043 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 86,645,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 87,704,000 | [5],[6] | ||
2.39%, due 10/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 20,662,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 20,932,000 | [5],[6] | ||
2.40%, due 9/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 32,783,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 33,217,000 | [5],[6] | ||
2.41%, due 11/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 65,178,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 66,071,000 | [5],[6] | ||
2.42%, due 9/1/2042 - 10/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 180,583,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 183,074,000 | [5],[6] | ||
2.43%, due 6/1/2042 - 1/1/2043 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 111,899,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 113,528,000 | [5],[6] | ||
2.50%, due 10/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 77,970,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 79,258,000 | [5],[6] | ||
2.51%, due 10/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 46,267,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 47,004,000 | [5],[6] | ||
2.58%, due 8/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 30,257,000 | [5],[6] | 34,217,000 | [7],[8] |
Financial Instruments, Owned, at Fair Value | 30,797,000 | [5],[6] | 35,801,000 | [7],[8] |
2.60%, due 4/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 32,122,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 32,835,000 | [5],[6] | ||
2.70%, due 6/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 57,465,000 | [5],[6] | 67,729,000 | [7],[8] |
Financial Instruments, Owned, at Fair Value | 58,724,000 | [5],[6] | 70,933,000 | [7],[8] |
2.79%, due 4/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 139,002,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 143,813,000 | [5],[6] | ||
2.80%, due 2/1/2042 - 4/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 88,947,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 91,824,000 | [5],[6] | ||
2.83%, due 2/1/2042 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 27,652,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 28,494,000 | [5],[6] | ||
2.84%, due 12/1/2041 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 45,003,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 46,680,000 | [5],[6] | ||
3.00%, due 2/1/2027 - 10/1/2028 (a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 4,620,867,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 4,787,923,000 | [5] | ||
3.00%, due 12/1/2037 (a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 51,729,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 50,900,000 | [5] | ||
3.00%, due 10/1/2042 (a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 42,959,000 | [5] | 46,277,000 | [8] |
Financial Instruments, Owned, at Fair Value | 41,465,000 | [5] | 47,556,000 | [8] |
3.06%, due 9/1/2041 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 28,807,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 29,870,000 | [5],[6] | ||
3.24%, due 3/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 12,056,000 | [6] | 15,547,000 | [7],[8] |
Financial Instruments, Owned, at Fair Value | 12,580,000 | [6] | 16,389,000 | [7],[8] |
3.35%, due 5/1/2041 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 14,785,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 15,424,000 | [5],[6] | ||
3.36%, due 8/1/2041 (a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 22,336,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 23,267,000 | [5],[6] | ||
3.50%, due 12/1/2025 - 10/1/2028 (a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 953,512,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 1,006,774,000 | [5] | ||
3.50%, due 6/1/2042 - 10/1/2043 (a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 2,148,929,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 2,190,239,000 | [5] | ||
3.98%, due 9/1/2039 (b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 8,139,000 | [6] | ||
Financial Instruments, Owned, at Fair Value | 8,575,000 | [6] | ||
4.00%, due 1/1/2026 - 4/1/2026 (a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 244,812,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 259,903,000 | [5] | ||
4.00%, due 7/1/2043 - 10/1/2043 (a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 1,544,256,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 1,620,828,000 | [5] | ||
4.50%, due 4/1/2030 - 11/1/2030 (a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 89,615,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 96,643,000 | [5] | ||
4.50%, due 11/1/2041 (a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 208,233,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 222,652,000 | [5] | ||
2.19%, due 2/1/2043 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 28,951,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 29,052,000 | [5],[6] | ||
2.22%, due 12/1/2042 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 44,420,000 | [5],[6] | 50,184,000 | [7] |
Financial Instruments, Owned, at Fair Value | 44,759,000 | [5],[6] | 52,100,000 | [7] |
2.29%, due 11/1/2042 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 93,202,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 94,062,000 | [5],[6] | ||
2.43%, due 6/1/2042 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 35,541,000 | [5],[6] | 38,618,000 | [7],[8] |
Financial Instruments, Owned, at Fair Value | 36,146,000 | [5],[6] | 40,336,000 | [7],[8] |
2.44%, due 4/1/2043 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 30,125,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 29,591,000 | [5],[6] | ||
2.45%, due 7/1/2042 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 39,773,000 | [5],[6] | 46,980,000 | [7],[8] |
Financial Instruments, Owned, at Fair Value | 40,393,000 | [5],[6] | 49,027,000 | [7],[8] |
2.52%, due 11/1/2042 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 37,992,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 38,627,000 | [5],[6] | ||
2.54%, due 7/1/2042 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 35,605,000 | [5],[6] | 41,200,000 | [7],[8] |
Financial Instruments, Owned, at Fair Value | 36,296,000 | [5],[6] | 43,077,000 | [7],[8] |
2.56%, due 2/1/2043 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 113,721,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 112,544,000 | [5],[6] | ||
2.59%, due 3/1/2042 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 30,501,000 | [5],[6] | 35,421,000 | [7],[8] |
Financial Instruments, Owned, at Fair Value | 31,322,000 | [5],[6] | 37,203,000 | [7],[8] |
2.79%, due 12/1/2041 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 35,177,000 | [5],[6] | 42,260,000 | [7],[8] |
Financial Instruments, Owned, at Fair Value | 36,197,000 | [5],[6] | 44,357,000 | [7],[8] |
3.31%, due 1/1/2041 (a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 28,117,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 29,474,000 | [5],[6] | ||
3.50%, due 4/1/2026 - 2/1/2027 (a) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 138,332,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 145,704,000 | [5] | ||
3.50%, due 5/1/2043 - 7/1/2043 (a) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 1,368,831,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 1,390,517,000 | [5] | ||
4.00%, due 8/1/2043 - 10/1/2043 (a) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 448,594,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 469,139,000 | [5] | ||
4.50%, due 12/1/2024 - 5/1/2025 (a) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 38,012,000 | [5] | ||
Financial Instruments, Owned, at Fair Value | 40,203,000 | [5] | ||
3.50%, due 7/20/2040 (a)(b) | Ginnie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 81,800,000 | [5],[6] | 101,626,000 | [7],[8] |
Financial Instruments, Owned, at Fair Value | 85,760,000 | [5],[6] | 108,469,000 | [7],[8] |
4.00%, due 1/20/2040 (a)(b) | Ginnie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 9,119,000 | [5],[6] | ||
Financial Instruments, Owned, at Fair Value | 9,621,000 | [5],[6] | ||
10/15/2015 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 306,000 | 386,000 | ||
Derivative, Notional Amount | 300,000,000 | 300,000,000 | ||
Derivative, Cap Interest Rate | 1.43% | |||
11/8/2015 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 255,000 | 302,000 | ||
Derivative, Notional Amount | 200,000,000 | 200,000,000 | ||
Derivative, Cap Interest Rate | 1.36% | |||
5/23/2019 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 11,645,000 | 6,714,000 | ||
Derivative, Notional Amount | 300,000,000 | 300,000,000 | ||
Derivative, Cap Interest Rate | 2.00% | |||
6/1/2019 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 13,307,000 | 7,553,000 | ||
Derivative, Notional Amount | 300,000,000 | 300,000,000 | ||
Derivative, Cap Interest Rate | 1.75% | |||
6/29/2019 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 15,481,000 | 8,686,000 | ||
Derivative, Notional Amount | 300,000,000 | 300,000,000 | ||
Derivative, Cap Interest Rate | 1.50% | |||
7/2/2019 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 15,852,000 | 9,165,000 | ||
Derivative, Notional Amount | 300,000,000 | 300,000,000 | ||
Derivative, Cap Interest Rate | 1.50% | |||
7/16/2019 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 28,839,000 | 17,255,000 | ||
Derivative, Notional Amount | 500,000,000 | 500,000,000 | ||
Derivative, Cap Interest Rate | 1.25% | |||
3/26/2020 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 38,213,000 | |||
Derivative, Notional Amount | 500,000,000 | |||
Derivative, Cap Interest Rate | 1.25% | |||
3/30/2020 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 52,826,000 | |||
Derivative, Notional Amount | 700,000,000 | |||
Derivative, Cap Interest Rate | 1.25% | |||
5/20/2020 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 39,268,000 | |||
Derivative, Notional Amount | 500,000,000 | |||
Derivative, Cap Interest Rate | 1.25% | |||
7/1/2014 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -1,071,000 | -2,049,000 | ||
Derivative, Notional Amount | 100,000,000 | 100,000,000 | ||
Derivative, Fixed Interest Rate | 1.72% | 1.72% | ||
7/16/2014 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -2,838,000 | -5,309,000 | ||
Derivative, Notional Amount | 250,000,000 | 250,000,000 | ||
Derivative, Fixed Interest Rate | 1.73% | 1.73% | ||
8/16/2014 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -1,840,000 | -3,246,000 | ||
Derivative, Notional Amount | 200,000,000 | 200,000,000 | ||
Derivative, Fixed Interest Rate | 1.35% | 1.35% | ||
9/23/2014 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -4,890,000 | -8,167,000 | ||
Derivative, Notional Amount | 500,000,000 | 500,000,000 | ||
Derivative, Fixed Interest Rate | 1.31% | 1.31% | ||
10/6/2014 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -2,081,000 | -3,405,000 | ||
Derivative, Notional Amount | 240,000,000 | 240,000,000 | ||
Derivative, Fixed Interest Rate | 1.17% | 1.17% | ||
2/14/2015 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -12,309,000 | -18,564,000 | ||
Derivative, Notional Amount | 500,000,000 | 500,000,000 | ||
Derivative, Fixed Interest Rate | 2.15% | 2.15% | ||
6/2/2016 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -10,320,000 | -14,320,000 | ||
Derivative, Notional Amount | 300,000,000 | 300,000,000 | ||
Derivative, Fixed Interest Rate | 1.94% | 1.94% | ||
12/19/2016 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -4,649,000 | -7,996,000 | ||
Derivative, Notional Amount | 250,000,000 | 250,000,000 | ||
Derivative, Fixed Interest Rate | 1.43% | 1.43% | ||
4/24/2017 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -5,888,000 | -11,556,000 | [9] | |
Derivative, Notional Amount | 500,000,000 | 500,000,000 | [9] | |
Derivative, Fixed Interest Rate | 1.31% | 1.31% | [9] | |
7/13/2017 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 5,711,000 | -4,117,000 | ||
Derivative, Notional Amount | 750,000,000 | 750,000,000 | ||
Derivative, Fixed Interest Rate | 0.86% | 0.86% | ||
9/6/2017 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 3,500,000 | 33,000 | ||
Derivative, Notional Amount | 250,000,000 | 250,000,000 | ||
Derivative, Fixed Interest Rate | 0.77% | 0.77% | ||
9/6/2017 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 6,845,000 | |||
Derivative, Notional Amount | 500,000,000 | |||
Derivative, Fixed Interest Rate | 0.77% | |||
9/6/2017 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 3,570,000 | |||
Derivative, Notional Amount | 250,000,000 | |||
Derivative, Fixed Interest Rate | 0.77% | |||
11/29/2017(f) | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 7,671,000 | [10] | 1,121,000 | [10] |
Derivative, Notional Amount | 500,000,000 | [10] | 500,000,000 | [10] |
Derivative, Fixed Interest Rate | 0.87% | [10] | 0.87% | [10] |
2/21/2018 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 6,265,000 | |||
Derivative, Notional Amount | 500,000,000 | |||
Derivative, Fixed Interest Rate | 1.02% | |||
2/27/2018 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 7,770,000 | |||
Derivative, Notional Amount | 500,000,000 | |||
Derivative, Fixed Interest Rate | 0.96% | |||
4/25/2018(g) | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 10,085,000 | [11] | ||
Derivative, Notional Amount | 500,000,000 | [11] | ||
Derivative, Fixed Interest Rate | 1.01% | [11] | ||
8/15/2018 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -3,651,000 | |||
Derivative, Notional Amount | 500,000,000 | |||
Derivative, Fixed Interest Rate | 1.65% | |||
2.15%, due 2/1/2043(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 100,000,000 | [7] | ||
Financial Instruments, Owned, at Fair Value | 103,991,000 | [7] | ||
2.16%, due 10/1/2042(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 44,800,000 | [7] | ||
Financial Instruments, Owned, at Fair Value | 46,452,000 | [7] | ||
2.17%, due 3/1/2043(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 30,000,000 | [7] | ||
Financial Instruments, Owned, at Fair Value | 31,167,000 | [7] | ||
2.34%, due 11/1/2042(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 75,085,000 | [7] | ||
Financial Instruments, Owned, at Fair Value | 78,162,000 | [7] | ||
2.38%, due 1/1/2043(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 100,237,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 104,444,000 | [7],[8] | ||
2.40%, due 9/1/2042 - 10/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 63,216,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 65,915,000 | [7],[8] | ||
2.41%, due 7/1/2042 - 9/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 69,629,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 72,585,000 | [7],[8] | ||
2.42%, due 11/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 75,395,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 78,710,000 | [7],[8] | ||
2.43%, due 2/1/2043(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 25,000,000 | [7] | ||
Financial Instruments, Owned, at Fair Value | 26,174,000 | [7] | ||
2.44%, due 7/1/2042 - 10/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 241,204,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 251,833,000 | [7],[8] | ||
2.45%, due 10/1/2042 - 11/1/2042(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 87,021,000 | [7] | ||
Financial Instruments, Owned, at Fair Value | 90,808,000 | [7] | ||
2.46%, due 6/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 57,508,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 60,021,000 | [7],[8] | ||
2.50%, due 2/1/2028 - 3/1/2028 | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 1,900,000,000 | |||
Financial Instruments, Owned, at Fair Value | 1,985,203,000 | |||
2.51%, due 10/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 146,723,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 153,519,000 | [7],[8] | ||
2.57%, due 7/1/2042 - 2/1/2043(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 130,372,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 136,513,000 | [7],[8] | ||
2.60%, due 2/1/2043(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 50,000,000 | [7] | ||
Financial Instruments, Owned, at Fair Value | 52,406,000 | [7] | ||
2.62%, due 7/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 46,138,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 48,256,000 | [7],[8] | ||
2.63%, due 4/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 35,609,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 37,264,000 | [7],[8] | ||
2.79%, due 1/1/2042 - 3/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 85,732,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 89,912,000 | [7],[8] | ||
2.80%, due 2/1/2042 - 11/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 349,671,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 366,718,000 | [7],[8] | ||
2.81%, due 2/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 55,367,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 58,090,000 | [7],[8] | ||
2.84%, due 2/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 32,607,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 34,247,000 | [7],[8] | ||
2.85%, due 12/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 53,238,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 55,952,000 | [7],[8] | ||
2.87%, due 1/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 59,639,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 63,234,000 | [7],[8] | ||
2.89%, due 2/1/2042(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 40,377,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 42,409,000 | [7],[8] | ||
3.00%, due 1/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 29,557,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 31,002,000 | [7],[8] | ||
3.00%, due 2/1/2027 - 12/1/2027(a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 6,794,861,000 | [8] | ||
Financial Instruments, Owned, at Fair Value | 7,183,772,000 | [8] | ||
3.00%, due 2/1/2032 - 2/1/2033(a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 967,503,000 | [8] | ||
Financial Instruments, Owned, at Fair Value | 1,018,411,000 | [8] | ||
3.02%, due 12/1/2040(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 101,591,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 106,680,000 | [7],[8] | ||
3.04%, due 9/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 38,752,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 40,639,000 | [7],[8] | ||
3.05%, due 9/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 36,363,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 38,205,000 | [7],[8] | ||
3.06%, due 6/1/2042(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 37,791,000 | [7] | ||
Financial Instruments, Owned, at Fair Value | 40,031,000 | [7] | ||
3.16%, due 9/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 31,611,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 33,343,000 | [7],[8] | ||
3.18%, due 11/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 27,672,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 29,179,000 | [7],[8] | ||
3.21%, due 9/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 84,111,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 88,670,000 | [7],[8] | ||
3.26%, due 4/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 38,941,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 40,970,000 | [7],[8] | ||
3.30%, due 5/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 31,843,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 33,499,000 | [7],[8] | ||
3.35%, due 8/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 27,024,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 28,827,000 | [7],[8] | ||
3.36%, due 6/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 81,763,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 86,263,000 | [7],[8] | ||
3.38%, due 5/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 17,894,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 18,822,000 | [7],[8] | ||
3.50%, due 7/1/2021(a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 207,091,000 | [8] | ||
Financial Instruments, Owned, at Fair Value | 219,747,000 | [8] | ||
3.50%, due 12/1/2025 - 2/1/2028(a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 1,481,478,000 | [8] | ||
Financial Instruments, Owned, at Fair Value | 1,572,774,000 | [8] | ||
3.50%, due 8/1/2042 - 3/1/2043(a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 3,209,041,000 | [8] | ||
Financial Instruments, Owned, at Fair Value | 3,425,338,000 | [8] | ||
3.61%, due 6/1/2041(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 49,197,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 52,170,000 | [7],[8] | ||
3.65%, due 7/1/2040(a)(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 29,174,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 30,810,000 | [7],[8] | ||
3.99%, due 9/1/2039(b) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 11,717,000 | [7] | ||
Financial Instruments, Owned, at Fair Value | 12,432,000 | [7] | ||
4.00%, due 1/1/2025 - 6/1/2026(a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 613,772,000 | [8] | ||
Financial Instruments, Owned, at Fair Value | 657,599,000 | [8] | ||
4.00%, due 8/1/2042(a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 106,594,000 | [8] | ||
Financial Instruments, Owned, at Fair Value | 114,664,000 | [8] | ||
4.50%, due 2/1/2028 - 11/1/2030(a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 136,333,000 | [8] | ||
Financial Instruments, Owned, at Fair Value | 147,730,000 | [8] | ||
4.50%, due 11/1/2041(a) | Fannie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 256,057,000 | [8] | ||
Financial Instruments, Owned, at Fair Value | 277,486,000 | [8] | ||
2.30%, due 11/1/2042(a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 99,093,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 103,022,000 | [7],[8] | ||
2.52%, due 9/1/2042(a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 122,825,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 128,547,000 | [7],[8] | ||
2.55%, due 11/1/2042(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 54,278,000 | [7] | ||
Financial Instruments, Owned, at Fair Value | 56,826,000 | [7] | ||
3.27%, due 6/1/2041(a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 32,330,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 33,995,000 | [7],[8] | ||
3.30%, due 1/1/2041(a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 35,460,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 37,608,000 | [7],[8] | ||
3.50%, due 4/1/2026 - 2/1/2027(a) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 187,349,000 | [8] | ||
Financial Instruments, Owned, at Fair Value | 197,014,000 | [8] | ||
3.63%, due 6/1/2041(a)(b) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 32,394,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 34,105,000 | [7],[8] | ||
4.50%, due 12/1/2024 - 5/1/2025(a) | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 52,637,000 | [8] | ||
Financial Instruments, Owned, at Fair Value | 56,006,000 | [8] | ||
4.00%, due 1/20/2040(a)(b) | Ginnie Mae Pools [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 12,875,000 | [7],[8] | ||
Financial Instruments, Owned, at Fair Value | 13,818,000 | [7],[8] | ||
0.06%, due 2/7/2013(a)(d) | US Treasury Bill [Member] | ||||
Investment Holdings [Line Items] | ||||
Debt Instrument, Face Amount | 38,000,000 | [12],[8] | ||
Financial Instruments, Owned, at Fair Value | 37,999,000 | [12],[8] | ||
12/30/2014 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 38,000 | |||
Derivative, Notional Amount | 200,000,000 | |||
7/16/2022 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 36,010,000 | |||
Derivative, Notional Amount | 500,000,000 | |||
7/25/2022 | Interest Rate Cap Contracts [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 36,880,000 | |||
Derivative, Notional Amount | 500,000,000 | |||
5/26/2013 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -529,000 | |||
Derivative, Notional Amount | 100,000,000 | |||
Derivative, Fixed Interest Rate | 1.60% | |||
6/28/2013 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -1,574,000 | |||
Derivative, Notional Amount | 300,000,000 | |||
Derivative, Fixed Interest Rate | 1.38% | |||
7/15/2013 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -1,706,000 | |||
Derivative, Notional Amount | 300,000,000 | |||
Derivative, Fixed Interest Rate | 1.37% | |||
12/15/2013 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -3,773,000 | |||
Derivative, Notional Amount | 400,000,000 | |||
Derivative, Fixed Interest Rate | 1.31% | |||
12/16/2013 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -3,602,000 | |||
Derivative, Notional Amount | 400,000,000 | |||
Derivative, Fixed Interest Rate | 1.26% | |||
12/16/2013 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -4,581,000 | |||
Derivative, Notional Amount | 500,000,000 | |||
Derivative, Fixed Interest Rate | 1.28% | |||
12/17/2013 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -3,838,000 | |||
Derivative, Notional Amount | 400,000,000 | |||
Derivative, Fixed Interest Rate | 1.32% | |||
9/6/2017 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | 26,000 | |||
Derivative, Notional Amount | 250,000,000 | |||
Derivative, Fixed Interest Rate | 0.77% | |||
9/6/2017 | Interest Rate Swap [Member] | ||||
Investment Holdings [Line Items] | ||||
Financial Instruments, Owned, at Fair Value | -243,000 | |||
Derivative, Notional Amount | $500,000,000 | |||
Derivative, Fixed Interest Rate | 0.77% | |||
[1] | Derived from audited financial statements. | |||
[2] | Percentage of net assets. | |||
[3] | Comprised of investments that were individually less than 1% of net assets. | |||
[4] | The Companybs interest rate swap contracts receive a floating rate set quarterly to three month LIBOR. Interest rate caps will receive a floating rate quarterly in the amount of three month LIBOR that is in excess of the cap rate. | |||
[5] | Securities or a portion of the securities are pledged as collateral for repurchase agreements, interest rate swap contracts, or forward settling transactions. | |||
[6] | The coupon rate shown on floating or adjustable rate securities represents the rate at SeptemberB 30, 2013. | |||
[7] | The coupon rate shown on floating or adjustable rate securities represents the rate at DecemberB 31, 2012. | |||
[8] | rived from audited financial statements.(a)Securities or a portion of the securities are pledged as collateral for repurchase agreements, interest rate swa | |||
[9] | The interest rate swap effective date is AprilB 24, 2013, and it does not accrue any income or expense until that date. | |||
[10] | The interest rate swap effective date is November 29, 2013, and it does not accrue any income or expense until that date. | |||
[11] | The interest rate swap effective date is April 25, 2014, and it does not accrue any income or expense until that date. | |||
[12] | Zero coupon bond, rate shown represents purchase yield. |
Condensed_Statements_Of_Operat
Condensed Statements Of Operations (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 | ||||
INVESTMENT INCOME: | ||||||||
Interest income from Agency RMBS | $85,599 | $75,609 | $238,691 | $210,108 | ||||
Other income | 37 | 1,022 | 1,597 | 3,639 | ||||
Total investment income | 85,636 | 76,631 | 240,288 | 213,747 | ||||
EXPENSES: | ||||||||
Interest | 11,969 | 11,893 | 41,047 | 27,739 | ||||
Compensation and benefits | 3,453 | 3,068 | 10,198 | 9,578 | ||||
General, administrative and other | 2,144 | 2,272 | 6,623 | 6,160 | ||||
Total expenses | 17,566 | 17,233 | 57,868 | 43,477 | ||||
Net investment income | 68,070 | 59,398 | 182,420 | 170,270 | ||||
GAINS AND (LOSSES) FROM INVESTMENTS: | ||||||||
Net realized gain (loss) on investments | -407,728 | 27,049 | -572,466 | 93,335 | ||||
Net unrealized appreciation (depreciation) on investments | 423,509 | 194,078 | -146,859 | 229,528 | ||||
Net gain (loss) from investments | 15,781 | 221,127 | -719,325 | 322,863 | ||||
GAINS AND (LOSSES) FROM SWAP AND CAP CONTRACTS: | ||||||||
Net swap and cap interest income (expense) | -23,744 | -17,255 | -72,399 | -41,448 | ||||
Net gain (loss) on termination of swap and cap contracts | 25,707 | 0 | 41,666 | 0 | ||||
Net unrealized appreciation (depreciation) on swap and cap contracts | -55,243 | -21,363 | 183,720 | -38,955 | ||||
Net gain (loss) from swap and cap contracts | -53,280 | [1] | -38,618 | [1] | 152,987 | [1] | -80,403 | [1] |
Net income (loss) | 30,571 | 241,907 | -383,918 | 412,730 | ||||
DIVIDENDS ON PREFERRED STOCK | 5,203 | 953 | 10,651 | 953 | ||||
NET INCOME (LOSS) AVAILABLE TO COMMON SHARES | $25,368 | $240,954 | ($394,569) | $411,777 | ||||
NET INCOME (LOSS) PER COMMON SHARE BASIC & DILUTED | $0.14 | $1.46 | ($2.29) | $3.19 | ||||
[1] | See Note 2 for additional information on the Companybs purpose for entering into interest rate swaps and caps and the decision not to designate them as hedging instruments. |
Condensed_Statement_Of_Changes
Condensed Statement Of Changes In Net Assets (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 | ||
Net income (loss): | ||||
Net investment income | $68,070 | $182,420 | ||
Net realized gain (loss) on investments | -407,728 | -572,466 | ||
Net unrealized appreciation (depreciation) on investments | 423,509 | -146,859 | ||
Net gain (loss) from swap and cap contracts | -53,280 | [1] | 152,987 | [1] |
Net income (loss) | 30,571 | -383,918 | ||
Dividends on preferred stock | -5,203 | -10,651 | ||
Net income (loss) available to common shares | 25,368 | -394,569 | ||
Capital transactions: | ||||
Net proceeds (payments) from issues and repurchase of common shares | 46,100 | 72,772 | ||
Stock Issued During Period, Value, Other | 0 | 193,550 | ||
Distributions to common stockholders | -56,739 | -171,357 | ||
Amortization of share based compensation | 905 | 2,573 | ||
Increase(Decrease) in net assets from capital transactions | -101,934 | -48,006 | ||
Total decrease in net assets | -76,566 | -442,575 | ||
Net assets: | ||||
Beginning of period | 2,036,653 | 2,402,662 | [2] | |
End of period | $1,960,087 | $1,960,087 | ||
[1] | See Note 2 for additional information on the Companybs purpose for entering into interest rate swaps and caps and the decision not to designate them as hedging instruments. | |||
[2] | Derived from audited financial statements. |
Condensed_Statements_Of_Cash_F
Condensed Statements Of Cash Flows (USD $) | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | |
Document Period End Date | 30-Sep-13 | ||
CASH FLOWS FROM OPERATING ACTIVITIES: | |||
Net income (loss) | ($383,918) | $412,730 | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Purchase of investment securities | -39,821,249 | -26,295,320 | |
Premium paid on interest rate caps | -91,860 | -133,483 | |
Proceeds from disposition of investment securities | 43,280,830 | 11,428,649 | |
Proceeds from termination of interest rate swap and cap contracts | 103,275 | 0 | |
Proceeds from paydowns of investment securities | 2,122,423 | 1,940,265 | |
Amortization of share based compensation | 2,573 | 2,119 | |
Amortization of premiums and discounts on investment securities | 104,137 | 69,092 | |
Amortization of premiums on interest rate cap contracts | 17,985 | 7,412 | |
Net realized (gain) loss on investments | 572,466 | -93,335 | |
Net (gain) loss on termination of cap contracts | -37,958 | 0 | |
Net unrealized (appreciation) depreciation on investments | 146,859 | -229,528 | |
Net unrealized (appreciation) depreciation on swap and cap contracts | -183,720 | 38,955 | |
Change in assets and liabilities: | |||
Receivable for securities sold and principal repayments | -734,148 | -14,873 | |
Interest receivable | 7,785 | -22,618 | |
Other assets | -66 | -39 | |
Payable for securities purchased | -2,858,777 | 5,620,745 | |
Payable for cash received as collateral | 6,578 | 47,960 | |
Accrued interest payable | -13,724 | 3,772 | |
Accrued expenses and other liabilities | 4,784 | 3,216 | |
Net cash provided by (used in) operating activities | 2,244,275 | -7,214,281 | |
Proceeds from repurchase agreements | 99,827,406 | 59,689,598 | |
Repayments of repurchase agreements | -102,073,642 | -53,658,435 | |
Net proceeds (payments) from issuance and repurchase of common shares | -72,772 | 1,235,842 | |
Net proceeds from issuance of preferred stock | 193,550 | 72,488 | |
Distributions paid | -122,102 | -116,224 | |
Net cash provided by (used in) financing activities | -2,247,560 | 7,223,269 | |
Net increase (decrease) in cash and cash equivalents | -3,285 | 8,988 | |
CASH AND CASH EQUIVALENTS - Beginning of period | 13,882 | [1] | 11,508 |
CASH AND CASH EQUIVALENTS - End of period | 10,597 | 20,496 | |
SUPPLEMENTAL DISCLOSURES OF CASH FLOW INFORMATION: | |||
Interest paid | 116,079 | 67,128 | |
SUPPLEMENTAL DISCLOSURES OF NONCASH FLOW INFORMATION: | |||
Distributions declared, not yet paid | 61,149 | 79,677 | |
Reinvestment of common share distributions | $0 | $1,310 | |
[1] | Derived from audited financial statements. |
Orginazation
Orginazation | 9 Months Ended |
Sep. 30, 2013 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | ORGANIZATION |
CYS Investments, Inc. (the “Company”) was formed as a Maryland corporation on January 3, 2006, and commenced operations on February 10, 2006. The Company has elected to be taxed and intends to continue to qualify as a real estate investment trust (“REIT”) and is required to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), with respect thereto. Since March 2008, the Company has primarily purchased residential mortgage-backed securities that are issued and the principal and interest of which are guaranteed by a federally chartered corporation (“Agency RMBS”), such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. government such as the Government National Mortgage Association (“Ginnie Mae”), or debt securities issued by the United States Department of Treasury ("U.S. Treasury Securities"). On December 10, 2012 the Company's board of directors amended and restated its investment guidelines to permit the company to invest in (i) Agency RMBS, (ii) collateralized mortgage obligations issued by a government agency or government-sponsored entity that are collateralized by Agency RMBS and (iii) U.S. Treasury Securities or, a government sponsored entity that is not backed by collateral but, in the case of government agencies, is backed by the full faith and credit of the U.S. government, and, in the case of government sponsored entities, is backed by the integrity and creditworthiness of the issuer (“US Agency Debentures”). The Company’s common stock, Series A Cumulative Redeemable Preferred Stock, $25.00 liquidation preference (the "Series A Preferred Stock"), and Series B Cumulative Redeemable Preferred Stock, $25.00 liquidation preference (the "Series B Preferred Stock"), trade on the New York Stock Exchange under the symbols “CYS,” "CYS PrA" and "CYS PrB," respectively. |
Significant_Accounting_Policie
Significant Accounting Policies (Notes) | 9 Months Ended |
Sep. 30, 2013 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | SIGNIFICANT ACCOUNTING POLICIES |
Basis of Presentation | |
The accompanying interim unaudited condensed financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and the instructions to Form 10-Q and Article 10, Rule 10-01 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. The interim unaudited condensed financial statements should be read in conjunction with the Company’s audited financial statements as of and for the year ended December 31, 2012, included in its annual report on Form 10-K. The results for interim periods are not necessarily indicative of the results to be expected for the fiscal year. | |
The Company adopted Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Clarification of the Scope of Audit and Accounting Guide Investment Companies (“ASC 946”), prior to its deferral in February 2008. Under ASC 946, the Company uses financial reporting for investment companies. | |
Segment Reporting | |
The Company operates as a single segment reporting to the Chief Executive Officer, who manages the entire investment portfolio. | |
Use of Estimates | |
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those management estimates. | |
Cash and Cash Equivalents | |
Cash and cash equivalents include cash on hand, cash held in banks and highly liquid investments with original maturities of three months or less. Interest income earned on cash and cash equivalents is recorded in other income. | |
Offsetting | |
The Company’s derivative agreements and repurchase agreements generally contain provisions that allow for netting or the offsetting of receivables and payables with each counterparty. The Company reports amounts in the statement of assets and liabilities on a gross basis without regard for such rights of offset or master netting arrangements. The Company's repurchase agreements are fully collateralized and do not require further disclosure in accordance with ASC 210-20 Balance Sheet Offsetting. As of September 30, 2013, the Company recorded $267.4 million of derivative assets on the statement of assets and liabilities, of which $19.2 million could be offset in the event of default under master netting arrangements. As a result of this amount subject to potential offsetting and the $226.8 million of collateral posted in support of the Company’s derivative assets, $21.4 million of derivative assets were exposed to counterparty credit risk. All derivative liabilities at September 30, 2013 were fully collateralized. As of December 31, 2012, the Company recorded $124.2 million of derivative assets on the statement of assets and liabilities, of which $34.1 million could be offset in the event of default under master netting arrangements. As a result of this amount subject to potential offsetting and the $47.3 million of collateral posted in support of the Company’s derivative assets, $42.8 million of derivative assets were exposed to counterparty credit risk. All derivative liabilities at December 31, 2012 were fully collateralized. | |
Interest Rate Swap and Cap Contracts | |
The Company utilizes interest rate swaps and caps to hedge the interest rate risk associated with the financing of its portfolio. Specifically, the Company seeks to hedge the exposure to potential interest rate mismatches between the interest earned on investments and the borrowing costs caused by fluctuations in short term interest rates. In a simple interest rate swap, one investor pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, an investor may pay a fixed rate and receive a floating rate. In a simple interest rate cap, one investor pays a premium for a notional principal amount based on a capped interest rate (the “cap rate”). If the floating interest rate (the “floating rate”) exceeds the cap rate, the investor receives a payment from the cap counterparty equal to the difference between the floating rate and the cap rate on the same notional principal amount for a specified period of time. Alternatively, an investor may receive a premium and pay the difference in cap rate and floating rate. | |
During the term of the interest rate swap or cap, the Company makes or receives periodic payments and unrealized gains or losses are recorded as a result of marking the swap and cap to their fair value. When the swap or cap is terminated, the Company records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company’s cost basis in the contract, if any. The periodic payments, amortization of premiums on cap contracts and any realized or unrealized gains or losses are reported under gains and losses from swap and cap contracts in the statements of operations. Swaps involve a risk that interest rates will move contrary to the Company’s expectations, thereby increasing the Company’s payment obligation. | |
Because the Company uses financial reporting for investment companies, its investments, including its interest rate swap and cap contracts, are carried at fair value with changes in fair value included in earnings. Consequently, there would be no impact to designating interest rate swaps and caps as cash flow or fair value hedges under GAAP. | |
The Company's interest rate swap and cap contracts are subject to master netting arrangements. The Company is exposed to credit loss in the event of nonperformance by the counterparty to the swap or cap limited to the fair value of collateral posted in excess of the fair value of the contract in a net liability position and the shortage of the fair value of collateral posted for the contract in a net asset position. As of September 30, 2013 and December 31, 2012, the Company did not anticipate nonperformance by any counterparty. Should interest rates move unexpectedly, the Company may not achieve the anticipated benefits of the interest rate swap or cap and may realize a loss. | |
Investment Valuation | |
The Company has established a pricing committee responsible for establishing valuation policies and procedures as well as approving valuations on a monthly basis at a pricing meeting. The pricing committee is made up of individuals from the accounting team, the investment team and senior management. | |
Agency RMBS, Agency Debentures and U.S. Treasury Securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. | |
Interest rate swaps and caps are generally valued using valuations provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by broker. No credit valuation adjustments were made in determining the fair value of the Company's interest rate swaps and caps. | |
Fair values of long-lived assets, including real estate, are primarily derived internally and are based on inputs observed from sales transactions for similar assets. For real estate, fair values are based on discounted cash flow estimates which reflect current and projected lease profiles and available industry information about capitalization rates and expected trends in rents and occupancy. | |
All valuations received from third party pricing services or broker quotes are non-binding. To date, the Company has not adjusted any of the prices received from third party pricing services or brokers, and all prices are reviewed by the Company. This review includes comparisons of similar market transactions, alternative third party pricing services and broker quotes, or comparisons to a pricing model. To ensure the proper fair value hierarchy, the Company reviews the third party pricing service’s methodology to understand whether observable or unobservable inputs are being used. | |
Agency RMBS | |
The Company’s investments in Agency RMBS consist of pass-through certificates backed by fixed rate, monthly reset adjustable-rate loans (“ARMs”) and hybrid ARMs, the principal and interest of which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Hybrid ARMs have interest rates that have an initial fixed period (typically three, five, seven or ten years) and thereafter reset at regular intervals in a manner similar to ARMs. | |
Forward Settling Transactions | |
The Company engages in forward settling transactions to purchase certain securities. The Company records forward settling transactions on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment on the settlement date for the securities purchased. Securities purchased on a forward settling basis are carried at fair value and only begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. Among other forward settling transactions, the Company from time to time transacts in to-be-announced securities (“TBAs”). As with other forward settling transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Company agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Company records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are carried at fair value and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Company. | |
As of September 30, 2013, the Company received Agency RMBS, U.S. Treasury Securities and cash with a fair value of $5.4 million on its open forward settling transactions. As of December 31, 2012, the Company pledged Agency RMBS, U.S. Treasury Securities and cash with a fair value of $10.4 million on its open forward settling transactions. | |
Repurchase Agreements | |
Repurchase agreements are borrowings that are collateralized by the Company’s Agency RMBS and are carried at their amortized cost, which approximates their fair value due to their short term nature, generally 30-90 days. The Company’s repurchase agreement counterparties are large institutional dealers in fixed income securities. Collateral is valued daily and counterparties may require additional collateral when the fair value of the collateral declines. Counterparties have the right to sell or repledge collateral pledged for repurchase agreements. | |
Investment Transactions and Income | |
The Company records its transactions in securities on a trade date basis. Realized gains and losses on securities transactions are recorded on an identified cost basis. Interest income and expense are recorded on the accrual basis. Interest income on Agency RMBS and Agency Debentures is accrued based on outstanding principal amount of the securities and their contractual terms. Amortization of premium and accretion of discount are recorded using the yield to maturity method, and are included in investment income in the statements of operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. The amount of premium or discount associated with a prepayment is recorded through investment income on the statements of operations as they occur. | |
Interest on collateralized loan obligations ("CLOs") is accrued at a rate determined based on estimated future cash flows and adjusted prospectively as future cash flow amounts are recast. For CLOs placed on nonaccrual status or when the Company cannot reliably estimate cash flows, the cost recovery method is used. | |
Compensation and Benefits | |
Included in the Company’s compensation and benefits are salaries, incentive compensation, benefits, share based compensation and the expense relating to restricted stock granted to non-employees (prior to the internalization of the Company's management, which became effective on September 1, 2011). The Company accounts for share based compensation using the fair value based methodology prescribed by ASC 718, Share-Based Payment (“ASC 718”). Compensation cost related to restricted common stock issued is measured at its estimated fair value at the grant date and recognized as expense over the vesting period. | |
Income Taxes | |
The Company has elected to be taxed as a REIT and intends to continue to comply with provisions of the Code with respect thereto. As a REIT, the Company generally will not be subject to federal or state income tax on income that it currently distributes to its stockholders. To maintain its qualification as a REIT, the Company must distribute at least 90% of its REIT taxable income to its stockholders and meet certain other tests relating to assets and income. | |
Earnings Per Share (“EPS”) | |
Basic EPS is computed using the two class method by dividing net income (loss), after adjusting for the impact of unvested stock awards deemed to be participating securities, by the weighted average number of common shares outstanding calculated excluding unvested stock awards. Diluted EPS is computed by dividing net income (loss), after adjusting for the impact of unvested stock awards deemed to be participating securities, by the weighted average number of common shares outstanding calculated excluding unvested stock awards, giving effect to common stock options and warrants, if they are not anti-dilutive. See Note 3 for EPS computations. | |
Recent Accounting Pronouncements | |
In June 2013, the FASB issued ASU 2013-08, Financial Services-Investment Companies (Topic 946). This update modifies the guidance for Topic 946 for determining whether an entity is an investment company for GAAP purposes. It requires entities that adopted Statement of Position 07-1 prior to its deferral to reassess whether they continue to meet the definition of an investment company for GAAP purposes. The guidance is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013, with retrospective application. Earlier application is prohibited. Management has performed its reassessment and has determined that the Company does not meet the definition of an investment company in accordance with ASC 946 and as a result will need to select and apply other appropriate accounting principles which will change the presentation of the Company's financial statements effective January 1, 2014. Management is still assessing the impact on the Company's financial statements and currently does not expect there will be a material effect on the Company's financial position or results of operations. | |
In January 2013, the FASB issued ASU 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities (Topic 210), Balance Sheet. The update addresses implementation issues about ASU 2011-11 and applies to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with ASC 210-20-45 or ASC 815-10-45 or subject to an enforceable master netting arrangement or similar agreement. The guidance was effective January 1, 2013 and was applied retrospectively. This guidance does not amend the circumstances in which the Company offsets its derivative positions. As a result, the guidance does not have a material effect on the Company's financial statements. |
Earnings_Per_Share_Notes
Earnings Per Share (Notes) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Earnings Per Share [Abstract] | ||||||||||||||||
Earnings Per Share [Text Block] | EARNINGS PER SHARE | |||||||||||||||
Components of the computation of basic and diluted EPS were as follows (in thousands except per share numbers): | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||
Net income (loss) | $ | 30,571 | $ | 241,907 | $ | (383,918 | ) | $ | 412,730 | |||||||
Less preferred stock dividends | (5,203 | ) | (953 | ) | (10,651 | ) | (953 | ) | ||||||||
Net income (loss) available to common shares | 25,368 | 240,954 | (394,569 | ) | 411,777 | |||||||||||
Less dividends paid: | ||||||||||||||||
Common shares | (56,444 | ) | (78,397 | ) | (170,473 | ) | (195,175 | ) | ||||||||
Unvested shares | (295 | ) | (327 | ) | (884 | ) | (1,083 | ) | ||||||||
Undistributed earnings (loss) | (31,371 | ) | 162,230 | (565,926 | ) | 215,519 | ||||||||||
Basic weighted average shares outstanding: | ||||||||||||||||
Common shares | 169,465 | 164,269 | 172,284 | 128,116 | ||||||||||||
Basic earnings (loss) per common share: | ||||||||||||||||
Distributed earnings | $ | 0.33 | $ | 0.48 | $ | 0.99 | $ | 1.52 | ||||||||
Undistributed earnings (loss) | (0.19 | ) | 0.98 | (3.28 | ) | 1.67 | ||||||||||
Basic earnings (loss) per common share | $ | 0.14 | $ | 1.46 | $ | (2.29 | ) | $ | 3.19 | |||||||
Diluted weighted average shares outstanding: | ||||||||||||||||
Common shares | 169,465 | 164,269 | 172,284 | 128,116 | ||||||||||||
Net effect of dilutive stock options (1) | — | — | — | — | ||||||||||||
169,465 | 164,269 | 172,284 | 128,116 | |||||||||||||
Diluted earnings (loss) per common share: | ||||||||||||||||
Distributed earnings | $ | 0.33 | $ | 0.48 | $ | 0.99 | $ | 1.52 | ||||||||
Undistributed earnings (loss) | (0.19 | ) | 0.98 | (3.28 | ) | 1.67 | ||||||||||
Diluted earnings (loss) per common share | $ | 0.14 | $ | 1.46 | $ | (2.29 | ) | $ | 3.19 | |||||||
__________________ | ||||||||||||||||
(1)For the three and nine months ended September 30, 2013 and 2012, the Company had an aggregate of 131 stock options outstanding with a weighted average exercise price of $30.00 that were not included in the calculation of EPS, as their inclusion would have been anti-dilutive. These instruments may have a dilutive impact on future EPS. |
Investments_In_Securities_And_
Investments In Securities And Interest Rate Swap And Cap Contracts (Notes) | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||
Derivative, Fair Value, Net [Abstract] | ||||||||||||||||||||||||||
Investments In Securities And Interest Rate Swap And Cap Contracts | INVESTMENTS IN SECURITIES AND INTEREST RATE SWAP AND CAP CONTRACTS AND OTHER ASSETS | |||||||||||||||||||||||||
The Company’s valuation techniques are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect the Company’s market assumptions. ASC 820, Fair Value Measurements, classifies these inputs into the following hierarchy: | ||||||||||||||||||||||||||
Level 1 Inputs—Quoted prices for identical instruments in active markets. | ||||||||||||||||||||||||||
Level 2 Inputs—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. | ||||||||||||||||||||||||||
Level 3 Inputs—Instruments with primarily unobservable value drivers. | ||||||||||||||||||||||||||
Excluded from the tables below are financial instruments carried on the accompanying financial statements at cost basis, which is deemed to approximate fair value, primarily due to the short duration of these instruments, including cash and cash equivalents, receivables, payables and borrowings under repurchase arrangements with initial terms of 1 year or less. The fair value of these instruments is determined using level two inputs. The following tables provide a summary of the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||||
September 30, 2013 | Fair Value Measurements Using | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Agency RMBS | $ | — | $ | 14,449,307 | $ | — | $ | 14,449,307 | ||||||||||||||||||
Other Investments | — | — | 6,945 | 6,945 | ||||||||||||||||||||||
Derivative assets | — | 267,409 | — | 267,409 | ||||||||||||||||||||||
Total | $ | — | $ | 14,716,716 | $ | 6,945 | $ | 14,723,661 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Derivative liabilities | $ | — | $ | 49,537 | $ | — | $ | 49,537 | ||||||||||||||||||
December 31, 2012 | Fair Value Measurements Using | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Agency RMBS | $ | — | $ | 20,804,143 | $ | — | $ | 20,804,143 | ||||||||||||||||||
U.S. Treasury Bills | 37,999 | — | — | 37,999 | ||||||||||||||||||||||
Other Investments | — | — | 19,576 | 19,576 | ||||||||||||||||||||||
Derivative assets | — | 124,169 | — | 124,169 | ||||||||||||||||||||||
Total | $ | 37,999 | $ | 20,928,312 | $ | 19,576 | $ | 20,985,887 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Derivative liabilities | $ | — | $ | 98,575 | $ | — | $ | 98,575 | ||||||||||||||||||
Other Investments is comprised of CLOs and real estate assets. The table below presents a reconciliation of changes in other investments classified as Level 3 in the Company’s financial statements for the three and nine months ended September 30, 2013 and 2012. CLOs were generally valued using valuations provided by broker quotations. The Company validated the broker quotations using internal discounted cash flow models. The significant unobservable inputs used in the fair value measurement of the Company’s CLOs were prepayment rates, probability of default, and recovery rate in the event of default. Significant changes in any of those inputs in isolation would have resulted in a materially different fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity upon default and a directionally opposite change in the assumption used for prepayment rates. The Company did not own any CLOs as of September 30, 2013. The weighted average inputs to the models as of December 31, 2012 were: | ||||||||||||||||||||||||||
Constant | Default Rate | Recovery Rate | Recovery Lag | |||||||||||||||||||||||
Prepayment Rate | ||||||||||||||||||||||||||
31-Dec-12 | 20 | % | 2 | % | 69 | % | 6 Months | |||||||||||||||||||
Fair values of real estate assets are valued based on discounted cash flow models. A discussion of the method of fair valuing these assets is included above in Note 2 “Investment Valuation.” The significant unobservable input used in the fair value measurement is capitalization rates, which the Company estimated to be between 4% and 5% at September 30, 2013 and December 31, 2012. | ||||||||||||||||||||||||||
Level 3 Fair Value Reconciliation | ||||||||||||||||||||||||||
(In thousands) | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
Other investments | 2013 | 2012 | 2013 | 2012 | ||||||||||||||||||||||
Beginning balance level 3 assets | $ | 6,945 | $ | 24,802 | $ | 19,576 | $ | 18,675 | ||||||||||||||||||
Cash payments recorded as a reduction of cost basis | — | (964 | ) | (324 | ) | (3,081 | ) | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | — | 1,483 | (6,721 | ) | 2,799 | |||||||||||||||||||||
Net purchases (sales) | — | (8,592 | ) | (12,005 | ) | (1,664 | ) | |||||||||||||||||||
Net gain (loss) on sales | — | 2,648 | 6,419 | 2,648 | ||||||||||||||||||||||
Transfers into (out of) level 3 | — | — | — | — | ||||||||||||||||||||||
Ending balance level 3 assets | $ | 6,945 | $ | 19,377 | $ | 6,945 | $ | 19,377 | ||||||||||||||||||
The Agency RMBS portfolio consisted of Agency RMBS as follows: | ||||||||||||||||||||||||||
September 30, 2013 | Face Value | Fair Value | Weighted Average | |||||||||||||||||||||||
Asset Type | (in thousands) | Cost/Face | Fair Value/Face | MTR(1) | Coupon | CPR(2) | ||||||||||||||||||||
15 Year Fixed Rate | $ | 5,995,535 | $ | 6,240,505 | $ | 102.43 | $ | 104.09 | N/A | 3.14 | % | 15.1 | % | |||||||||||||
20 Year Fixed Rate | 89,615 | 96,644 | 103.08 | 107.84 | N/A | 4.5 | % | 31.3 | % | |||||||||||||||||
30 Year Fixed Rate | 5,813,529 | 5,985,741 | 102.33 | 102.96 | N/A | 3.7 | % | 4.1 | % | |||||||||||||||||
Hybrid ARMs | 2,088,601 | 2,126,417 | 103.59 | 101.81 | 68.9 | 2.57 | % | 19.1 | % | |||||||||||||||||
Total/Weighted Average | $ | 13,987,280 | $ | 14,449,307 | $ | 102.57 | $ | 103.3 | 3.3 | % | 12.4 | % | ||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
10 Year Fixed Rate | $ | 207,091 | $ | 219,747 | $ | 103.6 | $ | 106.11 | N/A | 3.5 | % | 19.4 | % | |||||||||||||
15 Year Fixed Rate | 11,092,374 | 11,717,136 | 104.32 | 105.63 | N/A | 3.05 | % | 16.1 | % | |||||||||||||||||
20 Year Fixed Rate | 1,087,835 | 1,148,932 | 104.96 | 105.62 | N/A | 3.17 | % | 10.1 | % | |||||||||||||||||
30 Year Fixed Rate | 3,571,692 | 3,817,488 | 105.78 | 106.88 | N/A | 3.59 | % | 8.9 | % | |||||||||||||||||
Hybrid ARMs | 3,722,510 | 3,900,840 | 103.54 | 104.79 | 74.3 | 2.71 | % | 19.1 | % | |||||||||||||||||
Total/Weighted Average | $ | 19,681,502 | $ | 20,804,143 | $ | 104.47 | $ | 105.7 | 3.1 | % | 15.8 | % | ||||||||||||||
__________________ | ||||||||||||||||||||||||||
(1) | MTR, or “Months to Reset” is the weighted average number of months remaining before the fixed rate on a hybrid ARM becomes a variable rate. At the end of the fixed period, the variable rate will be determined by the margin and the pre-specified caps of the ARM. After the fixed period, 100% of the hybrid ARMs in the portfolio reset annually. | |||||||||||||||||||||||||
(2) | CPR, or “Constant Prepayment Rate,” is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year. Specifically, the CPR is an annualized version of the prior three month prepayment rate. Securities with no prepayment history are excluded from this calculation. | |||||||||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company’s Agency RMBS were purchased at a net premium to their face value with approximately $366.0 million and $879.6 million, respectively, of unamortized premium included in their cost basis. The premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates. | ||||||||||||||||||||||||||
Actual maturities of Agency RMBS are generally shorter than stated contractual maturities (which range up to 30 years), as they are affected by the contractual lives of the underlying mortgages, periodic payments and prepayments of principal. As of September 30, 2013 and December 31, 2012, the average final contractual maturity of the Company’s Agency RMBS portfolio is in year 2036 and 2033, respectively. | ||||||||||||||||||||||||||
In order to mitigate its interest rate exposure, the Company enters into interest rate swap and cap contracts. The Company had the following activity in interest rate swap and cap transactions during the three and nine months ended September 30, 2013 and 2012 (in thousands): | ||||||||||||||||||||||||||
Three and Nine Months Ended September 30, 2013 | Three and Nine Months Ended September 30, 2012 | |||||||||||||||||||||||||
Trade Date | Transaction | Notional | Trade Date | Transaction | Notional | |||||||||||||||||||||
Feb-13 | Opened | $ | 1,500,000 | Apr-12 | Opened | $ | 500,000 | |||||||||||||||||||
Mar-13 | Terminated | (500,000 | ) | May-12 | Opened | 600,000 | ||||||||||||||||||||
Mar-13 | Opened | 1,200,000 | Jun-12 | Opened | 600,000 | |||||||||||||||||||||
Apr-13 | Opened | 500,000 | Jul-12 | Opened | 2,250,000 | |||||||||||||||||||||
May-13 | Opened | 500,000 | Sep-12 | Opened | 1,000,000 | |||||||||||||||||||||
May-13 | Matured | (100,000 | ) | Net Increase | $ | 4,950,000 | ||||||||||||||||||||
Jun-13 | Terminated | (700,000 | ) | |||||||||||||||||||||||
Jun-13 | Matured | (300,000 | ) | |||||||||||||||||||||||
Jul-13 | Matured | (300,000 | ) | |||||||||||||||||||||||
Aug-13 | Terminated | (2,200,000 | ) | |||||||||||||||||||||||
Aug-13 | Opened | 500,000 | ||||||||||||||||||||||||
Net Increase | $ | 100,000 | ||||||||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company had pledged Agency RMBS and U.S Treasury Securities with a fair value of $92.3 million and $127.6 million, respectively, as collateral on interest rate swap and cap contracts. As of September 30, 2013 the Company had Agency RMBS and U.S. Treasury Securities of $199.5 million and cash of $32.7 million pledged to it as collateral for its interest rate swap and cap contracts. As of December 31, 2012 the Company had Agency RMBS and U.S. Treasury Securities of $18.4 million and cash of $28.9 million pledged to it as collateral for its interest rate cap contracts. Below is a summary of our interest rate swap and cap contracts open as of September 30, 2013 and December 31, 2012 and the net gain and loss on swap and cap contracts for the three and nine months ended September 30, 2013 and 2012 (in thousands): | ||||||||||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815(a) | ||||||||||||||||||||||||||
Interest Rate Swap Contracts | Notional Amount | Fair Value | Statement of Assets and Liabilities Location | |||||||||||||||||||||||
September 30, 2013 | $ | 3,340,000 | $ | (49,537 | ) | Derivative liabilities, at fair value | ||||||||||||||||||||
September 30, 2013 | 3,750,000 | 51,417 | Derivative assets, at fair value | |||||||||||||||||||||||
December 31, 2012 | 6,490,000 | (98,575 | ) | Derivative liabilities, at fair value | ||||||||||||||||||||||
December 31, 2012 | 1,000,000 | 1,180 | Derivative assets, at fair value | |||||||||||||||||||||||
Interest Rate Cap Contracts | Notional Amount | Fair Value | Statement of Assets and Liabilities Location | |||||||||||||||||||||||
September 30, 2013 | $ | 3,900,000 | $ | 215,992 | Derivative assets, at fair value | |||||||||||||||||||||
December 31, 2012 | 3,400,000 | 122,989 | Derivative assets, at fair value | |||||||||||||||||||||||
Amount of Gain or (Loss) Recognized in Income on Derivatives | ||||||||||||||||||||||||||
Derivatives Not Designated as Hedging Instruments Under ASC 815(a) | Location of Gain or (Loss) Recognized in Income on Derivative | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||
Interest rate swap and cap contracts | Net gain (loss) from swap and cap contracts | $ | (53,280 | ) | $ | (38,618 | ) | $ | 152,987 | $ | (80,403 | ) | ||||||||||||||
__________________ | ||||||||||||||||||||||||||
(a) | See Note 2 for additional information on the Company’s purpose for entering into interest rate swaps and caps and the decision not to designate them as hedging instruments. | |||||||||||||||||||||||||
Credit Risk | ||||||||||||||||||||||||||
At September 30, 2013 and December 31, 2012, the Company continued to have minimal exposure to credit losses on its mortgage assets by owning principally Agency RMBS. The payment of principal and interest on Agency RMBS is guaranteed by Freddie Mac, Fannie Mae or Ginnie Mae. In September 2008, both Freddie Mac and Fannie Mae were placed in the conservatorship of the United States government. | ||||||||||||||||||||||||||
On August 5, 2011, Standard & Poor’s downgraded the U.S.’s credit rating to AA+ for the first time. Because Fannie Mae and Freddie Mac are in conservatorship of the U.S. government, the implied credit ratings of Agency RMBS guaranteed by Freddie Mac, Fannie Mae or Ginnie Mae were also downgraded to AA+. While this downgrade did not have a significant impact on the fair value of the Agency RMBS in the Company’s portfolio, it has increased the uncertainty regarding the credit risk of Agency RMBS. |
Borrowings_Notes
Borrowings (Notes) | 9 Months Ended | |||
Sep. 30, 2013 | ||||
Short-term Debt [Abstract] | ||||
Borrowings | BORROWINGS | |||
The Company leverages its Agency RMBS portfolio through the use of repurchase agreements. Each of the borrowing vehicles used by the Company bears interest at floating rates based on a spread above or below the LIBOR. The fair value of borrowings under repurchase agreements approximates their carrying amount due to the short term nature of these financial instruments. | ||||
Certain information with respect to the Company’s borrowings is summarized in the following tables. Each of the borrowings listed is contractually due in one year or less (dollars in thousands). | ||||
September 30, 2013 | ||||
Outstanding repurchase agreements | $ | 11,735,071 | ||
Interest accrued thereon | $ | 2,865 | ||
Weighted average borrowing rate | 0.39 | % | ||
Weighted average remaining maturity (in days) | 44 | |||
Fair value of the collateral(1) | $ | 12,342,112 | ||
December 31, 2012 | ||||
Outstanding repurchase agreements | $ | 13,981,307 | ||
Interest accrued thereon | $ | 11,717 | ||
Weighted average borrowing rate | 0.48 | % | ||
Weighted average remaining maturity (in days) | 19.6 | |||
Fair value of the collateral(1) | $ | 14,693,645 | ||
__________________ | ||||
-1 | Collateral for repurchase agreements consisted of Agency RMBS and U.S. Treasury Securities. | |||
At September 30, 2013 and December 31, 2012, the Company did not have any borrowings under repurchase agreements where the amount at risk with an individual counterparty exceeded 10% of net assets. |
Contingencies_Notes
Contingencies (Notes) | 9 Months Ended |
Sep. 30, 2013 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies | COMMITMENTS AND CONTINGENCIES |
The Company enters into certain contracts that contain a variety of indemnifications, principally with broker dealers. As of September 30, 2013 and December 31, 2012, no claims have been asserted under these indemnification agreements. Accordingly, the Company has no liabilities recorded for these agreements as of September 30, 2013 and December 31, 2012. |
Share_Capital_Notes
Share Capital (Notes) | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Stockholders' Equity Note [Abstract] | ||||||||||||||
Stockholders' Equity Note Disclosure [Text Block] | SHARE CAPITAL | |||||||||||||
The Company has authorized 500,000,000 shares of common stock having par value of $0.01 per share. As of September 30, 2013 and December 31, 2012, the Company had issued and outstanding 166,880,305 and 174,924,149 shares of common stock, respectively. The Company’s common stock transactions during the nine months ended September 30, 2013 and 2012 are as follows (in thousands): | ||||||||||||||
Nine Months Ended September 30, 2013 | Nine Months Ended September 30, 2012 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Shares sold in public offerings or issued as restricted stock | 351 | $ | 2,364 | 92,104 | $ | 1,238,141 | ||||||||
Shares issued in reinvestment of distributions | — | — | 98 | 1,310 | ||||||||||
Shares repurchased or canceled | (8,395 | ) | (72,563 | ) | (13 | ) | (180 | ) | ||||||
Net increase (decrease) | (8,044 | ) | $ | (70,199 | ) | 92,189 | $ | 1,239,271 | ||||||
The Company has authorized 50,000,000 shares of preferred stock having a par value of $0.01 per share. As of September 30, 2013 and December 31, 2012, 3,000,000 shares of 7.75% Series A Preferred Stock ($25.00 liquidation preference) were issued and outstanding. As of September 30, 2013, 8,000,000 shares of 7.50% Series B Preferred Stock ($25.00 liquidation preference) were issued and outstanding. The Series A Preferred Stock and Series B Preferred Stock will not be redeemable before August 3, 2017 and April 30, 2018, respectively, except under circumstances where it is necessary to preserve the Company's qualification as a REIT, for federal income tax purposes or the occurrence of a change of control. On or after August 3, 2017 and April 30, 2018, the Company may, at its option, redeem any or all of the shares of the Series A Preferred Stock and Series B Preferred Stock, respectively, at $25.00 per share plus any accumulated and unpaid dividends to, but not including, the respective redemption date. The Series A Preferred Stock and Series B Preferred Stock have no stated maturity and are not subject to any sinking fund or mandatory redemption. | ||||||||||||||
Equity Offerings | ||||||||||||||
On February 1, 2012, the Company closed a public offering of 28,750,000 shares of its common stock at a public offering price of $13.28 per share for total net proceeds of approximately $377.3 million, after the underwriting discount and commissions and expenses. | ||||||||||||||
On July 16, 2012, the Company closed a public offering of 46,000,000 shares of its common stock at a public offering price of $13.70 per share for total net proceeds of approximately $622.2 million, after the underwriting discount and commissions and expenses. | ||||||||||||||
On August 3, 2012, the Company closed a public offering of 3,000,000 shares of its Series A Preferred Stock, liquidation preference of $25.00 per share, for total net proceeds of approximately $72.4 million, after the underwriting discount and commissions and expenses. | ||||||||||||||
On April 30, 2013, the Company closed a public offering of 8,000,000 shares of its Series B Preferred Stock, liquidation preference of $25.00 per share, for total net proceeds of approximately $193.6 million, after the underwriting discount and commissions and expenses. | ||||||||||||||
Dividend Reinvestment and Direct Stock Purchase Plan (“DSPP”) | ||||||||||||||
The Company sponsors a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of common stock by reinvesting some or all of the cash dividends received on shares of common stock. | ||||||||||||||
Stockholders may also make optional cash purchases of shares of common stock subject to certain limitations detailed in the plan prospectus. For the nine months ended September 30, 2013 the Company did not issue any shares under the plan. For the nine months ended September 30, 2012, the Company issued 5.3 million shares under the plan raising approximately $74.0 million of net proceeds. As of September 30, 2013 and December 31, 2012, there were approximately 4.1 million shares available for issuance under the plan. | ||||||||||||||
Restricted Stock Awards | ||||||||||||||
For the nine months ended September 30, 2013 and 2012, the Company granted 350,807 and 205,390 shares of restricted stock, respectively, to certain of its directors, officers and employees. | ||||||||||||||
Equity Placement Program (“EPP”) | ||||||||||||||
On June 7, 2011, the Company entered into a sales agreement with JMP Securities LLC whereby the Company may, from time to time, publicly offer and sell up to 15.0 million shares of the Company’s common stock through at-the-market transactions and/or privately negotiated transactions. For the nine months ended September 30, 2013, the Company did not issue any shares under the plan. For the nine months ended September 30, 2012, the Company issued 11.9 million shares under the plan raising approximately $164.3 million. As of September 30, 2013 and December 31, 2012, approximately 3.1 million shares of common stock remained available for issuance and sale under the sales agreement. | ||||||||||||||
Share Repurchase Program | ||||||||||||||
On November 15, 2012, the Company announced that its board of directors had authorized the repurchase of shares of the Company’s common stock having an aggregate value of up to $250 million. For the nine months ended September 30, 2013, the Company repurchased 8.4 million shares with a weighted average purchase price of $8.62 or approximately $72.4 million in the aggregate. The Company did not make any repurchases during 2012. |
Financial_Highlights_Notes
Financial Highlights (Notes) | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||
Financial Highlights [Abstract] | ||||||||||||||||||||
Financial Highlights | FINANCIAL HIGHLIGHTS | |||||||||||||||||||
In accordance with financial reporting requirements applicable to investment companies, the Company has included below certain financial highlight information for the three and nine months ended September 30, 2013 and 2012: | ||||||||||||||||||||
Per Common Share | ||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||
Net asset value, beginning of period | $ | 10.2 | $ | 13.52 | $ | 13.31 | $ | 13.02 | ||||||||||||
Net income (loss): | ||||||||||||||||||||
Net investment income | 0.4 | (a) | 0.36 | (a) | 1.05 | (a) | 1.32 | (a) | ||||||||||||
Net gain (loss) from investments and swap and cap contracts | (0.22 | ) | (a) | 1.11 | (a) | (3.27 | ) | (a) | 1.88 | (a) | ||||||||||
Net income (loss) | 0.18 | 1.47 | (2.22 | ) | 3.2 | |||||||||||||||
Dividends on preferred stock | (0.03 | ) | (a) | (0.01 | ) | (a) | (0.06 | ) | (a) | (0.01 | ) | (a) | ||||||||
Net income (loss) available to common shares | 0.15 | 1.46 | (2.28 | ) | 3.19 | |||||||||||||||
Capital transactions: | ||||||||||||||||||||
Distributions to common stockholders | (0.34 | ) | (0.45 | ) | (1.00 | ) | (1.45 | ) | ||||||||||||
Issuance/Repurchase of common and preferred shares and amortization of share based compensation | 0.09 | (a) | (0.07 | ) | (a) | 0.07 | (a) | (0.30 | ) | (a) | ||||||||||
Net decrease in net asset value from capital transactions | (0.25 | ) | (0.52 | ) | (0.93 | ) | (1.75 | ) | ||||||||||||
Net asset value, end of period | $ | 10.1 | $ | 14.46 | $ | 10.1 | $ | 14.46 | ||||||||||||
Net asset value total return (%) | 2.35 | % | (b) | 10.28 | % | (b) | (16.60 | )% | (b) | 22.2 | % | (b) | ||||||||
Market value total return (%) | (8.02 | )% | (b) | 5.59 | % | (b) | (23.53 | )% | (b) | 18.88 | % | (b) | ||||||||
Ratios to Average Net Assets | ||||||||||||||||||||
Expenses before interest expense | 1.13 | % | (c) | 0.93 | % | (c) | 1.01 | % | (c) | 1.16 | % | (c) | ||||||||
Total expenses | 3.55 | % | (c) | 3 | % | (c) | 3.47 | % | (c) | 3.21 | % | (c) | ||||||||
Net investment income | 13.77 | % | (c) | 10.33 | % | (c) | 10.92 | % | (c) | 12.59 | % | (c) | ||||||||
__________________ | ||||||||||||||||||||
(a) | Calculated based on average shares outstanding during the period. Average shares outstanding include vested and unvested restricted shares and differs from weighted average shares outstanding used in calculating EPS (see Note 3). | |||||||||||||||||||
(b) | Not computed on an annualized basis. | |||||||||||||||||||
(c) | Computed on an annualized basis. |
Subsequent_Events_Notes
Subsequent Events (Notes) | 9 Months Ended |
Sep. 30, 2013 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS |
On October 1, 2013, an aggregate of 13,937 shares of restricted common stock were granted to certain directors as a portion of their compensation for serving on the Company’s board of directors. | |
The CPR of the Company’s Agency RMBS portfolio was approximately 5.5% for the month of October 2013. |
Significant_Accounting_Policie1
Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2013 | |
Accounting Policies [Abstract] | |
Basis Of Presentation | Basis of Presentation |
The accompanying interim unaudited condensed financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and the instructions to Form 10-Q and Article 10, Rule 10-01 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. The interim unaudited condensed financial statements should be read in conjunction with the Company’s audited financial statements as of and for the year ended December 31, 2012, included in its annual report on Form 10-K. The results for interim periods are not necessarily indicative of the results to be expected for the fiscal year. | |
The Company adopted Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Clarification of the Scope of Audit and Accounting Guide Investment Companies (“ASC 946”), prior to its deferral in February 2008. Under ASC 946, the Company uses financial reporting for investment companies. | |
Segment Reporting | Segment Reporting |
The Company operates as a single segment reporting to the Chief Executive Officer, who manages the entire investment portfolio. | |
Use Of Estimates | Use of Estimates |
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those management estimates. | |
Cash And Cash Equivalents | Cash and Cash Equivalents |
Cash and cash equivalents include cash on hand, cash held in banks and highly liquid investments with original maturities of three months or less. Interest income earned on cash and cash equivalents is recorded in other income. | |
Offsetting Assets [Table Text Block] | Offsetting |
The Company’s derivative agreements and repurchase agreements generally contain provisions that allow for netting or the offsetting of receivables and payables with each counterparty. The Company reports amounts in the statement of assets and liabilities on a gross basis without regard for such rights of offset or master netting arrangements. The Company's repurchase agreements are fully collateralized and do not require further disclosure in accordance with ASC 210-20 Balance Sheet Offsetting. As of September 30, 2013, the Company recorded $267.4 million of derivative assets on the statement of assets and liabilities, of which $19.2 million could be offset in the event of default under master netting arrangements. As a result of this amount subject to potential offsetting and the $226.8 million of collateral posted in support of the Company’s derivative assets, $21.4 million of derivative assets were exposed to counterparty credit risk. All derivative liabilities at September 30, 2013 were fully collateralized. As of December 31, 2012, the Company recorded $124.2 million of derivative assets on the statement of assets and liabilities, of which $34.1 million could be offset in the event of default under master netting arrangements. As a result of this amount subject to potential offsetting and the $47.3 million of collateral posted in support of the Company’s derivative assets, $42.8 million of derivative assets were exposed to counterparty credit risk. | |
Interest Rate Swap And Cap Contracts | Interest Rate Swap and Cap Contracts |
The Company utilizes interest rate swaps and caps to hedge the interest rate risk associated with the financing of its portfolio. Specifically, the Company seeks to hedge the exposure to potential interest rate mismatches between the interest earned on investments and the borrowing costs caused by fluctuations in short term interest rates. In a simple interest rate swap, one investor pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, an investor may pay a fixed rate and receive a floating rate. In a simple interest rate cap, one investor pays a premium for a notional principal amount based on a capped interest rate (the “cap rate”). If the floating interest rate (the “floating rate”) exceeds the cap rate, the investor receives a payment from the cap counterparty equal to the difference between the floating rate and the cap rate on the same notional principal amount for a specified period of time. Alternatively, an investor may receive a premium and pay the difference in cap rate and floating rate. | |
During the term of the interest rate swap or cap, the Company makes or receives periodic payments and unrealized gains or losses are recorded as a result of marking the swap and cap to their fair value. When the swap or cap is terminated, the Company records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company’s cost basis in the contract, if any. The periodic payments, amortization of premiums on cap contracts and any realized or unrealized gains or losses are reported under gains and losses from swap and cap contracts in the statements of operations. Swaps involve a risk that interest rates will move contrary to the Company’s expectations, thereby increasing the Company’s payment obligation. | |
Because the Company uses financial reporting for investment companies, its investments, including its interest rate swap and cap contracts, are carried at fair value with changes in fair value included in earnings. Consequently, there would be no impact to designating interest rate swaps and caps as cash flow or fair value hedges under GAAP. | |
The Company's interest rate swap and cap contracts are subject to master netting arrangements. The Company is exposed to credit loss in the event of nonperformance by the counterparty to the swap or cap limited to the fair value of collateral posted in excess of the fair value of the contract in a net liability position and the shortage of the fair value of collateral posted for the contract in a net asset position. As of September 30, 2013 and December 31, 2012, the Company did not anticipate nonperformance by any counterparty. Should interest rates move unexpectedly, the Company may not achieve the anticipated benefits of the interest rate swap or cap and may realize a loss. | |
Investment Valuation | Investment Valuation |
The Company has established a pricing committee responsible for establishing valuation policies and procedures as well as approving valuations on a monthly basis at a pricing meeting. The pricing committee is made up of individuals from the accounting team, the investment team and senior management. | |
Agency RMBS, Agency Debentures and U.S. Treasury Securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. | |
Interest rate swaps and caps are generally valued using valuations provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by broker. No credit valuation adjustments were made in determining the fair value of the Company's interest rate swaps and caps. | |
Fair values of long-lived assets, including real estate, are primarily derived internally and are based on inputs observed from sales transactions for similar assets. For real estate, fair values are based on discounted cash flow estimates which reflect current and projected lease profiles and available industry information about capitalization rates and expected trends in rents and occupancy. | |
All valuations received from third party pricing services or broker quotes are non-binding. To date, the Company has not adjusted any of the prices received from third party pricing services or brokers, and all prices are reviewed by the Company. This review includes comparisons of similar market transactions, alternative third party pricing services and broker quotes, or comparisons to a pricing model. To ensure the proper fair value hierarchy, the Company reviews the third party pricing service’s methodology to understand whether observable or unobservable inputs are being used. | |
Agency RMBS | Agency RMBS |
The Company’s investments in Agency RMBS consist of pass-through certificates backed by fixed rate, monthly reset adjustable-rate loans (“ARMs”) and hybrid ARMs, the principal and interest of which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Hybrid ARMs have interest rates that have an initial fixed period (typically three, five, seven or ten years) and thereafter reset at regular intervals in a manner similar to ARMs. | |
Forward Settling Transactions | Forward Settling Transactions |
The Company engages in forward settling transactions to purchase certain securities. The Company records forward settling transactions on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment on the settlement date for the securities purchased. Securities purchased on a forward settling basis are carried at fair value and only begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. Among other forward settling transactions, the Company from time to time transacts in to-be-announced securities (“TBAs”). As with other forward settling transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Company agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Company records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are carried at fair value and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Company. | |
As of September 30, 2013, the Company received Agency RMBS, U.S. Treasury Securities and cash with a fair value of $5.4 million on its open forward settling transactions. As of December 31, 2012, the Company pledged Agency RMBS, U.S. Treasury Securities and cash with a fair value of $10.4 million on its open forward settling transactions. | |
Repurchase Agreements | Repurchase Agreements |
Repurchase agreements are borrowings that are collateralized by the Company’s Agency RMBS and are carried at their amortized cost, which approximates their fair value due to their short term nature, generally 30-90 days. The Company’s repurchase agreement counterparties are large institutional dealers in fixed income securities. Collateral is valued daily and counterparties may require additional collateral when the fair value of the collateral declines. Counterparties have the right to sell or repledge collateral pledged for repurchase agreements. | |
Investment Transactions And Income | Investment Transactions and Income |
The Company records its transactions in securities on a trade date basis. Realized gains and losses on securities transactions are recorded on an identified cost basis. Interest income and expense are recorded on the accrual basis. Interest income on Agency RMBS and Agency Debentures is accrued based on outstanding principal amount of the securities and their contractual terms. Amortization of premium and accretion of discount are recorded using the yield to maturity method, and are included in investment income in the statements of operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. The amount of premium or discount associated with a prepayment is recorded through investment income on the statements of operations as they occur. | |
Interest on collateralized loan obligations ("CLOs") is accrued at a rate determined based on estimated future cash flows and adjusted prospectively as future cash flow amounts are recast. For CLOs placed on nonaccrual status or when the Company cannot reliably estimate cash flows, the cost recovery method is used. | |
Compensation And Benefits | Compensation and Benefits |
Included in the Company’s compensation and benefits are salaries, incentive compensation, benefits, share based compensation and the expense relating to restricted stock granted to non-employees (prior to the internalization of the Company's management, which became effective on September 1, 2011). The Company accounts for share based compensation using the fair value based methodology prescribed by ASC 718, Share-Based Payment (“ASC 718”). Compensation cost related to restricted common stock issued is measured at its estimated fair value at the grant date and recognized as expense over the vesting period. | |
Income Taxes | Income Taxes |
The Company has elected to be taxed as a REIT and intends to continue to comply with provisions of the Code with respect thereto. As a REIT, the Company generally will not be subject to federal or state income tax on income that it currently distributes to its stockholders. To maintain its qualification as a REIT, the Company must distribute at least 90% of its REIT taxable income to its stockholders and meet certain other tests relating to assets and income. | |
Earnings Per Share ("EPS") | Earnings Per Share (“EPS”) |
Basic EPS is computed using the two class method by dividing net income (loss), after adjusting for the impact of unvested stock awards deemed to be participating securities, by the weighted average number of common shares outstanding calculated excluding unvested stock awards. Diluted EPS is computed by dividing net income (loss), after adjusting for the impact of unvested stock awards deemed to be participating securities, by the weighted average number of common shares outstanding calculated excluding unvested stock awards, giving effect to common stock options and warrants, if they are not anti-dilutive. See Note 3 for EPS computations. | |
Description of New Accounting Pronouncements Not yet Adopted | Recent Accounting Pronouncements |
In June 2013, the FASB issued ASU 2013-08, Financial Services-Investment Companies (Topic 946). This update modifies the guidance for Topic 946 for determining whether an entity is an investment company for GAAP purposes. It requires entities that adopted Statement of Position 07-1 prior to its deferral to reassess whether they continue to meet the definition of an investment company for GAAP purposes. The guidance is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013, with retrospective application. Earlier application is prohibited. Management has performed its reassessment and has determined that the Company does not meet the definition of an investment company in accordance with ASC 946 and as a result will need to select and apply other appropriate accounting principles which will change the presentation of the Company's financial statements effective January 1, 2014. Management is still assessing the impact on the Company's financial statements and currently does not expect there will be a material effect on the Company's financial position or results of operations. | |
In January 2013, the FASB issued ASU 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities (Topic 210), Balance Sheet. The update addresses implementation issues about ASU 2011-11 and applies to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with ASC 210-20-45 or ASC 815-10-45 or subject to an enforceable master netting arrangement or similar agreement. The guidance was effective January 1, 2013 and was applied retrospectively. This guidance does not amend the circumstances in which the Company offsets its derivative positions. As a result, the guidance does not have a material effect on the Company's financial statements. |
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Earnings Per Share [Abstract] | ||||||||||||||||
Schedule Of Computation Of Basic And Diluted Earnings Per Share | Components of the computation of basic and diluted EPS were as follows (in thousands except per share numbers): | |||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||
Net income (loss) | $ | 30,571 | $ | 241,907 | $ | (383,918 | ) | $ | 412,730 | |||||||
Less preferred stock dividends | (5,203 | ) | (953 | ) | (10,651 | ) | (953 | ) | ||||||||
Net income (loss) available to common shares | 25,368 | 240,954 | (394,569 | ) | 411,777 | |||||||||||
Less dividends paid: | ||||||||||||||||
Common shares | (56,444 | ) | (78,397 | ) | (170,473 | ) | (195,175 | ) | ||||||||
Unvested shares | (295 | ) | (327 | ) | (884 | ) | (1,083 | ) | ||||||||
Undistributed earnings (loss) | (31,371 | ) | 162,230 | (565,926 | ) | 215,519 | ||||||||||
Basic weighted average shares outstanding: | ||||||||||||||||
Common shares | 169,465 | 164,269 | 172,284 | 128,116 | ||||||||||||
Basic earnings (loss) per common share: | ||||||||||||||||
Distributed earnings | $ | 0.33 | $ | 0.48 | $ | 0.99 | $ | 1.52 | ||||||||
Undistributed earnings (loss) | (0.19 | ) | 0.98 | (3.28 | ) | 1.67 | ||||||||||
Basic earnings (loss) per common share | $ | 0.14 | $ | 1.46 | $ | (2.29 | ) | $ | 3.19 | |||||||
Diluted weighted average shares outstanding: | ||||||||||||||||
Common shares | 169,465 | 164,269 | 172,284 | 128,116 | ||||||||||||
Net effect of dilutive stock options (1) | — | — | — | — | ||||||||||||
169,465 | 164,269 | 172,284 | 128,116 | |||||||||||||
Diluted earnings (loss) per common share: | ||||||||||||||||
Distributed earnings | $ | 0.33 | $ | 0.48 | $ | 0.99 | $ | 1.52 | ||||||||
Undistributed earnings (loss) | (0.19 | ) | 0.98 | (3.28 | ) | 1.67 | ||||||||||
Diluted earnings (loss) per common share | $ | 0.14 | $ | 1.46 | $ | (2.29 | ) | $ | 3.19 | |||||||
__________________ | ||||||||||||||||
(1)For the three and nine months ended September 30, 2013 and 2012, the Company had an aggregate of 131 stock options outstanding with a weighted average exercise price of $30.00 that were not included in the calculation of EPS, as their inclusion would have been anti-dilutive. These instruments may have a dilutive impact on future EPS. |
Investments_In_Securities_And_1
Investments In Securities And Interest Rate Swap And Cap Contracts (Tables) | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||
Derivative, Fair Value, Net [Abstract] | ||||||||||||||||||||||||||
Assets And Liabilities Measured At Fair Value On A Recurring Basis | The following tables provide a summary of the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2013 and December 31, 2012: | |||||||||||||||||||||||||
September 30, 2013 | Fair Value Measurements Using | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Agency RMBS | $ | — | $ | 14,449,307 | $ | — | $ | 14,449,307 | ||||||||||||||||||
Other Investments | — | — | 6,945 | 6,945 | ||||||||||||||||||||||
Derivative assets | — | 267,409 | — | 267,409 | ||||||||||||||||||||||
Total | $ | — | $ | 14,716,716 | $ | 6,945 | $ | 14,723,661 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Derivative liabilities | $ | — | $ | 49,537 | $ | — | $ | 49,537 | ||||||||||||||||||
December 31, 2012 | Fair Value Measurements Using | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Agency RMBS | $ | — | $ | 20,804,143 | $ | — | $ | 20,804,143 | ||||||||||||||||||
U.S. Treasury Bills | 37,999 | — | — | 37,999 | ||||||||||||||||||||||
Other Investments | — | — | 19,576 | 19,576 | ||||||||||||||||||||||
Derivative assets | — | 124,169 | — | 124,169 | ||||||||||||||||||||||
Total | $ | 37,999 | $ | 20,928,312 | $ | 19,576 | $ | 20,985,887 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Derivative liabilities | $ | — | $ | 98,575 | $ | — | $ | 98,575 | ||||||||||||||||||
Summary Of The Weighted Average Inputs To The Models | The weighted average inputs to the models as of December 31, 2012 were: | |||||||||||||||||||||||||
Constant | Default Rate | Recovery Rate | Recovery Lag | |||||||||||||||||||||||
Prepayment Rate | ||||||||||||||||||||||||||
31-Dec-12 | 20 | % | 2 | % | 69 | % | 6 Months | |||||||||||||||||||
Schedule Of Fair Value Reconciliation, Level 3 | Level 3 Fair Value Reconciliation | |||||||||||||||||||||||||
(In thousands) | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
Other investments | 2013 | 2012 | 2013 | 2012 | ||||||||||||||||||||||
Beginning balance level 3 assets | $ | 6,945 | $ | 24,802 | $ | 19,576 | $ | 18,675 | ||||||||||||||||||
Cash payments recorded as a reduction of cost basis | — | (964 | ) | (324 | ) | (3,081 | ) | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | — | 1,483 | (6,721 | ) | 2,799 | |||||||||||||||||||||
Net purchases (sales) | — | (8,592 | ) | (12,005 | ) | (1,664 | ) | |||||||||||||||||||
Net gain (loss) on sales | — | 2,648 | 6,419 | 2,648 | ||||||||||||||||||||||
Transfers into (out of) level 3 | — | — | — | — | ||||||||||||||||||||||
Ending balance level 3 assets | $ | 6,945 | $ | 19,377 | $ | 6,945 | $ | 19,377 | ||||||||||||||||||
Agency RMBS Portfolio | The Agency RMBS portfolio consisted of Agency RMBS as follows: | |||||||||||||||||||||||||
September 30, 2013 | Face Value | Fair Value | Weighted Average | |||||||||||||||||||||||
Asset Type | (in thousands) | Cost/Face | Fair Value/Face | MTR(1) | Coupon | CPR(2) | ||||||||||||||||||||
15 Year Fixed Rate | $ | 5,995,535 | $ | 6,240,505 | $ | 102.43 | $ | 104.09 | N/A | 3.14 | % | 15.1 | % | |||||||||||||
20 Year Fixed Rate | 89,615 | 96,644 | 103.08 | 107.84 | N/A | 4.5 | % | 31.3 | % | |||||||||||||||||
30 Year Fixed Rate | 5,813,529 | 5,985,741 | 102.33 | 102.96 | N/A | 3.7 | % | 4.1 | % | |||||||||||||||||
Hybrid ARMs | 2,088,601 | 2,126,417 | 103.59 | 101.81 | 68.9 | 2.57 | % | 19.1 | % | |||||||||||||||||
Total/Weighted Average | $ | 13,987,280 | $ | 14,449,307 | $ | 102.57 | $ | 103.3 | 3.3 | % | 12.4 | % | ||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
10 Year Fixed Rate | $ | 207,091 | $ | 219,747 | $ | 103.6 | $ | 106.11 | N/A | 3.5 | % | 19.4 | % | |||||||||||||
15 Year Fixed Rate | 11,092,374 | 11,717,136 | 104.32 | 105.63 | N/A | 3.05 | % | 16.1 | % | |||||||||||||||||
20 Year Fixed Rate | 1,087,835 | 1,148,932 | 104.96 | 105.62 | N/A | 3.17 | % | 10.1 | % | |||||||||||||||||
30 Year Fixed Rate | 3,571,692 | 3,817,488 | 105.78 | 106.88 | N/A | 3.59 | % | 8.9 | % | |||||||||||||||||
Hybrid ARMs | 3,722,510 | 3,900,840 | 103.54 | 104.79 | 74.3 | 2.71 | % | 19.1 | % | |||||||||||||||||
Total/Weighted Average | $ | 19,681,502 | $ | 20,804,143 | $ | 104.47 | $ | 105.7 | 3.1 | % | 15.8 | % | ||||||||||||||
__________________ | ||||||||||||||||||||||||||
(1) | MTR, or “Months to Reset” is the weighted average number of months remaining before the fixed rate on a hybrid ARM becomes a variable rate. At the end of the fixed period, the variable rate will be determined by the margin and the pre-specified caps of the ARM. After the fixed period, 100% of the hybrid ARMs in the portfolio reset annually. | |||||||||||||||||||||||||
(2) | CPR, or “Constant Prepayment Rate,” is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year. Specifically, the CPR is an annualized version of the prior three month prepayment rate. Securities with no prepayment history are excluded from this calculation. | |||||||||||||||||||||||||
Summary Of Interest Rate Swap And Cap Contracts | In order to mitigate its interest rate exposure, the Company enters into interest rate swap and cap contracts. The Company had the following activity in interest rate swap and cap transactions during the three and nine months ended September 30, 2013 and 2012 (in thousands): | |||||||||||||||||||||||||
Three and Nine Months Ended September 30, 2013 | Three and Nine Months Ended September 30, 2012 | |||||||||||||||||||||||||
Trade Date | Transaction | Notional | Trade Date | Transaction | Notional | |||||||||||||||||||||
Feb-13 | Opened | $ | 1,500,000 | Apr-12 | Opened | $ | 500,000 | |||||||||||||||||||
Mar-13 | Terminated | (500,000 | ) | May-12 | Opened | 600,000 | ||||||||||||||||||||
Mar-13 | Opened | 1,200,000 | Jun-12 | Opened | 600,000 | |||||||||||||||||||||
Apr-13 | Opened | 500,000 | Jul-12 | Opened | 2,250,000 | |||||||||||||||||||||
May-13 | Opened | 500,000 | Sep-12 | Opened | 1,000,000 | |||||||||||||||||||||
May-13 | Matured | (100,000 | ) | Net Increase | $ | 4,950,000 | ||||||||||||||||||||
Jun-13 | Terminated | (700,000 | ) | |||||||||||||||||||||||
Jun-13 | Matured | (300,000 | ) | |||||||||||||||||||||||
Jul-13 | Matured | (300,000 | ) | |||||||||||||||||||||||
Aug-13 | Terminated | (2,200,000 | ) | |||||||||||||||||||||||
Aug-13 | Opened | 500,000 | ||||||||||||||||||||||||
Net Increase | $ | 100,000 | ||||||||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company had pledged Agency RMBS and U.S Treasury Securities with a fair value of $92.3 million and $127.6 million, respectively, as collateral on interest rate swap and cap contracts. As of September 30, 2013 the Company had Agency RMBS and U.S. Treasury Securities of $199.5 million and cash of $32.7 million pledged to it as collateral for its interest rate swap and cap contracts. As of December 31, 2012 the Company had Agency RMBS and U.S. Treasury Securities of $18.4 million and cash of $28.9 million pledged to it as collateral for its interest rate cap contracts. | ||||||||||||||||||||||||||
Schedule Of Notional Amount And Fair Value Of Derivatives | elow is a summary of our interest rate swap and cap contracts open as of September 30, 2013 and December 31, 2012 and the net gain and loss on swap and cap contracts for the three and nine months ended September 30, 2013 and 2012 (in thousands): | |||||||||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815(a) | ||||||||||||||||||||||||||
Interest Rate Swap Contracts | Notional Amount | Fair Value | Statement of Assets and Liabilities Location | |||||||||||||||||||||||
September 30, 2013 | $ | 3,340,000 | $ | (49,537 | ) | Derivative liabilities, at fair value | ||||||||||||||||||||
September 30, 2013 | 3,750,000 | 51,417 | Derivative assets, at fair value | |||||||||||||||||||||||
December 31, 2012 | 6,490,000 | (98,575 | ) | Derivative liabilities, at fair value | ||||||||||||||||||||||
December 31, 2012 | 1,000,000 | 1,180 | Derivative assets, at fair value | |||||||||||||||||||||||
Interest Rate Cap Contracts | Notional Amount | Fair Value | Statement of Assets and Liabilities Location | |||||||||||||||||||||||
September 30, 2013 | $ | 3,900,000 | $ | 215,992 | Derivative assets, at fair value | |||||||||||||||||||||
December 31, 2012 | 3,400,000 | 122,989 | Derivative assets, at fair value | |||||||||||||||||||||||
Amount of Gain or (Loss) Recognized in Income on Derivatives | ||||||||||||||||||||||||||
Derivatives Not Designated as Hedging Instruments Under ASC 815(a) | Location of Gain or (Loss) Recognized in Income on Derivative | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||
Interest rate swap and cap contracts | Net gain (loss) from swap and cap contracts | $ | (53,280 | ) | $ | (38,618 | ) | $ | 152,987 | $ | (80,403 | ) | ||||||||||||||
__________________ | ||||||||||||||||||||||||||
(a) | See Note 2 for additional information on the Company’s purpose for entering into interest rate swaps and caps and the decision not to designate them as hedging instruments. | |||||||||||||||||||||||||
C |
Borrowings_Tables
Borrowings (Tables) | 9 Months Ended | |||
Sep. 30, 2013 | ||||
Short-term Debt [Abstract] | ||||
Schedule Of Company's Borrowings | Certain information with respect to the Company’s borrowings is summarized in the following tables. Each of the borrowings listed is contractually due in one year or less (dollars in thousands). | |||
September 30, 2013 | ||||
Outstanding repurchase agreements | $ | 11,735,071 | ||
Interest accrued thereon | $ | 2,865 | ||
Weighted average borrowing rate | 0.39 | % | ||
Weighted average remaining maturity (in days) | 44 | |||
Fair value of the collateral(1) | $ | 12,342,112 | ||
December 31, 2012 | ||||
Outstanding repurchase agreements | $ | 13,981,307 | ||
Interest accrued thereon | $ | 11,717 | ||
Weighted average borrowing rate | 0.48 | % | ||
Weighted average remaining maturity (in days) | 19.6 | |||
Fair value of the collateral(1) | $ | 14,693,645 | ||
__________________ | ||||
-1 | Collateral for repurchase agreements consisted of Agency RMBS and U.S. Treasury Securities. |
Share_Capital_Tables
Share Capital (Tables) | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Stockholders' Equity Note [Abstract] | ||||||||||||||
Common Stock Transactions [Table Text Block] | The Company’s common stock transactions during the nine months ended September 30, 2013 and 2012 are as follows (in thousands): | |||||||||||||
Nine Months Ended September 30, 2013 | Nine Months Ended September 30, 2012 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Shares sold in public offerings or issued as restricted stock | 351 | $ | 2,364 | 92,104 | $ | 1,238,141 | ||||||||
Shares issued in reinvestment of distributions | — | — | 98 | 1,310 | ||||||||||
Shares repurchased or canceled | (8,395 | ) | (72,563 | ) | (13 | ) | (180 | ) | ||||||
Net increase (decrease) | (8,044 | ) | $ | (70,199 | ) | 92,189 | $ | 1,239,271 | ||||||
Financial_Highlights_Tables
Financial Highlights (Tables) | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||
Financial Highlights [Abstract] | ||||||||||||||||||||
Summary Of Financial Highlight Information | In accordance with financial reporting requirements applicable to investment companies, the Company has included below certain financial highlight information for the three and nine months ended September 30, 2013 and 2012: | |||||||||||||||||||
Per Common Share | ||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||
Net asset value, beginning of period | $ | 10.2 | $ | 13.52 | $ | 13.31 | $ | 13.02 | ||||||||||||
Net income (loss): | ||||||||||||||||||||
Net investment income | 0.4 | (a) | 0.36 | (a) | 1.05 | (a) | 1.32 | (a) | ||||||||||||
Net gain (loss) from investments and swap and cap contracts | (0.22 | ) | (a) | 1.11 | (a) | (3.27 | ) | (a) | 1.88 | (a) | ||||||||||
Net income (loss) | 0.18 | 1.47 | (2.22 | ) | 3.2 | |||||||||||||||
Dividends on preferred stock | (0.03 | ) | (a) | (0.01 | ) | (a) | (0.06 | ) | (a) | (0.01 | ) | (a) | ||||||||
Net income (loss) available to common shares | 0.15 | 1.46 | (2.28 | ) | 3.19 | |||||||||||||||
Capital transactions: | ||||||||||||||||||||
Distributions to common stockholders | (0.34 | ) | (0.45 | ) | (1.00 | ) | (1.45 | ) | ||||||||||||
Issuance/Repurchase of common and preferred shares and amortization of share based compensation | 0.09 | (a) | (0.07 | ) | (a) | 0.07 | (a) | (0.30 | ) | (a) | ||||||||||
Net decrease in net asset value from capital transactions | (0.25 | ) | (0.52 | ) | (0.93 | ) | (1.75 | ) | ||||||||||||
Net asset value, end of period | $ | 10.1 | $ | 14.46 | $ | 10.1 | $ | 14.46 | ||||||||||||
Net asset value total return (%) | 2.35 | % | (b) | 10.28 | % | (b) | (16.60 | )% | (b) | 22.2 | % | (b) | ||||||||
Market value total return (%) | (8.02 | )% | (b) | 5.59 | % | (b) | (23.53 | )% | (b) | 18.88 | % | (b) | ||||||||
Ratios to Average Net Assets | ||||||||||||||||||||
Expenses before interest expense | 1.13 | % | (c) | 0.93 | % | (c) | 1.01 | % | (c) | 1.16 | % | (c) | ||||||||
Total expenses | 3.55 | % | (c) | 3 | % | (c) | 3.47 | % | (c) | 3.21 | % | (c) | ||||||||
Net investment income | 13.77 | % | (c) | 10.33 | % | (c) | 10.92 | % | (c) | 12.59 | % | (c) | ||||||||
__________________ | ||||||||||||||||||||
(a) | Calculated based on average shares outstanding during the period. Average shares outstanding include vested and unvested restricted shares and differs from weighted average shares outstanding used in calculating EPS (see Note 3). | |||||||||||||||||||
(b) | Not computed on an annualized basis. | |||||||||||||||||||
(c) | Computed on an annualized basis. |
Organization_Details
Organization (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $25 | $25 |
Significant_Accounting_Policie2
Significant Accounting Policies (Details) (USD $) | 3 Months Ended | 9 Months Ended | |
In Millions, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 |
Significant Accounting Policies [Line Items] | |||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | $19.20 | $19.20 | $34.10 |
Collateral Already Posted, Aggregate Fair Value | 47.3 | ||
Document Period End Date | 30-Sep-13 | ||
Percentage Of Reit Taxable Income That Must Be Distributed To Stockholders | 90.00% | ||
Derivative Asset, Fair Value of Collateral | 226.8 | 226.8 | |
Derivative Asset, Current | 267.4 | 267.4 | 124.2 |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 21.4 | 21.4 | 42.8 |
Agency RMBS [Member] | |||
Significant Accounting Policies [Line Items] | |||
Security Owned and Pledged as Collateral, Fair Value | ($5.40) | ($5.40) | $10.40 |
Minimum [Member] | |||
Significant Accounting Policies [Line Items] | |||
Repurchase agreement period (in days) | 30 | ||
Maximum [Member] | |||
Significant Accounting Policies [Line Items] | |||
Repurchase agreement period (in days) | 90 |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||
Document Period End Date | 30-Sep-13 | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Number | 131,088 | 131,088 | 131,088 | 131,088 | ||
Net income | $30,571 | $241,907 | ($383,918) | $412,730 | ||
Less preferred stock dividends | -5,203 | -953 | -10,651 | -953 | ||
Net income (loss) available to common shares | 25,368 | 240,954 | -394,569 | 411,777 | ||
Common shares | -56,444 | -78,397 | -170,473 | -195,175 | ||
Unvested shares | -295 | -327 | -884 | -1,083 | ||
Undistributed earnings (loss) | ($31,371) | $162,230 | ($565,926) | $215,519 | ||
Common shares | 169,465,000 | 164,269,000 | 172,284,000 | 128,116,000 | ||
Distributed earnings | $0.33 | $0.48 | $0.99 | $1.52 | ||
Undistributed earnings (loss) | ($0.19) | $0.98 | ($3.28) | $1.67 | ||
Basic earnings (loss) per common share | $0.14 | $1.46 | ($2.29) | $3.19 | ||
Net effect of dilutive stock options (1) | 0 | [1] | 0 | [1] | 0 | 0 |
Diluted weighted average shares outstanding | 169,465,000 | 164,269,000 | 172,284,000 | 128,116,000 | ||
Distributed earnings | $0.33 | $0.48 | $0.99 | $1.52 | ||
Undistributed earnings (loss) | ($0.19) | $0.98 | ($3.28) | $1.67 | ||
Diluted earnings (loss) per common share | $0.14 | $1.46 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Number | 131 | 131 | ||||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range, Exercisable Options, Weighted Average Exercise Price | $30 | $30 | $30 | $30 | ||
[1] | For the three and nine months ended SeptemberB 30, 2013 and 2012, the Company had an aggregate of 131 stock options outstanding with a weighted average exercise price of $30.00 that were not included in the calculation of EPS, as their inclusion would have been anti-dilutive. These instruments may have a dilutive impact on future EPS. |
Investments_In_Securities_And_2
Investments In Securities And Interest Rate Swap And Cap Contracts (Details) (USD $) | 3 Months Ended | 12 Months Ended |
In Millions, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Y | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Maximum Period Of Short Term Assets And Liabilities Are Measured At Deemed To Appropriate Fair Value | 1 | |
Unobservable input capitalization minimum rate | 4.00% | |
Percentage of hybrid ARMs reset to variable rate | 100.00% | |
Trading Securities Pledged as Collateral | $92.30 | $127.60 |
Securities Received as Collateral | 199.5 | 18.4 |
Unobservable input capitalization maximum rate | 5.00% | |
Agency RMBS [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Unamortized premium on marketable securities | $366 | $879.60 |
Debt Instrument, Maturity Date | 30 | |
Average final contractual maturity of Agency RMBS portfolio | 2036 | 2033 |
InvestmentsAssets_And_Liabilit
(Investments)(Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | $14,723,661 | $20,985,887 | |
Financial Instruments, Owned, at Fair Value | 14,456,252 | 20,861,718 | [1] |
Derivative Financial Instruments, Liabilities [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Liabilities, Fair Value Disclosure | 49,537 | 98,575 | |
US Treasury Bill [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 37,999 | ||
Derivative Financial Instruments, Assets [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 267,409 | 124,169 | |
Other Investments [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 6,945 | 19,576 | |
Agency RMBS [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 14,449,307 | 20,804,143 | |
Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 0 | 37,999 | |
Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Fair Value, Inputs, Level 1 [Member] | US Treasury Bill [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 37,999 | ||
Fair Value, Inputs, Level 1 [Member] | Derivative Financial Instruments, Assets [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Fair Value, Inputs, Level 1 [Member] | Other Investments [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 6,945 | 19,576 | |
Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Liabilities, Fair Value Disclosure | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | US Treasury Bill [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 0 | ||
Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Assets [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | Other Investments [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 6,945 | 19,576 | |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 14,716,716 | 20,928,312 | |
Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Liabilities, Fair Value Disclosure | 49,537 | 98,575 | |
Fair Value, Inputs, Level 2 [Member] | US Treasury Bill [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 0 | ||
Fair Value, Inputs, Level 2 [Member] | Derivative Financial Instruments, Assets [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 267,409 | 124,169 | |
Fair Value, Inputs, Level 2 [Member] | Other Investments [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | 0 | 0 | |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets, Fair Value Disclosure | $14,449,307 | $20,804,143 | |
[1] | Derived from audited financial statements. |
InvestmentsLevel_3_Inputs_Deta
(Investments)(Level 3 Inputs) (Details) | 12 Months Ended |
Dec. 31, 2012 | |
Derivative, Fair Value, Net [Abstract] | |
Weighted Average, Constant Prepayment Rate | 20.00% |
Weighted Average, Default Rate | 2.00% |
Weighted Average, Recovery Rate | 69.00% |
Weighted Average, Recovery Lag | 6 Months |
InvestmentsSchedule_Of_Fair_Va
(Investments)(Schedule Of Fair Value Reconciliation, Level 3) (Details) (Other Investments [Member], USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Other Investments [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance Level 3 assets | $6,945 | $24,802 | $19,576 | $18,675 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | 0 | -964 | -324 | -3,081 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Purchases, Sales, Issuances, Settlements | 0 | 1,483 | -6,721 | 2,799 |
Change in net unrealized appreciation (depreciation) | 0 | -8,592 | -12,005 | -1,664 |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings | 0 | 2,648 | 6,419 | 2,648 |
Transfers into (out of) Level 3 | 0 | 0 | 0 | 0 |
Ending balance Level 3 assets | $6,945 | $19,377 | $6,945 | $19,377 |
InvestmentsAgency_RMBS_Portfol
(Investments)(Agency RMBS Portfolio) (Details) (USD $) | 1 Months Ended | 3 Months Ended | 3 Months Ended | ||||||||||||||||||||||||||
Oct. 31, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | ||||||||||||
Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | |||||||||||||||
Par Value [Member] | Par Value [Member] | Fair Value [Member] | Fair Value [Member] | Ten Year Fixed Rate Residential Mortgage [Member] | Fifteen Year Fixed Rate Residential Mortgage [Member] | Fifteen Year Fixed Rate Residential Mortgage [Member] | 20 Year Fixed Rate [Member] | 20 Year Fixed Rate [Member] | 30 Year Fixed Rate [Member] | 30 Year Fixed Rate [Member] | Hybrid ARMs [Member] | Hybrid ARMs [Member] | |||||||||||||||||
M | M | ||||||||||||||||||||||||||||
Investments In Securities And Interest Rate Swap And Cap Contracts [Line Items] | |||||||||||||||||||||||||||||
Debt Instrument, Face Amount | $13,987,280,000 | $19,681,502,000 | $207,091,000 | $5,995,535,346 | $11,092,374,000 | $89,615,315 | $1,087,835,000 | $5,813,528,918 | $3,571,692,000 | $2,088,600,621 | $3,722,510,000 | ||||||||||||||||||
Assets, Fair Value Disclosure | 14,723,661,000 | 20,985,887,000 | 14,449,307,000 | 20,804,143,000 | 219,747,000 | 6,240,505,000 | 11,717,136,000 | 96,644,000 | 1,148,932,000 | 5,985,741,000 | 3,817,488,000 | 2,126,417,000 | 3,900,840,000 | ||||||||||||||||
Weighted Average, Cost/Par | $102.57 | $104.47 | $103.60 | $102.43 | $104.32 | $103.08 | $104.96 | $102.33 | $105.78 | $103.59 | $103.54 | ||||||||||||||||||
Weighted Average, Fair Value/Par | $103.30 | $105.70 | $106.11 | $104.09 | $105.63 | $107.84 | $105.62 | $102.96 | $106.88 | $101.81 | $104.79 | ||||||||||||||||||
Weighted Average, MTR | 68.9 | [1] | 74.3 | [1] | |||||||||||||||||||||||||
Weighted Average, Coupon | 3.30% | 3.10% | 3.50% | 3.14% | 3.05% | 4.50% | 3.17% | 3.70% | 3.59% | 2.57% | 2.71% | ||||||||||||||||||
Weighted Average, CPR | 5.50% | 12.40% | [2] | 15.80% | [2] | 19.40% | [2] | 15.10% | [2] | 16.10% | [2] | 31.30% | [2] | 10.10% | [2] | 4.10% | [2] | 8.90% | [2] | 19.10% | [2] | 19.10% | [2] | ||||||
Percentage of hybrid ARMs reset to variable rate | 100.00% | ||||||||||||||||||||||||||||
[1] | MTR, or bMonths to Resetb is the weighted average number of months remaining before the fixed rate on a hybrid ARM becomes a variable rate. At the end of the fixed period, the variable rate will be determined by the margin and the pre-specified caps of the ARM. After the fixed period, 100% of the hybrid ARMs in the portfolio reset annually. | ||||||||||||||||||||||||||||
[2] | CPR, or bConstant Prepayment Rate,b is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year. Specifically, the CPR is an annualized version of the prior three month prepayment rate. Securities with no prepayment history are excluded from this calculation. |
InvestmentsSummary_Of_Interest
(Investments)(Summary Of Interest Rate Swap And Cap Contracts) (Details) (USD $) | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Derivative, Collateral, Obligation to Return Cash | $32,700,000 | $28,900,000 | |
DerivativeNotionalTransactions | 100,000,000 | 4,950,000,000 | |
February Two Thousand And Thirteen Opened Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Feb-13 | ||
DerivativeNotionalTransactions | 1,500,000,000 | ||
April 2012 Opened Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Apr-12 | ||
DerivativeNotionalTransactions | 500,000,000 | ||
March Two Thousand And Thirteen Terminated Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Mar-13 | ||
DerivativeNotionalTransactions | -500,000,000 | ||
May 2012 Opened Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | May-12 | ||
DerivativeNotionalTransactions | 600,000,000 | ||
March Two Thousand And Thirteen Opened Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Mar-13 | ||
DerivativeNotionalTransactions | 1,200,000,000 | ||
June 2012 Opened Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Jun-12 | ||
DerivativeNotionalTransactions | 600,000,000 | ||
June Two Thousand And Thirteen Matured Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Jun-13 | ||
DerivativeNotionalTransactions | -300,000,000 | ||
August Two Thousand And Thirteen Opened Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Aug-13 | ||
DerivativeNotionalTransactions | 500,000,000 | ||
August Two Thousand And Thirteen Terminated Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Aug-13 | ||
DerivativeNotionalTransactions | -2,200,000,000 | ||
July Two Thousand And Thirteen Matured Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Jul-13 | ||
DerivativeNotionalTransactions | -300,000,000 | ||
June Two Thousand And Thirteen Terminated Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Jun-13 | ||
DerivativeNotionalTransactions | -700,000,000 | ||
May Two Thousand And Thirteen Matured Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | May-13 | ||
DerivativeNotionalTransactions | -100,000,000 | ||
May Two Thousand And Thirteen Opened Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | May-13 | ||
DerivativeNotionalTransactions | 500,000,000 | ||
September Two Thousand And Twelve Opened Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Sep-12 | ||
DerivativeNotionalTransactions | 1,000,000,000 | ||
April Two Thousand And Thirteen Opened Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Apr-13 | ||
DerivativeNotionalTransactions | 500,000,000 | ||
July Two Thousand And Twelve Opened Type [Member] | |||
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | |||
Trade Date | Jul-12 | ||
DerivativeNotionalTransactions | $2,250,000,000 |
InvestmentsSchedule_Of_Notiona
(Investments)(Schedule Of Notional Amount And Fair Value Of Derivatives) (Details) (Derivatives Not Designated As Hedging Instruments [Member], USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Interest Rate Swap [Member] | Assets [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative, Notional Amount | $1,000,000 | [1] | ||
Interest Rate Swap [Member] | Liabilities [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative, Notional Amount | 3,340,000 | [1] | 6,490,000 | [1] |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | -49,537 | [1] | -98,575 | [1] |
Interest Rate Swap [Member] | Assets [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative, Notional Amount | 3,750,000 | [1] | ||
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | 51,417 | [1] | 1,180 | [1] |
Interest Rate Cap Contracts [Member] | Assets [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative, Notional Amount | 3,900,000 | [1] | 3,400,000 | [1] |
Interest Rate Cap Contracts [Member] | Assets [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative Asset, Fair Value, Gross Asset | $215,992 | [1] | $122,989 | [1] |
[1] | See Note 2 for additional information on the Companybs purpose for entering into interest rate swaps and caps and the decision not to designate them as hedging instruments. |
Investments_In_Securities_And_3
Investments In Securities And Interest Rate Swap And Cap Contracts (Investments)(Gain or Loss) (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||
Derivative, Gain (Loss) on Derivative, Net | ($53,280) | [1] | ($38,618) | [1] | $152,987 | [1] | ($80,403) | [1] |
[1] | See Note 2 for additional information on the Companybs purpose for entering into interest rate swaps and caps and the decision not to designate them as hedging instruments. |
Borrowings_Details
Borrowings (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | D | D | ||
Short-term Debt [Abstract] | ||||
Outstanding repurchase agreements | $11,735,071 | $13,981,307 | [1] | |
Interest accrued thereon | 2,865 | 11,717 | ||
Weighted average borrowing rate | 0.39% | 0.48% | ||
Weighted average remaining maturity (in days) | 44 | 19.6 | ||
Fair value of the collateral(1) | $12,342,112 | [2] | $14,693,645 | [2] |
Number of repurchase agreements exceeding 10% of net assets | 0 | 0 | ||
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets [Table Text Block] | 10.00% | 10.00% | ||
RepoPercentageofNetAssets | 10.00% | |||
[1] | Derived from audited financial statements. | |||
[2] | Collateral for repurchase agreements consisted of Agency RMBS and U.S. Treasury Securities. |
Contingencies_Details
Contingencies (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Commitments and Contingencies Disclosure [Abstract] | ||
Indemnification claims | $0 | $0 |
Share_Capital_Details
Share Capital (Details) (USD $) | 9 Months Ended | 9 Months Ended | 9 Months Ended | |||||||||||
Sep. 30, 2013 | Sep. 30, 2012 | Apr. 30, 2013 | Dec. 31, 2012 | Aug. 03, 2012 | Jul. 16, 2012 | Feb. 01, 2012 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Jun. 07, 2011 | ||
Dividend Reinvestment And Direct Stock Purchase Plan [Member] | Dividend Reinvestment And Direct Stock Purchase Plan [Member] | Equity Placement Program [Member] | Equity Placement Program [Member] | Equity Placement Program [Member] | Equity Placement Program [Member] | |||||||||
Equity Issuance [Line Items] | ||||||||||||||
Proceeds from Issuance of Common Stock | ($72,772,000) | $1,235,842,000 | ||||||||||||
Common stock, shares authorized | 500,000,000 | 500,000,000 | ||||||||||||
Document Period End Date | 30-Sep-13 | |||||||||||||
Stock Repurchased and Retired During Period, Shares | 8,400,000 | |||||||||||||
Preferred Stock, Shares Issued | 3,000,000 | 3,000,000 | 3,000,000 | |||||||||||
Preferred Stock, Par or Stated Value Per Share | $0.01 | $0.01 | ||||||||||||
Series B Cumulative Redeemable Preferred Stock, shares outstanding | 8,000,000 | 0 | ||||||||||||
Series B Cumulative Redeemable Preferred Stock, shares issued | 8,000,000 | 8,000,000 | 0 | |||||||||||
Preferred Stock, Dividend Rate, Percentage | 7.75% | |||||||||||||
Stock Repurchased and Retired During Period, Value | -72,563,000 | -180,000 | ||||||||||||
Increase (Decrease) In Shares During Period | -8,044,000 | 92,189,000 | ||||||||||||
Number Of Common Stock Available To Sell Under Sales Agreement | 3,081,447 | 3,081,447 | 15,000,000 | |||||||||||
Stock Repurchase Program, Authorized Amount | 250,000,000 | |||||||||||||
Public Offering Shares | 46,000,000 | 28,750,000 | ||||||||||||
Common Stock, Shares, Issued | 166,880,305 | 174,924,149 | ||||||||||||
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 | ||||||||||||
Net proceeds (payments) from issuance and repurchase of common shares | 72,400,000 | |||||||||||||
Shares sold in public offerings or issued as restricted stock, Shares | 351,000 | 92,104,000 | 11,900,000 | |||||||||||
Proceeds from Issuance or Sale of Equity | 2,364,000 | 1,238,141,000 | ||||||||||||
Shares sold in public offerings under equity placement program, Amount | 164,300,000 | |||||||||||||
Shares issued in reinvestment of distributions, Shares | 0 | 98,000 | 5,300,000 | |||||||||||
Treasury Stock Acquired, Average Cost Per Share | $8.62 | |||||||||||||
Increase in net assets from capital transactions | -70,199,000 | 1,239,271,000 | ||||||||||||
Common stock issued under reinvestment plan, value | 0 | 1,310,000 | 74,000,000 | |||||||||||
Stock Repurchased During Period, Shares | -8,395,000 | -13,000 | ||||||||||||
Stock Available For Issuance During Period Shares Dividend Reinvestment Plan | 4,055,245 | |||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period | 350,807 | 205,390 | ||||||||||||
Public Offering Price | 13.7 | 13.28 | ||||||||||||
Common Stock, Value, Issued | 1,669,000 | 1,749,000 | [1] | 622,200,000 | 377,300,000 | |||||||||
us-gaap_PreferredStockDividendRatePercentage_SeriesB | 7.50% | |||||||||||||
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $25 | $25 | $25 | $25 | ||||||||||
Preferred Stock, Value, Issued | 72,369,000 | 72,369,000 | [1] | 72,400,000 | ||||||||||
us-gaap_PreferredStockValue_SeriesB | $193,550,000 | $193,600,000 | $0 | [1] | ||||||||||
[1] | Derived from audited financial statements. |
Financial_Highlights_Details
Financial Highlights (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||||||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Jun. 30, 2013 | Dec. 31, 2012 | Jun. 30, 2012 | Dec. 31, 2011 | |||||
Financial Highlights [Abstract] | ||||||||||||
Net asset value, end of period | $10.10 | $14.46 | $10.10 | $14.46 | $10.20 | $13.31 | $13.52 | $13.02 | ||||
Net investment income | $0.40 | [1] | $0.36 | [1] | $1.05 | [1] | $1.32 | [1] | ||||
Net gain (loss) from investments and swap and cap contracts | ($0.22) | [1] | $1.11 | [1] | ($3.27) | [1] | $1.88 | [1] | ||||
Net income (loss) | $0.18 | $1.47 | ($2.22) | $3.20 | ||||||||
Dividends on preferred stock | ($0.03) | [1] | ($0.01) | [1] | ($0.06) | [1] | ($0.01) | [1] | ||||
Net income (loss) available to common shares | $0.15 | $1.46 | ($2.28) | $3.19 | ||||||||
Distributions to common stockholders | ($0.34) | ($0.45) | ($1) | ($1.45) | ||||||||
Issuance/Repurchase of common and preferred shares and amortization of share based compensation | $0.09 | [1] | ($0.07) | [1] | $0.07 | [1] | ($0.30) | [1] | ||||
Net decrease in net asset value from capital transactions | ($0.25) | ($0.52) | ($0.93) | ($1.75) | ||||||||
Net asset value total return (%) | 2.35% | [2] | 10.28% | [2] | -16.60% | [2] | 22.20% | [2] | ||||
Market value total return (%) | -8.02% | [2] | 5.59% | [2] | -23.53% | [2] | 18.88% | [2] | ||||
Expenses before interest expense | 1.13% | [3] | 0.93% | [3] | 1.01% | [3] | 1.16% | [3] | ||||
Total expenses | 3.55% | [3] | 3.00% | [3] | 3.47% | [3] | 3.21% | [3] | ||||
Net investment income | 13.77% | [3] | 10.33% | [3] | 10.92% | [3] | 12.59% | [3] | ||||
[1] | Calculated based on average shares outstanding during the period. Average shares outstanding include vested and unvested restricted shares and differs from weighted average shares outstanding used in calculating EPS (see Note 3). | |||||||||||
[2] | Not computed on an annualized basis. | |||||||||||
[3] | Computed on an annualized basis. |
Subsequent_Events_Details
Subsequent Events (Details) | 1 Months Ended |
Oct. 31, 2013 | |
Subsequent Event [Line Items] | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 13,937 |
Weighted Average, CPR | 5.50% |