Document_And_Entity_Informatio
Document And Entity Information | 3 Months Ended | |
Mar. 31, 2014 | Apr. 22, 2014 | |
Document Information [Line Items] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 31-Mar-14 | ' |
Document Fiscal Period Focus | 'Q1 | ' |
Document Fiscal Year Focus | '2014 | ' |
Entity Registrant Name | 'CYS Investments, Inc. | ' |
Entity Central Index Key | '0001396446 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Large Accelerated Filer | ' |
Entity Common Stock, Shares Outstanding | ' | 162,038,048 |
Consolidated_Statements_Of_Ass
Consolidated Statements Of Assets And Liabilities (Unaudited) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 | ||
Document Period End Date | 31-Mar-14 | ' | ||
Assets: | ' | ' | ||
Investments in securities, at fair value (including pledged assets of $10,484,331 and $11,835,975, respectively) | $13,314,680 | $13,865,793 | [1],[2] | |
Derivative assets, at fair value | 261,522 | [1],[2] | 295,707 | [1],[2] |
Cash and cash equivalents | 13,396 | 4,992 | [1],[2] | |
Receivable for securities sold and principal repayments | 3,582 | 429,233 | [1],[2] | |
Interest receivable | 33,984 | 36,731 | [1],[2] | |
Other assets | 334 | 608 | [1],[2] | |
Total assets | 13,627,498 | 14,633,064 | [1],[2] | |
Liabilities: | ' | ' | ||
Repurchase agreements | 10,014,048 | [3] | 11,206,950 | [2],[3] |
Derivative liabilities, at fair value | 17,767 | [1],[2] | 29,458 | [1],[2] |
Payable for securities purchased | 1,641,598 | 1,556,821 | [1],[2] | |
Payable for cash received as collateral | 37,956 | 37,938 | [1],[2] | |
Distribution payable | 56,258 | 4,410 | [1],[2] | |
Accrued interest payable (including accrued interest on repurchase agreements of $3,079 and $7,204, respectively) | 14,982 | 24,613 | [1],[2] | |
Accrued expenses and other liabilities | 1,616 | 4,218 | [1],[2] | |
Total liabilities | 11,784,225 | 12,864,408 | [1],[2] | |
Stockholders' equity: | ' | ' | ||
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],[2] | |
7.50% Series B Cumulative Redeemable Preferred Stock, (8,000 and 8,000 shares issued and outstanding, respectively, $200,000 in aggregate liquidation preference) | 193,531 | 193,531 | [1],[2] | |
Common Stock, $0.01 par value, 500,000 shares authorized (162,024 and 161,650 shares issued and outstanding, respectively) | 1,620 | 1,616 | [1],[2] | |
Additional paid in capital | 2,047,508 | 2,046,530 | [1],[2] | |
Accumulated deficit | -471,755 | -545,390 | [1],[2] | |
Total stockholders' equity | 1,843,273 | 1,768,656 | [1],[2] | |
Total liabilities and stockholders' equity | $13,627,498 | $14,633,064 | [2] | |
[1] | Derived from audited financial statements. | |||
[2] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. | |||
[3] | Collateral consists of Agency RMBS, U.S. Treasuries and cash. Further detail of collateral pledged on repurchase agreements is disclosed in note 5. Excess collateral pledged is not shown for financial reporting purposes. |
Condolidated_Statements_Of_Ass
Condolidated Statements Of Assets And Liabilities (Parenthetical) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, except Share data, unless otherwise specified | ||
Common Stock, Number of Shares, Par Value and Other Disclosures [Abstract] | ' | ' |
Investments in securities, pledged assets | $10,484,331 | $11,835,975 |
Accrued interest payable, accrued interest on repurchase agreements | 3,079 | 7,204 |
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 | 8,000,000 |
Series B Cumulative Redeemable Preferred Stock, shares outstanding | 8,000,000 | 8,000,000 |
Series B Cumulative Redeemable Preferred Stock, aggregate liquidation value | $200,000 | $200 |
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 | 162,024,461 | 161,650,114 |
Common stock, shares outstanding | 162,024,461 | 161,650,114 |
Condensed_Statements_Of_Operat
Condensed Statements Of Operations (USD $) | 3 Months Ended | ||
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | |
Document Period End Date | 31-Mar-14 | ' | |
Interest income: | ' | ' | |
Interest income from Agency RMBS | $80,186 | $72,101 | [1] |
Other interest income | 4,181 | 960 | [1] |
Total interest income | 84,367 | 73,061 | [1] |
Interest expense | 28,346 | 36,987 | [1] |
Net interest income | 56,021 | 36,074 | [1] |
Other income (loss): | ' | ' | |
Net realized gain (loss) on investments | 16,670 | 46,680 | [1] |
Net unrealized gain (loss) on investments | 89,234 | -125,491 | [1] |
Net realized gain (loss) on termination of swap and cap contracts | -9,323 | 8,630 | [1] |
Net unrealized gain (loss) on swap and cap contracts | -16,240 | 23,417 | [1] |
Other income | 119 | 40 | [1] |
Total other income (loss) | 80,460 | -46,724 | [1] |
Expenses: | ' | ' | |
Compensation and benefits | 3,629 | 3,320 | [1] |
General, administrative and other | 2,165 | 2,233 | [1] |
Total expenses | 5,794 | 5,553 | [1] |
Net income (loss) | 130,687 | -16,203 | [1] |
Dividends on preferred stock | 5,203 | 1,453 | [1] |
Net income (loss) available to common shares | $125,484 | ($17,656) | [1] |
Net income (loss) per common share basic & diluted | $0.78 | ($0.10) | [1] |
Dividends declared per common share | $0.32 | $0.32 | [1] |
[1] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. |
Consolidated_Statement_Of_Chan
Consolidated Statement Of Changes In Stockholders Equity (USD $) | Total | Common Stock Par Value | Additional Paid-in Capital | Accumulated Deficit | Series A Preferred Stock | Series B Preferred Stock | |
In Thousands | |||||||
Balance at Dec. 31, 2013 | $1,768,656 | [1],[2] | $1,616 | $2,046,530 | ($545,390) | $72,369 | $193,531 |
Net income (loss) | 130,687 | 0 | 0 | 130,687 | 0 | 0 | |
Issuance of common stock | 0 | -4 | 4 | 0 | 0 | 0 | |
Issuance of preferred stock | 0 | 0 | 0 | 0 | 0 | 0 | |
Amortization of share based compensation | 1,115 | 0 | 1,115 | 0 | 0 | 0 | |
Repurchase and cancellation of common stock | 133 | 0 | 133 | 0 | 0 | 0 | |
Preferred dividends | 5,203 | 0 | 0 | 5,203 | 0 | 0 | |
Common dividends | -51,849 | 0 | 0 | -51,849 | 0 | 0 | |
Balance at Mar. 31, 2014 | $1,843,273 | $1,620 | $2,047,508 | ($471,755) | $72,369 | $193,531 | |
[1] | Derived from audited financial statements. | ||||||
[2] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. |
Consolidated_Statements_Of_Cas
Consolidated Statements Of Cash Flows (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | ||
Document Period End Date | 31-Mar-14 | ' | ||
Cash flows from operating activities: | ' | ' | ||
Net income (loss) | $130,687 | ($16,203) | [1] | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ' | ' | ||
Amortization of share based compensation | 1,115 | 771 | [1] | |
Amortization of premiums and discounts on investment securities | 10,303 | 45,837 | [1] | |
Amortization of premiums on interest rate cap contracts | 6,254 | 4,687 | [1] | |
Net realized (gain) loss on investments | -16,670 | -46,680 | [1] | |
Net realized (gain) loss on termination of cap contracts | 0 | -8,630 | [1] | |
Net unrealized (gain) loss on investments | -89,234 | 125,491 | [1] | |
Net unrealized (gain) loss on swap and cap contracts | 16,240 | -23,417 | [1] | |
Change in assets and liabilities: | ' | ' | ||
Interest receivable | 2,747 | 1,741 | [1] | |
Other assets | 274 | 284 | [1] | |
Accrued interest payable | -9,631 | -7,279 | [1] | |
Accrued expenses and other liabilities | -2,602 | 1,008 | [1] | |
Net cash provided by (used in) operating activities | 49,483 | 77,610 | [1] | |
Cash flows from investing activities: | ' | ' | ||
Purchase of investment securities | -7,421,216 | -12,061,807 | [1] | |
Premium paid on interest rate caps | 0 | -65,260 | [1] | |
Proceeds from disposition of investment securities | 7,788,084 | 11,554,270 | [1] | |
Proceeds from termination of interest rate cap contracts | 0 | 41,250 | [1] | |
Proceeds from paydowns of investment securities | 279,846 | 942,664 | [1] | |
Change in assets and liabilities: | ' | ' | ||
Receivable for securities sold and principal repayments | 425,651 | -404,593 | [1] | |
Payable for securities purchased | 84,777 | 142,000 | [1] | |
Payable for cash received as collateral | 18 | 3,561 | [1] | |
Net cash provided by (used in) investing activities | 1,157,160 | 152,085 | [1] | |
Cash flows from financing activities: | ' | ' | ||
Proceeds from repurchase agreements | 21,193,497 | 35,282,869 | [1] | |
Repayments of repurchase agreements | -22,386,399 | -35,503,701 | [1] | |
Net payments from repurchase of common stock | -133 | -7,829 | [1] | |
Distributions paid | -5,204 | -1,453 | [1] | |
Net cash used in financing activities | -1,198,239 | -230,114 | [1] | |
Net increase (decrease) in cash and cash equivalents | 8,404 | -419 | [1] | |
Cash and cash equivalents - Beginning of period | 4,992 | [1],[2] | 13,882 | [1] |
Cash and cash equivalents - End of period | 13,396 | 13,463 | [1] | |
Supplemental disclosures of cash flow information: | ' | ' | ||
Interest paid | 41,220 | 41,563 | [1] | |
Supplemental disclosures of non-cash flow information: | ' | ' | ||
Distributions declared, not yet paid | $56,258 | $57,115 | [1] | |
[1] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. | |||
[2] | Derived from audited financial statements. |
Orginazation
Orginazation | 3 Months Ended |
Mar. 31, 2014 | |
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. 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”), and debt securities issued by the United States Department of Treasury ("U.S. Treasury Securities"). The Company may also purchase collateralized mortgage obligations issued by a government agency or government-sponsored entity that are collateralized by Agency RMBS ("CMOs"), or securities issued by 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) | 3 Months Ended | ||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||
Accounting Policies [Abstract] | ' | ||||||||||||||||||
Significant Accounting Policies | ' | ||||||||||||||||||
SIGNIFICANT ACCOUNTING POLICIES | |||||||||||||||||||
Basis of Presentation | |||||||||||||||||||
The accompanying interim unaudited consolidated 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 consolidated financial statements should be read in conjunction with the Company’s audited financial statements as of and for the year ended December 31, 2013, 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 used financial reporting for investment companies. Accounting Standards Update No. 2013-08 impacted the Company by requiring entities that adopted Statement of Position ("SOP") 07-1 before the FASB’s indefinite deferral to assess whether they continue to be within the scope of ASC 946 as a result of amendments to ASC 946. The Company determined real estate investment trusts are excluded from the scope of ASC 946 and effective January 1, 2014, the Company discontinued use of investment company accounting. | |||||||||||||||||||
Reclassification and Presentation | |||||||||||||||||||
Effective January 1, 2014, the Company discontinued its application of Topic 946. Upon transition, the following changes and elections were made: | |||||||||||||||||||
(i) | investments are now presented as available-for-sale securities in accordance with ASC Topic 320 Investments—Debt and Equity Securities, | ||||||||||||||||||
(ii) | management elected the Fair Value Option (“FVO”) under ASC 825 for all investments held. As a result of the FVO election, all changes in the fair value of investments held on January 1, 2014 will continue to be recorded in the Company’s unaudited consolidated statements of operations, and | ||||||||||||||||||
(iii) | the Company elected not to designate its derivatives as hedging instruments in accordance with ASC 815. As a result, all changes in the fair value of derivative instruments held on January 1, 2014 will also continue to be recorded in the Company’s consolidated statements of operations. | ||||||||||||||||||
The discontinuation of Topic 946 accounting changed the presentation of the Company's consolidated financial statements prospectively, the most significant of which are as follows: | |||||||||||||||||||
(i) | the schedule of investments has been replaced with the available-for-sale tables in the footnotes, | ||||||||||||||||||
(ii) | reformatted the statement of assets and liabilities to a consolidated balance sheet presentation, | ||||||||||||||||||
(iii) | reformatted the consolidated statements of operations to include the statement of comprehensive income (loss), as applicable, | ||||||||||||||||||
(iv) | reclassified net swap and cap interest expense into interest expense on the consolidated statements of operations, | ||||||||||||||||||
(v) | removed the statement of changes in net assets and included the consolidated statement of changes in stockholders’ equity, | ||||||||||||||||||
(vi) | reformatted the statement of cash flows and included an investing section, | ||||||||||||||||||
(vii) | changed certain footnotes to reflect conformity with applicable U.S. GAAP for non-investment companies, | ||||||||||||||||||
(viii) | included summary information on the amortization/accretion of bond premium/discounts, and | ||||||||||||||||||
(ix) | removed the financial highlights as it is no longer required. | ||||||||||||||||||
Principles of Consolidation | |||||||||||||||||||
The unaudited consolidated financial statements include the accounts of the Company and all of its subsidiaries. The Company also considers the provisions of ASC Topic 810 on consolidation in determining whether consolidation is appropriate for any interests held in variable interest entities. All intercompany balances and transactions have been eliminated. | |||||||||||||||||||
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 unaudited consolidated 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 interest income. | |||||||||||||||||||
Investments in Securities | |||||||||||||||||||
The Company's securities are recorded in accordance with ASC 320. The Company has chosen to make a fair value election pursuant to ASC 825, Financial Instruments, for its securities, and therefore investment securities are recorded at fair market value on the consolidated balance sheets and the periodic changes in fair market value are recorded in current period earnings on the consolidated statements of operations as a component of net unrealized gain (loss) on investments. These investments generally meet the requirements to be classified as available-for-sale under ASC 320, which requires the securities to be carried at fair value on the balance sheet with changes in fair value charged to other comprehensive income, a component of stockholders’ equity. Electing the fair value option allows the Company to record changes in fair value in the consolidated statements of operations, which in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. | |||||||||||||||||||
Offsetting | |||||||||||||||||||
Repurchase agreements and derivative contracts are entered into by the Company under Master Repurchase Agreements (“MRA”) and International Standard Derivative Agreements (“ISDA”). Pursuant to the terms of the MRA or ISDA, the Company receives or posts securities and/or cash as collateral with a market value that may be in excess of the purchase price to be paid or received by the Company upon the maturity of the transaction. Under repurchase agreements and derivatives, typically the Company and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. MRAs and ISDAs may include provisions that permit the Company and/or a counterparty, under certain circumstances, including under defined events of default, to offset payables and/or receivables under transactions entered into pursuant to the terms of an MRA or ISDA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Company. However, bankruptcy or insolvency laws of a particular jurisdiction under which a counterparty may become subject in the event of an MRA or ISDA counterparty’s bankruptcy or insolvency may impose restrictions on or prohibitions against any such right of offset. Upon a bankruptcy or insolvency of an MRA or ISDA counterparty, the Company may be considered an unsecured creditor with respect to excess collateral pledged to the counterparty and, as such, the return of excess collateral may be delayed, the amount returned reduced, or otherwise prohibited, depending on the final determination and outcome of any such bankruptcy or insolvency proceedings. The Company reports amounts subject to its’ MRAs and ISDAs in the unaudited consolidated balance sheets on a gross basis without regard to such rights of offset. | |||||||||||||||||||
At March 31, 2014 and December 31, 2013, the Company's derivative assets and liabilities (by type) are as follows (in thousands): | |||||||||||||||||||
March 31, 2014 | Assets | Liabilities | |||||||||||||||||
Interest rate swap contracts | $ | 57,270 | $ | 17,767 | |||||||||||||||
Interest rate cap contracts | 204,252 | — | |||||||||||||||||
Total derivative assets and liabilities in the consolidated balance sheet | 261,522 | 17,767 | |||||||||||||||||
Derivatives not subject to a master netting agreement or similar agreement ("MNA") | 10,208 | 1,251 | |||||||||||||||||
Total assets and liabilities subject to a MNA | $ | 251,314 | $ | 16,516 | |||||||||||||||
December 31, 2013 | Assets | Liabilities | |||||||||||||||||
Interest rate swap contracts | $ | 61,004 | $ | 29,458 | |||||||||||||||
Interest rate cap contracts | 234,703 | — | |||||||||||||||||
Total derivative assets and liabilities in the consolidated balance sheet | 295,707 | 29,458 | |||||||||||||||||
Derivatives not subject to a master netting agreement or similar agreement ("MNA") | 11,188 | 440 | |||||||||||||||||
Total assets and liabilities subject to a MNA | $ | 284,519 | $ | 29,018 | |||||||||||||||
Below is a summary of the Company's assets subject to offsetting provisions (in thousands): | |||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
As of | Description | Amounts of Assets Presented in the Consolidated Balance Sheet | Instruments Available for Offset | Collateral Received(1) | Net Amount(2) | ||||||||||||||
March 31, 2014 | Derivative assets | $ | 251,314 | $ | 7,969 | $ | 216,836 | $ | 26,509 | ||||||||||
December 31, 2013 | Derivative assets | 284,519 | 9,237 | 244,721 | 30,561 | ||||||||||||||
-1 | Collateral consists of Agency RMBS, U.S. Treasuries and cash. Excess collateral received is not shown for financial reporting purposes. | ||||||||||||||||||
-2 | Net amount represents the net amount receivable from the counterparty in the event of default. | ||||||||||||||||||
Below is a summary of the Company's liabilities subject to offsetting provisions (in thousands): | |||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
As of | Description | Amounts of Liabilities Presented in the Consolidated Balance Sheet | Instruments Available for Offset | Collateral Pledged(1) | Net Amount(2) | ||||||||||||||
31-Mar-14 | Derivative liabilities | $ | 16,516 | $ | 7,969 | $ | 8,547 | $ | — | ||||||||||
31-Mar-14 | Repurchase agreements | 10,014,048 | — | 10,014,048 | — | ||||||||||||||
31-Dec-13 | Derivative liabilities | 29,018 | 9,237 | 19,781 | — | ||||||||||||||
31-Dec-13 | Repurchase agreements | 11,206,950 | — | 11,206,950 | — | ||||||||||||||
-1 | Collateral consists of Agency RMBS, U.S. Treasuries and cash. Further detail of collateral pledged on repurchase agreements is disclosed in note 5. Excess collateral pledged is not shown for financial reporting purposes. | ||||||||||||||||||
-2 | Net amount represents the net amount payable from the counterparty in the event of default. | ||||||||||||||||||
Interest Rate Swap and Cap Contracts | |||||||||||||||||||
The Company utilizes interest rate swaps and caps to hedge the interest rate risk associated with financing its portfolio. The Company does not designate interest rate swaps and caps as cash flow or fair value hedges under GAAP. 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 and amortization of premiums on cap contracts are reported under interest expense in the unaudited consolidated 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. | |||||||||||||||||||
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 March 31, 2014 and December 31, 2013, 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 to establish valuation policies and procedures as well as approve valuations monthly at a pricing meeting. The pricing committee is composed 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 also 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 prices 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 brokers. 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. All prices are reviewed by the Company. To date, the Company has not adjusted any of the prices received from third party pricing services or brokers. 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 services' 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 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 March 31, 2014 and December 31, 2013, the Company pledged Agency RMBS with a fair value of $3.6 million and $12.3 million, respectively, on its open forward settling transactions. | |||||||||||||||||||
Repurchase Agreements | |||||||||||||||||||
Repurchase agreements are borrowings collateralized by the Company’s Agency RMBS and 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 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 interest income from Agency RMBS in the consolidated 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 interest income from Agency RMBS on the unaudited consolidated statements of operations as they occur. | |||||||||||||||||||
Compensation and Benefits | |||||||||||||||||||
Included in the Company’s compensation and benefits are salaries, incentive compensation, benefits, and share based compensation. 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. |
Earnings_Per_Share_Notes
Earnings Per Share (Notes) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
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 amounts): | ||||||||
Three Months Ended March 31, | ||||||||
2014 | 2013 | |||||||
Net income (loss) | $ | 130,687 | $ | (16,203 | ) | |||
Less preferred stock dividends | (5,203 | ) | (1,453 | ) | ||||
Net income (loss) available to common shares | 125,484 | (17,656 | ) | |||||
Less dividends paid: | ||||||||
Common shares | (51,515 | ) | (55,587 | ) | ||||
Unvested shares | (334 | ) | (285 | ) | ||||
Undistributed earnings (loss) | 73,635 | (73,528 | ) | |||||
Basic weighted average shares outstanding: | ||||||||
Common shares | 160,936 | 174,134 | ||||||
Basic earnings (loss) per common share: | ||||||||
Distributed earnings | $ | 0.32 | $ | 0.32 | ||||
Undistributed earnings (loss) | 0.46 | (0.42 | ) | |||||
Basic earnings (loss) per common share | $ | 0.78 | $ | (0.10 | ) | |||
Diluted weighted average shares outstanding: | ||||||||
Common shares | 160,936 | 174,134 | ||||||
Net effect of dilutive stock options (1) | — | — | ||||||
160,936 | 174,134 | |||||||
Diluted earnings (loss) per common share: | ||||||||
Distributed earnings | $ | 0.32 | $ | 0.32 | ||||
Undistributed earnings (loss) | 0.46 | (0.42 | ) | |||||
Diluted earnings (loss) per common share | $ | 0.78 | $ | (0.10 | ) | |||
__________________ | ||||||||
-1 | For the three months ended March 31, 2014 and 2013, 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) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Derivative, Fair Value, Net [Abstract] | ' | ||||||||||||||||||||||||
Investments In Securities And Interest Rate Swap And Cap Contracts | ' | ||||||||||||||||||||||||
INVESTMENTS IN SECURITIES, INTEREST RATE SWAP AND CAP CONTRACTS AND OTHER ASSETS | |||||||||||||||||||||||||
In accordance with the discontinuation of investment company accounting under Topic 946, the Company was required to add the available-for-sale disclosures into this note. Those disclosures include (i) the table disclosing the amortized cost, gross unrealized gains, gross unrealized losses and fair value of available-for-sale investments, (ii) the table showing the gross gains and gross losses upon the sale of available-for-sale securities, and (iii) the table disclosing the unamortized premium and unamortized discount on available-for-sale securities. See note 2 for more information on the impacts of the discontinuation of Topic 946. | |||||||||||||||||||||||||
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 in the unaudited consolidated 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 March 31, 2014 and December 31, 2013 (in thousands): | |||||||||||||||||||||||||
March 31, 2014 | Fair Value Measurements Using | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Agency RMBS | $ | — | $ | 11,770,423 | $ | — | $ | 11,770,423 | |||||||||||||||||
U.S. Treasury Securities | 1,537,312 | — | — | 1,537,312 | |||||||||||||||||||||
Other Investments | — | — | 6,945 | 6,945 | |||||||||||||||||||||
Derivative assets | — | 261,522 | — | 261,522 | |||||||||||||||||||||
Total | $ | 1,537,312 | $ | 12,031,945 | $ | 6,945 | $ | 13,576,202 | |||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Derivative liabilities | $ | — | $ | 17,767 | $ | — | $ | 17,767 | |||||||||||||||||
December 31, 2013 | Fair Value Measurements Using | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Agency RMBS | $ | — | $ | 13,858,848 | $ | — | $ | 13,858,848 | |||||||||||||||||
Other investments | — | — | 6,945 | 6,945 | |||||||||||||||||||||
Derivative assets | — | 295,707 | — | 295,707 | |||||||||||||||||||||
Total | $ | — | $ | 14,154,555 | $ | 6,945 | $ | 14,161,500 | |||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Derivative liabilities | $ | — | $ | 29,458 | $ | — | $ | 29,458 | |||||||||||||||||
Other investments is comprised of real estate assets. The table below presents a reconciliation of changes in other investments classified as Level 3 in the Company’s unaudited consolidated financial statements for the three months ended March 31, 2014 and 2013. | |||||||||||||||||||||||||
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 March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Level 3 Fair Value Reconciliation | |||||||||||||||||||||||||
(In thousands) | Three Months Ended March 31, | ||||||||||||||||||||||||
Other investments | 2014 | 2013 | |||||||||||||||||||||||
Beginning balance level 3 assets | $ | 6,945 | $ | 19,576 | |||||||||||||||||||||
Cash payments recorded as a reduction of cost basis | — | (236 | ) | ||||||||||||||||||||||
Change in net unrealized gain (loss) | — | (5,518 | ) | ||||||||||||||||||||||
Net sales | — | (10,455 | ) | ||||||||||||||||||||||
Net gain (loss) on sales | — | 5,128 | |||||||||||||||||||||||
Transfers into (out of) level 3 | — | — | |||||||||||||||||||||||
Ending balance level 3 assets | $ | 6,945 | $ | 8,495 | |||||||||||||||||||||
The available-for-sale portfolio consisted of the following (in thousands): | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Asset Type | Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | |||||||||||||||||||||
Fannie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | $ | 8,782,160 | $ | (24,538 | ) | $ | 73,002 | $ | 8,830,624 | ||||||||||||||||
ARMs | 1,393,752 | (22,386 | ) | 2,974 | 1,374,340 | ||||||||||||||||||||
Total Fannie Mae | 10,175,912 | (46,924 | ) | 75,976 | 10,204,964 | ||||||||||||||||||||
Freddie Mac Certificates | |||||||||||||||||||||||||
Fixed Rate | 785,234 | (96 | ) | 10,988 | 796,126 | ||||||||||||||||||||
ARMs | 540,099 | (12,527 | ) | 1,170 | 528,742 | ||||||||||||||||||||
Total Freddie Mac | 1,325,333 | (12,623 | ) | 12,158 | 1,324,868 | ||||||||||||||||||||
Ginnie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | 155,994 | — | 1,038 | 157,032 | |||||||||||||||||||||
ARMs | 81,756 | — | 1,803 | 83,559 | |||||||||||||||||||||
Total Ginnie Mae | 237,750 | — | 2,841 | 240,591 | |||||||||||||||||||||
U.S. Treasury Securities | 1,543,928 | (6,616 | ) | — | 1,537,312 | ||||||||||||||||||||
Other Investments | 6,945 | — | — | 6,945 | |||||||||||||||||||||
Total | $ | 13,289,868 | $ | (66,163 | ) | $ | 90,975 | $ | 13,314,680 | ||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Fannie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | $ | 10,629,503 | $ | (72,295 | ) | $ | 45,660 | $ | 10,602,868 | ||||||||||||||||
ARMs | 1,439,379 | (27,277 | ) | 2,796 | 1,414,898 | ||||||||||||||||||||
Total Fannie Mae | 12,068,882 | (99,572 | ) | 48,456 | 12,017,766 | ||||||||||||||||||||
Freddie Mac Certificates | |||||||||||||||||||||||||
Fixed Rate | 1,055,991 | (7,083 | ) | 6,231 | 1,055,139 | ||||||||||||||||||||
ARMs | 554,395 | (15,701 | ) | 1,334 | 540,028 | ||||||||||||||||||||
Total Freddie Mac | 1,610,386 | (22,784 | ) | 7,565 | 1,595,167 | ||||||||||||||||||||
Ginnie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | 158,792 | (500 | ) | — | 158,292 | ||||||||||||||||||||
ARMs | 85,211 | — | 2,412 | 87,623 | |||||||||||||||||||||
Total Ginnie Mae | 244,003 | (500 | ) | 2,412 | 245,915 | ||||||||||||||||||||
Other Investments | 6,945 | — | — | 6,945 | |||||||||||||||||||||
Total | $ | 13,930,216 | $ | (122,856 | ) | $ | 58,433 | $ | 13,865,793 | ||||||||||||||||
The following table presents the gross unrealized loss and fair values of our available-for-sale agency securities by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2014 and December 31, 2013 (in thousands): | |||||||||||||||||||||||||
Unrealized loss positions for | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 months | Total | |||||||||||||||||||||||
As of | Fair value | Unrealized loss | Fair value | Unrealized loss | Fair value | Unrealized loss | |||||||||||||||||||
March 31, 2014 | $ | 5,538,071 | $ | (36,108 | ) | $ | 912,847 | $ | (30,055 | ) | $ | 6,450,918 | $ | (66,163 | ) | ||||||||||
December 31, 2013 | 8,415,016 | (107,018 | ) | 408,348 | (15,837 | ) | 8,823,364 | (122,855 | ) | ||||||||||||||||
The following table is a summary of our net gain (loss) from the sale of available-for-sale investments for the three months ended March 31, 2014 and 2013 (in thousands): | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
Available-for-sale investments, at cost | $ | 7,771,414 | $ | 11,507,590 | |||||||||||||||||||||
Proceeds from available-for-sale investments sold | 7,788,084 | 11,554,270 | |||||||||||||||||||||||
Net gain on sale of available-for-sale investments | 16,670 | 46,680 | |||||||||||||||||||||||
Gross gain on sale of available-for-sale investments | 51,142 | 67,017 | |||||||||||||||||||||||
Gross loss on sale of available-for-sale investments | (34,472 | ) | (20,337 | ) | |||||||||||||||||||||
Net gain on sale of available-for-sale investments | $ | 16,670 | $ | 46,680 | |||||||||||||||||||||
The components of the carrying value of available-for-sale securities at March 31, 2014 and December 31, 2013 are presented below. The premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates, and conversely, the discount purchase price is due to the average coupon interest rates on these investments being lower than prevailing market rates. As of March 31, 2014, the weighted average coupon interest rate on the Company's Agency RMBS and U.S. Treasury Securities was 3.27% and 1.50%, respectively. As of December 31, 2013, the weighed average coupon interest rate on the Company's Agency RMBS was 3.30%. | |||||||||||||||||||||||||
(in thousands) | March 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Principal balance | $ | 12,961,926 | $ | 13,581,742 | |||||||||||||||||||||
Unamortized premium | 335,349 | 351,476 | |||||||||||||||||||||||
Unamortized discount | (7,407 | ) | (3,002 | ) | |||||||||||||||||||||
Gross unrealized gains | 90,975 | 58,433 | |||||||||||||||||||||||
Gross unrealized losses | (66,163 | ) | (122,856 | ) | |||||||||||||||||||||
Fair value | $ | 13,314,680 | $ | 13,865,793 | |||||||||||||||||||||
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 March 31, 2014 and December 31, 2013, the range of final contractual maturity of the Company’s Agency RMBS portfolio is between 2024 and 2044. As of March 31, 2014 the final maturity of the Company's U.S. Treasury Securities was between 2018 and 2019. | |||||||||||||||||||||||||
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 months ended March 31, 2014 and 2013 (in thousands): | |||||||||||||||||||||||||
Three Months Ended March 31, 2014 | Three Months Ended March 31, 2013 | ||||||||||||||||||||||||
Trade Date | Transaction | Notional | Trade Date | Transaction | Notional | ||||||||||||||||||||
Feb-14 | Terminated | $ | (500,000 | ) | Feb-13 | Opened | $ | 1,500,000 | |||||||||||||||||
Net Decrease | $ | (500,000 | ) | Mar-13 | Terminated | (500,000 | ) | ||||||||||||||||||
Mar-13 | Opened | 1,200,000 | |||||||||||||||||||||||
Net Increase | $ | 2,200,000 | |||||||||||||||||||||||
As of March 31, 2014 and December 31, 2013, the Company had pledged Agency RMBS and U.S. Treasury Securities with a fair value of $38.5 million and $63.0 million, respectively, as collateral on interest rate swap and cap contracts. As of March 31, 2014 the Company had Agency RMBS and U.S. Treasury Securities of $186.9 million and cash of $38.0 million pledged to it as collateral for its interest rate swap and cap contracts. As of December 31, 2013 the Company had Agency RMBS and U.S. Treasury Securities of $211.4 million and cash of $37.9 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 March 31, 2014 and December 31, 2013 (in thousands): | |||||||||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | |||||||||||||||||||||||||
Interest Rate Swap Contracts | Notional Amount | Fair Value | Consolidated Balance Sheets | ||||||||||||||||||||||
March 31, 2014 | $ | 1,550,000 | $ | (17,767 | ) | Derivative liabilities, at fair value | |||||||||||||||||||
March 31, 2014 | 4,250,000 | 57,270 | Derivative assets, at fair value | ||||||||||||||||||||||
December 31, 2013 | 2,050,000 | (29,458 | ) | Derivative liabilities, at fair value | |||||||||||||||||||||
December 31, 2013 | 4,250,000 | 61,004 | Derivative assets, at fair value | ||||||||||||||||||||||
Interest Rate Cap Contracts | Notional Amount | Fair Value | Consolidated Balance Sheets | ||||||||||||||||||||||
March 31, 2014 | $ | 3,900,000 | $ | 204,252 | Derivative assets, at fair value | ||||||||||||||||||||
December 31, 2013 | 3,900,000 | 234,703 | Derivative assets, at fair value | ||||||||||||||||||||||
The following table presents information about the net realized and unrealized gain and loss on swap and cap contracts for the three months ended March 31, 2014 and 2013 on the Company's interest rate swap and cap contracts not designated as hedging instruments under ASC 815 (see Note 2 for additional information on the Company's purpose for entering into interest rate swaps and caps)(in thousands): | |||||||||||||||||||||||||
Amount Recognized in Income on Derivatives | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
Derivative Type | Location of Gain or (Loss) Recognized in Income on Derivative | 2014 | 2013 | ||||||||||||||||||||||
Interest rate swaps and caps | Interest expense | $ | (18,917 | ) | $ | (21,956 | ) | ||||||||||||||||||
Interest rate swaps and caps | Net realized gain (loss) on termination of swap and cap contracts | (9,323 | ) | 8,630 | |||||||||||||||||||||
Interest rate swaps and caps | Net unrealized gain (loss) on swap and cap contracts | (16,240 | ) | 23,417 | |||||||||||||||||||||
Interest rate swaps and caps | Total recognized in income on derivatives | $ | (44,480 | ) | $ | 10,091 | |||||||||||||||||||
Credit Risk | |||||||||||||||||||||||||
At March 31, 2014 and December 31, 2013, 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) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Short-term Debt [Abstract] | ' | |||||||
Borrowings | ' | |||||||
BORROWINGS | ||||||||
The Company leverages its 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. | ||||||||
(in thousands) | March 31, 2014 | December 31, 2013 | ||||||
Outstanding repurchase agreements | $ | 10,014,048 | $ | 11,206,950 | ||||
Interest accrued thereon | $ | 3,079 | $ | 7,204 | ||||
Weighted average borrowing rate | 0.31 | % | 0.41 | % | ||||
Weighted average remaining maturity (in days) | 43.4 | 39.9 | ||||||
Fair value of the collateral(1) | $ | 10,440,488 | $ | 11,760,720 | ||||
__________________ | ||||||||
-1 | Collateral for repurchase agreements consisted of Agency RMBS and U.S. Treasury Securities. | |||||||
At March 31, 2014 and December 31, 2013, the Company did not have any borrowings under repurchase agreements where the amount at risk with an individual counterparty exceeded 10% of stockholders' equity. |
Contingencies_Notes
Contingencies (Notes) | 3 Months Ended |
Mar. 31, 2014 | |
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 March 31, 2014 and December 31, 2013, no claims have been asserted under these indemnification agreements. Accordingly, the Company has no liabilities recorded for these agreements as of March 31, 2014 and December 31, 2013. |
Share_Capital_Notes
Share Capital (Notes) | 3 Months Ended |
Mar. 31, 2014 | |
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 March 31, 2014 and December 31, 2013, the Company had issued and outstanding 162,024,461 and 161,650,114 shares of common stock, respectively. | |
The Company has authorized 50,000,000 shares of preferred stock having a par value of $0.01 per share. As of March 31, 2014 and December 31, 2013, 3,000,000 shares of 7.75% Series A Preferred Stock ($25.00 liquidation preference) were issued and outstanding. As of March 31, 2014, and December 31, 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 April 30, 2013, the Company closed a public offering of 8.0 million shares of its Series B Preferred Stock, liquidation preference of $25.00 per share, for total net proceeds of approximately $193.5 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 three months ended March 31, 2014 and 2013 the Company did not issue any shares under the plan. As of March 31, 2014 and December 31, 2013, there were approximately 4.1 million shares available for issuance under the plan. | |
Restricted Stock Awards | |
For the three months ended March 31, 2014 and 2013, the Company granted 0.4 million and 0.3 million 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 three months ended March 31, 2014 and 2013, the Company did not issue any shares under the plan. As of March 31, 2014 and December 31, 2013, 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 $250.0 million. For the three months ended March 31, 2014, the Company did not make any repurchases. For the three months ended March 31, 2013, the Company repurchased 0.6 million shares with a weighted average purchase price of $11.81 or approximately $7.6 million in the aggregate. As of March 31, 2014 the Company had approximately $134.3 million available for future repurchases under the program. |
Subsequent_Events_Notes
Subsequent Events (Notes) | 3 Months Ended |
Mar. 31, 2014 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
SUBSEQUENT EVENTS | |
On April 1, 2014, an aggregate of 13,587 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 7.6% for the month of April 2014. |
Investment_Company_Accounting_
Investment Company Accounting Disclosures (Notes) | 3 Months Ended | ||||||||||
Mar. 31, 2014 | |||||||||||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' | ||||||||||
Investment Holdings, Schedule of Investments [Text Block] | ' | ||||||||||
INVESTMENT COMPANY ACCOUNTING DISCLOSURES | |||||||||||
The information in the below tables was required under investment company accounting for which the Company ceased to meet the criteria on January 1, 2014. However, as of December 31, 2013, the Company used investment company accounting under ASC 946 and the following schedules have been included to comply with ASC 946. See note 2 for more information. | |||||||||||
SCHEDULE OF INVESTMENTS | |||||||||||
DECEMBER 31, 2013 | |||||||||||
INVESTMENTS IN SECURITIES – UNITED STATES OF AMERICA | |||||||||||
(in thousands) | Face Amount | Fair Value | |||||||||
Fixed Income Securities - 784.0% (c) | |||||||||||
Mortgage Pass-Through Agency RMBS - 783.6% (c) | |||||||||||
Fannie Mae Pools - 679.5% (c) | |||||||||||
2.14%, due 2/1/2043 (a)(b) | $ | 87,600 | $ | 87,892 | |||||||
2.15%, due 10/1/2042 (a)(b) | 40,103 | 40,356 | |||||||||
2.18%, due 11/1/2042 (a)(b) | 29,015 | 29,160 | |||||||||
2.25%, due 10/1/2042 - 11/1/2042 (a)(b) | 84,755 | 85,399 | |||||||||
2.33%, due 11/1/2042 (a)(b) | 63,251 | 64,029 | |||||||||
2.36%, due 1/1/2043 (a)(b) | 83,235 | 84,181 | |||||||||
2.40%, due 9/1/2042 - 10/1/2042 (a)(b) | 51,272 | 51,974 | |||||||||
2.41%, due 11/1/2042 (a)(b) | 62,378 | 63,235 | |||||||||
2.42%, due 9/1/2042 (a)(b) | 19,388 | 19,677 | |||||||||
2.43%, due 7/1/2042 - 1/1/2043 (a)(b) | 215,819 | 219,176 | |||||||||
2.44%, due 6/1/2042 (a)(b) | 45,301 | 46,050 | |||||||||
2.50%, due 10/1/2042 (a)(b) | 76,110 | 77,442 | |||||||||
2.52%, due 10/1/2042 (a)(b) | 45,306 | 46,099 | |||||||||
2.57%, due 8/1/2042 (a)(b) | 29,496 | 30,079 | |||||||||
2.60%, due 4/1/2042 (a)(b) | 31,018 | 31,707 | |||||||||
2.70%, due 6/1/2042 (a)(b) | 55,666 | 57,043 | |||||||||
2.78%, due 4/1/2042 (a)(b) | 133,381 | 137,323 | |||||||||
2.80%, due 2/1/2042 - 4/1/2042 (a)(b) | 84,553 | 87,096 | |||||||||
2.81%, due 2/1/2042 (a)(b) | 25,550 | 26,361 | |||||||||
2.84%, due 12/1/2041 (a)(b) | 43,963 | 45,398 | |||||||||
3.00%, due 2/1/2027 - 2/1/2029 (a) | 4,839,617 | 4,943,083 | |||||||||
3.00%, due 12/1/2037 (a) | 51,087 | 48,558 | |||||||||
3.00%, due 10/1/2042 (a) | 42,107 | 39,556 | |||||||||
3.05%, due 9/1/2041 (a)(b) | 28,001 | 28,987 | |||||||||
3.24%, due 3/1/2041 (a)(b) | 11,485 | 11,969 | |||||||||
3.37%, due 5/1/2041 - 8/1/2041 (a)(b) | 34,796 | 36,423 | |||||||||
3.50%, due 12/1/2025 - 1/1/2029 (a) | 948,463 | 992,515 | |||||||||
3.50%, due 6/1/2042 - 9/1/2043 (a) | 1,872,351 | 1,862,400 | |||||||||
3.97%, due 9/1/2039 (a)(b) | 7,363 | 7,842 | |||||||||
4.00%, due 1/1/2026 - 4/1/2026 (a) | 229,778 | 243,561 | |||||||||
4.00%, due 7/1/2043 - 2/1/2044 (a) | 2,106,542 | 2,169,411 | |||||||||
4.50%, due 4/1/2030 - 11/1/2030 (a) | 84,730 | 90,796 | |||||||||
4.50%, due 11/1/2041 (a) | 200,955 | 212,988 | |||||||||
Total Fannie Mae Pools | 11,764,435 | 12,017,766 | |||||||||
Freddie Mac Pools - 90.2% (c) | |||||||||||
SCHEDULE OF INVESTMENTS | |||||||||||
DECEMBER 31, 2013 | |||||||||||
INVESTMENTS IN SECURITIES – UNITED STATES OF AMERICA | |||||||||||
(in thousands) | Face Amount | Fair Value | |||||||||
Fixed Income Securities - 784.0% (c) | |||||||||||
Mortgage Pass-Through Agency RMBS - 783.6% (c) | |||||||||||
2.20%, due 2/1/2043 (a)(b) | $ | 28,154 | $ | 28,175 | |||||||
2.22%, due 12/1/2042 (a)(b) | 42,719 | 42,887 | |||||||||
2.30%, due 11/1/2042 (a)(b) | 88,989 | 89,526 | |||||||||
2.43%, due 6/1/2042 (a)(b) | 34,581 | 35,224 | |||||||||
2.44%, due 4/1/2043 (a)(b) | 29,699 | 29,220 | |||||||||
2.46%, due 7/1/2042 (a)(b) | 39,112 | 39,771 | |||||||||
2.52%, due 11/1/2042 (a)(b) | 36,896 | 37,560 | |||||||||
2.54%, due 7/1/2042 (a)(b) | 33,904 | 34,563 | |||||||||
2.55%, due 2/1/2043 (a)(b) | 111,565 | 110,650 | |||||||||
2.59%, due 3/1/2042 (a)(b) | 29,871 | 30,638 | |||||||||
2.79%, due 12/1/2041 (a)(b) | 32,352 | 33,276 | |||||||||
3.31%, due 1/1/2041 (a)(b) | 27,151 | 28,537 | |||||||||
3.50%, due 4/1/2026 - 2/1/2027 (a) | 130,144 | 135,772 | |||||||||
3.50%, due 5/1/2043 - 7/1/2043 (a) | 428,429 | 425,633 | |||||||||
4.00%, due 8/1/2043 - 2/1/2044 (a) | 443,680 | 455,999 | |||||||||
4.50%, due 12/1/2024 - 5/1/2025 (a) | 35,497 | 37,736 | |||||||||
Total Freddie Mac Pools | 1,572,743 | 1,595,167 | |||||||||
Ginnie Mae Pools - 13.9% (c) | |||||||||||
3.00%, due 10/20/2028 (a) | 154,038 | 158,293 | |||||||||
3.50%, due 7/20/2040 (a)(b) | 74,931 | 78,517 | |||||||||
4.00%, due 1/20/2040 (a)(b) | 8,650 | 9,105 | |||||||||
Total Ginnie Mae Pools | 237,619 | 245,915 | |||||||||
Total Mortgage Pass-Through Agency RMBS (Cost - $13,923,271) | 13,574,797 | 13,858,848 | |||||||||
Other Investments - (Cost - $6,945) (d) 0.4% (c) | 6,945 | 6,945 | |||||||||
Total Investments in Securities (Cost - $13,930,216) | $ | 13,581,742 | $ | 13,865,793 | |||||||
Interest Rate Cap Contracts - 13.3%(c)(e) | |||||||||||
Expiration | Cap Rate | Notional Amount | Fair Value | ||||||||
10/15/15 | 1.43 | % | $ | 300,000 | $ | 164 | |||||
11/8/15 | 1.36 | % | 200,000 | 145 | |||||||
5/23/19 | 2 | % | 300,000 | 12,853 | |||||||
6/1/19 | 1.75 | % | 300,000 | 14,679 | |||||||
6/29/19 | 1.5 | % | 300,000 | 16,539 | |||||||
7/2/19 | 1.5 | % | 300,000 | 16,970 | |||||||
7/16/19 | 1.25 | % | 500,000 | 31,335 | |||||||
3/26/20 | 1.25 | % | 500,000 | 41,322 | |||||||
3/30/20 | 1.25 | % | 700,000 | 57,785 | |||||||
5/20/20 | 1.25 | % | 500,000 | 42,911 | |||||||
Total Interest Rate Cap Contracts (Cost, $137,117) | $ | 3,900,000 | $ | 234,703 | |||||||
SCHEDULE OF INVESTMENTS | |||||||||||
DECEMBER 31, 2013 | |||||||||||
INVESTMENTS IN SECURITIES – UNITED STATES OF AMERICA | |||||||||||
(in thousands) | |||||||||||
Interest Rate Swap Contracts - 1.8%(c)(e) | |||||||||||
Expiration | Pay Rate | Notional Amount | Fair Value | ||||||||
2/14/15 | 2.15 | % | $ | 500,000 | $ | (10,255 | ) | ||||
6/2/16 | 1.94 | % | 300,000 | (9,526 | ) | ||||||
12/19/16 | 1.43 | % | 250,000 | (4,255 | ) | ||||||
4/24/17 | 1.31 | % | 500,000 | (4,982 | ) | ||||||
7/13/17 | 0.86 | % | 750,000 | 6,583 | |||||||
9/6/17 | 0.77 | % | 250,000 | 3,755 | |||||||
9/6/17 | 0.77 | % | 500,000 | 7,407 | |||||||
9/6/17 | 0.77 | % | 250,000 | 3,804 | |||||||
11/7/17 | 1.11 | % | 500,000 | 3,240 | |||||||
11/29/17 | 0.87 | % | 500,000 | 8,136 | |||||||
2/21/18 | 1.02 | % | 500,000 | 7,948 | |||||||
2/27/18 | 0.96 | % | 500,000 | 9,226 | |||||||
4/25/2018(f) | 1.01 | % | 500,000 | 10,905 | |||||||
8/15/18 | 1.65 | % | 500,000 | (440 | ) | ||||||
Interest Rate Swap Contracts (Cost, $0) | $ | 6,300,000 | $ | 31,546 | |||||||
__________________ | |||||||||||
LEGEND | |||||||||||
(a) | Securities or a portion of the securities are pledged as collateral for repurchase agreements or interest rate swap contracts or forward settling transactions. | ||||||||||
(b) | The coupon rate shown on floating or adjustable rate securities represents the rate at December 31, 2013. | ||||||||||
(c) | Percentage of stockholders' equity. | ||||||||||
(d) | Comprised of investments that were individually less than 1% of stockholders' equity. | ||||||||||
(e) | The Company’s interest rate swap contracts receive a floating rate set quarterly to three month LIBOR. Interest rate caps receive a floating rate quarterly in the amount of three month LIBOR that is in excess of the cap rate. | ||||||||||
(f) | The interest rate swap effective date is April 25, 2014, and it does not accrue any income or expense until that date. | ||||||||||
FINANCIAL HIGHLIGHTS | |||||||||||
In accordance with financial reporting requirements applicable to investment companies, the Company has included below certain financial highlight information for the three months ended March 31, 2013: | |||||||||||
Per Common Share | |||||||||||
Three Months Ended March 31, 2013 | |||||||||||
Net asset value, beginning of period | $ | 13.31 | |||||||||
Net income (loss): | |||||||||||
Net investment income | 0.3 | (a) | |||||||||
Net gain (loss) from investments and swap and cap contracts | (0.39 | ) | (a) | ||||||||
Net income (loss) | (0.09 | ) | |||||||||
Dividends on preferred stock | (0.01 | ) | (a) | ||||||||
Net income (loss) available to common shares | (0.10 | ) | |||||||||
Capital transactions: | |||||||||||
Distributions to common stockholders | (0.32 | ) | |||||||||
Issuance/Repurchase of common and preferred shares and amortization of share based compensation | (0.02 | ) | (a) | ||||||||
Net decrease in net asset value from capital transactions | (0.34 | ) | |||||||||
Net asset value, end of period | $ | 12.87 | |||||||||
Net asset value total return (%)(d) | (0.90 | )% | (b) | ||||||||
Market value total return (%) | 2.11 | % | (b) | ||||||||
Ratios to Average Net Assets | |||||||||||
Expenses before interest expense | 0.94 | % | (c) | ||||||||
Total expenses | 3.49 | % | (c) | ||||||||
Net investment income | 8.91 | % | (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. | ||||||||||
(d) | May also be referred to as common book value total return. |
Significant_Accounting_Policie1
Significant Accounting Policies (Policies) | 3 Months Ended | ||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||
Accounting Policies [Abstract] | ' | ||||||||||||||||||
Basis Of Presentation | ' | ||||||||||||||||||
Basis of Presentation | |||||||||||||||||||
The accompanying interim unaudited consolidated 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 consolidated financial statements should be read in conjunction with the Company’s audited financial statements as of and for the year ended December 31, 2013, 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 used financial reporting for investment companies. Accounting Standards Update No. 2013-08 impacted the Company by requiring entities that adopted Statement of Position ("SOP") 07-1 before the FASB’s indefinite deferral to assess whether they continue to be within the scope of ASC 946 as a result of amendments to ASC 946. The Company determined real estate investment trusts are excluded from the scope of ASC 946 and effective January 1, 2014, the Company discontinued use of investment company accounting. | |||||||||||||||||||
Reclassification and Presentation | ' | ||||||||||||||||||
Reclassification and Presentation | |||||||||||||||||||
Effective January 1, 2014, the Company discontinued its application of Topic 946. Upon transition, the following changes and elections were made: | |||||||||||||||||||
(i) | investments are now presented as available-for-sale securities in accordance with ASC Topic 320 Investments—Debt and Equity Securities, | ||||||||||||||||||
(ii) | management elected the Fair Value Option (“FVO”) under ASC 825 for all investments held. As a result of the FVO election, all changes in the fair value of investments held on January 1, 2014 will continue to be recorded in the Company’s unaudited consolidated statements of operations, and | ||||||||||||||||||
(iii) | the Company elected not to designate its derivatives as hedging instruments in accordance with ASC 815. As a result, all changes in the fair value of derivative instruments held on January 1, 2014 will also continue to be recorded in the Company’s consolidated statements of operations. | ||||||||||||||||||
The discontinuation of Topic 946 accounting changed the presentation of the Company's consolidated financial statements prospectively, the most significant of which are as follows: | |||||||||||||||||||
(i) | the schedule of investments has been replaced with the available-for-sale tables in the footnotes, | ||||||||||||||||||
(ii) | reformatted the statement of assets and liabilities to a consolidated balance sheet presentation, | ||||||||||||||||||
(iii) | reformatted the consolidated statements of operations to include the statement of comprehensive income (loss), as applicable, | ||||||||||||||||||
(iv) | reclassified net swap and cap interest expense into interest expense on the consolidated statements of operations, | ||||||||||||||||||
(v) | removed the statement of changes in net assets and included the consolidated statement of changes in stockholders’ equity, | ||||||||||||||||||
(vi) | reformatted the statement of cash flows and included an investing section, | ||||||||||||||||||
(vii) | changed certain footnotes to reflect conformity with applicable U.S. GAAP for non-investment companies, | ||||||||||||||||||
(viii) | included summary information on the amortization/accretion of bond premium/discounts | ||||||||||||||||||
Principles of Consolidation | ' | ||||||||||||||||||
Principles of Consolidation | |||||||||||||||||||
The unaudited consolidated financial statements include the accounts of the Company and all of its subsidiaries. The Company also considers the provisions of ASC Topic 810 on consolidation in determining whether consolidation is appropriate for any interests held in variable interest entities. All intercompany balances and transactions have been eliminated. | |||||||||||||||||||
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 unaudited consolidated 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 interest income. | |||||||||||||||||||
Investments | ' | ||||||||||||||||||
Investments in Securities | |||||||||||||||||||
The Company's securities are recorded in accordance with ASC 320. The Company has chosen to make a fair value election pursuant to ASC 825, Financial Instruments, for its securities, and therefore investment securities are recorded at fair market value on the consolidated balance sheets and the periodic changes in fair market value are recorded in current period earnings on the consolidated statements of operations as a component of net unrealized gain (loss) on investments. These investments generally meet the requirements to be classified as available-for-sale under ASC 320, which requires the securities to be carried at fair value on the balance sheet with changes in fair value charged to other comprehensive income, a component of stockholders’ equity. Electing the fair value option allows the Company to record changes in fair value in the consolidated statements of operations, which in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. | |||||||||||||||||||
Offsetting | ' | ||||||||||||||||||
Offsetting | |||||||||||||||||||
Repurchase agreements and derivative contracts are entered into by the Company under Master Repurchase Agreements (“MRA”) and International Standard Derivative Agreements (“ISDA”). Pursuant to the terms of the MRA or ISDA, the Company receives or posts securities and/or cash as collateral with a market value that may be in excess of the purchase price to be paid or received by the Company upon the maturity of the transaction. Under repurchase agreements and derivatives, typically the Company and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. MRAs and ISDAs may include provisions that permit the Company and/or a counterparty, under certain circumstances, including under defined events of default, to offset payables and/or receivables under transactions entered into pursuant to the terms of an MRA or ISDA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Company. However, bankruptcy or insolvency laws of a particular jurisdiction under which a counterparty may become subject in the event of an MRA or ISDA counterparty’s bankruptcy or insolvency may impose restrictions on or prohibitions against any such right of offset. Upon a bankruptcy or insolvency of an MRA or ISDA counterparty, the Company may be considered an unsecured creditor with respect to excess collateral pledged to the counterparty and, as such, the return of excess collateral may be delayed, the amount returned reduced, or otherwise prohibited, depending on the final determination and outcome of any such bankruptcy or insolvency proceedings. The Company reports amounts subject to its’ MRAs and ISDAs in the unaudited consolidated balance sheets on a gross basis without regard to such rights of offset. | |||||||||||||||||||
At March 31, 2014 and December 31, 2013, the Company's derivative assets and liabilities (by type) are as follows (in thousands): | |||||||||||||||||||
March 31, 2014 | Assets | Liabilities | |||||||||||||||||
Interest rate swap contracts | $ | 57,270 | $ | 17,767 | |||||||||||||||
Interest rate cap contracts | 204,252 | — | |||||||||||||||||
Total derivative assets and liabilities in the consolidated balance sheet | 261,522 | 17,767 | |||||||||||||||||
Derivatives not subject to a master netting agreement or similar agreement ("MNA") | 10,208 | 1,251 | |||||||||||||||||
Total assets and liabilities subject to a MNA | $ | 251,314 | $ | 16,516 | |||||||||||||||
December 31, 2013 | Assets | Liabilities | |||||||||||||||||
Interest rate swap contracts | $ | 61,004 | $ | 29,458 | |||||||||||||||
Interest rate cap contracts | 234,703 | — | |||||||||||||||||
Total derivative assets and liabilities in the consolidated balance sheet | 295,707 | 29,458 | |||||||||||||||||
Derivatives not subject to a master netting agreement or similar agreement ("MNA") | 11,188 | 440 | |||||||||||||||||
Total assets and liabilities subject to a MNA | $ | 284,519 | $ | 29,018 | |||||||||||||||
Below is a summary of the Company's assets subject to offsetting provisions (in thousands): | |||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
As of | Description | Amounts of Assets Presented in the Consolidated Balance Sheet | Instruments Available for Offset | Collateral Received(1) | Net Amount(2) | ||||||||||||||
March 31, 2014 | Derivative assets | $ | 251,314 | $ | 7,969 | $ | 216,836 | $ | 26,509 | ||||||||||
December 31, 2013 | Derivative assets | 284,519 | 9,237 | 244,721 | 30,561 | ||||||||||||||
-1 | Collateral consists of Agency RMBS, U.S. Treasuries and cash. Excess collateral received is not shown for financial reporting purposes. | ||||||||||||||||||
-2 | Net amount represents the net amount receivable from the counterparty in the event of default. | ||||||||||||||||||
Below is a summary of the Company's liabilities subject to offsetting provisions (in thousands): | |||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
As of | Description | Amounts of Liabilities Presented in the Consolidated Balance Sheet | Instruments Available for Offset | Collateral Pledged(1) | Net Amount(2) | ||||||||||||||
31-Mar-14 | Derivative liabilities | $ | 16,516 | $ | 7,969 | $ | 8,547 | $ | — | ||||||||||
31-Mar-14 | Repurchase agreements | 10,014,048 | — | 10,014,048 | — | ||||||||||||||
31-Dec-13 | Derivative liabilities | 29,018 | 9,237 | 19,781 | — | ||||||||||||||
31-Dec-13 | Repurchase agreements | 11,206,950 | — | 11,206,950 | — | ||||||||||||||
-1 | Collateral consists of Agency RMBS, U.S. Treasuries and cash. Further detail of collateral pledged on repurchase agreements is disclosed in note 5. Excess collateral pledged is not shown for financial reporting purposes. | ||||||||||||||||||
-2 | Net amount represents the net amount payable from the counterparty in the event of default. | ||||||||||||||||||
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 financing its portfolio. The Company does not designate interest rate swaps and caps as cash flow or fair value hedges under GAAP. 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 and amortization of premiums on cap contracts are reported under interest expense in the unaudited consolidated 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. | |||||||||||||||||||
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 March 31, 2014 and December 31, 2013, 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 to establish valuation policies and procedures as well as approve valuations monthly at a pricing meeting. The pricing committee is composed 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 also 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 prices 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 brokers. 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. All prices are reviewed by the Company. To date, the Company has not adjusted any of the prices received from third party pricing services or brokers. 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 services' 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 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 March 31, 2014 and December 31, 2013, the Company pledged Agency RMBS with a fair value of $3.6 million and $12.3 million, respectively, on its open forward settling transactions. | |||||||||||||||||||
Repurchase Agreements | ' | ||||||||||||||||||
Repurchase Agreements | |||||||||||||||||||
Repurchase agreements are borrowings collateralized by the Company’s Agency RMBS and 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 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 interest income from Agency RMBS in the consolidated 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 interest income from Agency RMBS on the unaudited consolidated statements of operations as they occur. | |||||||||||||||||||
Compensation And Benefits | ' | ||||||||||||||||||
Compensation and Benefits | |||||||||||||||||||
Included in the Company’s compensation and benefits are salaries, incentive compensation, benefits, and share based compensation. 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. |
Significant_Accounting_Policie2
Significant Accounting Policies Derivative assets and liabilities by type (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Derivative assets and liabilities by type [Abstract] | ' | ||||||||
Schedule of Derivative Instruments [Table Text Block] | ' | ||||||||
At March 31, 2014 and December 31, 2013, the Company's derivative assets and liabilities (by type) are as follows (in thousands): | |||||||||
March 31, 2014 | Assets | Liabilities | |||||||
Interest rate swap contracts | $ | 57,270 | $ | 17,767 | |||||
Interest rate cap contracts | 204,252 | — | |||||||
Total derivative assets and liabilities in the consolidated balance sheet | 261,522 | 17,767 | |||||||
Derivatives not subject to a master netting agreement or similar agreement ("MNA") | 10,208 | 1,251 | |||||||
Total assets and liabilities subject to a MNA | $ | 251,314 | $ | 16,516 | |||||
December 31, 2013 | Assets | Liabilities | |||||||
Interest rate swap contracts | $ | 61,004 | $ | 29,458 | |||||
Interest rate cap contracts | 234,703 | — | |||||||
Total derivative assets and liabilities in the consolidated balance sheet | 295,707 | 29,458 | |||||||
Derivatives not subject to a master netting agreement or similar agreement ("MNA") | 11,188 | 440 | |||||||
Total assets and liabilities subject to a MNA | $ | 284,519 | $ | 29,018 | |||||
Significant_Accounting_Policie3
Significant Accounting Policies Assets Subject to Offsetting Provisions (Tables) | 3 Months Ended | ||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||
Offsetting [Abstract] | ' | ||||||||||||||||||
Assets subject to offsetting provisions [Table Text Block] | ' | ||||||||||||||||||
Below is a summary of the Company's assets subject to offsetting provisions (in thousands): | |||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
As of | Description | Amounts of Assets Presented in the Consolidated Balance Sheet | Instruments Available for Offset | Collateral Received(1) | Net Amount(2) | ||||||||||||||
March 31, 2014 | Derivative assets | $ | 251,314 | $ | 7,969 | $ | 216,836 | $ | 26,509 | ||||||||||
December 31, 2013 | Derivative assets | 284,519 | 9,237 | 244,721 | 30,561 | ||||||||||||||
-1 | Collateral consists of Agency RMBS, U.S. Treasuries and cash. Excess collateral received is not shown for financial reporting purposes. | ||||||||||||||||||
-2 | Net amount represents the net amount receivable from the counterparty in the event of default. |
Significant_Accounting_Policie4
Significant Accounting Policies Offsetting Liabilities (Tables) | 3 Months Ended | ||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||
Offsetting Liabilities [Abstract] | ' | ||||||||||||||||||
Offsetting Liabilities [Table Text Block] | ' | ||||||||||||||||||
Below is a summary of the Company's liabilities subject to offsetting provisions (in thousands): | |||||||||||||||||||
Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
As of | Description | Amounts of Liabilities Presented in the Consolidated Balance Sheet | Instruments Available for Offset | Collateral Pledged(1) | Net Amount(2) | ||||||||||||||
31-Mar-14 | Derivative liabilities | $ | 16,516 | $ | 7,969 | $ | 8,547 | $ | — | ||||||||||
31-Mar-14 | Repurchase agreements | 10,014,048 | — | 10,014,048 | — | ||||||||||||||
31-Dec-13 | Derivative liabilities | 29,018 | 9,237 | 19,781 | — | ||||||||||||||
31-Dec-13 | Repurchase agreements | 11,206,950 | — | 11,206,950 | — | ||||||||||||||
-1 | Collateral consists of Agency RMBS, U.S. Treasuries and cash. Further detail of collateral pledged on repurchase agreements is disclosed in note 5. Excess collateral pledged is not shown for financial reporting purposes. | ||||||||||||||||||
-2 | Net amount represents the net amount payable from the counterparty in the event of default. |
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
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 amounts): | ||||||||
Three Months Ended March 31, | ||||||||
2014 | 2013 | |||||||
Net income (loss) | $ | 130,687 | $ | (16,203 | ) | |||
Less preferred stock dividends | (5,203 | ) | (1,453 | ) | ||||
Net income (loss) available to common shares | 125,484 | (17,656 | ) | |||||
Less dividends paid: | ||||||||
Common shares | (51,515 | ) | (55,587 | ) | ||||
Unvested shares | (334 | ) | (285 | ) | ||||
Undistributed earnings (loss) | 73,635 | (73,528 | ) | |||||
Basic weighted average shares outstanding: | ||||||||
Common shares | 160,936 | 174,134 | ||||||
Basic earnings (loss) per common share: | ||||||||
Distributed earnings | $ | 0.32 | $ | 0.32 | ||||
Undistributed earnings (loss) | 0.46 | (0.42 | ) | |||||
Basic earnings (loss) per common share | $ | 0.78 | $ | (0.10 | ) | |||
Diluted weighted average shares outstanding: | ||||||||
Common shares | 160,936 | 174,134 | ||||||
Net effect of dilutive stock options (1) | — | — | ||||||
160,936 | 174,134 | |||||||
Diluted earnings (loss) per common share: | ||||||||
Distributed earnings | $ | 0.32 | $ | 0.32 | ||||
Undistributed earnings (loss) | 0.46 | (0.42 | ) | |||||
Diluted earnings (loss) per common share | $ | 0.78 | $ | (0.10 | ) | |||
__________________ | ||||||||
-1 | For the three months ended March 31, 2014 and 2013, 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) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
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 March 31, 2014 and December 31, 2013 (in thousands): | |||||||||||||||||||||||||
March 31, 2014 | Fair Value Measurements Using | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Agency RMBS | $ | — | $ | 11,770,423 | $ | — | $ | 11,770,423 | |||||||||||||||||
U.S. Treasury Securities | 1,537,312 | — | — | 1,537,312 | |||||||||||||||||||||
Other Investments | — | — | 6,945 | 6,945 | |||||||||||||||||||||
Derivative assets | — | 261,522 | — | 261,522 | |||||||||||||||||||||
Total | $ | 1,537,312 | $ | 12,031,945 | $ | 6,945 | $ | 13,576,202 | |||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Derivative liabilities | $ | — | $ | 17,767 | $ | — | $ | 17,767 | |||||||||||||||||
December 31, 2013 | Fair Value Measurements Using | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Agency RMBS | $ | — | $ | 13,858,848 | $ | — | $ | 13,858,848 | |||||||||||||||||
Other investments | — | — | 6,945 | 6,945 | |||||||||||||||||||||
Derivative assets | — | 295,707 | — | 295,707 | |||||||||||||||||||||
Total | $ | — | $ | 14,154,555 | $ | 6,945 | $ | 14,161,500 | |||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Derivative liabilities | $ | — | $ | 29,458 | $ | — | $ | 29,458 | |||||||||||||||||
Level 3 Fair Value Reconciliation | ' | ||||||||||||||||||||||||
Level 3 Fair Value Reconciliation | |||||||||||||||||||||||||
(In thousands) | Three Months Ended March 31, | ||||||||||||||||||||||||
Other investments | 2014 | 2013 | |||||||||||||||||||||||
Beginning balance level 3 assets | $ | 6,945 | $ | 19,576 | |||||||||||||||||||||
Cash payments recorded as a reduction of cost basis | — | (236 | ) | ||||||||||||||||||||||
Change in net unrealized gain (loss) | — | (5,518 | ) | ||||||||||||||||||||||
Net sales | — | (10,455 | ) | ||||||||||||||||||||||
Net gain (loss) on sales | — | 5,128 | |||||||||||||||||||||||
Transfers into (out of) level 3 | — | — | |||||||||||||||||||||||
Ending balance level 3 assets | $ | 6,945 | $ | 8,495 | |||||||||||||||||||||
Available-for-sale Securities | ' | ||||||||||||||||||||||||
The available-for-sale portfolio consisted of the following (in thousands): | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Asset Type | Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | |||||||||||||||||||||
Fannie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | $ | 8,782,160 | $ | (24,538 | ) | $ | 73,002 | $ | 8,830,624 | ||||||||||||||||
ARMs | 1,393,752 | (22,386 | ) | 2,974 | 1,374,340 | ||||||||||||||||||||
Total Fannie Mae | 10,175,912 | (46,924 | ) | 75,976 | 10,204,964 | ||||||||||||||||||||
Freddie Mac Certificates | |||||||||||||||||||||||||
Fixed Rate | 785,234 | (96 | ) | 10,988 | 796,126 | ||||||||||||||||||||
ARMs | 540,099 | (12,527 | ) | 1,170 | 528,742 | ||||||||||||||||||||
Total Freddie Mac | 1,325,333 | (12,623 | ) | 12,158 | 1,324,868 | ||||||||||||||||||||
Ginnie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | 155,994 | — | 1,038 | 157,032 | |||||||||||||||||||||
ARMs | 81,756 | — | 1,803 | 83,559 | |||||||||||||||||||||
Total Ginnie Mae | 237,750 | — | 2,841 | 240,591 | |||||||||||||||||||||
U.S. Treasury Securities | 1,543,928 | (6,616 | ) | — | 1,537,312 | ||||||||||||||||||||
Other Investments | 6,945 | — | — | 6,945 | |||||||||||||||||||||
Total | $ | 13,289,868 | $ | (66,163 | ) | $ | 90,975 | $ | 13,314,680 | ||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Fannie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | $ | 10,629,503 | $ | (72,295 | ) | $ | 45,660 | $ | 10,602,868 | ||||||||||||||||
ARMs | 1,439,379 | (27,277 | ) | 2,796 | 1,414,898 | ||||||||||||||||||||
Total Fannie Mae | 12,068,882 | (99,572 | ) | 48,456 | 12,017,766 | ||||||||||||||||||||
Freddie Mac Certificates | |||||||||||||||||||||||||
Fixed Rate | 1,055,991 | (7,083 | ) | 6,231 | 1,055,139 | ||||||||||||||||||||
ARMs | 554,395 | (15,701 | ) | 1,334 | 540,028 | ||||||||||||||||||||
Total Freddie Mac | 1,610,386 | (22,784 | ) | 7,565 | 1,595,167 | ||||||||||||||||||||
Ginnie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | 158,792 | (500 | ) | — | 158,292 | ||||||||||||||||||||
ARMs | 85,211 | — | 2,412 | 87,623 | |||||||||||||||||||||
Total Ginnie Mae | 244,003 | (500 | ) | 2,412 | 245,915 | ||||||||||||||||||||
Other Investments | 6,945 | — | — | 6,945 | |||||||||||||||||||||
Total | $ | 13,930,216 | $ | (122,856 | ) | $ | 58,433 | $ | 13,865,793 | ||||||||||||||||
The following table presents the gross unrealized loss and fair values of our available-for-sale agency securities by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2014 and December 31, 2013 (in thousands): | |||||||||||||||||||||||||
Unrealized loss positions for | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 months | Total | |||||||||||||||||||||||
As of | Fair value | Unrealized loss | Fair value | Unrealized loss | Fair value | Unrealized loss | |||||||||||||||||||
March 31, 2014 | $ | 5,538,071 | $ | (36,108 | ) | $ | 912,847 | $ | (30,055 | ) | $ | 6,450,918 | $ | (66,163 | ) | ||||||||||
December 31, 2013 | 8,415,016 | (107,018 | ) | 408,348 | (15,837 | ) | 8,823,364 | (122,855 | ) | ||||||||||||||||
The following table is a summary of our net gain (loss) from the sale of available-for-sale investments for the three months ended March 31, 2014 and 2013 (in thousands): | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
Available-for-sale investments, at cost | $ | 7,771,414 | $ | 11,507,590 | |||||||||||||||||||||
Proceeds from available-for-sale investments sold | 7,788,084 | 11,554,270 | |||||||||||||||||||||||
Net gain on sale of available-for-sale investments | 16,670 | 46,680 | |||||||||||||||||||||||
Gross gain on sale of available-for-sale investments | 51,142 | 67,017 | |||||||||||||||||||||||
Gross loss on sale of available-for-sale investments | (34,472 | ) | (20,337 | ) | |||||||||||||||||||||
Net gain on sale of available-for-sale investments | $ | 16,670 | $ | 46,680 | |||||||||||||||||||||
The components of the carrying value of available-for-sale securities at March 31, 2014 and December 31, 2013 are presented below. The premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates, and conversely, the discount purchase price is due to the average coupon interest rates on these investments being lower than prevailing market rates. As of March 31, 2014, the weighted average coupon interest rate on the Company's Agency RMBS and U.S. Treasury Securities was 3.27% and 1.50%, respectively. As of December 31, 2013, the weighed average coupon interest rate on the Company's Agency RMBS was 3.30%. | |||||||||||||||||||||||||
(in thousands) | March 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Principal balance | $ | 12,961,926 | $ | 13,581,742 | |||||||||||||||||||||
Unamortized premium | 335,349 | 351,476 | |||||||||||||||||||||||
Unamortized discount | (7,407 | ) | (3,002 | ) | |||||||||||||||||||||
Gross unrealized gains | 90,975 | 58,433 | |||||||||||||||||||||||
Gross unrealized losses | (66,163 | ) | (122,856 | ) | |||||||||||||||||||||
Fair value | $ | 13,314,680 | $ | 13,865,793 | |||||||||||||||||||||
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 months ended March 31, 2014 and 2013 (in thousands): | |||||||||||||||||||||||||
Three Months Ended March 31, 2014 | Three Months Ended March 31, 2013 | ||||||||||||||||||||||||
Trade Date | Transaction | Notional | Trade Date | Transaction | Notional | ||||||||||||||||||||
Feb-14 | Terminated | $ | (500,000 | ) | Feb-13 | Opened | $ | 1,500,000 | |||||||||||||||||
Net Decrease | $ | (500,000 | ) | Mar-13 | Terminated | (500,000 | ) | ||||||||||||||||||
Mar-13 | Opened | 1,200,000 | |||||||||||||||||||||||
Net Increase | $ | 2,200,000 | |||||||||||||||||||||||
As of March 31, 2014 and December 31, 2013, the Company had pledged Agency RMBS and U.S. Treasury Securities with a fair value of $38.5 million and $63.0 million, respectively, as collateral on interest rate swap and cap contracts. As of March 31, 2014 the Company had Agency RMBS and U.S. Treasury Securities of $186.9 million and cash of $38.0 million pledged to it as collateral for its interest rate swap and cap contracts. As of December 31, 2013 the Company had Agency RMBS and U.S. Treasury Securities of $211.4 million and cash of $37.9 million pledged to it as collateral for its interest rate cap contract | |||||||||||||||||||||||||
Schedule Of Notional Amount And Fair Value Of Derivatives | ' | ||||||||||||||||||||||||
. Below is a summary of our interest rate swap and cap contracts open as of March 31, 2014 and December 31, 2013 (in thousands): | |||||||||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | |||||||||||||||||||||||||
Interest Rate Swap Contracts | Notional Amount | Fair Value | Consolidated Balance Sheets | ||||||||||||||||||||||
March 31, 2014 | $ | 1,550,000 | $ | (17,767 | ) | Derivative liabilities, at fair value | |||||||||||||||||||
March 31, 2014 | 4,250,000 | 57,270 | Derivative assets, at fair value | ||||||||||||||||||||||
December 31, 2013 | 2,050,000 | (29,458 | ) | Derivative liabilities, at fair value | |||||||||||||||||||||
December 31, 2013 | 4,250,000 | 61,004 | Derivative assets, at fair value | ||||||||||||||||||||||
Interest Rate Cap Contracts | Notional Amount | Fair Value | Consolidated Balance Sheets | ||||||||||||||||||||||
March 31, 2014 | $ | 3,900,000 | $ | 204,252 | Derivative assets, at fair value | ||||||||||||||||||||
December 31, 2013 | 3,900,000 | 234,703 | Derivative assets, at fair value | ||||||||||||||||||||||
The following table presents information about the net realized and unrealized gain and loss on swap and cap contracts for the three months ended March 31, 2014 and 2013 on the Company's interest rate swap and cap contracts not designated as hedging instruments under ASC 815 (see Note 2 for additional information on the Company's purpose for entering into interest rate swaps and caps)(in thousands): | |||||||||||||||||||||||||
Amount Recognized in Income on Derivatives | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
Derivative Type | Location of Gain or (Loss) Recognized in Income on Derivative | 2014 | 2013 | ||||||||||||||||||||||
Interest rate swaps and caps | Interest expense | $ | (18,917 | ) | $ | (21,956 | ) | ||||||||||||||||||
Interest rate swaps and caps | Net realized gain (loss) on termination of swap and cap contracts | (9,323 | ) | 8,630 | |||||||||||||||||||||
Interest rate swaps and caps | Net unrealized gain (loss) on swap and cap contracts | (16,240 | ) | 23,417 | |||||||||||||||||||||
Interest rate swaps and caps | Total recognized in income on derivatives | $ | (44,480 | ) | $ | 10,091 | |||||||||||||||||||
Borrowings_Tables
Borrowings (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
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. | ||||||||
(in thousands) | March 31, 2014 | December 31, 2013 | ||||||
Outstanding repurchase agreements | $ | 10,014,048 | $ | 11,206,950 | ||||
Interest accrued thereon | $ | 3,079 | $ | 7,204 | ||||
Weighted average borrowing rate | 0.31 | % | 0.41 | % | ||||
Weighted average remaining maturity (in days) | 43.4 | 39.9 | ||||||
Fair value of the collateral(1) | $ | 10,440,488 | $ | 11,760,720 | ||||
__________________ | ||||||||
-1 | Collateral for repurchase agreements consisted of Agency RMBS and U.S. Treasury Securities. |
Investment_Company_Accounting_1
Investment Company Accounting Disclosures (Tables) | 3 Months Ended | ||||
Mar. 31, 2014 | |||||
cys_FinancialHighlights [Line Items] | ' | ||||
cys_FinancialHighlights [Table Text Block] | ' | ||||
In accordance with financial reporting requirements applicable to investment companies, the Company has included below certain financial highlight information for the three months ended March 31, 2013: | |||||
Per Common Share | |||||
Three Months Ended March 31, 2013 | |||||
Net asset value, beginning of period | $ | 13.31 | |||
Net income (loss): | |||||
Net investment income | 0.3 | (a) | |||
Net gain (loss) from investments and swap and cap contracts | (0.39 | ) | (a) | ||
Net income (loss) | (0.09 | ) | |||
Dividends on preferred stock | (0.01 | ) | (a) | ||
Net income (loss) available to common shares | (0.10 | ) | |||
Capital transactions: | |||||
Distributions to common stockholders | (0.32 | ) | |||
Issuance/Repurchase of common and preferred shares and amortization of share based compensation | (0.02 | ) | (a) | ||
Net decrease in net asset value from capital transactions | (0.34 | ) | |||
Net asset value, end of period | $ | 12.87 | |||
Net asset value total return (%)(d) | (0.90 | )% | (b) | ||
Market value total return (%) | 2.11 | % | (b) | ||
Ratios to Average Net Assets | |||||
Expenses before interest expense | 0.94 | % | (c) | ||
Total expenses | 3.49 | % | (c) | ||
Net investment income | 8.91 | % | (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. | ||||
(d) | May also be referred to as common book value total return. |
Organization_Details
Organization (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' | ' | ' |
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $25 | $25 | $25 |
Significant_Accounting_Policie5
Significant Accounting Policies (Details) (USD $) | 3 Months Ended | |||
Mar. 31, 2014 | Dec. 31, 2013 | |||
Significant Accounting Policies [Line Items] | ' | ' | ||
Derivative Asset, Current | $57,270,000 | $61,004,000 | ||
Derivative Liability, Current | 17,767,000 | 29,458,000 | ||
Interest rate cap, asset position | 204,252,000 | 234,703,000 | ||
Interest rate cap, liability position | 0 | 0 | ||
Derivative Asset | 261,522,000 | [1],[2] | 295,707,000 | [1],[2] |
Interest Rate Derivative Liabilities, at Fair Value | 17,767,000 | [1],[2] | 29,458,000 | [1],[2] |
Derivative Asset, Not Subject to Master Netting Arrangement | 10,208,000 | 11,188,000 | ||
Derivative Liability, Not Subject to Master Netting Arrangement | 1,251,000 | 440,000 | ||
DerivativeAssetSubjectToMasterNettingArrangement | 251,314,000 | 284,519,000 | ||
DerivativeLiabilitySubjectToMasterNettingArrangement | 16,516,000 | 29,018,000 | ||
Derivative Asset, Fair Value, Gross Asset | 251,314,000 | 284,519,000 | ||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 7,969,000 | 9,237,000 | ||
Fair Value of Securities Received as Collateral that Have Been Resold or Repledged | 216,836,000 | 244,721,000 | ||
Derivative Asset, Fair Value, Amount Offset Against Collateral | 26,509,000 | 30,561,000 | ||
NetDerivativeLiability | 16,516,000 | 29,018,000 | ||
InstrumentsAvailableToOffsetDerivativeLiability | 7,969,000 | 9,237,000 | ||
Derivative Liability, Fair Value of Collateral | 8,547,000 | [3] | 19,781,000 | [3] |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | [4] | 0 | [4] |
SecuritiesSoldUnderAgreementsNotOffsetAgainstCollateral | 0 | [4] | 0 | [4] |
InstrumentsAvailableToOffsetRepoLiability | 0 | 0 | ||
Repurchase agreements | 10,014,048,000 | [3] | 11,206,950,000 | [2],[3] |
Percentage Of Reit Taxable Income That Must Be Distributed To Stockholders | 90.00% | ' | ||
Agency RMBS [Member] | ' | ' | ||
Significant Accounting Policies [Line Items] | ' | ' | ||
Security Owned and Pledged as Collateral, Fair Value | $3,600,000 | $12,300,000 | ||
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 | ' | ||
[1] | Derived from audited financial statements. | |||
[2] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. | |||
[3] | Collateral consists of Agency RMBS, U.S. Treasuries and cash. Further detail of collateral pledged on repurchase agreements is disclosed in note 5. Excess collateral pledged is not shown for financial reporting purposes. | |||
[4] | Net amount represents the net amount payable from the counterparty in the event of default. |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ' | ' | ||
Net income | $130,687 | ($16,203) | [1] | |
Less preferred stock dividends | -5,203 | -1,453 | [1] | |
Net income (loss) available to common shares | 125,484 | -17,656 | [1] | |
Common shares | -51,515 | -55,587 | ||
Unvested shares | -334 | -285 | ||
Undistributed earnings (loss) | $73,635 | ($73,528) | ||
Common shares | 160,936,000 | 174,134,000 | ||
Distributed earnings | $0.32 | $0.32 | ||
Undistributed earnings (loss) | $0.46 | ($0.42) | ||
Basic earnings (loss) per common share | $0.78 | ($0.10) | ||
Net effect of dilutive stock options (1) | 0 | [2] | 0 | [2] |
Diluted weighted average shares outstanding | 160,936,000 | 174,134,000 | ||
Distributed earnings | $0.32 | $0.32 | ||
Undistributed earnings (loss) | $0.46 | ($0.42) | ||
Diluted earnings (loss) per common share | $0.78 | ($0.10) | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Number | 131,088 | 131,088 | ||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range, Exercisable Options, Weighted Average Exercise Price | $30 | $30 | ||
[1] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. | |||
[2] | For the three months ended MarchB 31, 2014 and 2013, 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 | |
In Millions, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 |
Y | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Document Period End Date | 31-Mar-14 | ' |
Maximum Period Of Short Term Assets And Liabilities Are Measured At Deemed To Appropriate Fair Value | 1 | ' |
Unobservable input capitalization minimum rate | 4.00% | 4.00% |
Unobservable input capitalization maximum rate | 5.00% | 5.00% |
Weighted average coupon on Agency RMBS | 3.27% | 3.30% |
Weighted average coupon interest rate on U.S. Treasury Securities | 1.50% | ' |
Debt Instrument, Maturity Date | 30 | ' |
Agency RMBS Maturity Date Min | '2024 | '2024 |
Agency RMBS Maturity Date Max | '2044 | '2044 |
U.S. Treasury Securities Maturity Date Min | '2018 | ' |
U.S. Treasury Securities Maturity Date Max | '2019 | ' |
Trading Securities Pledged as Collateral | $38.50 | $63 |
Securities Received as Collateral | 186.9 | 211.4 |
Derivative, Collateral, Obligation to Return Cash | $38 | $37.90 |
InvestmentsAssets_And_Liabilit
(Investments)(Assets And Liabilities Measured At Fair Value On A Recurring Basis)(Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ||
Agency RMBS | $11,770,423 | $13,858,848 | ||
U.S. Treasury Securities | 1,537,312 | ' | ||
Other Investments | 6,945 | 6,945 | ||
Derivative Asset | 261,522 | [1],[2] | 295,707 | [1],[2] |
Assets, Fair Value Disclosure, Recurring | 13,576,202 | 14,161,500 | ||
Derivative liabilities | 17,767 | 29,458 | ||
Interest Rate Derivative Liabilities, at Fair Value | 17,767 | [1],[2] | 29,458 | [1],[2] |
Fair Value, Inputs, Level 1 [Member] | ' | ' | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ||
Agency RMBS | 0 | 0 | ||
U.S. Treasury Securities | 1,537,312 | ' | ||
Other Investments | 0 | 0 | ||
Derivative Asset | 0 | 0 | ||
Assets, Fair Value Disclosure, Recurring | 1,537,312 | 0 | ||
Derivative liabilities | 0 | 0 | ||
Fair Value, Inputs, Level 2 [Member] | ' | ' | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ||
Agency RMBS | 11,770,423 | 13,858,848 | ||
U.S. Treasury Securities | 0 | ' | ||
Other Investments | 0 | 0 | ||
Derivative Asset | ' | 295,707 | ||
Assets, Fair Value Disclosure, Recurring | 12,031,945 | 14,154,555 | ||
Derivative liabilities | ' | 29,458 | ||
Fair Value, Inputs, Level 3 [Member] | ' | ' | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ||
Agency RMBS | 0 | 0 | ||
U.S. Treasury Securities | 0 | ' | ||
Other Investments | 6,945 | 6,945 | ||
Derivative Asset | 0 | 0 | ||
Assets, Fair Value Disclosure, Recurring | 6,945 | 6,945 | ||
Derivative liabilities | $0 | $0 | ||
[1] | Derived from audited financial statements. | |||
[2] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. |
InvestmentsLevel_3_Fair_Value_
(Investments)(Level 3 Fair Value Reconciliation)(Details) (Other Investments [Member], USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Other Investments [Member] | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' |
Beginning balance Level 3 assets | $6,945 | $19,576 |
Cash payments recorded as a reduction of cost basis | 0 | -236 |
Change in net unrealized gain (loss) | 0 | -5,518 |
Net sales | 0 | -10,455 |
Net gain (loss) on sales | 0 | 5,128 |
Transfers into (out of) level 3 | 0 | 0 |
Ending balance Level 3 assets | $6,945 | $8,495 |
Investments_In_Securities_And_3
Investments In Securities And Interest Rate Swap And Cap Contracts (Investments)(Available-for-sale securities by GSE Agency and Coupon)(Details) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | $7,771,414 | $11,507,590 | ' | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -66,163 | ' | -122,856 | |
Gross unrealized gains | -90,975 | ' | -58,433 | |
Available-for-sale Securities | 13,314,680 | ' | 13,865,793 | |
Proceeds from disposition of investment securities | 7,788,084 | 11,554,270 | [1] | ' |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 10,175,912 | ' | 12,068,882 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -46,924 | ' | -99,572 | |
Gross unrealized gains | 75,976 | ' | 48,456 | |
Available-for-sale Securities | 10,204,964 | ' | 12,017,766 | |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Adjustable Rate Residential Mortgage [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 1,393,752 | ' | 1,439,379 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -22,386 | ' | -27,277 | |
Gross unrealized gains | 2,974 | ' | 2,796 | |
Available-for-sale Securities | 1,374,340 | ' | 1,414,898 | |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Fixed Rate Residential Mortgage [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 8,782,160 | ' | 10,629,503 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -24,538 | ' | -72,295 | |
Gross unrealized gains | 73,002 | ' | 45,660 | |
Available-for-sale Securities | 8,830,624 | ' | 10,602,868 | |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 1,325,333 | ' | 1,610,386 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -12,623 | ' | -22,784 | |
Gross unrealized gains | 12,158 | ' | 7,565 | |
Available-for-sale Securities | 1,324,868 | ' | 1,595,167 | |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Adjustable Rate Residential Mortgage [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 540,099 | ' | 554,395 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -12,527 | ' | -15,701 | |
Gross unrealized gains | 1,170 | ' | 1,334 | |
Available-for-sale Securities | 528,742 | ' | 540,028 | |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Fixed Rate Residential Mortgage [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 785,234 | ' | 1,055,991 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -96 | ' | -7,083 | |
Gross unrealized gains | 10,988 | ' | 6,231 | |
Available-for-sale Securities | 796,126 | ' | 1,055,139 | |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 237,750 | ' | ' | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 0 | ' | ' | |
Gross unrealized gains | 2,841 | ' | ' | |
Available-for-sale Securities | 240,591 | ' | ' | |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Adjustable Rate Residential Mortgage [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 81,756 | ' | 85,211 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 0 | ' | 0 | |
Gross unrealized gains | 1,803 | ' | 2,412 | |
Available-for-sale Securities | 83,559 | ' | 87,623 | |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Fixed Rate Residential Mortgage [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 155,994 | ' | 158,792 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 0 | ' | -500 | |
Gross unrealized gains | 1,038 | ' | 0 | |
Available-for-sale Securities | 157,032 | ' | 158,292 | |
US Government-sponsored Enterprises Debt Securities [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | ' | ' | 244,003 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ' | ' | -500 | |
Gross unrealized gains | ' | ' | 2,412 | |
Available-for-sale Securities | ' | ' | 245,915 | |
US Treasury Securities [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 1,543,928 | ' | ' | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -6,616 | ' | ' | |
Gross unrealized gains | 0 | ' | ' | |
Available-for-sale Securities | 1,537,312 | ' | ' | |
Other Investments [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 6,945 | ' | 6,945 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 0 | ' | 0 | |
Gross unrealized gains | 0 | ' | 0 | |
Available-for-sale Securities | 6,945 | ' | 6,945 | |
Investments [Member] | ' | ' | ' | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | |
Available-for-sale Securities, Amortized Cost Basis | 13,289,868 | ' | 13,930,216 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -66,163 | ' | -122,856 | |
Gross unrealized gains | 90,975 | ' | 58,433 | |
Available-for-sale Securities | $13,314,680 | ' | $13,865,793 | |
[1] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. |
Investments_In_Securities_And_4
Investments In Securities And Interest Rate Swap And Cap Contracts (Investments)(Available for sale, Continuous Unrealized Loss)(Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 |
Available for sale, continuous unrealized loss position [Line Items] | ' | ' |
Document Period End Date | 31-Mar-14 | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $5,538,071 | $8,415,016 |
Unrealized loss on investments, owned less than 12 months | -36,108 | -107,018 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 912,847 | 408,348 |
Unrealized loss on investments, owned more than 12 months | -30,055 | -15,837 |
Fair value of investments in unrealized loss position | 6,450,918 | 8,823,364 |
Available for sale securities, continuous unrealized loss | ($66,163) | ($122,855) |
Investments_In_Securities_And_5
Investments In Securities And Interest Rate Swap And Cap Contracts Summary of Net Gain (loss) from the Sale of Available-for-Sale Investments (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | |
Gain (Loss) on Investments [Line Items] | ' | ' | |
Available-for-sale investments, at cost | $7,771,414 | $11,507,590 | |
Proceeds from available-for-sale investments sold | 7,788,084 | 11,554,270 | [1] |
Net gain on sale of available-for-sale investments | 16,670 | 46,680 | |
Gross gain on sale of available-for-sale investments | 51,142 | 67,017 | |
Gross loss on sale of available-for-sale investments | $34,472 | $20,337 | |
[1] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. |
Investments_In_Securities_And_6
Investments In Securities And Interest Rate Swap And Cap Contracts (Investments)(Components of the Carrying Value of Available-for-Sale Securities)(Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
U.S. Treasury Securities Maturity Date Max | '2019 | ' |
Document Period End Date | 31-Mar-14 | ' |
Principal balance | $12,961,926 | $13,581,742 |
Unamortized premium | 335,349 | 351,476 |
Unamortized discount | -7,407 | -3,002 |
Gross unrealized gains | -90,975 | -58,433 |
Gross unrealized losses | -66,163 | -122,856 |
Fair value | $13,314,680 | $13,865,793 |
InvestmentsSummary_Of_Interest
(Investments)(Summary Of Interest Rate Swap And Cap Contracts) (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | ' | ' | ' |
Agency RMBS Maturity Date Max | '2044 | ' | '2044 |
DerivativeNotionalTransactions | ($500,000) | $2,200,000 | ' |
FebruaryTwoThousandAndFourteenClosedTypeMember [Member] | ' | ' | ' |
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | ' | ' | ' |
DerivativeNotionalTransactions | -500,000 | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | 'February 2014 | ' | ' |
February Two Thousand And Thirteen Opened Type [Member] | ' | ' | ' |
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | ' | ' | ' |
DerivativeNotionalTransactions | ' | 1,500,000 | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'February 2013 | ' |
March Two Thousand And Thirteen Terminated Type [Member] | ' | ' | ' |
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | ' | ' | ' |
DerivativeNotionalTransactions | ' | -500,000 | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'March 2013 | ' |
March Two Thousand And Thirteen Opened Type [Member] | ' | ' | ' |
Summary Of Interest Rate Swap And Cap Contracts [Line Items] | ' | ' | ' |
DerivativeNotionalTransactions | ' | $1,200,000 | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'March 2013 | ' |
InvestmentsSchedule_Of_Notiona
(Investments)(Schedule Of Notional Amount And Fair Value Of Derivatives) (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative Asset, Fair Value, Gross Asset | $251,314 | $284,519 |
Document Period End Date | 31-Mar-14 | ' |
Interest Rate Swap [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Notional Amount | 4,250,000 | 4,250,000 |
Interest Rate Swap [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Notional Amount | 1,550,000 | 2,050,000 |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | -17,767 | -29,458 |
Interest Rate Swap [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | 57,270 | 61,004 |
Interest Rate Cap [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Notional Amount | 3,900,000 | 3,900,000 |
Interest Rate Cap [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative Asset, Fair Value, Gross Asset | $204,252 | $234,703 |
Investments_In_Securities_And_7
Investments In Securities And Interest Rate Swap And Cap Contracts (Investments)(Net Realized and Unrealized Gain or Loss on Swaps and Caps Not Designated as Hedgin) (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | |
Interest expense | ($18,917) | ($21,956) | |
Net realized gain (loss) on termination of swap and cap contracts | -9,323 | 8,630 | [1] |
Net unrealized gain (loss) on swap and cap contracts | -16,240 | 23,417 | [1] |
Total recognized in income on derivatives | ($44,480) | $10,091 | |
[1] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. |
Borrowings_Details
Borrowings (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | D | D | ||
Short-term Debt [Abstract] | ' | ' | ||
RepoPercentageofNetAssets | 10.00% | ' | ||
Outstanding repurchase agreements | $10,014,048 | [1] | $11,206,950 | [1],[2] |
Interest accrued thereon | 3,079 | 7,204 | ||
Weighted average borrowing rate | 0.31% | 0.41% | ||
Weighted Average Remaining Maturity (In Days) | 43.4 | 39.9 | ||
Fair value of the collateral(1) | $10,440,488 | [3] | $11,760,720 | [3] |
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 | 10.00% | 10.00% | ||
[1] | Collateral consists of Agency RMBS, U.S. Treasuries and cash. Further detail of collateral pledged on repurchase agreements is disclosed in note 5. Excess collateral pledged is not shown for financial reporting purposes. | |||
[2] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. | |||
[3] | Collateral for repurchase agreements consisted of Agency RMBS and U.S. Treasury Securities. |
Contingencies_Details
Contingencies (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Commitments and Contingencies Disclosure [Abstract] | ' | ' |
Indemnification claims | $0 | $0 |
Share_Capital_Details
Share Capital (Details) (USD $) | 3 Months Ended | |||||||||
Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | Apr. 30, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | 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 Issuance [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Common stock, shares authorized | 500,000,000 | ' | 500,000,000 | ' | ' | ' | ' | ' | ' | |
Common stock, par value | $0.01 | ' | $0.01 | ' | ' | ' | ' | ' | ' | |
Common Stock, Shares, Issued | 162,024,461 | ' | 161,650,114 | ' | ' | ' | ' | ' | ' | |
Common Stock, Shares, Outstanding | 162,024,461 | ' | 161,650,114 | ' | ' | ' | ' | ' | ' | |
Preferred Stock, Shares Authorized | 50,000,000 | ' | 50,000,000 | ' | ' | ' | ' | ' | ' | |
Preferred Stock, Par or Stated Value Per Share | $0.01 | ' | $0.01 | ' | ' | ' | ' | ' | ' | |
Preferred Stock, Shares Issued | 3,000,000 | ' | 3,000,000 | ' | ' | ' | ' | ' | ' | |
Preferred Stock, Shares Outstanding | 3,000,000 | ' | 3,000,000 | ' | ' | ' | ' | ' | ' | |
Preferred Stock B, Dividend Rate, Percentage 7.50% | 7.50% | ' | ' | ' | ' | ' | ' | ' | ' | |
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share | $25 | ' | $25 | $25 | ' | ' | ' | ' | ' | |
Preferred Stock A, Dividend Rate, Percentage 7.75% | 7.75% | ' | ' | ' | ' | ' | ' | ' | ' | |
Series B Cumulative Redeemable Preferred Stock, shares outstanding | 8,000,000 | ' | 8,000,000 | ' | ' | ' | ' | ' | ' | |
Series B Cumulative Redeemable Preferred Stock, shares issued | 8,000,000 | ' | 8,000,000 | 8,000,000 | ' | ' | ' | ' | ' | |
7.50% Series B Cumulative Redeemable Preferred Stock, (8,000 and 8,000 shares issued and outstanding, respectively, $200,000 in aggregate liquidation preference) | $193,531,000 | ' | $193,531,000 | [1],[2] | $193,500,000 | ' | ' | ' | ' | ' |
Stock Available For Issuance During Period Shares Dividend Reinvestment Plan | ' | ' | ' | ' | 4,055,245 | 4,055,245 | ' | ' | ' | |
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period | 400,000 | 300,000 | ' | ' | ' | ' | ' | ' | ' | |
Common Stock, Value, Issued | 1,620,000 | ' | 1,616,000 | [1],[2] | ' | ' | ' | ' | ' | ' |
Preferred Stock, Value, Issued | 72,369,000 | ' | 72,369,000 | [1],[2] | ' | ' | ' | ' | ' | ' |
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 | ' | ' | ' | ' | ' | ' | ' | ' | |
Treasury Stock Acquired, Average Cost Per Share | ' | $11.81 | ' | ' | ' | ' | ' | ' | ' | |
Net proceeds (payments) from issuance and repurchase of common shares | ' | 7,600,000 | ' | ' | ' | ' | ' | ' | ' | |
Stock Repurchased and Retired During Period, Shares | ' | 600,000 | ' | ' | ' | ' | ' | ' | ' | |
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $134,300,000 | ' | ' | ' | ' | ' | ' | ' | ' | |
[1] | Derived from audited financial statements. | |||||||||
[2] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. |
Subsequent_Events_Details
Subsequent Events (Details) | 1 Months Ended |
Apr. 30, 2014 | |
Subsequent Event [Line Items] | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 13,587 |
Weighted Average, CPR | 7.60% |
Investment_Company_Accounting_2
Investment Company Accounting Disclosures Schedule of Investments Table (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | $13,314,680,000 | $13,865,793,000 | [1],[2] | |
Fixed Income Securities [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Investment Owned, Percent of Net Assets | 784.00% | [3] | ' | |
Investments In Securities [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Investment Owned, at Cost | 13,930,216,000 | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 13,865,793,000 | ||
Debt Instrument, Face Amount | ' | 13,581,742,000 | ||
Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Investment Owned, at Cost | ' | 0 | ||
Derivative, Notional Amount | ' | 6,300,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | 31,546,000 | ||
Investment Owned, Percent of Net Assets | ' | 1.80% | [3],[4] | |
Interest Rate Cap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Investment Owned, at Cost | ' | 137,117,000 | ||
Derivative, Notional Amount | ' | 3,900,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | 234,703,000 | ||
Investment Owned, Percent of Net Assets | 13.30% | [3],[4] | ' | |
Mortgage Pass Through Agency Residential Mortgage Backed Securities [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Investment Owned, at Cost | 13,923,271,000 | ' | ||
Investment Owned, Percent of Net Assets | 783.60% | [3] | ' | |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Debt Instrument, Face Amount | ' | 13,574,797,000 | ||
Other Investments [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Investment Owned, at Cost | 6,945,000 | [3] | ' | |
Financial Instruments, Owned, at Fair Value | ' | 6,945,000 | [3],[5] | |
Debt Instrument, Face Amount | ' | 6,945,000 | [3],[5] | |
Investment Owned, Percent of Net Assets | 0.04% | [3] | ' | |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Investment Owned, Percent of Net Assets | 90.20% | [3] | ' | |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 1,595,167,000 | ||
Debt Instrument, Face Amount | ' | 1,572,743,000 | ||
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Investment Owned, Percent of Net Assets | 13.90% | [3] | ' | |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 245,915,000 | ||
Debt Instrument, Face Amount | ' | 237,619,000 | ||
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage Pass Through Agency Residential Mortgage Backed Securities [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Investment Owned, Percent of Net Assets | 679.50% | [3] | ' | |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 12,017,766,000 | ||
Debt Instrument, Face Amount | ' | 11,764,435,000 | ||
Two Point One Four Percentage Due February One Two Thousand Forty Three [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 87,892,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 87,600,000 | [6],[7] | |
Two Point One Five Percentage Due October One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 40,356,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 40,103,000 | [6],[7] | |
Two Point One Eight Percentage Due November One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 29,160,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 29,015,000 | [6],[7] | |
Two Point Two Five Percentage Due October One Two Thousand Forty Two to November One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 85,399,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 84,755,000 | [6],[7] | |
Two Point Three Three Due November One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 64,029,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 63,251,000 | [6],[7] | |
Two Point Three Six Percentage Due January One Two Thousand Forty Three [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 84,181,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 83,235,000 | [6],[7] | |
Two Point Four Zero Percentage Due September One Two Thousand Forty Two to October One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 51,974,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 51,272,000 | [6],[7] | |
Two Point Four One Percentage Due November One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 63,235,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 62,378,000 | [6],[7] | |
Two Point Four Two Percentage Due September One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 19,677,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 19,388,000 | [6],[7] | |
Two Point Four Three Percentage Due July One Two Thousand Forty Two to January One Two Thousand Forty Three [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 219,176,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 215,819,000 | [6],[7] | |
Two Point Four Four Percentage Due June One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 46,050,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 45,301,000 | [6],[7] | |
Two Point Five Zero Percentage Due October One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 77,442,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 76,110,000 | [6],[7] | |
Two Point Five Two Percentage Due October One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 46,099,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 45,306,000 | [6],[7] | |
Two Point Five Seven Percentage Due August One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 30,079,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 29,496,000 | [6],[7] | |
Two Point Six Zero Percentage Due April One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 31,707,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 31,018,000 | [6],[7] | |
Two Point Seven Zero Percentage Due June One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 57,043,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 55,666,000 | [6],[7] | |
Two Point Seven Eight Percentage Due April One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 137,323,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 133,381,000 | [6],[7] | |
Two Point Eight Zero Percentage Due February One Two Thousand Forty Two to April One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 87,096,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 84,553,000 | [6],[7] | |
Two Point Eight One Percentage Due February One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 26,361,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 25,550,000 | [6],[7] | |
Two Point Eight Four Percentage Due December One Two Thousand Forty One [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 45,398,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 43,963,000 | [6],[7] | |
Three Point Zero Zero Percentage Due February One Two Thousand Twenty Seven to February One Two Thousand Twenty NIne [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 4,943,083,000 | [6] | |
Debt Instrument, Face Amount | ' | 4,839,617,000 | [6] | |
Three Point Zero Zero Percentage Due December One Two Thousand Thirty Seven [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 48,558,000 | [6] | |
Debt Instrument, Face Amount | ' | 51,087,000 | [6] | |
Three Point Zero Zero Percentage Due October One Two Thousand Forty Two [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 39,556,000 | [6] | |
Debt Instrument, Face Amount | ' | 42,107,000 | [6] | |
Three Point Zero Five Percentage Due September One Two Thousand Forty One [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 28,987,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 28,001,000 | [6],[7] | |
Three Point Two Four Percentage Due March One Two Thousand Forty One [Member] [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 11,969,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 11,485,000 | [6],[7] | |
Three Point Three Seven Percentage Due May One Two Thousand Forty One to August One Two Thounsand Forty One [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 36,423,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 34,796,000 | [6],[7] | |
Three Point Five Zero Percentage Due December One Two Thousand Twenty Five to January One Two Thousand Twenty Nine [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 992,515,000 | [6] | |
Debt Instrument, Face Amount | ' | 948,463,000 | [6] | |
Three Point Five Zero Percentage Due June One Two Thousand Forty Two to September One Two Thousand Forty Three [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 1,862,400,000 | [6] | |
Debt Instrument, Face Amount | ' | 1,872,351,000 | [6] | |
Three Point Nine Seven Percentage Due September One Two Thousand Thirty Nine [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 7,842,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 7,363,000 | [6],[7] | |
Four Point Four Zero Percentage Due January One Two Thousand Twenty Six to April One Two Thousand Twenty Six [Member] | Four Point Zero Zero Percentage due January One Two Thousand Twenty Six to April One Two Thousand Twenty Six [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 243,561,000 | [6] | |
Debt Instrument, Face Amount | ' | 229,778,000 | [6] | |
Four Point Zero Zero Percentage due July One Two Thousand Forty Three to February One Two Thousand Forty Four [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 2,169,411,000 | [6] | |
Debt Instrument, Face Amount | ' | 2,106,542,000 | [6] | |
Four Point Five Zero Percentage Due April One Two Thousand Thirty to November One Two Thounsand Thirty [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 90,796,000 | [6] | |
Debt Instrument, Face Amount | ' | 84,730,000 | [6] | |
Four Point Five Zero Percantage Due November One Two Thousand Forty One [Member] | Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 212,988,000 | [6] | |
Debt Instrument, Face Amount | ' | 200,955,000 | [6] | |
Two Point Two Zero Percentage Due February One Two Thousand Forty Three [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 28,175,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 28,154,000 | [6],[7] | |
Two Point Two Two Percentage Due December One Two Thousand Forty Two [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 42,887,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 42,719,000 | [6],[7] | |
Two Point Three Zero Percentage Due November One Two Thousand Forty Two [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 89,526,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 88,989,000 | [6],[7] | |
Two Point Four Three Percentage Due June One Two Thousand Forty Two [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 35,224,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 34,581,000 | [6],[7] | |
Two Point Four Four Percentage Due April One Two Thousand Forty Three [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 29,220,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 29,699,000 | [6],[7] | |
Two Point Four Six Percentage Due July One Two Thousand Forty Two [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 39,771,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 39,112,000 | [6],[7] | |
Two Point Five Two Percentage Due November One Two Thousand Forty Two [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 37,560,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 36,896,000 | [6],[7] | |
Two Point Five Four Percentage Due July One Two Thousand Forty Two [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 34,563,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 33,904,000 | [6],[7] | |
Two Point Five Five Percentage Due February One Two Thousand Forty Three [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 110,650,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 111,565,000 | [6],[7] | |
Two Point Five Nine Percentage Due March One Two Thousand Forty Two [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 30,638,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 29,871,000 | [6],[7] | |
Two Point Seven Nine Percentage due December One Two Thousand Forty One [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 33,276,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 32,352,000 | [6],[7] | |
Three Point Three One Percentage Due January One Two Thousand Forty One [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 28,537,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 27,151,000 | [6],[7] | |
Three Point Five Zero Percentage Due April One Two Thousand Twenty Six to February One Two Thousand Twenty Seven [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 135,772,000 | [6] | |
Debt Instrument, Face Amount | ' | 130,144,000 | [6] | |
Three Point Five Zero Percentage Due May One Two Thousand Forty Three to July One Two Thousand Forty Three [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 425,633,000 | [6] | |
Debt Instrument, Face Amount | ' | 428,429,000 | [6] | |
Four Point Zero Zero Percentage Due August One Two Thousand Forty Three to February One Two Thousand Forty Four [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 455,999,000 | [6] | |
Debt Instrument, Face Amount | ' | 443,680,000 | [6] | |
Four Point Five Zero Percentage Due December One Two Thousand Twenty Four Thru May One Two Thousand Twenty Five [Member] | Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 37,736,000 | [6] | |
Debt Instrument, Face Amount | ' | 35,497,000 | [6] | |
Three Point Zero Zero Due October Twenty Two Thousand Twenty Eight [Member] | Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 158,293,000 | [6] | |
Debt Instrument, Face Amount | ' | 154,038,000 | [6] | |
Three Point Five Zero Percentage Due July Twenty Two Thousand Forty [Member] | Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 78,517,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 74,931,000 | [6],[7] | |
Four Point Zero Zero Percentage due January Twenty Two Thounsand Forty [Member] | Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | ' | 9,105,000 | [6],[7] | |
Debt Instrument, Face Amount | ' | 8,650,000 | [6],[7] | |
October Fifteen Two Thousand 15 [Member] | Interest Rate Cap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 300,000,000 | ||
Derivative, Cap Interest Rate | ' | 1.43% | ||
Financial Instruments, Owned, at Fair Value | ' | 164,000 | ||
November Eight Two Thousand 15 [Member] | Interest Rate Cap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 200,000,000 | ||
Derivative, Cap Interest Rate | ' | 1.36% | ||
Financial Instruments, Owned, at Fair Value | ' | 145,000 | ||
May Twenty Three Two Thousand Nineteen [Member] | Interest Rate Cap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 300,000,000 | ||
Derivative, Cap Interest Rate | ' | 2.00% | ||
Financial Instruments, Owned, at Fair Value | ' | 12,853,000 | ||
June One Two Thousand Nineteen [Member] | Interest Rate Cap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 300,000,000 | ||
Derivative, Cap Interest Rate | ' | 1.75% | ||
Financial Instruments, Owned, at Fair Value | ' | 14,679,000 | ||
June Twenty Nine Two Thousand Nineteen [Member] | Interest Rate Cap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 300,000,000 | ||
Derivative, Cap Interest Rate | ' | 1.50% | ||
Financial Instruments, Owned, at Fair Value | ' | 16,539,000 | ||
July Two Two Thousand Nineteen [Member] | Interest Rate Cap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 300,000,000 | ||
Derivative, Cap Interest Rate | ' | 1.50% | ||
Financial Instruments, Owned, at Fair Value | ' | 16,970,000 | ||
July Sixteen Two Thousand Nineteen [Member] | Interest Rate Cap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | ||
Derivative, Cap Interest Rate | ' | 1.25% | ||
Financial Instruments, Owned, at Fair Value | ' | 31,335,000 | ||
March Twenty Six Two Thousand Twenty [Member] | Interest Rate Cap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | ||
Derivative, Cap Interest Rate | ' | 1.25% | ||
Financial Instruments, Owned, at Fair Value | ' | 41,322,000 | ||
March Thirty Two Thousand Twenty [Member] | Interest Rate Cap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 700,000,000 | ||
Derivative, Cap Interest Rate | ' | 1.25% | ||
Financial Instruments, Owned, at Fair Value | ' | 57,785,000 | ||
May Twenty Two Thousand Twenty [Member] | Interest Rate Cap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | ||
Derivative, Cap Interest Rate | ' | 1.25% | ||
Financial Instruments, Owned, at Fair Value | ' | 42,911,000 | ||
February Fourteen Two Thousand Fifteen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | -10,255,000 | ||
Derivative, Fixed Interest Rate | ' | 2.15% | ||
June Two Two Thousand Sixteen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 300,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | -9,526,000 | ||
Derivative, Fixed Interest Rate | ' | 1.94% | ||
December Nineteen Two Thousand Sixteen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 250,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | -4,255,000 | ||
Derivative, Fixed Interest Rate | ' | 1.43% | ||
April Twenty Fourth Two Thousand Seventeen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | -4,982,000 | ||
Derivative, Fixed Interest Rate | ' | 1.31% | ||
July Thirteen Two Thousand Seventeen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 750,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | 6,583,000 | ||
Derivative, Fixed Interest Rate | ' | 0.86% | ||
September Six Two Thousand Seventeen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 250,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | 3,755,000 | ||
Derivative, Fixed Interest Rate | ' | 0.77% | ||
September Six Two Thousand And Seventeen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | 7,407,000 | ||
Derivative, Fixed Interest Rate | ' | 0.77% | ||
September Six 2 Thousand Seventeen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 250,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | 3,804,000 | ||
Derivative, Fixed Interest Rate | ' | 0.77% | ||
November Seven Two Thousand Seventeen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | 3,240,000 | ||
Derivative, Fixed Interest Rate | ' | 1.11% | ||
November Twenty Nine Two Thousand Seventeen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | 8,136,000 | ||
Derivative, Fixed Interest Rate | ' | 0.87% | ||
February Twenty One Two Thousand Eighteen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | 7,948,000 | ||
Derivative, Fixed Interest Rate | ' | 1.02% | ||
February Twenty Seven Two Thousand 18 [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | 9,226,000 | ||
Derivative, Fixed Interest Rate | ' | 0.96% | ||
April Twenty Five Two Thousand Eighteen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | [8] | |
Financial Instruments, Owned, at Fair Value | ' | 10,905,000 | [8] | |
Derivative, Fixed Interest Rate | ' | 1.01% | [8] | |
August Fifteen Two Thousand Eighteen [Member] | Interest Rate Swap [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Derivative, Notional Amount | ' | 500,000,000 | ||
Financial Instruments, Owned, at Fair Value | ' | -440,000 | ||
Derivative, Fixed Interest Rate | ' | 1.65% | ||
Agency RMBS [Member] | Fair Value, Inputs, Level 2 [Member] | ' | ' | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Assets, Fair Value Disclosure | ' | $13,858,848,000 | ||
[1] | Derived from audited financial statements. | |||
[2] | Previously reported under specialized accounting, Topic 946, investment company accounting. See note 2 to consolidated financial statements. | |||
[3] | Percentage of stockholders' equity. | |||
[4] | The Companybs interest rate swap contracts receive a floating rate set quarterly to three month LIBOR. Interest rate caps receive a floating rate quarterly in the amount of three month LIBOR that is in excess of the cap rate. | |||
[5] | Comprised of investments that were individually less than 1% of stockholders' equity. | |||
[6] | Securities or a portion of the securities are pledged as collateral for repurchase agreements or interest rate swap contracts or forward settling transactions. | |||
[7] | The coupon rate shown on floating or adjustable rate securities represents the rate at DecemberB 31, 2013. | |||
[8] | The interest rate swap effective date is April 25, 2014, and it does not accrue any income or expense until that date. |
Investment_Company_Accounting_3
Investment Company Accounting Disclosures Financial Highlights (Details) (USD $) | 12 Months Ended | ||
Dec. 31, 2013 | Dec. 31, 2012 | ||
cys_FinancialHighlights [Line Items] | ' | ' | |
Net Asset Value Per Share | $12.87 | $13.31 | |
Net investment income | $0.30 | [1] | ' |
Net gain (loss) from investments and swap and cap contracts | ($0.39) | [1] | ' |
Net income (loss) | ($0.09) | ' | |
Dividends on preferred stock | ($0.01) | [1] | ' |
Net income (loss) available to common shares | ($0.10) | ' | |
Distributions to common stockholders | ($0.32) | ' | |
Issuance/Repurchase of common and preferred shares and amortization of share based compensation | ($0.02) | [1] | ' |
Net decrease in net asset value from capital transactions | ($0.34) | ' | |
Net asset value total return (%)(d) | -0.90% | [2],[3] | ' |
Market value total return (%) | 2.11% | [2] | ' |
Expenses before interest expense | 0.94% | [4] | ' |
Total expenses | 3.49% | [4] | ' |
Net investment income | 8.91% | [4] | ' |
[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] | May also be referred to as common book value total return. | ||
[4] | Computed on an annualized basis. |