Document_And_Entity_Informatio
Document And Entity Information | 9 Months Ended | |
Sep. 30, 2014 | Oct. 23, 2014 | |
Document Information [Line Items] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 30-Sep-14 | ' |
Document Fiscal Period Focus | 'Q3 | ' |
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 | ' | 162,013,913 |
Consolidated_Statements_Of_Ass
Consolidated Statements Of Assets And Liabilities (Unaudited) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Assets: | ' | ' | ||
Investments in securities, at fair value (including pledged assets of $10,953,155 and $11,835,975, respectively) | $14,481,002 | $13,865,793 | [1],[2] | |
Derivative assets, at fair value | -203,657 | [1],[2] | -295,707 | [1],[2] |
Cash | 10,370 | 4,992 | [1],[2] | |
Receivable for securities sold and principal repayments | 214,578 | 429,233 | [1],[2] | |
Interest receivable | 36,158 | 36,731 | [1],[2] | |
Other assets | 688 | 608 | [1],[2] | |
Total assets | 14,946,453 | 14,633,064 | [1],[2] | |
Liabilities: | ' | ' | ||
Repurchase agreements | 10,403,088 | 11,206,950 | [1],[2] | |
Derivative liabilities, at fair value | 3,434 | [1],[2] | 29,458 | [1],[2] |
Payable for securities purchased | 2,519,002 | 1,556,821 | [1],[2] | |
Payable for cash received as collateral | 16,212 | 37,938 | [1],[2] | |
Distribution payable | 53,008 | 4,410 | [1],[2] | |
Accrued interest payable (including accrued interest on repurchase agreements of $2,919 and $7,204, respectively) | 28,874 | 24,613 | [1],[2] | |
Accrued expenses and other liabilities | 5,109 | 4,218 | [1],[2] | |
Total liabilities | 13,028,727 | 12,864,408 | [1],[2] | |
Stockholders' equity: | ' | ' | ||
7.75% Series A Cumulative Redeemable Preferred Stock, (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 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 (161,995 and 161,650 shares issued and outstanding, respectively) | 1,620 | 1,616 | [1],[2] | |
Additional paid in capital | 2,049,507 | 2,046,530 | [1],[2] | |
Accumulated deficit | -399,301 | -545,390 | [1],[2] | |
Total stockholders' equity | 1,917,726 | 1,768,656 | [1],[2] | |
Total liabilities and stockholders' equity | $14,946,453 | $14,633,064 | [1],[2] | |
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. | |||
[2] | Derived from audited financial statements. |
Condolidated_Statements_Of_Ass
Condolidated Statements Of Assets And Liabilities (Parenthetical) (USD $) | Sep. 30, 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 | $10,953,155 | $11,835,975 |
Accrued interest payable, accrued interest on repurchase agreements | 2,919 | 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 | $200,000 |
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 | 161,994,611 | 161,650,114 |
Common stock, shares outstanding | 161,994,611 | 161,650,114 |
Condensed_Statements_Of_Operat
Condensed Statements Of Operations (USD $) | 3 Months Ended | 9 Months Ended | ||||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||
Interest income: | ' | ' | ' | ' | ||
Interest income from Agency RMBS | $74,052 | $85,599 | [1] | $219,658 | $238,691 | [1] |
Other interest income | 3,080 | 0 | [1] | 13,819 | 1,477 | [1] |
Total interest income | 77,132 | 85,599 | [1] | 233,477 | 240,168 | [1] |
Interest expense: | ' | ' | ' | ' | ||
Repurchase agreement interest expense | 7,657 | 11,969 | [1] | 24,669 | 41,047 | [1] |
Swap and cap interest expense | 25,789 | 23,744 | [1] | 64,162 | 72,399 | [1] |
Total interest expense | 33,446 | 35,713 | [1] | 88,831 | 113,446 | [1] |
Net interest income | 43,686 | 49,886 | [1] | 144,646 | 126,722 | [1] |
Other income (loss): | ' | ' | ' | ' | ||
Net realized gain (loss) on investments | 40,470 | -407,728 | [1] | 90,258 | -572,466 | [1] |
Net unrealized gain (loss) on investments | -112,085 | 423,509 | [1] | 134,628 | -146,859 | [1] |
Net realized gain (loss) on termination of swap and cap contracts | 0 | 25,707 | [1] | -15,327 | 41,666 | [1] |
Net unrealized gain (loss) on swap and cap contracts | 58,909 | -55,243 | [1] | -22,512 | 183,720 | [1] |
Other income | 50 | 37 | [1] | 219 | 120 | [1] |
Total other income (loss) | -12,656 | -13,718 | [1] | 187,266 | -493,819 | [1] |
Expenses: | ' | ' | ' | ' | ||
Compensation and benefits | 3,767 | 3,453 | [1] | 11,108 | 10,198 | [1] |
General, administrative and other | 2,278 | 2,144 | [1] | 6,751 | 6,623 | [1] |
Total expenses | 6,045 | 5,597 | [1] | 17,859 | 16,821 | [1] |
Net income (loss) | 24,985 | 30,571 | [1] | 314,053 | -383,918 | [1] |
Less preferred stock dividends | -5,203 | -5,203 | [1] | -15,609 | -10,651 | [1] |
Net income (loss) available to common shareholders | $19,782 | $25,368 | [1] | $298,444 | ($394,569) | [1] |
Net income (loss) per common share basic & diluted | $0.12 | $0.14 | [1] | $1.84 | ($2.29) | [1] |
Dividends declared per common share | $0.30 | $0.34 | [1] | $0.94 | $1 | [1] |
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim 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) | 314,053 | 0 | 0 | 314,053 | 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 | 3,405 | 0 | 3,405 | 0 | 0 | 0 | |
Return of capital distributions | 0 | 0 | 62 | -62 | 0 | 0 | |
Repurchase and cancellation of common stock | 486 | 0 | 486 | 0 | 0 | 0 | |
Preferred dividends | -15,609 | 0 | 0 | -15,609 | 0 | 0 | |
Common dividends | -152,293 | 0 | 0 | -152,293 | 0 | 0 | |
Balance at Sep. 30, 2014 | $1,917,726 | $1,620 | $2,049,507 | ($399,301) | $72,369 | $193,531 | |
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. | ||||||
[2] | Derived from audited financial statements. |
Consolidated_Statements_Of_Cas
Consolidated Statements Of Cash Flows (USD $) | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | ||
Cash flows from operating activities: | ' | ' | ||
Net income (loss) | $314,053 | ($383,918) | [1] | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ' | ' | ||
Amortization of share based compensation | 3,405 | 2,573 | [1] | |
Amortization of premiums and discounts on investment securities | 36,084 | 104,137 | [1] | |
Amortization of premiums on interest rate cap contracts | 15,853 | 17,985 | [1] | |
Net realized (gain) loss on investments | -90,258 | 572,466 | [1] | |
Net realized (gain) loss on termination of cap contracts | -6,563 | -37,958 | [1] | |
Net unrealized (gain) loss on investments | -134,628 | 146,859 | [1] | |
Net unrealized (gain) loss on swap and cap contracts | 22,512 | -183,720 | [1] | |
Change in assets and liabilities: | ' | ' | ||
Interest receivable | 573 | 7,785 | [1] | |
Other assets | -80 | -66 | [1] | |
Accrued interest payable | 4,260 | -13,724 | [1] | |
Accrued expenses and other liabilities | 891 | 4,784 | [1] | |
Net cash provided by (used in) operating activities | 166,102 | 237,203 | [1] | |
Cash flows from investing activities: | ' | ' | ||
Purchase of investment securities | -25,140,605 | -39,821,249 | [1] | |
Premium paid on interest rate caps | 0 | -91,860 | [1] | |
Proceeds from disposition of investment securities | 23,765,066 | 43,280,830 | [1] | |
Proceeds from termination of interest rate cap contracts | 34,225 | 103,275 | [1] | |
Proceeds from paydowns of investment securities | 949,132 | 2,122,423 | [1] | |
Change in assets and liabilities: | ' | ' | ||
Receivable for securities sold and principal repayments | 214,655 | -734,148 | [1] | |
Payable for securities purchased | 962,181 | -2,858,777 | [1] | |
Payable for cash received as collateral | -21,726 | 6,578 | [1] | |
Net cash provided by (used in) investing activities | 762,928 | 2,007,072 | [1] | |
Cash flows from financing activities: | ' | ' | ||
Proceeds from repurchase agreements | 61,394,222 | 99,827,406 | [1] | |
Repayments of repurchase agreements | -62,198,084 | -102,073,642 | [1] | |
Net proceeds (payments) from issuance and repurchase of common stock | -486 | -72,772 | [1] | |
Net proceeds from issuance of preferred stock | 0 | 193,550 | [1] | |
Distributions paid | -119,304 | -122,102 | [1] | |
Net cash used in financing activities | -923,652 | -2,247,560 | [1] | |
Net increase (decrease) in cash | 5,378 | -3,285 | [1] | |
Cash - Beginning of period | 4,992 | [1],[2] | 13,882 | [1] |
Cash - End of period | 10,370 | 10,597 | [1] | |
Supplemental disclosures of cash flow information: | ' | ' | ||
Interest paid | 68,719 | 116,079 | [1] | |
Supplemental disclosures of non-cash flow information: | ' | ' | ||
Distributions declared, not yet paid | $53,008 | $61,149 | [1] | |
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. | |||
[2] | Derived from audited financial statements. |
Orginazation
Orginazation | 9 Months Ended |
Sep. 30, 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. Treasuries"). 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 are not backed by collateral but, in the case of government agencies, are backed by the full faith and credit of the U.S. government, and, in the case of government sponsored entities, are backed by the integrity and creditworthiness of the issuer (“U.S. 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 | 9 Months Ended | |
Sep. 30, 2014 | ||
Accounting Policies [Abstract] | ' | |
Significant Accounting Policies | ' | |
SIGNIFICANT ACCOUNTING POLICIES | ||
Basis of Presentation | ||
The accompanying interim consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and the instructions to Securities and Exchange Commission ("SEC") Form 10-Q and Article 10, Rule 10-01 of Regulation S-X. Accordingly, the financial statements do not include all of the information and footnotes required by U.S. 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 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 SEC Form 10-K. The results for interim periods are not necessarily indicative of the results to be expected for the fiscal year. | ||
The interim consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The interim consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the interim consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. | ||
The Company adopted Financial Accounting Standards Board (“FASB”) Statement of Position (“SOP”) 07-1, Clarification of the Scope of the Audit and Accounting Guide Investment Companies and Accounting by Parent Companies and Equity Method Investors for investments in Investment Companies, prior to its deferral in February 2008. Under SOP 07-1, the Company used financial reporting for investment companies, in accordance with FASB Accounting Standards Codification (“ASC”) 946, Investment Companies. Accounting Standards Update No. 2013-08, which was effective for the Company on January 1, 2014 required, among other things, that entities that adopted SOP 07-1 before the FASB’s indefinite deferral assess whether they continue to be within the scope of ASC 946. The Company determined that REITs are excluded from the scope of ASC 946, and effective January 1, 2014, the Company discontinued use of investment company accounting on a prospective basis. | ||
Reclassification and Presentation | ||
Effective January 1, 2014, the Company discontinued its use of investment company accounting under ASC 946. Upon transition, the following changes and elections were made: | ||
(i) | Investments are now presented as available-for-sale securities in accordance with ASC 320 Investments -- Debt and Equity Securities, | |
(ii) | Management elected the Fair Value Option (“FVO”) under ASC 825 -- Financial Instruments 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 consolidated statements of operations, and | |
(iii) | The Company elected not to designate its derivatives as hedging instruments in accordance with ASC 815 – Derivatives and Hedging. 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 investment company accounting under ASC 946 did not change the Company’s accounting for any financial statement item, but rather 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) | removed the statement of changes in net assets and included the consolidated statement of changes in stockholders’ equity, | |
(v) | reformatted the statement of cash flows and included an investing section, | |
(vi) | changed certain footnotes to reflect conformity with applicable U.S. GAAP for non-investment companies, | |
(vii) | included summary information on the amortization/accretion of bond premium/discounts, and | |
(viii) | removed the financial highlights, as it is no longer required. | |
Beginning January 1, 2014, the Company reclassified its prior period consolidated financial statements to conform to the non-investment company financial statement presentation. This reclassification had no impact on the previously reported income, total assets and liabilities, net cash flows, or stockholders’ equity. On the statement of cash flows, cash from investing activities, which were previously included in cash flows from operating activities, have been separately classified as cash flows from investing activities. | ||
Investments in Securities | ||
The Company's investment securities are accounted for in accordance with ASC 320. The Company has chosen to make a fair value election pursuant to ASC 825 for its securities and, therefore, our investment securities are recorded at fair market value on the consolidated balance sheets. 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. Electing the fair value option permits the Company to record changes in fair value of our investments 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. | ||
The Company records its transactions in securities on a trade date basis. We record realized gains and losses on securities transactions on an identified cost basis. | ||
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. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. Along with other forward settling transactions, the Company transacts in to-be-announced (“TBA”) securities. 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. Gains or losses may occur due to the fact that the actual underlying mortgages received may be more or less favorable than those anticipated by the Company. | ||
At times, the Company may enter into TBA contracts as a means of investing in and financing Agency RMBS via “dollar roll” transactions. TBA dollar roll transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The Company records such pair offs on a gross basis such that there is a sale of the original TBA and a subsequent purchase of a new TBA. | ||
Investment Valuation | ||
The Company has a pricing committee responsible for establishing valuation policies and procedures, and reviewing and approving valuations at a monthly 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. Treasuries are generally valued based on prices provided by third party 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. | ||
We generally value interest rate swaps and caps 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 of similar assets. For real estate, fair values are also 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 we receive from third party pricing services or broker quotes are non-binding. We review all prices. To date, the Company has not adjusted any of the prices received from third party pricing services or brokers. Our pricing 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 periodically to understand whether observable or unobservable inputs are being used. See Note 8, Fair Value Measurements, for a discussion of how the Company values its assets. | ||
Interest Income | ||
We record interest income and expense on an accrual basis. We accrue interest income based on outstanding principal amount of the securities and their contractual terms. We amortize premium and discount using the effective interest method, and this net amortization is either accretive to or a reduction of interest income from Agency RMBS in the Company's consolidated statements of operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. We record the amount of premium or discount associated with a prepayment through interest income from Agency RMBS on our consolidated statements of operations as it occurs. | ||
Repurchase Agreements | ||
Repurchase agreements are borrowings collateralized by the Company’s Agency RMBS and U.S. Treasuries 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 institutional dealers in fixed income securities. Collateral under repurchase agreements 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 under repurchase agreements. See Note 5, Repurchase Agreements. | ||
Interest Rate Swap and Cap Contracts | ||
The Company uses interest rate swaps and interest rate caps to hedge a portion of its exposure to market risks, including interest rate risk, credit risk and extension risk. The objective of our risk management strategy is to reduce fluctuations in stockholders’ equity over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. | ||
During the term of an interest rate swap or cap, the Company makes or receives periodic payments and records unrealized gains or losses as a result of marking the swap and cap to their fair value. When the Company terminates a swap or cap, we record 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. We report the periodic payments and amortization of premiums on cap contracts under interest expense in the 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 non-performance by the counterparty to the swap or cap limited to the fair value of collateral posted in excess of the fair value of the contract in a net liability position and the shortage of the fair value of collateral posted for the contract in a net asset position. As of September 30, 2014 and December 31, 2013, the Company did not anticipate non-performance 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. | ||
While the Company’s derivative agreements generally permit for netting or setting off derivative assets and liabilities with the counterparty, the Company reports related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. We record changes in fair value of our derivative instruments in net unrealized gain (loss) on swap and cap contracts in our consolidated statements of operations. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections in the Company’s consolidated statement of cash flows. See Note 4, Investments in Interest Rate Swap and Cap Contracts. | ||
Income Taxes | ||
The Company has elected to be treated as a REIT under the Code. The Company will generally not be subject to federal income tax to the extent that it distributes 90% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Code and as long as it satisfies the ongoing REIT requirements including meeting certain asset, income and stock ownership tests. | ||
Earnings Per Share (“EPS”) | ||
We compute basic EPS 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. We compute diluted EPS 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 10, Earnings Per Share for EPS computations. |
Investments_in_Securities
Investments in Securities | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||
Derivative, Fair Value, Net [Abstract] | ' | ||||||||||||||||||||||||
Investments in Securities and Other Assets | ' | ||||||||||||||||||||||||
INVESTMENTS IN SECURITIES | |||||||||||||||||||||||||
In accordance with the discontinuation of investment company accounting under ASC 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, Significant Accounting Policies for more information on the impacts of the discontinuation of ASC 946. | |||||||||||||||||||||||||
The available-for-sale portfolio consisted of the following as of September 30, 2014 and December 31, 2013 (in thousands): | |||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||
Asset Type | Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | |||||||||||||||||||||
Fannie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | $ | 10,894,736 | $ | (15,558 | ) | $ | 89,255 | $ | 10,968,433 | ||||||||||||||||
ARMs | 1,345,757 | (17,801 | ) | 3,765 | 1,331,721 | ||||||||||||||||||||
Total Fannie Mae | 12,240,493 | (33,359 | ) | 93,020 | 12,300,154 | ||||||||||||||||||||
Freddie Mac Certificates | |||||||||||||||||||||||||
Fixed Rate | 1,030,950 | (216 | ) | 17,210 | 1,047,944 | ||||||||||||||||||||
ARMs | 502,735 | (9,837 | ) | 1,160 | 494,058 | ||||||||||||||||||||
Total Freddie Mac | 1,533,685 | (10,053 | ) | 18,370 | 1,542,002 | ||||||||||||||||||||
Ginnie Mae Certificates - ARMs | 73,398 | — | 2,353 | 75,751 | |||||||||||||||||||||
U.S. Treasuries | 556,274 | (124 | ) | — | 556,150 | ||||||||||||||||||||
Other Investments | 6,945 | — | — | 6,945 | |||||||||||||||||||||
Total | $ | 14,410,795 | $ | (43,536 | ) | $ | 113,743 | $ | 14,481,002 | ||||||||||||||||
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 RMBS by length of time that such securities have been in a continuous unrealized loss position as of September 30, 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 | |||||||||||||||||||
September 30, 2014 | $ | 5,345,936 | $ | (9,363 | ) | $ | 1,718,373 | $ | (34,173 | ) | $ | 7,064,309 | $ | (43,536 | ) | ||||||||||
December 31, 2013 | $ | 8,415,016 | (107,019 | ) | 408,348 | (15,837 | ) | 8,823,364 | (122,856 | ) | |||||||||||||||
The following table is a summary of our net gain (loss) from the sale of available-for-sale investments for the three and nine months ended September 30, 2014 and 2013 (in thousands): | |||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||||||||||
Available-for-sale investments, at cost | $ | 9,523,312 | $ | 15,079,756 | $ | 23,674,808 | $ | 43,853,296 | |||||||||||||||||
Proceeds from available-for-sale investments sold | 9,563,782 | 14,672,028 | 23,765,066 | 43,280,830 | |||||||||||||||||||||
Net gain on sale of available-for-sale investments | 40,470 | (407,728 | ) | 90,258 | (572,466 | ) | |||||||||||||||||||
Gross gain on sale of available-for-sale investments | 48,439 | 16,162 | 140,076 | 152,555 | |||||||||||||||||||||
Gross loss on sale of available-for-sale investments | (7,969 | ) | (423,890 | ) | (49,818 | ) | (725,021 | ) | |||||||||||||||||
Net gain on sale of available-for-sale investments | $ | 40,470 | $ | (407,728 | ) | $ | 90,258 | $ | (572,466 | ) | |||||||||||||||
The components of the carrying value of available-for-sale securities at September 30, 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. | |||||||||||||||||||||||||
(in thousands) | September 30, 2014 | December 31, 2013 | |||||||||||||||||||||||
Principal balance | $ | 13,906,540 | $ | 13,581,742 | |||||||||||||||||||||
Unamortized premium | 508,151 | 351,476 | |||||||||||||||||||||||
Unamortized discount | (3,896 | ) | (3,002 | ) | |||||||||||||||||||||
Gross unrealized gains | 113,743 | 58,433 | |||||||||||||||||||||||
Gross unrealized losses | (43,536 | ) | (122,856 | ) | |||||||||||||||||||||
Fair value | $ | 14,481,002 | $ | 13,865,793 | |||||||||||||||||||||
As of September 30, 2014, the weighted-average coupon interest rate on the Company's Agency RMBS and U.S. Treasuries was 3.41% and 1.63%, respectively. As of December 31, 2013, the weighted-average coupon interest rate on the Company's Agency RMBS was 3.30%. Actual maturities of Agency RMBS are generally shorter than stated contractual maturities (which range up to 30 years), as they are affected by the contractual lives of the underlying mortgages, periodic payments and prepayments of principal. As of September 30, 2014, the range of final contractual maturity of the Company’s Agency RMBS portfolio is between 2024 and 2044. As of September 30, 2014, the final maturity of the Company's U.S. Treasuries was 2019. | |||||||||||||||||||||||||
Credit Risk | |||||||||||||||||||||||||
CYS has minimal exposure to credit losses on its investment securities assets at September 30, 2014 and December 31, 2013 because it owns principally Agency RMBS and U.S. Treasuries. Principal and interest payments on Agency RMBS are guaranteed by Freddie Mac and Fannie Mae, while principal and interest payments on Ginnie Mae RMBS and U.S. Treasuries are backed by the full faith and credit of the U.S. government. In September 2008, both Freddie Mac and Fannie Mae were placed in the conservatorship of the U.S. government. On August 5, 2011, Standard & Poor’s downgraded the U.S. government’s credit rating for the first time to AA+. Fitch Ratings Inc. ("Fitch") announced on October 15, 2013 that it had placed the U.S. government's credit rating on "negative watch"; this negative watch was changed to "stable" on March 21, 2014. | |||||||||||||||||||||||||
As of September 30, 2014, S&P has maintained its AA+ rating, while Fitch and Moody's rated the U.S. government AAA and Aaa, respectively. Because Fannie Mae and Freddie Mac are in U.S. government conservatorship, the implied credit ratings of Agency RMBS were similarly rated. While the conservatorship, ratings downgrade and ratings watch appear not to have had a significant impact on the fair value of the Agency RMBS or U.S. Treasuries in the Company’s portfolio, these developments increased the uncertainty regarding the credit risk of Agency RMBS and U.S. Treasuries. |
Investments_in_Interest_Rate_S
Investments in Interest Rate Swap and Cap Contracts | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||
Derivatives and Fair Value [Text Block] | ' | ||||||||||||||||||
INVESTMENTS IN INTEREST RATE SWAP AND CAP CONTRACTS | |||||||||||||||||||
In order to mitigate our interest rate exposure, the Company enters into interest rate swap and cap contracts. The Company had the following activity in interest rate swap and cap transactions during the three and nine months ended September 30, 2014 and 2013 (in thousands): | |||||||||||||||||||
Three and Nine Months Ended September 30, 2014 | Three and Nine Months Ended September 30, 2013 | ||||||||||||||||||
Trade Date | Transaction | Notional | Trade Date | Transaction | Notional | ||||||||||||||
Feb-14 | Terminated | $ | (500,000 | ) | Feb-13 | Opened | $ | 1,500,000 | |||||||||||
Apr-14 | Terminated | $ | (1,100,000 | ) | Mar-13 | Terminated | $ | (500,000 | ) | ||||||||||
Apr-14 | Opened | $ | 500,000 | Mar-13 | Opened | $ | 1,200,000 | ||||||||||||
May-14 | Terminated | $ | (300,000 | ) | Apr-13 | Opened | $ | 500,000 | |||||||||||
May-14 | Opened | $ | 300,000 | May-13 | Opened | $ | 500,000 | ||||||||||||
Jun-14 | Terminated | $ | (550,000 | ) | May-13 | Matured | $ | (100,000 | ) | ||||||||||
Jun-14 | Opened | $ | 1,200,000 | Jun-13 | Terminated | $ | (700,000 | ) | |||||||||||
Jul-14 | Opened | $ | 400,000 | Jun-13 | Matured | $ | (300,000 | ) | |||||||||||
Net Decrease | $ | (50,000 | ) | Jul-13 | Matured | $ | (300,000 | ) | |||||||||||
Aug-13 | Terminated | $ | (2,200,000 | ) | |||||||||||||||
Aug-13 | Opened | $ | 500,000 | ||||||||||||||||
Net Increase | $ | 100,000 | |||||||||||||||||
As of September 30, 2014 and December 31, 2013, the Company had pledged Agency RMBS and U.S. Treasuries with a fair value of $61.5 million and $63.0 million, respectively, as collateral on interest rate swap and cap contracts. As of September 30, 2014, the Company had Agency RMBS and U.S. Treasuries of $149.9 million and cash of $16.0 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. Treasuries 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 September 30, 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 | ||||||||||||||||
September 30, 2014 | $ | 1,500,000 | $ | (3,434 | ) | Derivative liabilities, at fair value | |||||||||||||
September 30, 2014 | 6,150,000 | 65,595 | 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 | ||||||||||||||||
September 30, 2014 | $ | 2,500,000 | $ | 138,062 | 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 and nine months ended September 30, 2014 and 2013 on the Company's interest rate swap and cap contracts not designated as hedging instruments under ASC 815 (in thousands): | |||||||||||||||||||
Amount Recognized in Income on Derivatives | |||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||
Derivative Type | Location of Gain or (Loss) Recognized in Income on Derivative | 2014 | 2013 | 2014 | 2013 | ||||||||||||||
Interest rate swaps and caps | Net realized gain (loss) on termination of swap and cap contracts | $ | — | $ | 25,707 | $ | (15,327 | ) | $ | 41,666 | |||||||||
Interest rate swaps and caps | Net unrealized gain (loss) on swap and cap contracts | 58,909 | (55,243 | ) | (22,512 | ) | 183,720 | ||||||||||||
Interest rate swaps and caps | Total recognized in income on derivatives | $ | 58,909 | $ | (29,536 | ) | $ | (37,839 | ) | $ | 225,386 | ||||||||
Repurchase_Agreements
Repurchase Agreements | 9 Months Ended | |||||||
Sep. 30, 2014 | ||||||||
Banking and Thrift [Abstract] | ' | |||||||
Repurchase Agreements | ' | |||||||
REPURCHASE AGREEMENTS | ||||||||
The Company leverages its portfolio through repurchase agreement borrowings. Each of the Company's repurchase agreement borrowings bear interest at a floating rate based on a spread above or below 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 repurchase agreement borrowings outstanding at the balance sheet date is summarized in the table below. Each of the borrowings is contractually due in one year or less. | ||||||||
(in thousands) | September 30, 2014 | December 31, 2013 | ||||||
Outstanding repurchase agreements | $ | 10,403,088 | $ | 11,206,950 | ||||
Interest accrued thereon | $ | 2,919 | $ | 7,204 | ||||
Weighted-average borrowing rate(1) | 0.2 | % | 0.41 | % | ||||
Weighted-average remaining maturity (in days) | 42 | 40 | ||||||
Fair value of the collateral(2) | $ | 10,876,739 | $ | 11,760,720 | ||||
__________________ | ||||||||
-1 | The weighted-average borrowing rate as of September 30, 2014 was determined as set forth in the table below. | |||||||
Collateral | Amount | Rate | ||||||
Agency RMBS | $ | 9,849,569 | 0.33 | % | ||||
U.S. Treasuries | 553,519 | (2.20 | )% | |||||
Total / weighted-average borrowing rate | 10,403,088 | 0.2 | % | |||||
-2 | Collateral for repurchase agreements consisted of Agency RMBS and U.S. Treasuries. | |||||||
Our weighted-average borrowing rate of 0.20% at September 30, 2014 was the result of a unique short-term borrowings environment at the end of September 2014. Due to excessive demand for U.S. Treasuries as repurchase agreement collateral at the end of the quarter, we experienced extremely attractive repurchase agreement funding by being paid 220 basis points to lend U.S. Treasuries overnight. Our weighted-average rate during the entire quarter was 0.30%. | ||||||||
At September 30, 2014 and December 31, 2013, the Company had no borrowings under repurchase agreements where the amount at risk with an individual counterparty exceeded 2% of stockholders' equity. In addition, we had no borrowings with any counterparty that exceeded 6% of our total borrowings. |
Commitments_and_Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2014 | |
Commitments and Contingencies Disclosure [Abstract] | ' |
Commitments and Contingencies | ' |
COMMITMENTS AND CONTINGENCIES | |
The Company enters into certain contracts that contain a variety of indemnifications, principally with broker dealers. As of September 30, 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 September 30, 2014 and December 31, 2013. |
Pledged_Assets
Pledged Assets | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||
Transfers and Servicing [Abstract] | ' | ||||||||||||||||||
Pledged Assets | ' | ||||||||||||||||||
PLEDGED ASSETS | |||||||||||||||||||
Our repurchase agreements and derivative contracts require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. In addition, obligations under our derivative agreements will typically vary over time based on similar factors as well as the remaining term of the derivative contract. We are also typically required to post initial margin ("IM") upon execution of derivative transactions, such as interest rate swaps and caps. If we breach any of these provisions, we will be required to fully settle our obligations under the agreements, which could include a forced liquidation of our pledged collateral. | |||||||||||||||||||
Our repurchase agreement and derivative counterparties also apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value and limits the amount we can borrow against our securities. This haircut reflects the underlying risk of the specific collateral and protects the counterparty against a change in its value. Our agreements do not specify the haircut; rather haircuts are determined on an individual transaction basis. | |||||||||||||||||||
Consequently, the use of repurchase agreements and derivative instruments exposes us to credit risk relating to potential losses that could be recognized in the event that our counterparties fail to perform their obligations under such agreements. We minimize this risk by limiting our repurchase agreement and derivative counterparties to major financial institutions with acceptable credit ratings, or to a registered clearinghouse, and we closely monitor our positions with individual counterparties. In the event of a default by a counterparty, we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments provided for under the terms of our derivative agreements. In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that this risk is minimal due to clearing exchange initial and daily mark-to-market margin requirements, clearinghouse guarantee funds, and other resources that are available in the event of a clearing member default. | |||||||||||||||||||
Further, each of our International Standard Derivative Association (“ISDA”) agreements contains a cross default provision under which a default under certain of our other indebtedness in excess of a certain threshold causes an event of default under the agreement. Threshold amounts vary by lender. Following an event of default, we could be required to settle our obligations under the agreements. Additionally, under certain of our ISDA master agreements, we could be required to settle our obligations under the agreements if we fail to maintain certain minimum stockholders' equity thresholds or our REIT status or if we fail to comply with limits on our leverage above certain specified levels. As of September 30, 2014, the fair value of additional collateral that could be required to be posted as a result of the credit-risk-related contingent features being triggered was not material to our consolidated financial statements. | |||||||||||||||||||
As of September 30, 2014, our amount at risk with any counterparty related to our repurchase agreements was less than 2% of our stockholders' equity, and our amount at risk with any counterparty related to our interest rate swap and cap agreements, excluding centrally cleared swaps, was less than 2% of our stockholders' equity. | |||||||||||||||||||
Our collateral is generally valued on the basis of prices provided by recognized bond market sources agreed to by the parties. Inputs to the models used by pricing sources may include, but are not necessarily 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. Our master agreements for repurchase transactions contain mostly standard provisions for the valuation of collateral. These agreements typically provide that both the repurchase seller (the borrower) and the repurchase buyer (the lender) value the collateral on a daily basis. Each party uses prices that it obtains from generally recognized pricing sources, or the most recent closing bid quotation from such a source. If the buyer, or the seller, as the case may be, determines that additional collateral is required, it may call for the delivery of such collateral. Under certain of our repurchase agreements, in limited circumstances, such as when a pricing source is not available, our lenders have the right to determine the value of the collateral we have provided to secure our repurchase borrowings. In instances where we have agreed to permit our lenders to make a determination of the value of such collateral, such lenders are expected to act reasonably and in good faith in making such valuation determinations. | |||||||||||||||||||
Assets Pledged to Counterparties | |||||||||||||||||||
The following tables summarize our assets pledged as collateral under our repurchase agreements and derivative agreements by type, including securities pledged related to securities purchased or sold but not yet settled, as of September 30, 2014 and December 31, 2013 (in thousands): | |||||||||||||||||||
September 30, 2014 | |||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 10,327,686 | $ | 42,722 | $ | 7,826 | $ | 10,378,234 | |||||||||||
U.S. Treasuries - fair value | 556,150 | 18,771 | — | 574,921 | |||||||||||||||
Accrued interest on pledged securities | 28,298 | 289 | 19 | 28,606 | |||||||||||||||
Total | $ | 10,912,134 | $ | 61,782 | $ | 7,845 | $ | 10,981,761 | |||||||||||
December 31, 2013 | |||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 11,760,720 | $ | 30,988 | $ | 12,252 | $ | 11,803,960 | |||||||||||
U.S. Treasuries - fair value | — | 32,015 | — | 32,015 | |||||||||||||||
Accrued interest on pledged securities | 31,539 | 93 | 30 | 31,662 | |||||||||||||||
Total | $ | 11,792,259 | $ | 63,096 | $ | 12,282 | $ | 11,867,637 | |||||||||||
Assets Pledged from Counterparties | |||||||||||||||||||
As the estimated fair value of our investment securities pledged as collateral increases due to changes in interest rates or other factors, we may require counterparties to release collateral back to us, which may be in the form of identical securities, similar securities, or cash. As of September 30, 2014 and December 31, 2013, we also had assets pledged to us as collateral under our repurchase and derivative agreements summarized in the tables below (in thousands): | |||||||||||||||||||
September 30, 2014 | |||||||||||||||||||
Assets Pledged to CYS | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 3,557 | $ | 113,176 | $ | 424 | $ | 117,157 | |||||||||||
U.S. Treasuries - fair value | 3,540 | 36,695 | — | 40,235 | |||||||||||||||
Accrued interest on pledged securities | 19 | 628 | 1 | 648 | |||||||||||||||
Cash | — | 16,048 | 164 | 16,212 | |||||||||||||||
Total | $ | 7,116 | $ | 166,547 | $ | 589 | $ | 174,252 | |||||||||||
December 31, 2013 | |||||||||||||||||||
Assets Pledged to CYS | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | — | $ | 163,386 | $ | — | $ | 163,386 | |||||||||||
U.S. Treasuries - fair value | — | 48,036 | — | 48,036 | |||||||||||||||
Accrued interest on pledged securities | — | 542 | — | 542 | |||||||||||||||
Cash | — | 37,938 | — | 37,938 | |||||||||||||||
Total | $ | — | $ | 249,902 | $ | — | $ | 249,902 | |||||||||||
Cash collateral received is recognized in "Cash" with a corresponding amount recognized in "Payable for cash received as collateral" on the accompanying interim consolidated balance sheets. Securities collateral received from counterparties is disclosed as a component of our liquidity amount in Note 4, "Investment in Interest Rate Swap and Cap Contracts". | |||||||||||||||||||
Cash and Agency RMBS and U.S. Treasuries we pledge as collateral under our derivatives agreements is included in "Cash" and "Investment in securities, at fair value" on our consolidated balance sheets. | |||||||||||||||||||
Offsetting Assets and Liabilities | |||||||||||||||||||
Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of set-off under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. Under U.S. GAAP, if the Company has a valid right of set-off, it may offset the related asset and liability and report the net amount. However, the Company reports amounts subject to its Master Repurchase Agreements (“MRA”) and ISDA agreements in the consolidated balance sheets on a gross basis without regard to such rights of offset. | |||||||||||||||||||
At September 30, 2014 and December 31, 2013, the Company's derivative assets and liabilities (by type) are as follows (in thousands): | |||||||||||||||||||
September 30, 2014 | Assets | Liabilities | |||||||||||||||||
Interest rate swap contracts | $ | 65,595 | $ | 3,434 | |||||||||||||||
Interest rate cap contracts | 138,062 | — | |||||||||||||||||
Total derivative assets and liabilities in the interim consolidated balance sheet | 203,657 | 3,434 | |||||||||||||||||
Derivatives not subject to a master netting agreement or similar agreement ("MNA") | 15,250 | 150 | |||||||||||||||||
Total assets and liabilities subject to a MNA | $ | 188,407 | $ | 3,284 | |||||||||||||||
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 interim consolidated balance sheet | 295,707 | 29,458 | |||||||||||||||||
Derivatives not subject to a 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) | ||||||||||||||
September 30, 2014 | Derivative assets | $ | 188,407 | $ | 2,616 | $ | 160,889 | $ | 24,902 | ||||||||||
31-Dec-13 | 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 the counterparty's 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) | ||||||||||||||
September 30, 2014 | Derivative liabilities | $ | 3,284 | $ | 2,616 | $ | 668 | $ | — | ||||||||||
September 30, 2014 | Repurchase agreements | 10,403,088 | — | 10,403,088 | — | ||||||||||||||
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 to the counterparty in the event of the counterparty's default. |
Fair_Value_Measurements
Fair Value Measurements | 9 Months Ended | |||||||||||||||
Sep. 30, 2014 | ||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||
Fair Value Measurements | ' | |||||||||||||||
FAIR VALUE MEASUREMENTS | ||||||||||||||||
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 consolidated financial statements at cost basis, which is deemed to approximate fair value, primarily due to the short duration of these instruments, including cash, receivables, payables and borrowings under repurchase arrangements with initial terms of 1 year or less. The fair value of these instruments is determined using level two inputs. The following tables provide a summary of the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2014 and December 31, 2013 (in thousands): | ||||||||||||||||
September 30, 2014 | Fair Value Measurements Using | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Agency RMBS | $ | — | $ | 13,917,907 | $ | — | $ | 13,917,907 | ||||||||
U.S. Treasuries | 556,150 | — | — | 556,150 | ||||||||||||
Other Investments | — | — | 6,945 | 6,945 | ||||||||||||
Derivative assets | — | 203,657 | — | 203,657 | ||||||||||||
Total | $ | 556,150 | $ | 14,121,564 | $ | 6,945 | $ | 14,684,659 | ||||||||
Liabilities | ||||||||||||||||
Derivative liabilities | $ | — | $ | 3,434 | $ | — | $ | 3,434 | ||||||||
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 interim consolidated financial statements for the three and nine months ended September 30, 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, Significant Accounting Policies -- Investments in Securities -- Investment Valuation. The significant unobservable input used in the fair value measurement is capitalization rates, which the Company estimated to be between 4% and 5% at September 30, 2014 and December 31, 2013. | ||||||||||||||||
Level 3 Fair Value Reconciliation | ||||||||||||||||
(In thousands) | Nine Months Ended September 30, | |||||||||||||||
Other investments | 2014 | 2013 | ||||||||||||||
Beginning balance Level 3 assets | $ | 6,945 | $ | 19,576 | ||||||||||||
Cash payments recorded as a reduction of cost basis | — | (324 | ) | |||||||||||||
Change in net unrealized gain (loss) | — | (6,721 | ) | |||||||||||||
Net sales | — | (12,005 | ) | |||||||||||||
Net gain (loss) on sales | — | 6,419 | ||||||||||||||
Transfers into (out of) Level 3 | — | — | ||||||||||||||
Ending balance Level 3 assets | $ | 6,945 | $ | 6,945 | ||||||||||||
Share_Capital
Share Capital | 9 Months Ended |
Sep. 30, 2014 | |
Stockholders' Equity Note [Abstract] | ' |
Share Capital | ' |
SHARE CAPITAL | |
The Company has authorized 500,000,000 shares of common stock having par value of $0.01 per share. As of September 30, 2014 and December 31, 2013, the Company had issued and outstanding 161,994,611 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 September 30, 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 September 30, 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. | |
On May 23, 2014, the Company filed an automatically effective shelf registration statement on SEC Form S-3 with the SEC. The Company may offer and sell, from time to time, shares of common stock, preferred stock and debt securities in one or more offerings pursuant to the prospectus that is a part of the registration statement. As of September 30, 2014, the Company had not issued any shares of common stock, preferred stock or debt securities under the prospectus. | |
Equity Placement Program (“EPP”) | |
Effective May 15, 2014, the Company terminated that certain Equity Distribution Agreement by and between the Company and JMP Securities LLC (“JMP”), dated as of June 7, 2011 (the “JMP Agreement”), in connection with the expiration of the Company’s prior shelf registration statement on Form S-3. Under the JMP Agreement, the Company could offer and sell, from time to time, up to 15.0 million shares of the Company’s common stock through an “at the market” offering program with JMP. For the nine months ended September 30, 2014 and 2013, the Company did not sell any shares of common stock under the JMP Agreement. | |
Dividend Reinvestment and Direct Stock Purchase Plan (“DSPP”) | |
The Company sponsors a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of common stock by reinvesting some or all of the cash dividends received on shares of common stock. Stockholders may also make optional cash purchases of shares of common stock subject to certain limitations detailed in the plan prospectus. For the nine months ended September 30, 2014 and 2013 the Company did not issue any shares under the plan. As of September 30, 2014 and December 31, 2013, there were approximately 4.1 million shares available for issuance under the plan. | |
Share Repurchase Program | |
On November 15, 2012, the Company announced that its Board of Directors authorized the repurchase of shares of the Company’s common stock having an aggregate value of up to $250 million. Pursuant to this program, the Company repurchased approximately $115.7 million in aggregate value of its shares of common stock on the open market. On July 21, 2014, the Company announced that its Board of Directors authorized the repurchase of shares of the Company's common stock having an aggregate value of up to $250 million, which included the approximately $134.3 million still available for repurchase under the November 2012 authorization. In July 2014, pursuant to the program, the Company repurchased 39,800 shares of its common stock in open market transactions with a weighted-average purchase price of $8.86 per share for $353,584. Accordingly, the Company still had approximately $249.6 million available to repurchase shares of its common stock as of September 30, 2014. | |
Restricted Stock Awards | |
For the nine months ended September 30, 2014 and 2013, the Company granted 0.4 million and 0.4 million shares of restricted stock, respectively, to certain of its directors, officers and employees. |
Earnings_Per_Share
Earnings Per Share | 9 Months Ended | |||||||||||||||
Sep. 30, 2014 | ||||||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||||||
Earnings Per Share | ' | |||||||||||||||
EARNINGS PER SHARE | ||||||||||||||||
Components of the computation of basic and diluted EPS were as follows (in thousands except per share amounts): | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Net income (loss) | $ | 24,985 | $ | 30,571 | $ | 314,053 | $ | (383,918 | ) | |||||||
Less preferred stock dividends | (5,203 | ) | (5,203 | ) | (15,609 | ) | (10,651 | ) | ||||||||
Net income (loss) available to common shareholders | 19,782 | 25,368 | 298,444 | (394,569 | ) | |||||||||||
Less dividends paid: | ||||||||||||||||
Common shares | (48,307 | ) | (56,444 | ) | (151,344 | ) | (170,473 | ) | ||||||||
Unvested shares | (291 | ) | (295 | ) | (948 | ) | (884 | ) | ||||||||
Undistributed earnings (loss) | (28,816 | ) | (31,371 | ) | 146,152 | (565,926 | ) | |||||||||
Basic weighted-average shares outstanding: | ||||||||||||||||
Common shares | 161,016 | 169,465 | 160,986 | 172,284 | ||||||||||||
Basic earnings (loss) per common share: | ||||||||||||||||
Distributed earnings | $ | 0.3 | $ | 0.33 | $ | 0.94 | $ | 0.99 | ||||||||
Undistributed earnings (loss) | (0.18 | ) | (0.19 | ) | 0.9 | (3.28 | ) | |||||||||
Basic earnings (loss) per common share | $ | 0.12 | $ | 0.14 | $ | 1.84 | $ | (2.29 | ) | |||||||
Diluted weighted-average shares outstanding: | ||||||||||||||||
Common shares | 161,016 | 169,465 | 160,986 | 172,284 | ||||||||||||
Net effect of dilutive stock options (1) | — | — | — | — | ||||||||||||
161,016 | 169,465 | 160,986 | 172,284 | |||||||||||||
Diluted earnings (loss) per common share: | ||||||||||||||||
Distributed earnings | $ | 0.3 | $ | 0.33 | $ | 0.94 | $ | 0.99 | ||||||||
Undistributed earnings (loss) | (0.18 | ) | (0.19 | ) | 0.9 | (3.28 | ) | |||||||||
Diluted earnings (loss) per common share | $ | 0.12 | $ | 0.14 | $ | 1.84 | $ | (2.29 | ) | |||||||
__________________ | ||||||||||||||||
-1 | For the three and nine months ended September 30, 2014 and 2013, the Company had an aggregate of 131,088 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. |
Investment_Company_Accounting_
Investment Company Accounting Disclosures | 9 Months Ended | ||||||||||
Sep. 30, 2014 | |||||||||||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' | ||||||||||
Investment Company Accounting Disclosures | ' | ||||||||||
INVESTMENT COMPANY ACCOUNTING DISCLOSURES | |||||||||||
The information in the tables below 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 financial statement presentation under ASC 946 and the following schedules have been included to comply with ASC 946. See Note 2, Significant Accounting Policies 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 | |||||||||
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 | |||||||
__________________ | |||||||||||
(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 and nine months ended September 30, 2013: | |||||||||||
Per Common Share | |||||||||||
Three Months Ended September 30, 2013 | Nine Months Ended September 30, 2013 | ||||||||||
Net asset value, beginning of period | $ | 10.2 | $ | 13.31 | |||||||
Net income (loss): | |||||||||||
Net investment income | 0.4 | (a) | 1.05 | (a) | |||||||
Net gain (loss) from investments and swap and cap contracts | (0.22 | ) | (a) | (3.27 | ) | (a) | |||||
Net income (loss) | 0.18 | (2.22 | ) | ||||||||
Dividends on preferred stock | (0.03 | ) | (a) | (0.06 | ) | (a) | |||||
Net income (loss) available to common shareholders | 0.15 | (2.28 | ) | ||||||||
Capital transactions: | |||||||||||
Distributions to common stockholders | (0.34 | ) | (1.00 | ) | |||||||
Issuance/Repurchase of common and preferred shares and amortization of share based compensation | 0.09 | (a) | 0.07 | (a) | |||||||
Net decrease in net asset value from capital transactions | (0.25 | ) | (0.93 | ) | |||||||
Net asset value, end of period | $ | 10.1 | $ | 10.1 | |||||||
Net asset value total return (%)(d) | 2.35 | % | (b) | (16.60 | )% | (b) | |||||
Market value total return (%) | (8.02 | )% | (b) | (23.53 | )% | (b) | |||||
Ratios to Average Net Assets | |||||||||||
Expenses before interest expense | 1.13 | % | (c) | 1.01 | % | (c) | |||||
Total expenses | 3.55 | % | (c) | 3.47 | % | (c) | |||||
Net investment income | 13.77 | % | (c) | 10.92 | % | (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, Investments in Securities). | ||||||||||
(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. |
Subsequent_Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2014 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
SUBSEQUENT EVENTS | |
On October 1, 2014, an aggregate of 17,255 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. | |
On October 16, 2014, the Company's Board of Directors elected Karen Hammond to serve as a Director and granted her 2,047 shares as compensation for serving on the Board. |
Significant_Accounting_Policie1
Significant Accounting Policies (Policies) | 9 Months Ended | |
Sep. 30, 2014 | ||
Accounting Policies [Abstract] | ' | |
Basis Of Presentation | ' | |
Basis of Presentation | ||
The accompanying interim consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and the instructions to Securities and Exchange Commission ("SEC") Form 10-Q and Article 10, Rule 10-01 of Regulation S-X. Accordingly, the financial statements do not include all of the information and footnotes required by U.S. 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 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 SEC Form 10-K. The results for interim periods are not necessarily indicative of the results to be expected for the fiscal year. | ||
The interim consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The interim consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the interim consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. | ||
The Company adopted Financial Accounting Standards Board (“FASB”) Statement of Position (“SOP”) 07-1, Clarification of the Scope of the Audit and Accounting Guide Investment Companies and Accounting by Parent Companies and Equity Method Investors for investments in Investment Companies, prior to its deferral in February 2008. Under SOP 07-1, the Company used financial reporting for investment companies, in accordance with FASB Accounting Standards Codification (“ASC”) 946, Investment Companies. Accounting Standards Update No. 2013-08, which was effective for the Company on January 1, 2014 required, among other things, that entities that adopted SOP 07-1 before the FASB’s indefinite deferral assess whether they continue to be within the scope of ASC 946. The Company determined that REITs are excluded from the scope of ASC 946, and effective January 1, 2014, the Company discontinued use of investment company accounting on a prospective basis. | ||
Reclassification and Presentation | ' | |
Reclassification and Presentation | ||
Effective January 1, 2014, the Company discontinued its use of investment company accounting under ASC 946. Upon transition, the following changes and elections were made: | ||
(i) | Investments are now presented as available-for-sale securities in accordance with ASC 320 Investments -- Debt and Equity Securities, | |
(ii) | Management elected the Fair Value Option (“FVO”) under ASC 825 -- Financial Instruments 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 consolidated statements of operations, and | |
(iii) | The Company elected not to designate its derivatives as hedging instruments in accordance with ASC 815 – Derivatives and Hedging. 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 investment company accounting under ASC 946 did not change the Company’s accounting for any financial statement item, but rather 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) | removed the statement of changes in net assets and included the consolidated statement of changes in stockholders’ equity, | |
(v) | reformatted the statement of cash flows and included an investing section, | |
(vi) | changed certain footnotes to reflect conformity with applicable U.S. GAAP for non-investment companies, | |
(vii) | included summary information on the amortization/accretion of bond premium/discounts, and | |
(viii) | removed the financial highlights, as it is no longer required. | |
Beginning January 1, 2014, the Company reclassified its prior period consolidated financial statements to conform to the non-investment company financial statement presentation. This reclassification had no impact on the previously reported income, total assets and liabilities, net cash flows, or stockholders’ equity. On the statement of cash flows, cash from investing activities, which were previously included in cash flows from operating activities, have been separately classified as cash flows from investing activities. | ||
Investments in Securities | ' | |
Investments in Securities | ||
The Company's investment securities are accounted for in accordance with ASC 320. The Company has chosen to make a fair value election pursuant to ASC 825 for its securities and, therefore, our investment securities are recorded at fair market value on the consolidated balance sheets. 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. Electing the fair value option permits the Company to record changes in fair value of our investments 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. | ||
The Company records its transactions in securities on a trade date basis. We record realized gains and losses on securities transactions on an identified cost basis. | ||
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. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. Along with other forward settling transactions, the Company transacts in to-be-announced (“TBA”) securities. 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. Gains or losses may occur due to the fact that the actual underlying mortgages received may be more or less favorable than those anticipated by the Company. | ||
At times, the Company may enter into TBA contracts as a means of investing in and financing Agency RMBS via “dollar roll” transactions. TBA dollar roll transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The Company records such pair offs on a gross basis such that there is a sale of the original TBA and a subsequent purchase of a new TBA. | ||
Investment Valuation | ' | |
Investments in Securities | ||
The Company's investment securities are accounted for in accordance with ASC 320. The Company has chosen to make a fair value election pursuant to ASC 825 for its securities and, therefore, our investment securities are recorded at fair market value on the consolidated balance sheets. 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. Electing the fair value option permits the Company to record changes in fair value of our investments 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. | ||
The Company records its transactions in securities on a trade date basis. We record realized gains and losses on securities transactions on an identified cost basis. | ||
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. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. Along with other forward settling transactions, the Company transacts in to-be-announced (“TBA”) securities. 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. Gains or losses may occur due to the fact that the actual underlying mortgages received may be more or less favorable than those anticipated by the Company. | ||
At times, the Company may enter into TBA contracts as a means of investing in and financing Agency RMBS via “dollar roll” transactions. TBA dollar roll transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The Company records such pair offs on a gross basis such that there is a sale of the original TBA and a subsequent purchase of a new TBA. | ||
Investment Valuation | ||
The Company has a pricing committee responsible for establishing valuation policies and procedures, and reviewing and approving valuations at a monthly 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. Treasuries are generally valued based on prices provided by third party 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. | ||
We generally value interest rate swaps and caps 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 of similar assets. For real estate, fair values are also 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 we receive from third party pricing services or broker quotes are non-binding. We review all prices. To date, the Company has not adjusted any of the prices received from third party pricing services or brokers. Our pricing 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 periodically to understand whether observable or unobservable inputs are being used. See Note 8, Fair Value Measurements, for a discussion of how the Company values its assets. | ||
Interest Income | ' | |
Interest Income | ||
We record interest income and expense on an accrual basis. We accrue interest income based on outstanding principal amount of the securities and their contractual terms. We amortize premium and discount using the effective interest method, and this net amortization is either accretive to or a reduction of interest income from Agency RMBS in the Company's consolidated statements of operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. We record the amount of premium or discount associated with a prepayment through interest income from Agency RMBS on our consolidated statements of operations as it occurs. | ||
Repurchase Agreements | ' | |
Repurchase Agreements | ||
Repurchase agreements are borrowings collateralized by the Company’s Agency RMBS and U.S. Treasuries 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 institutional dealers in fixed income securities. Collateral under repurchase agreements 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 under repurchase agreements. See Note 5, Repurchase Agreements. | ||
Interest Rate Swap And Cap Contracts | ' | |
Interest Rate Swap and Cap Contracts | ||
The Company uses interest rate swaps and interest rate caps to hedge a portion of its exposure to market risks, including interest rate risk, credit risk and extension risk. The objective of our risk management strategy is to reduce fluctuations in stockholders’ equity over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. | ||
During the term of an interest rate swap or cap, the Company makes or receives periodic payments and records unrealized gains or losses as a result of marking the swap and cap to their fair value. When the Company terminates a swap or cap, we record 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. We report the periodic payments and amortization of premiums on cap contracts under interest expense in the 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 non-performance by the counterparty to the swap or cap limited to the fair value of collateral posted in excess of the fair value of the contract in a net liability position and the shortage of the fair value of collateral posted for the contract in a net asset position. As of September 30, 2014 and December 31, 2013, the Company did not anticipate non-performance 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. | ||
While the Company’s derivative agreements generally permit for netting or setting off derivative assets and liabilities with the counterparty, the Company reports related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. We record changes in fair value of our derivative instruments in net unrealized gain (loss) on swap and cap contracts in our consolidated statements of operations. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections in the Company’s consolidated statement of cash flows. See Note 4, Investments in Interest Rate Swap and Cap Contracts. | ||
Income Taxes | ' | |
Income Taxes | ||
The Company has elected to be treated as a REIT under the Code. The Company will generally not be subject to federal income tax to the extent that it distributes 90% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Code and as long as it satisfies the ongoing REIT requirements including meeting certain asset, income and stock ownership tests. | ||
Earnings Per Share ("EPS") | ' | |
Earnings Per Share (“EPS”) | ||
We compute basic EPS 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. We compute diluted EPS 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 10, Earnings Per Share for EPS computations. |
Investments_in_Securities_Tabl
Investments in Securities (Tables) | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||
Derivative, Fair Value, Net [Abstract] | ' | ||||||||||||||||||||||||
Available-for-sale Securities | ' | ||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||
Asset Type | Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | |||||||||||||||||||||
Fannie Mae Certificates | |||||||||||||||||||||||||
Fixed Rate | $ | 10,894,736 | $ | (15,558 | ) | $ | 89,255 | $ | 10,968,433 | ||||||||||||||||
ARMs | 1,345,757 | (17,801 | ) | 3,765 | 1,331,721 | ||||||||||||||||||||
Total Fannie Mae | 12,240,493 | (33,359 | ) | 93,020 | 12,300,154 | ||||||||||||||||||||
Freddie Mac Certificates | |||||||||||||||||||||||||
Fixed Rate | 1,030,950 | (216 | ) | 17,210 | 1,047,944 | ||||||||||||||||||||
ARMs | 502,735 | (9,837 | ) | 1,160 | 494,058 | ||||||||||||||||||||
Total Freddie Mac | 1,533,685 | (10,053 | ) | 18,370 | 1,542,002 | ||||||||||||||||||||
Ginnie Mae Certificates - ARMs | 73,398 | — | 2,353 | 75,751 | |||||||||||||||||||||
U.S. Treasuries | 556,274 | (124 | ) | — | 556,150 | ||||||||||||||||||||
Other Investments | 6,945 | — | — | 6,945 | |||||||||||||||||||||
Total | $ | 14,410,795 | $ | (43,536 | ) | $ | 113,743 | $ | 14,481,002 | ||||||||||||||||
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 RMBS by length of time that such securities have been in a continuous unrealized loss position as of September 30, 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 | |||||||||||||||||||
September 30, 2014 | $ | 5,345,936 | $ | (9,363 | ) | $ | 1,718,373 | $ | (34,173 | ) | $ | 7,064,309 | $ | (43,536 | ) | ||||||||||
December 31, 2013 | $ | 8,415,016 | (107,019 | ) | 408,348 | (15,837 | ) | 8,823,364 | (122,856 | ) | |||||||||||||||
The following table is a summary of our net gain (loss) from the sale of available-for-sale investments for the three and nine months ended September 30, 2014 and 2013 (in thousands): | |||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||||||||||
Available-for-sale investments, at cost | $ | 9,523,312 | $ | 15,079,756 | $ | 23,674,808 | $ | 43,853,296 | |||||||||||||||||
Proceeds from available-for-sale investments sold | 9,563,782 | 14,672,028 | 23,765,066 | 43,280,830 | |||||||||||||||||||||
Net gain on sale of available-for-sale investments | 40,470 | (407,728 | ) | 90,258 | (572,466 | ) | |||||||||||||||||||
Gross gain on sale of available-for-sale investments | 48,439 | 16,162 | 140,076 | 152,555 | |||||||||||||||||||||
Gross loss on sale of available-for-sale investments | (7,969 | ) | (423,890 | ) | (49,818 | ) | (725,021 | ) | |||||||||||||||||
Net gain on sale of available-for-sale investments | $ | 40,470 | $ | (407,728 | ) | $ | 90,258 | $ | (572,466 | ) | |||||||||||||||
The components of the carrying value of available-for-sale securities at September 30, 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. | |||||||||||||||||||||||||
(in thousands) | September 30, 2014 | December 31, 2013 | |||||||||||||||||||||||
Principal balance | $ | 13,906,540 | $ | 13,581,742 | |||||||||||||||||||||
Unamortized premium | 508,151 | 351,476 | |||||||||||||||||||||||
Unamortized discount | (3,896 | ) | (3,002 | ) | |||||||||||||||||||||
Gross unrealized gains | 113,743 | 58,433 | |||||||||||||||||||||||
Gross unrealized losses | (43,536 | ) | (122,856 | ) | |||||||||||||||||||||
Fair value | $ | 14,481,002 | $ | 13,865,793 | |||||||||||||||||||||
Investments_in_Interest_Rate_S1
Investments in Interest Rate Swap and Cap Contracts (Tables) | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||
Schedule of Interest Rate Derivatives [Table Text Block] | ' | ||||||||||||||||||
The Company had the following activity in interest rate swap and cap transactions during the three and nine months ended September 30, 2014 and 2013 (in thousands): | |||||||||||||||||||
Three and Nine Months Ended September 30, 2014 | Three and Nine Months Ended September 30, 2013 | ||||||||||||||||||
Trade Date | Transaction | Notional | Trade Date | Transaction | Notional | ||||||||||||||
Feb-14 | Terminated | $ | (500,000 | ) | Feb-13 | Opened | $ | 1,500,000 | |||||||||||
Apr-14 | Terminated | $ | (1,100,000 | ) | Mar-13 | Terminated | $ | (500,000 | ) | ||||||||||
Apr-14 | Opened | $ | 500,000 | Mar-13 | Opened | $ | 1,200,000 | ||||||||||||
May-14 | Terminated | $ | (300,000 | ) | Apr-13 | Opened | $ | 500,000 | |||||||||||
May-14 | Opened | $ | 300,000 | May-13 | Opened | $ | 500,000 | ||||||||||||
Jun-14 | Terminated | $ | (550,000 | ) | May-13 | Matured | $ | (100,000 | ) | ||||||||||
Jun-14 | Opened | $ | 1,200,000 | Jun-13 | Terminated | $ | (700,000 | ) | |||||||||||
Jul-14 | Opened | $ | 400,000 | Jun-13 | Matured | $ | (300,000 | ) | |||||||||||
Net Decrease | $ | (50,000 | ) | Jul-13 | Matured | $ | (300,000 | ) | |||||||||||
Aug-13 | Terminated | $ | (2,200,000 | ) | |||||||||||||||
Aug-13 | Opened | $ | 500,000 | ||||||||||||||||
Net Increase | $ | 100,000 | |||||||||||||||||
Schedule of Derivative Instruments | ' | ||||||||||||||||||
Below is a summary of our interest rate swap and cap contracts open as of September 30, 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 | ||||||||||||||||
September 30, 2014 | $ | 1,500,000 | $ | (3,434 | ) | Derivative liabilities, at fair value | |||||||||||||
September 30, 2014 | 6,150,000 | 65,595 | 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 | ||||||||||||||||
September 30, 2014 | $ | 2,500,000 | $ | 138,062 | 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 and nine months ended September 30, 2014 and 2013 on the Company's interest rate swap and cap contracts not designated as hedging instruments under ASC 815 (in thousands): | |||||||||||||||||||
Amount Recognized in Income on Derivatives | |||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||
Derivative Type | Location of Gain or (Loss) Recognized in Income on Derivative | 2014 | 2013 | 2014 | 2013 | ||||||||||||||
Interest rate swaps and caps | Net realized gain (loss) on termination of swap and cap contracts | $ | — | $ | 25,707 | $ | (15,327 | ) | $ | 41,666 | |||||||||
Interest rate swaps and caps | Net unrealized gain (loss) on swap and cap contracts | 58,909 | (55,243 | ) | (22,512 | ) | 183,720 | ||||||||||||
Interest rate swaps and caps | Total recognized in income on derivatives | $ | 58,909 | $ | (29,536 | ) | $ | (37,839 | ) | $ | 225,386 | ||||||||
At September 30, 2014 and December 31, 2013, the Company's derivative assets and liabilities (by type) are as follows (in thousands): | |||||||||||||||||||
September 30, 2014 | Assets | Liabilities | |||||||||||||||||
Interest rate swap contracts | $ | 65,595 | $ | 3,434 | |||||||||||||||
Interest rate cap contracts | 138,062 | — | |||||||||||||||||
Total derivative assets and liabilities in the interim consolidated balance sheet | 203,657 | 3,434 | |||||||||||||||||
Derivatives not subject to a master netting agreement or similar agreement ("MNA") | 15,250 | 150 | |||||||||||||||||
Total assets and liabilities subject to a MNA | $ | 188,407 | $ | 3,284 | |||||||||||||||
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 interim consolidated balance sheet | 295,707 | 29,458 | |||||||||||||||||
Derivatives not subject to a MNA | 11,188 | 440 | |||||||||||||||||
Total assets and liabilities subject to a MNA | $ | 284,519 | $ | 29,018 | |||||||||||||||
Repurchase_Agreements_Tables
Repurchase Agreements (Tables) | 9 Months Ended | |||||||
Sep. 30, 2014 | ||||||||
Banking and Thrift [Abstract] | ' | |||||||
Schedule Of Company's Borrowings | ' | |||||||
Certain information with respect to the Company’s repurchase agreement borrowings outstanding at the balance sheet date is summarized in the table below. Each of the borrowings is contractually due in one year or less. | ||||||||
(in thousands) | September 30, 2014 | December 31, 2013 | ||||||
Outstanding repurchase agreements | $ | 10,403,088 | $ | 11,206,950 | ||||
Interest accrued thereon | $ | 2,919 | $ | 7,204 | ||||
Weighted-average borrowing rate(1) | 0.2 | % | 0.41 | % | ||||
Weighted-average remaining maturity (in days) | 42 | 40 | ||||||
Fair value of the collateral(2) | $ | 10,876,739 | $ | 11,760,720 | ||||
Pledged_Assets_Tables
Pledged Assets (Tables) | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||
Transfers and Servicing [Abstract] | ' | ||||||||||||||||||
Assets Pledged to Counterparties | ' | ||||||||||||||||||
The following tables summarize our assets pledged as collateral under our repurchase agreements and derivative agreements by type, including securities pledged related to securities purchased or sold but not yet settled, as of September 30, 2014 and December 31, 2013 (in thousands): | |||||||||||||||||||
September 30, 2014 | |||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 10,327,686 | $ | 42,722 | $ | 7,826 | $ | 10,378,234 | |||||||||||
U.S. Treasuries - fair value | 556,150 | 18,771 | — | 574,921 | |||||||||||||||
Accrued interest on pledged securities | 28,298 | 289 | 19 | 28,606 | |||||||||||||||
Total | $ | 10,912,134 | $ | 61,782 | $ | 7,845 | $ | 10,981,761 | |||||||||||
December 31, 2013 | |||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 11,760,720 | $ | 30,988 | $ | 12,252 | $ | 11,803,960 | |||||||||||
U.S. Treasuries - fair value | — | 32,015 | — | 32,015 | |||||||||||||||
Accrued interest on pledged securities | 31,539 | 93 | 30 | 31,662 | |||||||||||||||
Total | $ | 11,792,259 | $ | 63,096 | $ | 12,282 | $ | 11,867,637 | |||||||||||
Assets Pledged from Counterparties | ' | ||||||||||||||||||
As of September 30, 2014 and December 31, 2013, we also had assets pledged to us as collateral under our repurchase and derivative agreements summarized in the tables below (in thousands): | |||||||||||||||||||
September 30, 2014 | |||||||||||||||||||
Assets Pledged to CYS | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | 3,557 | $ | 113,176 | $ | 424 | $ | 117,157 | |||||||||||
U.S. Treasuries - fair value | 3,540 | 36,695 | — | 40,235 | |||||||||||||||
Accrued interest on pledged securities | 19 | 628 | 1 | 648 | |||||||||||||||
Cash | — | 16,048 | 164 | 16,212 | |||||||||||||||
Total | $ | 7,116 | $ | 166,547 | $ | 589 | $ | 174,252 | |||||||||||
December 31, 2013 | |||||||||||||||||||
Assets Pledged to CYS | Repurchase Agreements | Derivative Instruments | Forward Settling Trades (TBAs) | Total | |||||||||||||||
Agency RMBS - fair value | $ | — | $ | 163,386 | $ | — | $ | 163,386 | |||||||||||
U.S. Treasuries - fair value | — | 48,036 | — | 48,036 | |||||||||||||||
Accrued interest on pledged securities | — | 542 | — | 542 | |||||||||||||||
Cash | — | 37,938 | — | 37,938 | |||||||||||||||
Total | $ | — | $ | 249,902 | $ | — | $ | 249,902 | |||||||||||
Schedule of Derivative Instruments | ' | ||||||||||||||||||
Below is a summary of our interest rate swap and cap contracts open as of September 30, 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 | ||||||||||||||||
September 30, 2014 | $ | 1,500,000 | $ | (3,434 | ) | Derivative liabilities, at fair value | |||||||||||||
September 30, 2014 | 6,150,000 | 65,595 | 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 | ||||||||||||||||
September 30, 2014 | $ | 2,500,000 | $ | 138,062 | 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 and nine months ended September 30, 2014 and 2013 on the Company's interest rate swap and cap contracts not designated as hedging instruments under ASC 815 (in thousands): | |||||||||||||||||||
Amount Recognized in Income on Derivatives | |||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||
Derivative Type | Location of Gain or (Loss) Recognized in Income on Derivative | 2014 | 2013 | 2014 | 2013 | ||||||||||||||
Interest rate swaps and caps | Net realized gain (loss) on termination of swap and cap contracts | $ | — | $ | 25,707 | $ | (15,327 | ) | $ | 41,666 | |||||||||
Interest rate swaps and caps | Net unrealized gain (loss) on swap and cap contracts | 58,909 | (55,243 | ) | (22,512 | ) | 183,720 | ||||||||||||
Interest rate swaps and caps | Total recognized in income on derivatives | $ | 58,909 | $ | (29,536 | ) | $ | (37,839 | ) | $ | 225,386 | ||||||||
At September 30, 2014 and December 31, 2013, the Company's derivative assets and liabilities (by type) are as follows (in thousands): | |||||||||||||||||||
September 30, 2014 | Assets | Liabilities | |||||||||||||||||
Interest rate swap contracts | $ | 65,595 | $ | 3,434 | |||||||||||||||
Interest rate cap contracts | 138,062 | — | |||||||||||||||||
Total derivative assets and liabilities in the interim consolidated balance sheet | 203,657 | 3,434 | |||||||||||||||||
Derivatives not subject to a master netting agreement or similar agreement ("MNA") | 15,250 | 150 | |||||||||||||||||
Total assets and liabilities subject to a MNA | $ | 188,407 | $ | 3,284 | |||||||||||||||
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 interim consolidated balance sheet | 295,707 | 29,458 | |||||||||||||||||
Derivatives not subject to a MNA | 11,188 | 440 | |||||||||||||||||
Total assets and liabilities subject to a MNA | $ | 284,519 | $ | 29,018 | |||||||||||||||
Offsetting Assets | ' | ||||||||||||||||||
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) | ||||||||||||||
September 30, 2014 | Derivative assets | $ | 188,407 | $ | 2,616 | $ | 160,889 | $ | 24,902 | ||||||||||
31-Dec-13 | 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 the counterparty's default. | ||||||||||||||||||
Offsetting Liabilities | ' | ||||||||||||||||||
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) | ||||||||||||||
September 30, 2014 | Derivative liabilities | $ | 3,284 | $ | 2,616 | $ | 668 | $ | — | ||||||||||
September 30, 2014 | Repurchase agreements | 10,403,088 | — | 10,403,088 | — | ||||||||||||||
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 to the counterparty in the event of the counterparty's default. |
Fair_Value_Measurements_Tables
Fair Value Measurements (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2014 | ||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | ' | |||||||||||||||
The following tables provide a summary of the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2014 and December 31, 2013 (in thousands): | ||||||||||||||||
September 30, 2014 | Fair Value Measurements Using | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Agency RMBS | $ | — | $ | 13,917,907 | $ | — | $ | 13,917,907 | ||||||||
U.S. Treasuries | 556,150 | — | — | 556,150 | ||||||||||||
Other Investments | — | — | 6,945 | 6,945 | ||||||||||||
Derivative assets | — | 203,657 | — | 203,657 | ||||||||||||
Total | $ | 556,150 | $ | 14,121,564 | $ | 6,945 | $ | 14,684,659 | ||||||||
Liabilities | ||||||||||||||||
Derivative liabilities | $ | — | $ | 3,434 | $ | — | $ | 3,434 | ||||||||
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 | ||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | ' | |||||||||||||||
Level 3 Fair Value Reconciliation | ||||||||||||||||
(In thousands) | Nine Months Ended September 30, | |||||||||||||||
Other investments | 2014 | 2013 | ||||||||||||||
Beginning balance Level 3 assets | $ | 6,945 | $ | 19,576 | ||||||||||||
Cash payments recorded as a reduction of cost basis | — | (324 | ) | |||||||||||||
Change in net unrealized gain (loss) | — | (6,721 | ) | |||||||||||||
Net sales | — | (12,005 | ) | |||||||||||||
Net gain (loss) on sales | — | 6,419 | ||||||||||||||
Transfers into (out of) Level 3 | — | — | ||||||||||||||
Ending balance Level 3 assets | $ | 6,945 | $ | 6,945 | ||||||||||||
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Net income (loss) | $ | 24,985 | $ | 30,571 | $ | 314,053 | $ | (383,918 | ) | |||||||
Less preferred stock dividends | (5,203 | ) | (5,203 | ) | (15,609 | ) | (10,651 | ) | ||||||||
Net income (loss) available to common shareholders | 19,782 | 25,368 | 298,444 | (394,569 | ) | |||||||||||
Less dividends paid: | ||||||||||||||||
Common shares | (48,307 | ) | (56,444 | ) | (151,344 | ) | (170,473 | ) | ||||||||
Unvested shares | (291 | ) | (295 | ) | (948 | ) | (884 | ) | ||||||||
Undistributed earnings (loss) | (28,816 | ) | (31,371 | ) | 146,152 | (565,926 | ) | |||||||||
Basic weighted-average shares outstanding: | ||||||||||||||||
Common shares | 161,016 | 169,465 | 160,986 | 172,284 | ||||||||||||
Basic earnings (loss) per common share: | ||||||||||||||||
Distributed earnings | $ | 0.3 | $ | 0.33 | $ | 0.94 | $ | 0.99 | ||||||||
Undistributed earnings (loss) | (0.18 | ) | (0.19 | ) | 0.9 | (3.28 | ) | |||||||||
Basic earnings (loss) per common share | $ | 0.12 | $ | 0.14 | $ | 1.84 | $ | (2.29 | ) | |||||||
Diluted weighted-average shares outstanding: | ||||||||||||||||
Common shares | 161,016 | 169,465 | 160,986 | 172,284 | ||||||||||||
Net effect of dilutive stock options (1) | — | — | — | — | ||||||||||||
161,016 | 169,465 | 160,986 | 172,284 | |||||||||||||
Diluted earnings (loss) per common share: | ||||||||||||||||
Distributed earnings | $ | 0.3 | $ | 0.33 | $ | 0.94 | $ | 0.99 | ||||||||
Undistributed earnings (loss) | (0.18 | ) | (0.19 | ) | 0.9 | (3.28 | ) | |||||||||
Diluted earnings (loss) per common share | $ | 0.12 | $ | 0.14 | $ | 1.84 | $ | (2.29 | ) | |||||||
__________________ | ||||||||||||||||
-1 | For the three and nine months ended September 30, 2014 and 2013, the Company had an aggregate of 131,088 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. |
Investment_Company_Accounting_1
Investment Company Accounting Disclosures (Tables) | 9 Months Ended | ||||||||||
Sep. 30, 2014 | |||||||||||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' | ||||||||||
Investment Holdings, Schedule of Investments | ' | ||||||||||
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 | |||||||||
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 | |||||||
__________________ | |||||||||||
(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 and nine months ended September 30, 2013: | |||||||||||
Per Common Share | |||||||||||
Three Months Ended September 30, 2013 | Nine Months Ended September 30, 2013 | ||||||||||
Net asset value, beginning of period | $ | 10.2 | $ | 13.31 | |||||||
Net income (loss): | |||||||||||
Net investment income | 0.4 | (a) | 1.05 | (a) | |||||||
Net gain (loss) from investments and swap and cap contracts | (0.22 | ) | (a) | (3.27 | ) | (a) | |||||
Net income (loss) | 0.18 | (2.22 | ) | ||||||||
Dividends on preferred stock | (0.03 | ) | (a) | (0.06 | ) | (a) | |||||
Net income (loss) available to common shareholders | 0.15 | (2.28 | ) | ||||||||
Capital transactions: | |||||||||||
Distributions to common stockholders | (0.34 | ) | (1.00 | ) | |||||||
Issuance/Repurchase of common and preferred shares and amortization of share based compensation | 0.09 | (a) | 0.07 | (a) | |||||||
Net decrease in net asset value from capital transactions | (0.25 | ) | (0.93 | ) | |||||||
Net asset value, end of period | $ | 10.1 | $ | 10.1 | |||||||
Net asset value total return (%)(d) | 2.35 | % | (b) | (16.60 | )% | (b) | |||||
Market value total return (%) | (8.02 | )% | (b) | (23.53 | )% | (b) | |||||
Ratios to Average Net Assets | |||||||||||
Expenses before interest expense | 1.13 | % | (c) | 1.01 | % | (c) | |||||
Total expenses | 3.55 | % | (c) | 3.47 | % | (c) | |||||
Net investment income | 13.77 | % | (c) | 10.92 | % | (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, Investments in Securities). | ||||||||||
(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 $) | Sep. 30, 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_Policie2
Significant Accounting Policies (Details) | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | |
Minimum [Member] | Maximum [Member] | ||
D | D | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ' |
Repurchase Agreement Period | ' | 30 | 90 |
Percentage Of Reit Taxable Income That Must Be Distributed To Stockholders | 90.00% | ' | ' |
Investments_in_Securities_Deta
Investments in Securities (Details) | 9 Months Ended | |
Sep. 30, 2014 | Dec. 31, 2013 | |
Y | ||
Derivative, Fair Value, Net [Abstract] | ' | ' |
Weighted average coupon on Agency RMBS | 3.41% | 3.30% |
Weighted average coupon interest rate on U.S. Treasury Securities | 1.63% | ' |
Debt Instrument, Maturity Date | 30 | ' |
Agency RMBS Maturity Date Min | '2024 | ' |
Agency RMBS Maturity Date Max | '2044 | ' |
U.S. Treasury Securities Maturity Date Max | '2019 | ' |
Investments_in_Securities_Avai
Investments in Securities (Available-for-sale securities by GSE Agency and Coupon) (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ($43,536) | ($122,856) |
Gross unrealized gains | 113,743 | 58,433 |
Fair value | 14,481,002 | 13,865,793 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Amortized Cost Basis | 12,240,493 | 12,068,882 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -33,359 | -99,572 |
Gross unrealized gains | 93,020 | 48,456 |
Fair value | 12,300,154 | 12,017,766 |
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 | 10,894,736 | 10,629,503 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -15,558 | -72,295 |
Gross unrealized gains | 89,255 | 45,660 |
Fair value | 10,968,433 | 10,602,868 |
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 | 1,345,757 | 1,439,379 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -17,801 | -27,277 |
Gross unrealized gains | 3,765 | 2,796 |
Fair value | 1,331,721 | 1,414,898 |
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 | 1,533,685 | 1,610,386 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -10,053 | -22,784 |
Gross unrealized gains | 18,370 | 7,565 |
Fair value | 1,542,002 | 1,595,167 |
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 | 1,030,950 | 1,055,991 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -216 | -7,083 |
Gross unrealized gains | 17,210 | 6,231 |
Fair value | 1,047,944 | 1,055,139 |
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 | 502,735 | 554,395 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -9,837 | -15,701 |
Gross unrealized gains | 1,160 | 1,334 |
Fair value | 494,058 | 540,028 |
Government National Mortgage Association Certificates and Obligations (GNMA) [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 |
Fair value | ' | 245,915 |
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 | ' | 158,792 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ' | -500 |
Gross unrealized gains | ' | 0 |
Fair value | ' | 158,292 |
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 | 73,398 | 85,211 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 0 | 0 |
Gross unrealized gains | 2,353 | 2,412 |
Fair value | 75,751 | 87,623 |
US Treasury Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Amortized Cost Basis | 556,274 | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -124 | ' |
Gross unrealized gains | 0 | ' |
Fair value | 556,150 | ' |
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 |
Fair value | 6,945 | 6,945 |
Investments [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Amortized Cost Basis | 14,410,795 | 13,930,216 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | -43,536 | -122,856 |
Gross unrealized gains | 113,743 | 58,433 |
Fair value | $14,481,002 | $13,865,793 |
Investments_in_Securities_Avai1
Investments in Securities (Available for sale, Continuous Unrealized Loss) (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Investments, Debt and Equity Securities [Abstract] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $5,345,936 | $8,415,016 |
Unrealized loss on investments, owned less than 12 months | -9,363 | -107,019 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 1,718,373 | 408,348 |
Unrealized loss on investments, owned more than 12 months | -34,173 | -15,837 |
Fair value of investments in unrealized loss position | 7,064,309 | 8,823,364 |
Available for sale securities, continuous unrealized loss | ($43,536) | ($122,856) |
Investments_in_Securities_Summ
Investments in Securities (Summary of Net Gain (loss) from the Sale of Available-for-Sale Investments) (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |
Investments, Debt and Equity Securities [Abstract] | ' | ' | ' | ' | |
Available-for-sale investments, at cost | $9,523,312 | $15,079,756 | $23,674,808 | $43,853,296 | |
Proceeds from available-for-sale investments sold | 9,563,782 | 14,672,028 | 23,765,066 | 43,280,830 | [1] |
Net gain on sale of available-for-sale investments | 40,470 | -407,728 | 90,258 | -572,466 | |
Gross gain on sale of available-for-sale investments | 48,439 | 16,162 | 140,076 | 152,555 | |
Gross loss on sale of available-for-sale investments | ($7,969) | ($423,890) | ($49,818) | ($725,021) | |
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. |
Investments_in_Securities_Comp
Investments in Securities (Components of the Carrying Value of Available-for-Sale Securities) (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Principal balance | $13,906,540 | $13,581,742 |
Unamortized premium | 508,151 | 351,476 |
Unamortized discount | -3,896 | -3,002 |
Gross unrealized gains | 113,743 | 58,433 |
Gross unrealized losses | -43,536 | -122,856 |
Fair value | 14,481,002 | 13,865,793 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Amortized Cost Basis | 12,240,493 | 12,068,882 |
Gross unrealized gains | 93,020 | 48,456 |
Gross unrealized losses | -33,359 | -99,572 |
Fair value | $12,300,154 | $12,017,766 |
Investments_in_Interest_Rate_S2
Investments in Interest Rate Swap and Cap Contracts (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ' |
Trading Securities Pledged as Collateral | $61.50 | $63 |
Securities Received as Collateral | 149.9 | 211.4 |
Derivative, Collateral, Obligation to Return Cash | $16 | $37.90 |
Investments_in_Interest_Rate_S3
Investments in Interest Rate Swap and Cap Contracts (Summary Of Interest Rate Swap And Cap Contracts) (Details) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 |
Transaction And Trade Date [Line Items] | ' | ' |
DerivativeNotionalTransactions | ($50,000) | $100,000 |
FebruaryTwoThousandAndFourteenClosedTypeMember [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | 'February 2014 | ' |
DerivativeNotionalTransactions | -500,000 | ' |
February Two Thousand And Thirteen Opened Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'February 2013 |
DerivativeNotionalTransactions | ' | 1,500,000 |
April Two Thousand and Fourteen Terminated Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | 'April 2014 | ' |
DerivativeNotionalTransactions | -1,100,000 | ' |
March Two Thousand And Thirteen Terminated Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'March 2013 |
DerivativeNotionalTransactions | ' | -500,000 |
April Two Thousand and Fourteen Opened Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | 'April 2014 | ' |
DerivativeNotionalTransactions | 500,000 | ' |
March Two Thousand And Thirteen Opened Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'March 2013 |
DerivativeNotionalTransactions | ' | 1,200,000 |
May Two Thousand and Fourteen Terminated Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | 'May 2014 | ' |
DerivativeNotionalTransactions | -300,000 | ' |
April Two Thousand And Thirteen Opened Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'April 2013 |
DerivativeNotionalTransactions | ' | 500,000 |
May Two Thousand and Fourteen Opened Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | 'May 2014 | ' |
DerivativeNotionalTransactions | 300,000 | ' |
May Two Thousand And Thirteen Opened Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'May 2013 |
DerivativeNotionalTransactions | ' | 500,000 |
June Two Thousand and Fourteen Terminated Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | 'June 2014 | ' |
DerivativeNotionalTransactions | -550,000 | ' |
May Two Thousand And Thirteen Matured Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'May 2013 |
DerivativeNotionalTransactions | ' | -100,000 |
June Two Thousand and Fourteen Opened Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | 'June 2014 | ' |
DerivativeNotionalTransactions | 1,200,000 | ' |
June Two Thousand And Thirteen Terminated Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'June 2013 |
DerivativeNotionalTransactions | ' | -700,000 |
JulyTwoThousandandFourteenOpened [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | 'July 2014 | ' |
DerivativeNotionalTransactions | 400,000 | ' |
June Two Thousand And Thirteen Matured Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'June 2013 |
DerivativeNotionalTransactions | ' | -300,000 |
July Two Thousand And Thirteen Matured Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'July 2013 |
DerivativeNotionalTransactions | ' | -300,000 |
August Two Thousand And Thirteen Terminated Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'August 2013 |
DerivativeNotionalTransactions | ' | -2,200,000 |
August Two Thousand And Thirteen Opened Type [Member] | ' | ' |
Transaction And Trade Date [Line Items] | ' | ' |
Trade Date Of Interest Rate Swap And Cap Contracts | ' | 'August 2013 |
DerivativeNotionalTransactions | ' | $500,000 |
Investments_in_Interest_Rate_S4
Investments in Interest Rate Swap and Cap Contracts (Derivatives not designated as hedging activities under ASC 815) (Details) (Derivatives Not Designated As Hedging Instruments [Member], USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Interest Rate Swap [Member] | Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Notional Amount | $6,150,000 | $4,250,000 |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | 65,595 | 61,004 |
Interest Rate Swap [Member] | Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Notional Amount | 1,500,000 | 2,050,000 |
Interest Rate Derivative Instruments Not Designated as Hedging Instruments, Liability at Fair Value | -3,434 | -29,458 |
Interest Rate Cap [Member] | Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Notional Amount | 2,500,000 | 3,900,000 |
Derivative Asset, Fair Value, Gross Asset | $138,062 | $234,703 |
Investments_in_Interest_Rate_S5
Investments in Interest Rate Swap and Cap Contracts (Amount recognized in income on derivatives) (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ' | ' | ' | ||
Net realized gain (loss) on termination of swap and cap contracts | $0 | $25,707 | [1] | ($15,327) | $41,666 | [1] |
Net unrealized gain (loss) on swap and cap contracts | 58,909 | -55,243 | [1] | -22,512 | 183,720 | [1] |
Derivative, Gain (Loss) on Derivative, Net | $58,909 | ($29,536) | ($37,839) | $225,386 | ||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. |
Repurchase_Agreements_Details
Repurchase Agreements (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | ||
D | D | Maximum [Member] | Minimum [Member] | |||
D | D | |||||
Short-term Debt [Line Items] | ' | ' | ' | ' | ||
Repopercentageofstockholdersequity | 2.00% | ' | ' | ' | ||
Repopercentageoftotalborrowings | 6.00% | ' | ' | ' | ||
Outstanding repurchase agreements | $10,403,088 | $11,206,950 | [1],[2] | ' | ' | |
Interest accrued thereon | 2,919 | 7,204 | ' | ' | ||
Weighted average borrowing rate | 0.20% | [3] | 0.41% | ' | ' | |
USTreasuryRepurchaseAgrementsBorrowingRate | 2.20% | [4] | ' | ' | ' | |
ShortTermDebtWeightedAverageInterestRateUSTreasuries | 2.20% | ' | ' | ' | ||
Weighted Average Remaining Maturity (In Days) | 42 | 40 | ' | ' | ||
Fair value of the collateral(1) | $10,876,739 | [4] | $11,760,720 | [4] | ' | ' |
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 | 2.00% | 2.00% | ' | ' | ||
Weightedaveragecostoffunds | 0.30% | ' | ' | ' | ||
Repurchase Agreement Period | ' | ' | 90 | 30 | ||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. | |||||
[2] | Derived from audited financial statements. | |||||
[3] | (1)The weighted-average borrowing rate as of September 30, 2014 was determined as set forth in the table below.CollateralAmount RateAgency RMBS$9,849,569 0.33 %U.S. Treasuries553,519 (2.20)%Total / weighted-average borrowing rate 10,403,088 0.20 % | |||||
[4] | (2)Collateral for repurchase agreements consisted of Agency RMBS and U.S. Treasuries. |
Repurchase_Agreements_Schedule
Repurchase Agreements Schedule of Weighted Average Borrowing Rate (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Debt Disclosure [Abstract] | ' | ' | ||
SecuritiesSoldUnderAgreementsToRepurchaseAgencyRMBS | $9,849,569 | ' | ||
ShortTermDebtWeightedAverageInterestRateAgencyRMBS | 0.33% | ' | ||
Securities Sold under Agreements to Repurchase | -10,403,088 | -11,206,950 | [1],[2] | |
Short-term Debt, Weighted Average Interest Rate | 0.20% | [3] | 0.41% | |
SecuritiesSoldUnderAgreementsToRepurchaseUSTreasuries | $553,519 | ' | ||
ShortTermDebtWeightedAverageInterestRateUSTreasuries | -2.20% | ' | ||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. | |||
[2] | Derived from audited financial statements. | |||
[3] | (1)The weighted-average borrowing rate as of September 30, 2014 was determined as set forth in the table below.CollateralAmount RateAgency RMBS$9,849,569 0.33 %U.S. Treasuries553,519 (2.20)%Total / weighted-average borrowing rate 10,403,088 0.20 % |
Commitments_and_Contingencies_
Commitments and Contingencies (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
Commitments and Contingencies Disclosure [Abstract] | ' | ' |
Indemnification claims | $0 | $0 |
Pledged_Assets_Details
Pledged Assets (Details) | Sep. 30, 2014 |
Transfers and Servicing [Abstract] | ' |
Repurchase Agreement Counterparty, Amount at Risk, Percent of Stockholders' Equity (less than) | 2.00% |
Interest Rate Swap and Cap Agreement Counterparty, Excluding Centrally Cleared Swaps, Amount at Risk, Percent of Stockholders' Equity (less than) | 2.00% |
Pledged_Assets_Assets_Pledged_
Pledged Assets (Assets Pledged to Counterparties) (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | $10,981,761 | $11,867,637 |
Agency RMBS [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,378,234 | 11,803,960 |
US Treasury Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 574,921 | 32,015 |
Accrued Interest on Pledged Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 28,606 | 31,662 |
Repurchase Agreements [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,912,134 | 11,792,259 |
Repurchase Agreements [Member] | Agency RMBS [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 10,327,686 | 11,760,720 |
Repurchase Agreements [Member] | US Treasury Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 556,150 | 0 |
Repurchase Agreements [Member] | Accrued Interest on Pledged Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 28,298 | 31,539 |
Derivative [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 61,782 | 63,096 |
Derivative [Member] | Agency RMBS [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 42,722 | 30,988 |
Derivative [Member] | US Treasury Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 18,771 | 32,015 |
Derivative [Member] | Accrued Interest on Pledged Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 289 | 93 |
Forward Settling Trades [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 7,845 | 12,282 |
Forward Settling Trades [Member] | Agency RMBS [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 7,826 | 12,252 |
Forward Settling Trades [Member] | US Treasury Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | 0 | 0 |
Forward Settling Trades [Member] | Accrued Interest on Pledged Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value | $19 | $30 |
Pledged_Assets_Assets_Pledged_1
Pledged Assets (Assets Pledged from Counterparties ) (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $174,252 | $249,902 |
Agency RMBS [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 117,157 | 163,386 |
US Treasury Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 40,235 | 48,036 |
Accrued Interest on Pledged Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 648 | 542 |
Cash [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 16,212 | 37,938 |
Repurchase Agreements [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 7,116 | 0 |
Repurchase Agreements [Member] | Agency RMBS [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 3,557 | 0 |
Repurchase Agreements [Member] | US Treasury Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 3,540 | 0 |
Repurchase Agreements [Member] | Accrued Interest on Pledged Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 19 | 0 |
Repurchase Agreements [Member] | Cash [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 0 |
Derivative [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 166,547 | 249,902 |
Derivative [Member] | Agency RMBS [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 113,176 | 163,386 |
Derivative [Member] | US Treasury Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 36,695 | 48,036 |
Derivative [Member] | Accrued Interest on Pledged Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 628 | 542 |
Derivative [Member] | Cash [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 16,048 | 37,938 |
Forward Settling Trades [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 589 | 0 |
Forward Settling Trades [Member] | Agency RMBS [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 424 | 0 |
Forward Settling Trades [Member] | US Treasury Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 0 | 0 |
Forward Settling Trades [Member] | Accrued Interest on Pledged Securities [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | 1 | 0 |
Forward Settling Trades [Member] | Cash [Member] | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value | $164 | $0 |
Pledged_Assets_Derivatives_Det
Pledged Assets (Derivatives) (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Transfers and Servicing [Abstract] | ' | ' | ||
Derivative Asset, Current | $65,595 | $61,004 | ||
Derivative Liability, Current | 3,434 | 29,458 | ||
Interest rate cap, asset position | 138,062 | 234,703 | ||
Interest rate cap, liability position | 0 | 0 | ||
Derivative Asset | 203,657 | [1],[2] | 295,707 | [1],[2] |
Derivative liabilities, at fair value | 3,434 | [1],[2] | 29,458 | [1],[2] |
Derivative Asset, Not Subject to Master Netting Arrangement | 15,250 | 11,188 | ||
Derivative Liability, Not Subject to Master Netting Arrangement | 150 | 440 | ||
DerivativeAssetSubjectToMasterNettingArrangement | 188,407 | 284,519 | ||
DerivativeLiabilitySubjectToMasterNettingArrangement | $3,284 | $29,018 | ||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. | |||
[2] | Derived from audited financial statements. |
Pledged_Assets_Offsetting_Asse
Pledged Assets (Offsetting Assets) (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Transfers and Servicing [Abstract] | ' | ' |
DerivativeAssetSubjectToMasterNettingArrangement | $188,407 | $284,519 |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 2,616 | 9,237 |
Fair Value of Securities Received as Collateral that Have Been Resold or Repledged | 160,889 | 244,721 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | $24,902 | $30,561 |
Pledged_Assets_Offsetting_Liab
Pledged Assets (Offsetting Liabilities) (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | |
In Thousands, unless otherwise specified | |||
Transfers and Servicing [Abstract] | ' | ' | |
DerivativeLiabilitySubjectToMasterNettingArrangement | $3,284 | $29,018 | |
NetDerivativeLiability | ' | 29,018 | |
InstrumentsAvailableToOffsetDerivativeLiability | 2,616 | 9,237 | |
Derivative Liability, Fair Value of Collateral | 668 | 19,781 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | 0 | |
Outstanding repurchase agreements | 10,403,088 | 11,206,950 | [1],[2] |
InstrumentsAvailableToOffsetRepoLiability | 0 | 0 | |
SecuritiesSoldUnderAgreementsNotOffsetAgainstCollateral | $0 | $0 | |
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. | ||
[2] | Derived from audited financial statements. |
Fair_Value_Measurements_Detail
Fair Value Measurements (Details) | 3 Months Ended | |
Sep. 30, 2014 | Dec. 31, 2013 | |
Y | ||
Fair Value Disclosures [Abstract] | ' | ' |
Maximum Period Of Short Term Assets And Liabilities Are Measured At Deemed To Appropriate Fair Value | 1 | ' |
unobservable input capitalization rate min | 4.00% | 4.00% |
unobservable input capitalization rate max | 5.00% | 5.00% |
Fair_Value_Measurements_Assets
Fair Value Measurements (Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ||
Agency RMBS | $13,917,907 | $13,858,848 | ||
U.S. Treasury Securities | 556,150 | ' | ||
Other Investments | 6,945 | 6,945 | ||
Derivative Asset | 203,657 | [1],[2] | 295,707 | [1],[2] |
Assets, Fair Value Disclosure, Recurring | 14,684,659 | 14,161,500 | ||
Derivative liabilities | 3,434 | 29,458 | ||
Derivative liabilities, at fair value | 3,434 | [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 | 556,150 | ' | ||
Other Investments | 0 | 0 | ||
Derivative Asset | 0 | 0 | ||
Assets, Fair Value Disclosure, Recurring | 556,150 | 0 | ||
Derivative liabilities | 0 | 0 | ||
Fair Value, Inputs, Level 2 [Member] | ' | ' | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ||
Agency RMBS | 13,917,907 | 13,858,848 | ||
U.S. Treasury Securities | 0 | ' | ||
Other Investments | 0 | 0 | ||
Derivative Asset | ' | 295,707 | ||
Assets, Fair Value Disclosure, Recurring | 14,121,564 | 14,154,555 | ||
Derivative liabilities, at fair value | ' | 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] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. | |||
[2] | Derived from audited financial statements. |
Fair_Value_Measurements_Level_
Fair Value Measurements (Level 3 Fair Value Reconciliation) (Details) (Other Investments [Member], USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 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 | 324 |
Change in net unrealized gain (loss) | 0 | -6,721 |
Net sales | 0 | -12,005 |
Net gain (loss) on sales | 0 | 6,419 |
Transfers into (out of) level 3 | 0 | 0 |
Ending balance Level 3 assets | $6,945 | $6,945 |
Share_Capital_Details
Share Capital (Details) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 9 Months Ended | 9 Months Ended | ||||||||
Jul. 21, 2014 | Dec. 31, 2012 | Jun. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Apr. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2013 | Jun. 07, 2011 | ||
July 2014 Repurchase Plan [Member] | 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 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 | ' | ' | ' | 161,994,611 | ' | 161,650,114 | ' | ' | ' | ' | ' | ' | |
Common Stock, Shares, Outstanding | ' | ' | ' | 161,994,611 | ' | 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 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 | ' | ' | ' | ' | ' | ' | ' | ' | 4,100,000 | 4,055,245 | ' | ' | |
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period | ' | ' | ' | 400,000 | 400,000 | ' | ' | ' | ' | ' | ' | ' | |
Number Of Common Stock Available To Sell Under Sales Agreement | ' | ' | 134,300,000 | ' | ' | ' | ' | ' | ' | ' | 3,081,447 | 15,000,000 | |
Stock Repurchase Program, Authorized Amount | 250,000,000 | 250,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Treasury Stock Acquired, Average Cost Per Share | ' | ' | ' | $8.86 | ' | ' | ' | ' | ' | ' | ' | ' | |
Net proceeds (payments) from issuance and repurchase of common shares | ' | ' | 115,700,000 | 353,584 | ' | ' | ' | ' | ' | ' | ' | ' | |
Stock Repurchased and Retired During Period, Shares | ' | ' | ' | 39,800 | ' | ' | ' | ' | ' | ' | ' | ' | |
Stock Repurchase Program, Remaining Authorized Repurchase Amount | ' | ' | ' | ' | ' | ' | ' | $249,600,000 | ' | ' | ' | ' | |
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. | ||||||||||||
[2] | Derived from audited financial statements. |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ' | ' | ' | ' | ||||
Net income | $24,985 | $30,571 | [1] | $314,053 | ($383,918) | [1] | ||
Less preferred stock dividends | -5,203 | -5,203 | [1] | -15,609 | -10,651 | [1] | ||
Net income (loss) available to common shareholders | 19,782 | 25,368 | [1] | 298,444 | -394,569 | [1] | ||
Common shares | -48,307 | -56,444 | -151,344 | -170,473 | ||||
Unvested shares | -291 | -295 | -948 | -884 | ||||
Undistributed earnings (loss) | ($28,816) | ($31,371) | $146,152 | ($565,926) | ||||
Common shares | 161,016,000 | 169,465,000 | 160,986,000 | 172,284,000 | ||||
Distributed earnings | $0.30 | $0.33 | $0.94 | $0.99 | ||||
Undistributed earnings (loss) | ($0.18) | ($0.19) | $0.90 | ($3.28) | ||||
Basic earnings (loss) per common share | $0.12 | $0.14 | $1.84 | ($2.29) | ||||
Net effect of dilutive stock options (1) | 0 | [2] | 0 | [2] | 0 | [2] | 0 | [2] |
Diluted weighted average shares outstanding | 161,016,000 | 169,465,000 | 160,986,000 | 172,284,000 | ||||
Distributed earnings | $0.30 | $0.33 | $0.94 | $0.99 | ||||
Undistributed earnings (loss) | ($0.18) | ($0.19) | $0.90 | ($3.28) | ||||
Diluted earnings (loss) per common share | $0.12 | $0.14 | $1.84 | ($2.29) | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Number | 131,088 | 131,088 | 131,088 | 131,088 | ||||
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range, Exercisable Options, Weighted Average Exercise Price | $30 | $30 | $30 | $30 | ||||
[1] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. | |||||||
[2] | For the three and nine months ended September 30, 2014 and 2013, the Company had an aggregate of 131,088 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. |
Investment_Company_Accounting_2
Investment Company Accounting Disclosures Schedule of Investments Table (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ||
Financial Instruments, Owned, at Fair Value | $14,481,002,000 | $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] | ' | |
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 | ||
Debt Instrument, Face Amount | ' | 6,945,000 | ||
Investment Owned, Percent of Net Assets | 0.04% | [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 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] | ' | |
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] | |
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 | ||
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 | ||
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 | ||
Debt Instrument, Face Amount | ' | 87,600,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 40,103,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 29,015,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 84,755,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 63,251,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 83,235,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 51,272,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 62,378,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 19,388,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 215,819,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 45,301,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 76,110,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 45,306,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 29,496,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 31,018,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 55,666,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 133,381,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 84,553,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 25,550,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 43,963,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 4,839,617,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 51,087,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 42,107,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 28,001,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 11,485,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 34,796,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 948,463,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 1,872,351,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 7,363,000 | ||
Four Point Four Zero Percentage Due January One Two Thousand Twenty Six to April One Two Thousand Twenty Six [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 | ' | 243,561,000 | ||
Debt Instrument, Face Amount | ' | 229,778,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 2,106,542,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 84,730,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 200,955,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 28,154,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 42,719,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 88,989,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 34,581,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 29,699,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 39,112,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 36,896,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 33,904,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 111,565,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 29,871,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 32,352,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 27,151,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 130,144,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 428,429,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 443,680,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 35,497,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 154,038,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 74,931,000 | ||
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 | ||
Debt Instrument, Face Amount | ' | 8,650,000 | ||
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 | ||
Financial Instruments, Owned, at Fair Value | ' | 10,905,000 | ||
Derivative, Fixed Interest Rate | ' | 1.01% | ||
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] | Previously reported under specialized accounting, ASC 946 – Financial Services – Investment Companies. See Note 2 to interim consolidated financial statements. | |||
[2] | Derived from audited financial statements. | |||
[3] | Percentage of stockholders' equity. | |||
[4] | 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. |
Investment_Company_Accounting_3
Investment Company Accounting Disclosures Financial Highlights (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | |||
cys_FinancialHighlights [Line Items] | ' | ' | ' | ' | ||
Net Asset Value Per Share | $10.10 | $10.10 | $10.20 | $13.31 | ||
Net investment income | $0.40 | [1] | $1.05 | [1] | ' | ' |
Net gain (loss) from investments and swap and cap contracts | ($0.22) | [1] | ($3.27) | [1] | ' | ' |
Net income (loss) | $0.18 | ($2.22) | ' | ' | ||
Dividends on preferred stock | ($0.03) | [1] | ($0.06) | [1] | ' | ' |
Net income (loss) available to common shareholders | $0.15 | ($2.28) | ' | ' | ||
Distributions to common stockholders | ($0.34) | ($1) | ' | ' | ||
Issuance/Repurchase of common and preferred shares and amortization of share based compensation | $0.09 | [1] | $0.07 | [1] | ' | ' |
Net decrease in net asset value from capital transactions | ($0.25) | ($0.93) | ' | ' | ||
Net asset value total return (%)(d) | 2.35% | [2],[3] | -16.60% | [2],[3] | ' | ' |
Market value total return (%) | -8.02% | [3] | -23.53% | [3] | ' | ' |
Expenses before interest expense | 1.13% | [4] | 1.01% | [4] | ' | ' |
Total expenses | 3.55% | [4] | 3.47% | [4] | ' | ' |
Net investment income | 13.77% | [4] | 10.92% | [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, Investments in Securities). | |||||
[2] | May also be referred to as common book value total return. | |||||
[3] | Not computed on an annualized basis. | |||||
[4] | Computed on an annualized basis. |
Subsequent_Events_Details
Subsequent Events (Details) (Subsequent Event [Member]) | 1 Months Ended |
Oct. 31, 2014 | |
Subsequent Event [Member] | ' |
Subsequent Event [Line Items] | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Gross | 17,255 |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Granted | 2,047 |