Document_And_Entity_Informatio
Document And Entity Information | 9 Months Ended | |
Sep. 30, 2013 | Nov. 04, 2013 | |
Document and Entity Information [Abstract] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 30-Sep-13 | ' |
Document Fiscal Year Focus | '2013 | ' |
Document Fiscal Period Focus | 'Q3 | ' |
Entity Registrant Name | 'Ellington Financial LLC | ' |
Entity Central Index Key | '0001411342 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Accelerated Filer | ' |
Entity Common Stock, Shares Outstanding | ' | 25,428,186 |
Consolidated_Statement_Of_Asse
Consolidated Statement Of Assets, Liabilities And Equity (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, except Per Share data, unless otherwise specified | ||||
ASSETS | ' | ' | ||
Cash and cash equivalents | $186,737 | $59,084 | ||
Investments, financial derivatives, and repurchase agreements: | ' | ' | ||
Investments at fair value (Cost – $1,806,749 and $1,328,153) | 1,851,751 | 1,375,116 | ||
Financial derivatives – assets at fair value (Net cost – $43,199 and $65,860) | 43,567 | 48,504 | ||
Repurchase agreements (Cost – $40,994 and $13,650) | 40,994 | [1] | 13,650 | [1] |
Total investments, financial derivatives, and repurchase agreements | 1,936,312 | 1,437,270 | ||
Due from brokers | 65,159 | 22,744 | ||
Receivable for securities sold | 926,638 | 626,919 | ||
Interest and principal receivable | 6,691 | 5,719 | ||
Other assets | 1,165 | 379 | ||
Total Assets | 3,122,702 | 2,152,115 | ||
Investments and financial derivatives: | ' | ' | ||
Investments sold short at fair value (Proceeds – $850,801 and $621,048) | 860,128 | 622,301 | ||
Financial derivatives – liabilities at fair value (Net proceeds – $28,271 and $13,171) | 33,457 | 15,212 | ||
Total investments and financial derivatives | 893,585 | 637,513 | ||
Reverse repurchase agreements | 1,345,223 | 905,718 | ||
Due to brokers | 13,740 | 30,954 | ||
Payable for securities purchased | 230,650 | 57,333 | ||
Securitized debt (Proceeds – $1,050 and $1,311) | 1,038 | 1,335 | ||
Accounts payable and accrued expenses | 2,241 | 1,995 | ||
Base management fee payable | 2,378 | 1,934 | ||
Incentive fee payable | 2,038 | 7,343 | ||
Other payables | 507 | 903 | ||
Interest and dividends payable | 1,500 | 732 | ||
Total Liabilities | 2,492,900 | 1,645,760 | ||
Total Equity | 629,802 | 506,355 | ||
TOTAL LIABILITIES AND EQUITY | 3,122,702 | 2,152,115 | ||
ANALYSIS OF EQUITY: | ' | ' | ||
Common shares, no par value, 100,000,000 shares authorized; (25,418,937 and 20,370,469 shares issued and outstanding) | 616,104 | 497,373 | ||
Additional paid-in capital – LTIP units | 9,069 | 8,982 | ||
Total Shareholders' Equity | 625,173 | 506,355 | ||
Non-controlling Interest | $4,629 | $0 | ||
PER SHARE INFORMATION: | ' | ' | ||
Common shares (in usd per share) | $24.59 | [2] | $24.86 | |
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with the repurchase agreements, reverse repurchase agreements, and derivatives transactions are presented on a gross basis. | |||
[2] | If all LTIP units and OP Units (if applicable) previously issued were vested and exchanged for common shares as of September 30, 2013 and 2012, shareholders' equity per share would be $24.19 and $23.88, respectively. |
Consolidated_Statement_Of_Asse1
Consolidated Statement Of Assets, Liabilities And Equity (Parenthetical) (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Statement of Financial Position [Abstract] | ' | ' |
Investments at value, cost | $1,806,749 | $1,328,153 |
Financial derivatives - cost | 43,199 | 65,860 |
Repurchase agreements, cost | 40,994 | 13,650 |
Investments sold short at value, proceeds | -850,801 | -621,048 |
Financial derivatives - proceeds | -28,271 | -13,171 |
Securitized debt proceeds | ($1,050) | ($1,311) |
Common stock, par value | ' | ' |
Common stock, shares authorized | 100,000,000 | 100,000,000 |
Common stock, shares issued | 25,418,937 | 20,370,469 |
Common stock, shares outstanding | 25,418,937 | 20,370,469 |
Consolidated_Condensed_Schedul
Consolidated Condensed Schedule Of Investments (Long Investments) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | ||
Schedule of Investments [Line Items] | ' | ' | ||
Fair Value | $1,851,751 | $1,375,116 | ||
Investment Owned, at Cost | 1,806,749 | 1,328,153 | ||
Percentage collaterallized by GNRCMO certificates | 100.00% | 100.00% | ||
Unrated But Agency-Guaranteed [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 175.66% | 161.52% | ||
Long Investment AAA Rating [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 0.00% | 0.01% | ||
Long Investment AA Rating [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 0.00% | 0.26% | ||
Long Investment A Rating [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 0.48% | 1.02% | ||
Long Investment BBB Rating [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 2.53% | 3.70% | ||
Long Investment BB Rating [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 110.32% | 102.40% | ||
Long Investment Unrated Rating [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 5.03% | 2.66% | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 144.27% | [1],[2],[3],[4] | 148.21% | [1],[2],[5],[6] |
Fair Value | 908,587 | [2],[3],[4] | 750,454 | [2],[5],[6] |
Principal And Interest - Fixed Rate Agency Securities [Member] | 74,364 Federal National Mortgage Association Pool, 3.50% 2043-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 74,364 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.50% | [2],[3],[4] | ' | |
Maturity | '2043-02 | [2],[3],[4] | ' | |
Fair Value | 75,049 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 39,099 Federal National Mortgage Association Pool, 3.50% 2043-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 39,099 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.50% | [2],[3],[4] | ' | |
Maturity | '2043-01 | [2],[3],[4] | ' | |
Fair Value | 39,325 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 20,503 Federal Home Loan Mortgage Corporation Pool, 5.50% 2039-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 20,503 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 5.50% | [2],[3],[4] | ' | |
Maturity | '2039-10 | [2],[3],[4] | ' | |
Fair Value | 22,245 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 16,299 Federal National Mortgage Association Pool, 4.50% 2041-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 16,299 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2041-09 | [2],[3],[4] | ' | |
Fair Value | 17,457 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,060 Federal National Mortgage Association Pool, 3.50% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 17,060 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.50% | [2],[3],[4] | ' | |
Maturity | '2042-08 | [2],[3],[4] | ' | |
Fair Value | 17,386 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 15,867 Federal National Mortgage Association Pool, 5.00% 2041-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 15,867 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 5.00% | [2],[3],[4] | ' | |
Maturity | '2041-08 | [2],[3],[4] | ' | |
Fair Value | 17,255 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 16,822 Federal National Mortgage Association Pool, 3.00% 2028-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 16,822 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2028-06 | [2],[3],[4] | ' | |
Fair Value | 17,208 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 15,384 Federal National Mortgage Association Pool, 4.50% 2041-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 15,384 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2041-10 | [2],[3],[4] | ' | |
Fair Value | 16,473 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 15,142 Federal Home Loan Mortgage Corporation Pool, 5.00% 2041-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 15,142 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 5.00% | [2],[3],[4] | ' | |
Maturity | '2041-07 | [2],[3],[4] | ' | |
Fair Value | 16,392 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 13,490 Federal Home Loan Mortgage Corporation Pool 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 13,490 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 14,172 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 12,662 Federal National Mortgage Association Pool, 5.00% 2041-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 12,662 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 5.00% | [2],[3],[4] | ' | |
Maturity | '2041-03 | [2],[3],[4] | ' | |
Fair Value | 13,765 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,639 Federal National Mortgage Association Pool, 4.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 11,639 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-10 | [2],[3],[4] | ' | |
Fair Value | 12,259 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 12,022 Federal National Mortgage Association Pool, 3.00% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 12,022 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2042-08 | [2],[3],[4] | ' | |
Fair Value | 11,759 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 10,298 Federal National Mortgage Association Pool, 5.00% 2041-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 10,298 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 5.00% | [2],[3],[4] | ' | |
Maturity | '2041-07 | [2],[3],[4] | ' | |
Fair Value | 11,214 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 10,371 Federal National Mortgage Association Pool, 4.50% 2041-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 10,371 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2041-09 | [2],[3],[4] | ' | |
Fair Value | 11,079 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,936 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 9,936 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-07 | [2],[3],[4] | ' | |
Fair Value | 10,420 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,152 Federal National Mortgage Association Pool 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 9,152 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 9,630 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,974 Federal National Mortgage Association Pool 3.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 9,974 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 9,592 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,798 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 9,798 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2043-02 | [2],[3],[4] | ' | |
Fair Value | 9,547 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 8,880 Federal Home Loan Mortgage Corporation Pool, 4.50% 2041-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 8,880 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2041-10 | [2],[3],[4] | ' | |
Fair Value | 9,476 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,744 Federal National Mortgage Association Pool, 4.50% 2026-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 7,744 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2026-04 | [2],[3],[4] | ' | |
Fair Value | 8,227 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,443 Federal National Mortgage Association Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 7,443 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.50% | [2],[3],[4] | ' | |
Maturity | '2042-11 | [2],[3],[4] | ' | |
Fair Value | 7,589 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,886 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,886 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-10 | [2],[3],[4] | ' | |
Fair Value | 7,170 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,315 Federal National Mortgage Association Pool, 5.50% 2039-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,315 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 5.50% | [2],[3],[4] | ' | |
Maturity | '2039-10 | [2],[3],[4] | ' | |
Fair Value | 6,948 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,200 Federal National Morgage Association Pool 4.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,200 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-11 | [2],[3],[4] | ' | |
Fair Value | 6,475 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,070 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,070 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 6,398 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,052 Federal National Mortgage Association Pool, 4.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,052 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-10 | [2],[3],[4] | ' | |
Fair Value | 6,348 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,433 Federal National Mortgage Association Pool, 3.00% 2042-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,433 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2042-04 | [2],[3],[4] | ' | |
Fair Value | 6,292 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,918 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,918 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 6,227 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,332 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,332 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2043-01 | [2],[3],[4] | ' | |
Fair Value | 6,171 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,602 Government National Mortgage Association Pool, 4.46% 2063-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,602 | [2],[3],[4] | ' | |
Description | 'Government National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.46% | [2],[3],[4] | ' | |
Maturity | '2063-02 | [2],[3],[4] | ' | |
Fair Value | 6,159 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,728 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,728 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 6,007 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,118 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,118 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2043-04 | [2],[3],[4] | ' | |
Fair Value | 5,964 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,396 Government National Mortgage Association Pool, 4.54% 2062-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,396 | [2],[3],[4] | ' | |
Description | 'Government National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.54% | [2],[3],[4] | ' | |
Maturity | '2062-11 | [2],[3],[4] | ' | |
Fair Value | 5,945 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,740 Federal National Mortgage Association Pool, 3.50% 2043-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,740 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.50% | [2],[3],[4] | ' | |
Maturity | '2043-06 | [2],[3],[4] | ' | |
Fair Value | 5,851 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,315 Government National Mortgage Association Pool, 4.63% 2061-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,315 | [2],[3],[4] | ' | |
Description | 'Government National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.63% | [2],[3],[4] | ' | |
Maturity | '2061-06 | [2],[3],[4] | ' | |
Fair Value | 5,809 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,990 Federal National Mortgage Association Pool, 3.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,990 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 5,761 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,378 Federal National Mortgage Association Pool, 4.00% 2026-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,378 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2026-07 | [2],[3],[4] | ' | |
Fair Value | 5,719 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,184 Government National Mortgage Association Pool, 4.58% 2062-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,184 | [2],[3],[4] | ' | |
Description | 'Government National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.58% | [2],[3],[4] | ' | |
Maturity | '2062-10 | [2],[3],[4] | ' | |
Fair Value | 5,712 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,185 Government National Mortgage Association Pool, 4.60% 2062-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,185 | [2],[3],[4] | ' | |
Description | 'Government National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.60% | [2],[3],[4] | ' | |
Maturity | '2062-06 | [2],[3],[4] | ' | |
Fair Value | 5,707 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,163 Federal Home Loan Mortgage Corporation Pool, 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,163 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2043-10 | [2],[3],[4] | ' | |
Fair Value | 5,502 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,046 Federal National Mortgage Association Pool 4.00% 2043-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,046 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-01 | [2],[3],[4] | ' | |
Fair Value | 5,306 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,037 Federal Home Loan Mortgage Corporation Pool, 4.00% 2042-05 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,037 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2042-05 | [2],[3],[4] | ' | |
Fair Value | 5,267 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,826 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,826 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 5,047 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,984 Federal National Mortgage Association Pool, 3.50% 2043-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,984 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.50% | [2],[3],[4] | ' | |
Maturity | '2043-06 | [2],[3],[4] | ' | |
Fair Value | 5,030 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,746 Federal National Mortgage Association Pool 4.00% 2042-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,746 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2042-04 | [2],[3],[4] | ' | |
Fair Value | 4,982 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,063 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,063 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2043-06 | [2],[3],[4] | ' | |
Fair Value | 4,934 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,500 Federal National Mortgage Association Pool, 5.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,500 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 5.00% | [2],[3],[4] | ' | |
Maturity | '2043-10 | [2],[3],[4] | ' | |
Fair Value | 4,903 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,603 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,603 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 4,827 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,485 Federal National Mortgage Association Pool, 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,485 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2043-10 | [2],[3],[4] | ' | |
Fair Value | 4,814 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,494 Federal National Mortgage Association Pool, 4.50% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,494 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 4,807 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,697 Federal National Mortgage Association Pool, 3.50% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,697 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.50% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 4,789 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,455 Federal National Mortgage Association Pool, 4.50% 2041-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,455 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2041-08 | [2],[3],[4] | ' | |
Fair Value | 4,765 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,869 Federal National Mortgage Association Pool, 3.00% 2042-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,869 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2042-06 | [2],[3],[4] | ' | |
Fair Value | 4,763 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,326 Federal National Mortgage Association Pool, 5.00% 2040-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,326 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 5.00% | [2],[3],[4] | ' | |
Maturity | '2040-11 | [2],[3],[4] | ' | |
Fair Value | 4,699 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,585 Federal National Mortgage Association Pool, 3.50% 2042-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,585 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.50% | [2],[3],[4] | ' | |
Maturity | '2042-07 | [2],[3],[4] | ' | |
Fair Value | 4,673 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,376 Federal Home Loan Mortgage Corporation Pool, 4.50% 2043-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,376 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2043-09 | [2],[3],[4] | ' | |
Fair Value | 4,665 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,701 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,701 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2043-02 | [2],[3],[4] | ' | |
Fair Value | 4,581 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,038 Federal National Mortgage Association Pool, 5.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,038 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 5.00% | [2],[3],[4] | ' | |
Maturity | '2043-10 | [2],[3],[4] | ' | |
Fair Value | 4,395 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,173 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,173 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 4,369 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,355 Federal National Mortgage Association Pool, 3.00% 2042-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,355 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2042-03 | [2],[3],[4] | ' | |
Fair Value | 4,260 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,247 Federal Home Loan Mortgage Corporation Pool, 3.50% 2043-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,247 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 3.50% | [2],[3],[4] | ' | |
Maturity | '2043-06 | [2],[3],[4] | ' | |
Fair Value | 4,259 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,814 Government National Mortgage Association Pool, 4.80% 2061-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,814 | [2],[3],[4] | ' | |
Description | 'Government National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.80% | [2],[3],[4] | ' | |
Maturity | '2061-02 | [2],[3],[4] | ' | |
Fair Value | 4,174 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,944 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,944 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-10 | [2],[3],[4] | ' | |
Fair Value | 4,133 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,162 Federal National Mortgage Association Pool, 3.00% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,162 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2042-08 | [2],[3],[4] | ' | |
Fair Value | 4,071 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,877 Federal Home Loan Mortgage Corporation Pool, 3.00% 2028-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,877 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2028-03 | [2],[3],[4] | ' | |
Fair Value | 4,014 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,567 Government National Mortgage Association Pool, 4.75% 2061-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,567 | [2],[3],[4] | ' | |
Description | 'Government National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.75% | [2],[3],[4] | ' | |
Maturity | '2061-01 | [2],[3],[4] | ' | |
Fair Value | 3,891 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,452 Government National Mortgage Association Pool, 4.66% 2063-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,452 | [2],[3],[4] | ' | |
Description | 'Government National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.66% | [2],[3],[4] | ' | |
Maturity | '2063-01 | [2],[3],[4] | ' | |
Fair Value | 3,826 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,617 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,617 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 3,797 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,608 Federal National Mortgage Association Pool 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,608 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 3,797 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,582 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,582 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 3,764 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,419 Government National Mortgage Association Pool, 4.69% 2061-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,419 | [2],[3],[4] | ' | |
Description | 'Government National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.69% | [2],[3],[4] | ' | |
Maturity | '2061-07 | [2],[3],[4] | ' | |
Fair Value | 3,748 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,510 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,510 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 3,693 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,257 Federal National Mortgage Association Pool, 5.00% 2035-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,257 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 5.00% | [2],[3],[4] | ' | |
Maturity | '2035-10 | [2],[3],[4] | ' | |
Fair Value | 3,577 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,534 Federal Home Loan Mortgage Corporation Pool, 3.50% 2043-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,534 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 3.50% | [2],[3],[4] | ' | |
Maturity | '2043-06 | [2],[3],[4] | ' | |
Fair Value | 3,556 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,443 Federal National Mortgage Association Pool, 3.50% 2043-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,443 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.50% | [2],[3],[4] | ' | |
Maturity | '2043-01 | [2],[3],[4] | ' | |
Fair Value | 3,511 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,435 Federal Home Loan Mortgage Corporation Pool, 3.00% 2028-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,435 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2028-06 | [2],[3],[4] | ' | |
Fair Value | 3,508 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,151 Government National Mortgage Association Pool, 4.68% 2061-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,151 | [2],[3],[4] | ' | |
Description | 'Government National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.68% | [2],[3],[4] | ' | |
Maturity | '2061-10 | [2],[3],[4] | ' | |
Fair Value | 3,458 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,208 Federal National Mortgage Association Pool, 4.50% 2042-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,208 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2042-04 | [2],[3],[4] | ' | |
Fair Value | 3,433 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,221 Federal National Mortgage Association Pool, 4.00% 2026-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,221 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2026-06 | [2],[3],[4] | ' | |
Fair Value | 3,424 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,264 Federal National Mortgage Association Pool, 3.00% 2028-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,264 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2028-06 | [2],[3],[4] | ' | |
Fair Value | 3,384 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,156 Federal National Mortgage Association Pool, 4.50% 2041-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,156 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2041-12 | [2],[3],[4] | ' | |
Fair Value | 3,378 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,208 Federal Home Loan Mortgage Corporation Pool 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,208 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 3,370 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,289 Federal National Mortgage Association Pool, 3.00% 2028-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,289 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2028-03 | [2],[3],[4] | ' | |
Fair Value | 3,365 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,098 Federal Home Loan Mortgage Corporation Pool, 4.50% 2043-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,098 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2043-09 | [2],[3],[4] | ' | |
Fair Value | 3,324 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,181 Federal National Mortgage Association Pool, 3.00% 2028-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,181 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2028-07 | [2],[3],[4] | ' | |
Fair Value | 3,299 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,342 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,342 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2043-04 | [2],[3],[4] | ' | |
Fair Value | 3,257 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,015 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,015 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.00% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 3,165 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 112,885 | [2],[3],[4] | 69,330 | [2],[5],[6] |
Description | 'Other Federal National Mortgage Association Pools | [2],[3],[4] | 'Other Federal National Mortgage Association Pools | [2],[5],[6] |
Fair Value | 118,649 | [2],[3],[4] | 74,508 | [2],[5],[6] |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 3.00% | [2],[3],[4] | 2.50% | [2],[5],[6] |
Maturity | '2028-06 | [2],[3],[4] | '2026-03 | [2],[5],[6] |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 6.00% | [2],[3],[4] | 6.00% | [2],[5],[6] |
Maturity | '2043-10 | [2],[3],[4] | '2043-01 | [2],[5],[6] |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation Pools [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 87,522 | [2],[3],[4] | 19,340 | [2],[5],[6] |
Description | 'Other Federal Home Loan Mortgage Corporation Pools | [2],[3],[4] | 'Other Federal Home Loan Mortgage Corporation Pools | [2],[5],[6] |
Fair Value | 90,161 | [2],[3],[4] | 20,744 | [2],[5],[6] |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation Pools [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 3.00% | [2],[3],[4] | 3.50% | [2],[5],[6] |
Maturity | '2027-12 | [2],[3],[4] | '2026-04 | [2],[5],[6] |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation Pools [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 6.00% | [2],[3],[4] | 6.00% | [2],[5],[6] |
Maturity | '2043-10 | [2],[3],[4] | '2042-12 | [2],[5],[6] |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association Pools [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 10,942 | [2],[3],[4] | ' | |
Description | 'Other Government National Mortgage Association Pools | [2],[3],[4] | ' | |
Fair Value | 12,041 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association Pools [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 4.49% | [2],[3],[4] | ' | |
Maturity | '2061-11 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association Pools [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 4.68% | [2],[3],[4] | ' | |
Maturity | '2062-11 | [2],[3],[4] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 49,427 Federal National Mortgage Association Pool, 3.50% 2042-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 49,427 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-12 | [2],[5],[6] | |
Fair Value | ' | 52,864 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 45,304 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 45,304 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-11 | [2],[5],[6] | |
Fair Value | ' | 48,596 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 35,601 Federal National Mortgage Association Pool 5.00% 2037-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 35,601 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.00% | [2],[5],[6] | |
Maturity | ' | '2037-07 | [2],[5],[6] | |
Fair Value | ' | 38,657 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 21,338 Federal National Mortgage Association Pool 4.50% 2041-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 21,338 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-12 | [2],[5],[6] | |
Fair Value | ' | 23,268 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 18,227 Federal National Mortgage Association Pool 3.50% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 18,227 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-08 | [2],[5],[6] | |
Fair Value | ' | 19,552 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,845 Federal National Mortgage Association Pool 4.50% 2041-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 17,845 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-09 | [2],[5],[6] | |
Fair Value | ' | 19,459 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,634 Federal Home Loan Mortgage Corporation Pool 5.00% 2041-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 17,634 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 5.00% | [2],[5],[6] | |
Maturity | ' | '2041-07 | [2],[5],[6] | |
Fair Value | ' | 19,218 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,621 Federal National Mortgage Association Pool 5.00% 2041-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 17,621 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.00% | [2],[5],[6] | |
Maturity | ' | '2041-08 | [2],[5],[6] | |
Fair Value | ' | 19,201 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,113 Federal National Mortgage Association Pool 4.50% 2041-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 17,113 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-10 | [2],[5],[6] | |
Fair Value | ' | 18,661 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 15,869 Federal National Mortgage Association Pool 5.00% 2041-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 15,869 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.00% | [2],[5],[6] | |
Maturity | ' | '2041-03 | [2],[5],[6] | |
Fair Value | ' | 17,430 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 14,911 Federal National Mortgage Association Pool 3.00% 2042-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 14,911 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.00% | [2],[5],[6] | |
Maturity | ' | '2042-10 | [2],[5],[6] | |
Fair Value | ' | 15,642 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 14,242 Federal National Mortgage Association Pool 4.00% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 14,242 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-08 | [2],[5],[6] | |
Fair Value | ' | 15,407 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 13,519 Federal Home Loan Mortgage Corporation Pool 3.00% 2042-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 13,519 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 3.00% | [2],[5],[6] | |
Maturity | ' | '2042-10 | [2],[5],[6] | |
Fair Value | ' | 14,157 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,985 Federal National Mortgage Association Pool 4.50% 2041-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 11,985 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-09 | [2],[5],[6] | |
Fair Value | ' | 12,994 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,942 Federal National Mortgage Association Pool 4.00% 2041-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 11,942 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2041-11 | [2],[5],[6] | |
Fair Value | ' | 12,848 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,003 Federal National Mortgage Association Pool 5.00% 2041-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 11,003 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.00% | [2],[5],[6] | |
Maturity | ' | '2041-07 | [2],[5],[6] | |
Fair Value | ' | 12,058 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 10,576 Federal National Mortgage Association Pool 4.00% 2042-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 10,576 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-01 | [2],[5],[6] | |
Fair Value | ' | 11,355 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,576 Federal National Mortgage Association Pool 4.50% 2026-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 9,576 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2026-04 | [2],[5],[6] | |
Fair Value | ' | 10,338 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,002 Federal Home Loan Mortgage Corporation Pool 4.50% 2041-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 9,002 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-10 | [2],[5],[6] | |
Fair Value | ' | 9,772 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 8,321 Federal Home Loan Mortgage Corporation Pool 4.50% 2041-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 8,321 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-02 | [2],[5],[6] | |
Fair Value | ' | 9,038 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,395 Federal National Mortgage Association Pool 5.50% 2039-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 7,395 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.50% | [2],[5],[6] | |
Maturity | ' | '2039-10 | [2],[5],[6] | |
Fair Value | ' | 8,075 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,428 Eight Federal National Mortgage Association Pool 3.50% 2042-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 7,428 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-10 | [2],[5],[6] | |
Fair Value | ' | 7,984 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,352 Federal National Mortgage Association Pool 4.00% 2026-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 7,352 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2026-07 | [2],[5],[6] | |
Fair Value | ' | 7,888 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,324 Federal National Mortgage Association Pool 5.00% 2041-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,324 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.00% | [2],[5],[6] | |
Maturity | ' | '2041-06 | [2],[5],[6] | |
Fair Value | ' | 6,891 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,929 Federal National Mortgage Association Pool 3.50% 2042-05 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,929 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-05 | [2],[5],[6] | |
Fair Value | ' | 6,356 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,689 Federal Home Loan Mortgage Corporation Pool 4.00% 2042-05 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,689 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-05 | [2],[5],[6] | |
Fair Value | ' | 6,141 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,592 Federal National Mortgage Association Pool 4.00% 2041-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,592 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2041-10 | [2],[5],[6] | |
Fair Value | ' | 6,079 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,642 Federal National Mortgage Association Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,642 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-11 | [2],[5],[6] | |
Fair Value | ' | 6,020 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,494 Federal National Association Pool 3.50% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,494 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-08 | [2],[5],[6] | |
Fair Value | ' | 5,862 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,085 Federal National Mortgage Association Pool 5.00% 2041-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,085 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.00% | [2],[5],[6] | |
Maturity | ' | '2041-10 | [2],[5],[6] | |
Fair Value | ' | 5,534 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,085 Federal National Mortgage Association Pool 4.00% 2042-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,085 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-04 | [2],[5],[6] | |
Fair Value | ' | 5,531 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,045 Federal National Mortgage Association Pool 5.00% 2040-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,045 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.00% | [2],[5],[6] | |
Maturity | ' | '2040-11 | [2],[5],[6] | |
Fair Value | ' | 5,497 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,025 Federal National Mortgage Association Pool 5.00% 2041-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,025 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.00% | [2],[5],[6] | |
Maturity | ' | '2041-07 | [2],[5],[6] | |
Fair Value | ' | 5,444 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,944 Federal National Mortgage Association Pool 4.50% 2041-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,944 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-08 | [2],[5],[6] | |
Fair Value | ' | 5,361 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,911 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,911 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-09 | [2],[5],[6] | |
Fair Value | ' | 5,242 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,676 Federal National Mortgage Association Pool 4.00% 2042-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,676 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-09 | [2],[5],[6] | |
Fair Value | ' | 5,059 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,725 Federal National Mortgage Association Pool 3.50% 2042-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,725 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-07 | [2],[5],[6] | |
Fair Value | ' | 5,042 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,699 Federal National Mortgage Association Pool 4.00% 2026-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,699 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2026-06 | [2],[5],[6] | |
Fair Value | ' | 5,041 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,513 Federal National Mortgage Association Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,513 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-11 | [2],[5],[6] | |
Fair Value | ' | 4,828 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,465 Federal Home Loan Mortgage Corporation Pool 4.00% 2042-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,465 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-02 | [2],[5],[6] | |
Fair Value | ' | 4,787 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,456 Federal National Mortgage Association Pool 3.00% 2027-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,456 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.00% | [2],[5],[6] | |
Maturity | ' | '2027-07 | [2],[5],[6] | |
Fair Value | ' | 4,710 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,261 Federal National Mortgage Association Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,261 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-11 | [2],[5],[6] | |
Fair Value | ' | 4,573 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,009 Federal Home Loan Mortgage Corporation Pool 4.00% 2041-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,009 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2041-11 | [2],[5],[6] | |
Fair Value | ' | 4,303 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,964 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,964 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-11 | [2],[5],[6] | |
Fair Value | ' | 4,229 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,926 Federal National Mortgage Association Pool 3.50% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,926 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-08 | [2],[5],[6] | |
Fair Value | ' | 4,189 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,798 Federal National Mortgage Association Pool 5.00% 2035-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,798 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.00% | [2],[5],[6] | |
Maturity | ' | '2035-10 | [2],[5],[6] | |
Fair Value | ' | 4,172 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,864 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,864 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-10 | [2],[5],[6] | |
Fair Value | ' | 4,116 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,728 Federal National Mortgage Association Pool 5.00% 2040-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,728 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.00% | [2],[5],[6] | |
Maturity | ' | '2040-06 | [2],[5],[6] | |
Fair Value | ' | 4,062 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,726 Federal National Mortgage Association Pool 4.50% 2041-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,726 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-12 | [2],[5],[6] | |
Fair Value | ' | 4,040 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,763 Federal National Mortgage Association Pool 3.50% 2027-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,763 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2027-06 | [2],[5],[6] | |
Fair Value | ' | 4,022 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,766 Federal National Mortgage Association Pool 3.00% 2027-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,766 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.00% | [2],[5],[6] | |
Maturity | ' | '2027-08 | [2],[5],[6] | |
Fair Value | ' | 3,980 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,606 Federal National Mortgage Association Pool 4.50% 2042-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,606 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2042-04 | [2],[5],[6] | |
Fair Value | ' | 3,941 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,526 Federal Home Loan Mortgage Corporation Pool 6.00% 2039-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,526 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 6.00% | [2],[5],[6] | |
Maturity | ' | '2039-04 | [2],[5],[6] | |
Fair Value | ' | 3,848 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,534 Federal National Mortgage Association Pool 3.50% 2042-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,534 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-12 | [2],[5],[6] | |
Fair Value | ' | 3,770 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,442 Federal Home Loan Mortgage Corporation Pool 4.50% 2041-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,442 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-09 | [2],[5],[6] | |
Fair Value | ' | 3,737 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,483 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,483 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-11 | [2],[5],[6] | |
Fair Value | ' | 3,712 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,419 Federal National Mortgage Association Pool 4.00% 2042-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,419 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-04 | [2],[5],[6] | |
Fair Value | ' | 3,706 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,404 Federal Home Loan Mortgage Corporation Pool 4.00% 2042-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,404 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-01 | [2],[5],[6] | |
Fair Value | ' | 3,653 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,344 Federal National Mortgage Association Pool 4.00% 2042-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,344 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-09 | [2],[5],[6] | |
Fair Value | ' | 3,618 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,415 Federal Home Loan Mortgage Corporation Pool 3.00% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,415 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 3.00% | [2],[5],[6] | |
Maturity | ' | '2042-11 | [2],[5],[6] | |
Fair Value | ' | 3,573 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,288 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,288 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-02 | [2],[5],[6] | |
Fair Value | ' | 3,518 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,182 Federal National Mortgage Association Pool 4.00% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,182 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-08 | [2],[5],[6] | |
Fair Value | ' | 3,440 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,095 Federal National Mortgage Association Pool 4.50% 2041-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,095 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-11 | [2],[5],[6] | |
Fair Value | ' | 3,355 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,053 Federal National Mortgage Association Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,053 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-11 | [2],[5],[6] | |
Fair Value | ' | 3,262 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,931 Federal National Mortgage Association Pool 4.00% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,931 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-08 | [2],[5],[6] | |
Fair Value | ' | 3,178 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,947 Federal National Mortgage Association Pool 3.50% 2027-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,947 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2027-07 | [2],[5],[6] | |
Fair Value | ' | 3,145 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,921 Federal National Mortgage Association Pool 3.50% 2027-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,921 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2027-06 | [2],[5],[6] | |
Fair Value | ' | 3,123 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,828 Federal National Mortgage Association Pool 4.50% 2041-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,828 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-10 | [2],[5],[6] | |
Fair Value | ' | 3,076 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,605 Government National Mortgage Association 4.55% 2062-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,605 | [2],[5],[6] | |
Description | ' | 'Government National Mortgage Association | [2],[5],[6] | |
Rate | ' | 4.55% | [2],[5],[6] | |
Maturity | ' | '2062-10 | [2],[5],[6] | |
Fair Value | ' | 2,977 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,676 Federal National Mortgage Association Pool 4.50% 2041-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,676 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2041-10 | [2],[5],[6] | |
Fair Value | ' | 2,901 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,566 Federal National Mortgage Association Pool 4.00% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,566 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-08 | [2],[5],[6] | |
Fair Value | ' | 2,774 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,490 Federal National Mortgage Association Pool 4.50% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,490 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.50% | [2],[5],[6] | |
Maturity | ' | '2042-08 | [2],[5],[6] | |
Fair Value | ' | 2,719 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,497 Federal National Mortgage Association Pool 4.00% 2042-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,497 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-09 | [2],[5],[6] | |
Fair Value | ' | 2,699 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,519 Federal National Mortgage Association Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,519 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-11 | [2],[5],[6] | |
Fair Value | ' | 2,690 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,520 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,520 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-11 | [2],[5],[6] | |
Fair Value | ' | 2,685 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,498 Federal National Mortgage Association Pool 3.50% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,498 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-08 | [2],[5],[6] | |
Fair Value | ' | 2,679 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,500 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,500 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-01 | [2],[5],[6] | |
Fair Value | ' | 2,667 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,452 Federal National Mortgage Association Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,452 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.50% | [2],[5],[6] | |
Maturity | ' | '2042-11 | [2],[5],[6] | |
Fair Value | ' | 2,619 | [2],[5],[6] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,377 Federal National Mortgage Association Pool 4.00% 2042-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,377 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2042-06 | [2],[5],[6] | |
Fair Value | ' | 2,564 | [2],[5],[6] | |
Interest Only - Fixed Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 2.24% | [1],[2],[3],[4] | 0.64% | [1],[2],[5],[6] |
Fair Value | 14,099 | [2],[3],[4] | 3,250 | [2],[5],[6] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 62,344 | [2],[3],[4] | 20,095 | [2],[5],[6] |
Description | 'Other Federal National Mortgage Association | [2],[3],[4] | 'Other Federal National Mortgage Association | [2],[5],[6] |
Fair Value | 7,587 | [2],[3],[4] | 1,920 | [2],[5],[6] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 3.00% | [2],[3],[4] | 4.00% | [2],[5],[6] |
Maturity | '2020-12 | [2],[3],[4] | '2036-01 | [2],[5],[6] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 5.50% | [2],[3],[4] | 5.50% | [2],[5],[6] |
Maturity | '2043-04 | [2],[3],[4] | '2040-10 | [2],[5],[6] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 22,795 | [2],[3],[4] | 10,426 | [2],[5],[6] |
Description | 'Other Federal Home Loan Mortgage Corporation | [2],[3],[4] | 'Other Federal Home Loan Mortgage Corporation | [2],[5],[6] |
Fair Value | 3,446 | [2],[3],[4] | 1,195 | [2],[5],[6] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 3.00% | [2],[3],[4] | 5.00% | [2],[5],[6] |
Maturity | '2032-12 | [2],[3],[4] | '2033-06 | [2],[5],[6] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 5.50% | [2],[3],[4] | 5.50% | [2],[5],[6] |
Maturity | '2043-01 | [2],[3],[4] | '2039-01 | [2],[5],[6] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 21,374 | [2],[3],[4] | 4,269 | [2],[5],[6] |
Description | 'Other Government National Mortgage Association | [2],[3],[4] | 'Other Government National Mortgage Association | [2],[5],[6] |
Rate | ' | 5.50% | [2],[5],[6] | |
Maturity | ' | '2036-03 | [2],[5],[6] | |
Fair Value | 3,066 | [2],[3],[4] | 135 | [2],[5],[6] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2036-03 | [2],[3],[4] | ' | |
Interest Only - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 5.50% | [2],[3],[4] | ' | |
Maturity | '2042-11 | [2],[3],[4] | ' | |
TBA - Fixed Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 19.55% | [1],[2],[3],[4] | 8.61% | [1],[2],[5],[6] |
Fair Value | 123,131 | [2],[3],[4] | 43,610 | [2],[5],[6] |
TBA - Fixed Rate Agency Securities [Member] | 81,800 Federal Home Loan Mortgage Corporation (30 Year) 3.00% 2013-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 81,800 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (30 Year) | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2013-10 | [2],[3],[4] | ' | |
Fair Value | 79,640 | [2],[3],[4] | ' | |
TBA - Fixed Rate Agency Securities [Member] | 40,700 Federal National Mortgage Association (30 Year) 3.00% 2013-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 40,700 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association (30 Year) | [2],[3],[4] | ' | |
Rate | 3.00% | [2],[3],[4] | ' | |
Maturity | '2013-11 | [2],[3],[4] | ' | |
Fair Value | 39,659 | [2],[3],[4] | ' | |
TBA - Fixed Rate Agency Securities [Member] | 3,600 Other Federal Home Loan Mortgage Corporation (30 Year) 4.50% 2013-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,600 | [2],[3],[4] | ' | |
Description | 'Other Federal Home Loan Mortgage Corporation (30 Year) | [2],[3],[4] | ' | |
Rate | 4.50% | [2],[3],[4] | ' | |
Maturity | '2013-10 | [2],[3],[4] | ' | |
Fair Value | 3,832 | [2],[3],[4] | ' | |
TBA - Fixed Rate Agency Securities [Member] | 18,950 Federal Home Loan Mortgage Corporation (30 Years) 4.00% 2013-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 18,950 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation (30 Year) | [2],[5],[6] | |
Rate | ' | 4.00% | [2],[5],[6] | |
Maturity | ' | '2013-01 | [2],[5],[6] | |
Fair Value | ' | 20,232 | [2],[5],[6] | |
TBA - Fixed Rate Agency Securities [Member] | 16,600 Federal National Mortgage Association (15 Years) 3.00% 2013-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 16,600 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association (15 Year) | [2],[5],[6] | |
Rate | ' | 3.00% | [2],[5],[6] | |
Maturity | ' | '2013-01 | [2],[5],[6] | |
Fair Value | ' | 17,523 | [2],[5],[6] | |
TBA - Fixed Rate Agency Securities [Member] | 5,600 Federal Home Loan Mortgage Corporation (30 Years) 3.00% 2013-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,600 | [2],[5],[6] | |
Description | ' | 'Federal Home Loan Mortgage Corporation (30 Year) | [2],[5],[6] | |
Rate | ' | 3.00% | [2],[5],[6] | |
Maturity | ' | '2013-01 | [2],[5],[6] | |
Fair Value | ' | 5,855 | [2],[5],[6] | |
Fixed Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 166.06% | [1],[2],[3],[4] | 157.46% | [1],[2],[5],[6] |
Fair Value | 1,045,817 | [2],[3],[4] | 797,314 | [2],[5],[6] |
Investment Owned, at Cost | 1,053,939 | [2],[3],[4] | 789,964 | [2],[5],[6] |
Principal And Interest - Floating Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 5.96% | [1],[2],[3],[4] | 3.39% | [1],[2],[5],[6] |
Fair Value | 37,556 | [2],[3],[4] | 17,169 | [2],[5],[6] |
Principal And Interest - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,903 | [2],[3],[4] | 3,159 | [2],[5],[6] |
Description | 'Other Federal National Mortgage Association Pools | [2],[3],[4] | 'Other Federal National Mortgage Association Pools | [2],[5],[6] |
Fair Value | 4,135 | [2],[3],[4] | 3,385 | [2],[5],[6] |
Principal And Interest - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 2.69% | [2],[3],[4] | 4.93% | [2],[5],[6] |
Maturity | '2036-04 | [2],[3],[4] | '2037-07 | [2],[5],[6] |
Principal And Interest - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 6.05% | [2],[3],[4] | 5.50% | [2],[5],[6] |
Maturity | '2037-09 | [2],[3],[4] | '2037-09 | [2],[5],[6] |
Principal And Interest - Floating Rate Agency Securities [Member] | 9,091 Federal Home Loan Mortgage Corporation Pool, 2.54% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 9,091 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 2.54% | [2],[3],[4] | ' | |
Maturity | '2043-08 | [2],[3],[4] | ' | |
Fair Value | 9,106 | [2],[3],[4] | ' | |
Principal And Interest - Floating Rate Agency Securities [Member] | 6,979 Federal Home Loan Mortgage Corporation Pool, 4.9% 2038-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,979 | [2],[3],[4] | ' | |
Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ' | |
Rate | 4.90% | [2],[3],[4] | ' | |
Maturity | '2038-04 | [2],[3],[4] | ' | |
Fair Value | 7,445 | [2],[3],[4] | ' | |
Principal And Interest - Floating Rate Agency Securities [Member] | 4,937 Federal National Mortgage Association Pool, 4.27% 2040-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,937 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 4.27% | [2],[3],[4] | ' | |
Maturity | '2040-04 | [2],[3],[4] | ' | |
Fair Value | 5,249 | [2],[3],[4] | ' | |
Principal And Interest - Floating Rate Agency Securities [Member] | 3,941 Federal National Mortgage Association Pool, 5.73% 2037-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,941 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 5.73% | [2],[3],[4] | ' | |
Maturity | '2037-07 | [2],[3],[4] | ' | |
Fair Value | 4,197 | [2],[3],[4] | ' | |
Principal And Interest - Floating Rate Agency Securities [Member] | 3,649 Federal National Mortgage Association Pool, 2.53% 2038-05 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,649 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 2.53% | [2],[3],[4] | ' | |
Maturity | '2038-05 | [2],[3],[4] | ' | |
Fair Value | 3,844 | [2],[3],[4] | ' | |
Principal And Interest - Floating Rate Agency Securities [Member] | 3,396 Federal National Mortgage Association Pool, 6.08% 2037-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,396 | [2],[3],[4] | ' | |
Description | 'Federal National Mortgage Association Pool | [2],[3],[4] | ' | |
Rate | 6.08% | [2],[3],[4] | ' | |
Maturity | '2037-08 | [2],[3],[4] | ' | |
Fair Value | 3,580 | [2],[3],[4] | ' | |
Principal And Interest - Floating Rate Agency Securities [Member] | 6,045 Federal National Mortgage Association Pool 5.08% 2038-05 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,045 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.08% | [2],[5],[6] | |
Maturity | ' | '2038-05 | [2],[5],[6] | |
Fair Value | ' | 6,374 | [2],[5],[6] | |
Principal And Interest - Floating Rate Agency Securities [Member] | 4,537 Federal National Mortgage Association Pool 3.14% 2035-15 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,537 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 3.14% | [2],[5],[6] | |
Maturity | ' | '2035-12 | [2],[5],[6] | |
Fair Value | ' | 4,783 | [2],[5],[6] | |
Principal And Interest - Floating Rate Agency Securities [Member] | 2,478 Federal National Mortgage Association Pool 5.69% 2036-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,478 | [2],[5],[6] | |
Description | ' | 'Federal National Mortgage Association Pool | [2],[5],[6] | |
Rate | ' | 5.69% | [2],[5],[6] | |
Maturity | ' | '2036-04 | [2],[5],[6] | |
Fair Value | ' | 2,627 | [2],[5],[6] | |
Interest Only - Floating Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 3.64% | [1],[2],[3],[4] | 0.67% | [1],[2],[5],[6] |
Fair Value | 22,934 | [2],[3],[4] | 3,394 | [2],[5],[6] |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 43,974 | [2],[3],[4] | 1,042 | [2],[5],[6] |
Description | 'Other Federal National Mortgage Association | [2],[3],[4] | 'Other Federal National Mortgage Association | [2],[5],[6] |
Rate | ' | 5.50% | [2],[5],[6] | |
Maturity | ' | '2036-08 | [2],[5],[6] | |
Fair Value | 8,083 | [2],[3],[4] | 152 | [2],[5],[6] |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 5.50% | [2],[3],[4] | ' | |
Maturity | '2036-08 | [2],[3],[4] | ' | |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 6.57% | [2],[3],[4] | ' | |
Maturity | '2043-07 | [2],[3],[4] | ' | |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 19,311 | [2],[3],[4] | ' | |
Description | 'Other Federal Home Loan Mortgage Corporation | [2],[3],[4] | ' | |
Fair Value | 2,368 | [2],[3],[4] | ' | |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 5.82% | [2],[3],[4] | ' | |
Maturity | '2038-11 | [2],[3],[4] | ' | |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 6.52% | [2],[3],[4] | ' | |
Maturity | '2039-08 | [2],[3],[4] | ' | |
Interest Only - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 90,958 | [2],[3],[4] | ' | |
Description | 'Other Government National Mortgage Association | [2],[3],[4] | ' | |
Fair Value | 9,776 | [2],[3],[4] | ' | |
Interest Only - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 1.63% | [2],[3],[4] | ' | |
Maturity | '2042-11 | [2],[3],[4] | ' | |
Interest Only - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 6.57% | [2],[3],[4] | ' | |
Maturity | '2063-08 | [2],[3],[4] | ' | |
Interest Only - Floating Rate Agency Securities [Member] | Resecuritization of Government National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 22,948 | [2],[3],[4],[7] | 23,140 | [2],[5],[6],[7] |
Description | 'Resecuritization of Government National Mortgage Association (q) | [2],[3],[4],[7] | 'Resecuritization of Government National Mortgage Association (o) | [2],[5],[6],[7] |
Rate | 4.32% | [2],[3],[4],[7] | 4.28% | [2],[5],[6],[7] |
Maturity | '2060-08 | [2],[3],[4],[7] | '2060-08 | [2],[5],[6],[7] |
Fair Value | 2,707 | [2],[3],[4],[7] | 3,242 | [2],[5],[6],[7] |
Floating Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 9.60% | [1],[2],[3],[4] | 4.06% | [1],[2],[5],[6] |
Fair Value | 60,490 | [2],[3],[4] | 20,563 | [2],[5],[6] |
Investment Owned, at Cost | 60,155 | [2],[3],[4] | 19,979 | [2],[5],[6] |
Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 175.66% | [1],[2],[3],[4] | 161.52% | [1],[2],[5],[6] |
Fair Value | 1,106,307 | [2],[3],[4] | 817,877 | [2],[5],[6] |
Investment Owned, at Cost | 1,114,094 | [2],[3],[4] | 809,943 | [2],[5],[6] |
Principal And Interest - Private Label Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 108.17% | [1],[2],[3] | 107.47% | [1],[2],[5] |
Fair Value | 681,278 | [2],[3] | 544,208 | [2],[5] |
Investment Owned, at Cost | 628,805 | [2],[3] | 505,380 | [2],[5] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 997,533 | [2],[3] | 850,320 | [2],[5] |
Description | 'Various | [2],[3] | 'Various | [2],[5] |
Fair Value | 681,278 | [2],[3] | 544,208 | [2],[5] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 0.27% | [2],[3] | 0.17% | [2],[5] |
Maturity | '2019-05 | [2],[3] | '2019-05 | [2],[5] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 9.35% | [2],[3] | 9.35% | [2],[5] |
Maturity | '2050-06 | [2],[3] | '2047-05 | [2],[5] |
Principal Only - Private Label Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 0.42% | [1],[2],[3] | 0.46% | [1],[5] |
Fair Value | 2,668 | [2],[3] | 2,320 | [2],[5] |
Investment Owned, at Cost | 2,416 | [2],[3] | 2,242 | [2],[5] |
Principal Only - Private Label Securities [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,800 | [2],[3] | 5,800 | [2],[5] |
Description | 'Various | [2],[3] | 'Various | [2],[5] |
Rate | 0.00% | [2],[3] | 0.00% | [2],[5] |
Maturity | '2030-08 | [2],[3] | '2030-08 | [2],[5] |
Fair Value | 2,668 | [2],[3] | 2,320 | [2],[5] |
Interest Only - Private Label Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 0.21% | [1],[2],[3] | 0.23% | [1],[2],[5] |
Fair Value | 1,307 | [2],[3] | 1,165 | [2],[5] |
Investment Owned, at Cost | 543 | [2],[3] | 637 | [2],[5] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 52,880 | [2],[3] | 61,640 | [2],[5] |
Description | 'Various | [2],[3] | 'Various | [2],[5] |
Fair Value | 1,307 | [2],[3] | 1,165 | [2],[5] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 0.50% | [2],[3] | 0.50% | [2],[5] |
Maturity | '2044-06 | [2],[3] | '2044-06 | [2],[5] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 2.00% | [2],[3] | 2.00% | [2],[5] |
Maturity | '2047-09 | [2],[3] | '2047-09 | [2],[5] |
Other Private Label Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 0.00% | [1],[2],[3] | 0.00% | [1],[2],[5] |
Fair Value | 0 | [2],[3] | 0 | [2],[5] |
Investment Owned, at Cost | 354 | [2],[3] | 429 | [2],[5] |
Other Private Label Securities [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 130,742 | [2],[3] | 158,348 | [2],[5] |
Description | 'Various | [2],[3] | 'Various | [2],[5] |
Rate | 0.00% | [2],[3] | 0.00% | [2],[5] |
Maturity | '2037-06 | [2],[3] | '2037-06 | [2],[5] |
Fair Value | 0 | [2],[3] | 0 | [2],[5] |
Private Label Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 108.80% | [1],[2],[3] | 108.16% | [1],[2],[5] |
Fair Value | 685,253 | [2],[3] | 547,693 | [2],[5] |
Investment Owned, at Cost | 632,118 | [2],[3] | 508,688 | [2],[5] |
Mortgage-Backed Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 284.46% | [1],[2],[3] | 269.68% | [1],[2],[5] |
Fair Value | 1,791,560 | [2],[3] | 1,365,570 | [2],[5] |
Investment Owned, at Cost | 1,746,212 | [2],[3] | 1,318,631 | [2],[5] |
Asset-backed Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 7.19% | [1],[2],[3] | ' | |
Fair Value | 45,255 | [2],[3] | ' | |
Investment Owned, at Cost | 46,122 | [2],[3] | ' | |
Asset-backed Securities [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 55,868 | [2],[3] | ' | |
Description | 'Various | [2],[3] | ' | |
Fair Value | 45,255 | [2],[3] | ' | |
Asset-backed Securities [Member] | Various Issuer [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 0.00% | [2],[3] | ' | |
Maturity | '2017-06 | [2],[3] | ' | |
Asset-backed Securities [Member] | Various Issuer [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 9.76% | [2],[3] | ' | |
Maturity | '2049-12 | [2],[3] | ' | |
Commercial Mortgage Loans [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 2.37% | [1],[2],[3],[8] | 1.89% | [1],[2],[5],[9] |
Fair Value | 14,936 | [2],[3],[8] | 9,546 | [2],[5],[9] |
Investment Owned, at Cost | 14,415 | [2],[3],[8] | 9,522 | [2],[5],[9] |
Commercial Mortgage Loans [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 16,455 | [2],[3],[8] | 10,225 | [2],[5],[9] |
Description | 'Various | [2],[3],[8] | 'Various | [2],[5],[9] |
Fair Value | 14,936 | [2],[3],[8] | 9,546 | [2],[5],[9] |
Commercial Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 0.00% | [2],[3] | 5.00% | [2],[5],[9] |
Maturity | '2013-11 | [2],[3] | '2013-11 | [2],[5],[9] |
Commercial Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 7.25% | [2],[3] | 6.25% | [2],[5],[9] |
Maturity | '2014-09 | [2],[3] | '2039-05 | [2],[5],[9] |
Long Investments [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 294.02% | [1],[2],[3] | 271.57% | [1],[2],[5] |
Fair Value | 1,851,751 | [2],[3] | 1,375,116 | [2],[5] |
Investment Owned, at Cost | 1,806,749 | [2],[3] | 1,328,153 | [2],[5] |
Long Investments [Member] | Federal National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 104.50% | 119.78% | ||
Long Investments [Member] | Federal Home Loan Mortgage Corporation [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 59.09% | 40.49% | ||
Long Investments [Member] | Government National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of net assets | 12.07% | 1.25% | ||
Commercial Mortgage Loan With Extendable Maturity [Member] | Commercial Mortgage Loans [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Fair Value | $5,000 | $4,900 | ||
[1] | Classification percentages are based on Total Equity. | |||
[2] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[3] | The table below shows the ratings on the Company's long investments from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."Rating Description Percent ofEquityUnrated but Agency-Guaranteed 175.66%Aaa/AAA/AAA 0.00%Aa/AA/AA 0.00%A/A/A 0.48%Baa/BBB/BBB 2.53%Ba/BB/BB or below 110.32%Unrated 5.03% | |||
[4] | At September 30, 2013, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 104.50%, 59.09%, and 12.07% of equity, respectively. | |||
[5] | The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."Rating Description Percent ofEquityUnrated but Agency-Guaranteed 161.52%Aaa/AAA/AAA 0.01%Aa/AA/AA 0.26%A/A/A 1.02%Baa/BBB/BBB 3.70%Ba/BB/BB or below 102.40%Unrated 2.66% | |||
[6] | At December 31, 2012, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 119.78%, 40.49%, and 1.25% of equity, respectively. | |||
[7] | Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates. | |||
[8] | Includes a loan with a fair value in the amount of $5.0 million where the maturity date may be extended through November 4, 2015 as well as non-performing commercial whole loans. | |||
[9] | Includes a loan with a fair value in the amount of $4.9 million where the maturity date may be extended through November 4, 2015 as well as a non-performing commercial whole loan. |
Consolidated_Condensed_Schedul1
Consolidated Condensed Schedule Of Investments (Repurchase Agreements) (Repurchase Agreements [Member], USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | ||||||
In Thousands, unless otherwise specified | JP Morgan Securities Inc Collateralized By Par Value $18,700 U.S. Treasury Note Coupon 2.00% Maturity Date 2023-02 [Member] | JP Morgan Securities Inc Collateralized By Par Value $13,000 U.S. Treasury Note Coupon 1.75% Maturity Date 2016-05 [Member] | Bank Of America Securities Collaterized By Par Value $10,000 US Treasury Note Coupon 1.13% Maturity Date 2019-12 [Member] | Bank Of America Securities Collateralized By Par Value $13,000 U.S. Treasury Note, Coupon 1.75%, Maturity Date 2016-05 [Member] | ||||||||
Schedule of Investments [Line Items] | ' | ' | ' | ' | ' | ' | ||||||
Current Principal/Notional Amount | ' | ' | $17,882 | [1],[2] | $13,487 | [1],[2] | $9,625 | [1],[2] | $13,650 | [1],[2] | ||
Securities collateralized by par value | ' | ' | 18,700 | [1],[2] | 13,000 | [1],[2] | 10,000 | [1],[2] | 13,000 | [1],[2] | ||
U.S. treasury note, coupon | ' | ' | 2.00% | [1],[2] | 1.75% | [1],[2] | 1.13% | [1],[2] | 1.75% | [1],[2] | ||
Maturity date of securities | ' | ' | '2023-02 | [1],[2] | '2016-05 | [1],[2] | '2019-12 | [1],[2] | '2016-05 | [1],[2] | ||
Description | ' | ' | 'J.P. Morgan Securities Inc. Collateralized by Par Value $18,700 U.S. Treasury Note, Coupon 2.00%, Maturity Date 2/23 | [1],[2] | 'J.P. Morgan Securities Inc. Collateralized by Par Value $13,000 U.S. Treasury Note, Coupon 1.75%, Maturity Date 5/16 | [1],[2] | 'J.P. Morgan Securities Inc. Collateralized by Par Value $10,000 U.S. Treasury Note, Coupon 1.13%, Maturity Date 12/19 | [1],[2] | 'Bank of America SecuritiesCollateralized by Par Value $13,000US Treasury Note, Coupon 1.75%, Maturity Date 2016-05 | [1],[2] | ||
Rate | ' | ' | 0.04% | [1],[2] | 0.06% | [1],[2] | 0.02% | [1],[2] | 0.20% | [1],[2] | ||
Investments maturity date | ' | ' | '2013-10 | [1],[2] | '2013-10 | [1],[2] | '2013-10 | [1],[2] | '2013-01 | [1],[2] | ||
Fair value | 40,994 | [1],[2] | 13,650 | [1],[2] | 17,882 | [1],[2] | 13,487 | [1],[2] | 9,625 | [1],[2] | 13,650 | [1],[2] |
Investment owned as a percentage of net assets | 6.51% | [1],[2],[3] | 2.70% | [1],[2],[3] | ' | ' | ' | ' | ||||
Repurchase agreements, cost | $40,994 | [1],[2] | $13,650 | [1],[2] | ' | ' | ' | ' | ||||
[1] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||||||||||
[2] | In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. | |||||||||||
[3] | Classification percentages are based on Total Equity. |
Consolidated_Condensed_Schedul2
Consolidated Condensed Schedule Of Investments (Investments Sold Short) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investments sold short at fair value- | ($860,128) | ($622,301) | ||
Proceeds from investments sold short | -850,801 | -621,048 | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Net Assets | -130.09% | [1],[2],[3] | -120.22% | [1],[2],[4] |
Investments sold short at fair value- | -819,334 | [2],[3] | -608,720 | [2],[4] |
Proceeds from investments sold short | -808,881 | [2],[3] | -607,967 | [2],[4] |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.50% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -175,482 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (30 Year) | ' | ||
Rate | 3.50% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -178,704 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.50% 2013-11 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -61,200 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (30 Year) | ' | ||
Rate | 3.50% | [2],[3] | ' | |
Investments maturity date | '2013-11 | [2],[3] | ' | |
Investments sold short at fair value- | -62,128 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.00% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -56,160 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (15 Year) | ' | ||
Rate | 3.00% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -58,143 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.50% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -54,000 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (15 Year) | ' | ||
Rate | 3.50% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -57,004 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.00% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -50,500 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (30 Year) | ' | ||
Rate | 5.00% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -54,769 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.50% 2013-11 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -41,500 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (30 Year) | ' | ||
Rate | 4.50% | [2],[3] | ' | |
Investments maturity date | '2013-11 | [2],[3] | ' | |
Investments sold short at fair value- | -44,206 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.00% 2013-11 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -41,600 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (30 Year) | ' | ||
Rate | 4.00% | [2],[3] | ' | |
Investments maturity date | '2013-11 | [2],[3] | ' | |
Investments sold short at fair value- | -43,482 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.00% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -38,280 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (30 Year) | ' | ||
Rate | 4.00% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -40,149 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4.00% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -37,237 | [2],[3] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (30 Year) | ' | ||
Rate | 4.00% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -38,921 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.00% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -39,150 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (30 Year) | ' | ||
Rate | 3.00% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -38,255 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.50% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -34,830 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (30 Year) | ' | ||
Rate | 4.50% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -37,201 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4.00% 2013-11 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -34,000 | [2],[3] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (30 Year) | ' | ||
Rate | 4.00% | [2],[3] | ' | |
Investments maturity date | '2013-11 | [2],[3] | ' | |
Investments sold short at fair value- | -35,424 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 2.50% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -22,450 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (15 Year) | ' | ||
Rate | 2.50% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -22,585 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporataion (30 Year) 5.00% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -16,500 | [2],[3] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (30 Year) | ' | ||
Rate | 5.00% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -17,799 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 4.00% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -14,104 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (15 Year) | ' | ||
Rate | 4.00% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -14,981 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 5.00% 2013-12 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -13,100 | [2],[3] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (30 Year) | ' | ||
Rate | 5.50% | [2],[3] | ' | |
Investments maturity date | '2013-12 | [2],[3] | ' | |
Investments sold short at fair value- | -14,189 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3.50% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -13,550 | [2],[3] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (30 Year) | ' | ||
Rate | 3.50% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -13,760 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 4.50% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -11,000 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (15 Year) | ' | ||
Rate | 4.50% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -11,677 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.50% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -7,500 | [2],[3] | ' | |
Description | 'Federal National Mortgage Association (30 Year) | ' | ||
Rate | 5.50% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -8,177 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 5.50% 2013-11 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -7,000 | [2],[3] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (30 Year) | ' | ||
Rate | 5.50% | [2],[3] | ' | |
Investments maturity date | '2013-11 | [2],[3] | ' | |
Investments sold short at fair value- | -7,584 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3.50% 2013-11 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -6,700 | [2],[3] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (30 Year) | ' | ||
Rate | 3.50% | [2],[3] | ' | |
Investments maturity date | '2013-11 | [2],[3] | ' | |
Investments sold short at fair value- | -6,783 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (15 Year) 3.00% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -5,100 | [2],[3] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (15 Year) | ' | ||
Rate | 3.00% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -5,272 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (15 Year) 3.50% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -4,100 | [2],[3] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (15 Year) | ' | ||
Rate | 3.50% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -4,315 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal National Mortgage Association (30 Year) 6.00% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -2,500 | [2],[3] | ' | |
Description | 'Other Federal National Mortgage Association (30 Year) | ' | ||
Rate | 6.00% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -2,735 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal Home Loan Mortgage Corporation (30 Year) 6.00% 2013-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -1,000 | [2],[3] | ' | |
Description | 'Other Federal Home Loan Mortgage Corporation (30 Year) | ' | ||
Rate | 6.00% | [2],[3] | ' | |
Investments maturity date | '2013-10 | [2],[3] | ' | |
Investments sold short at fair value- | -1,091 | [2],[3] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.50% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -198,168 | [2],[4] | |
Description | ' | 'Federal National Mortgage Association (30 Year) | [2],[4] | |
Rate | ' | 3.50% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -211,343 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.00% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -87,500 | [2],[4] | |
Description | ' | 'Federal National Mortgage Association (30 Year) | [2],[4] | |
Rate | ' | 5.00% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -94,794 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.50% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -77,730 | [2],[4] | |
Description | ' | 'Federal National Mortgage Association (30 Year) | [2],[4] | |
Rate | ' | 4.50% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -83,982 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3.50% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -53,400 | [2],[4] | |
Description | ' | 'Federal Home Loan Mortgage Corporation (30 Year) | [2],[4] | |
Rate | ' | 3.50% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -56,804 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.00% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -34,510 | [2],[4] | |
Description | ' | 'Federal National Mortgage Association (15 Year) | [2],[4] | |
Rate | ' | 3.00% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -36,430 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.00% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -31,600 | [2],[4] | |
Description | ' | 'Federal National Mortgage Association (30 Year) | [2],[4] | |
Rate | ' | 3.00% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -33,128 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 5.00% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -16,500 | [2],[4] | |
Description | ' | 'Federal Home Loan Mortgage Corporation (30 Year) | [2],[4] | |
Rate | ' | 5.00% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -17,776 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.50% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -16,450 | [2],[4] | |
Description | ' | 'Federal National Mortgage Association (15 Year) | [2],[4] | |
Rate | ' | 3.50% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -17,460 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.00% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -15,718 | [2],[4] | |
Description | ' | 'Federal National Mortgage Association (30 Year) | [2],[4] | |
Rate | ' | 4.00% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -16,852 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 4.00% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -14,104 | [2],[4] | |
Description | ' | 'Federal National Mortgage Association (15 Year) | [2],[4] | |
Rate | ' | 4.00% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -15,096 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 4.50% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -11,000 | [2],[4] | |
Description | ' | 'Federal National Mortgage Association (15 Year) | [2],[4] | |
Rate | ' | 4.50% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -11,833 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.50% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -7,500 | [2],[4] | |
Description | ' | 'Federal National Mortgage Association (30 Year) | [2],[4] | |
Rate | ' | 5.50% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -8,148 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 6.00% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -2,500 | [2],[4] | |
Description | ' | 'Federal National Mortgage Association (30 Year) | [2],[4] | |
Rate | ' | 6.00% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -2,731 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal National Mortgage Association (15 Year) 2.50% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -1,200 | [2],[4] | |
Description | ' | 'Other Federal National Mortgage Association (15 Year) | [2],[4] | |
Rate | ' | 2.50% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -1,255 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal Home Loan Mortgage Corporation (30 Year) 6.00% 2013-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -1,000 | [2],[4] | |
Description | ' | 'Other Federal Home Loan Mortgage Corporation (30 Year) | [2],[4] | |
Rate | ' | 6.00% | [2],[4] | |
Investments maturity date | ' | '2013-01 | [2],[4] | |
Investments sold short at fair value- | ' | -1,088 | [2],[4] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Net Assets | -107.05% | -105.27% | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Net Assets | -23.04% | -14.95% | ||
U.S. Treasury Securities Sold Short [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Net Assets | -6.48% | [1],[2] | -2.68% | [1],[2] |
Investments sold short at fair value- | -40,794 | [2] | -13,581 | [2] |
Proceeds from investments sold short | -41,920 | [2] | -13,081 | [2] |
U.S. Treasury Securities Sold Short [Member] | U.S. Treasury Note 2.00% 2023-02 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -18,700 | [2] | ' | |
Description | 'U.S. Treasury Note | [2] | ' | |
Rate | 2.00% | [2] | ' | |
Investments maturity date | '2023-02 | [2] | ' | |
Investments sold short at fair value- | -17,796 | [2] | ' | |
U.S. Treasury Securities Sold Short [Member] | U.S. Treasury Note 1.75% 2016-05 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -13,000 | [2] | -13,000 | [2] |
Description | 'U.S. Treasury Note | [2] | 'U.S. Treasury Note | [2] |
Rate | 1.75% | [2] | 1.75% | [2] |
Investments maturity date | '2016-05 | [2] | '2016-05 | [2] |
Investments sold short at fair value- | -13,415 | [2] | -13,581 | [2] |
U.S. Treasury Securities Sold Short [Member] | U.S. Treasury Note 1.13% 2019-02 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -10,000 | [2] | ' | |
Description | 'U.S. Treasury Note | [2] | ' | |
Rate | 1.13% | [2] | ' | |
Investments maturity date | '2019-12 | [2] | ' | |
Investments sold short at fair value- | -9,583 | [2] | ' | |
Securities Sold Short - Securities Sold, Not Yet Purchased [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Net Assets | -136.57% | [1],[2] | -122.90% | [1],[2] |
Investments sold short at fair value- | -860,128 | [2] | -622,301 | [2] |
Proceeds from investments sold short | ($850,801) | [2] | ($621,048) | [2] |
[1] | Classification percentages are based on Total Equity. | |||
[2] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[3] | At September 30, 2013, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 107.05% and 23.04% of equity, respectively. | |||
[4] | At December 31, 2012, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 105.27% and 14.95% of equity, respectively. |
Consolidated_Condensed_Schedul3
Consolidated Condensed Schedule Of Investments (Financial Derivatives) (USD $) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2013 | Dec. 31, 2012 | |||
contracts | contracts | |||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Assets | $43,567,000 | $48,504,000 | ||
Fair Value | -33,457,000 | -15,212,000 | ||
Financial derivatives - cost | 43,199,000 | 65,860,000 | ||
Financial derivatives - proceeds | -28,271,000 | -13,171,000 | ||
U.S. Treasury Note Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Number of contracts | 1,629 | ' | ||
Eurodollar Future [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Future contract notional | 1,000,000 | 1,000,000 | ||
Future contract | 1 | 1 | ||
Financial Derivatives - Assets [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Assets | 43,567,000 | [1],[2] | 48,504,000 | [1],[2] |
Investment owned as a percentage of net assets | 6.92% | [1],[3] | 9.58% | [1],[3] |
Financial derivatives - cost | 43,199,000 | [1] | 65,860,000 | [1] |
Financial Derivatives - Assets [Member] | Long Interest Rate Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [1],[4] | ' | |
Notional value | 187,700,000 | [1],[4] | ' | |
Derivative Assets | 2,968,000 | [1],[4] | ' | |
Financial Derivatives - Assets [Member] | Long Interest Rate Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2018-07 | [1],[4] | ' | |
Financial Derivatives - Assets [Member] | Long Interest Rate Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2043-07 | [1],[4] | ' | |
Financial Derivatives - Assets [Member] | Long Credit Default Swap On Asset Backed Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [1],[5] | 'Credit | [1],[5] |
Notional value | 2,072,000 | [1],[5] | 10,166,000 | [1],[5] |
Range of expiration dates | '2037-12 | [1],[5] | ' | |
Derivative Assets | 62,000 | [1],[5] | 765,000 | [1],[5] |
Financial derivatives - cost | ' | 135,000 | [1],[5] | |
Financial derivatives - proceeds | -217,000 | [1],[5] | ' | |
Financial Derivatives - Assets [Member] | Long Credit Default Swap On Asset Backed Indices [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2036-06 | [1],[5] | |
Financial Derivatives - Assets [Member] | Long Credit Default Swap On Asset Backed Indices [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2037-12 | [1],[5] | |
Financial Derivatives - Assets [Member] | Long Total Return Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Equity Market | [1],[6] | ' | |
Notional value | 4,548,000 | [1],[6] | ' | |
Derivative Assets | 14,000 | [1],[6] | ' | |
Financial Derivatives - Assets [Member] | Long Total Return Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2014-03 | [1],[6] | ' | |
Financial Derivatives - Assets [Member] | Long Total Return Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2015-06 | [1],[6] | ' | |
Financial Derivatives - Assets [Member] | Short Credit Default Swap On Asset Backed Securities [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [1],[7] | 'Credit | [1],[7] |
Notional value | -24,737,000 | [1],[7] | -42,121,000 | [1],[7] |
Derivative Assets | 17,615,000 | [1],[7] | 36,031,000 | [1],[7] |
Financial Derivatives - Assets [Member] | Short Credit Default Swap On Asset Backed Securities [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2034-09 | [1],[7] | '2034-09 | [1],[7] |
Financial Derivatives - Assets [Member] | Short Credit Default Swap On Asset Backed Securities [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2036-05 | [1],[7] | '2036-05 | [1],[7] |
Financial Derivatives - Assets [Member] | Short Credit Default Swap On Asset Backed Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [1],[8] | 'Credit | [1],[8] |
Notional value | -78,488,000 | [1],[8] | -66,829,000 | [1],[8] |
Derivative Assets | 9,122,000 | [1],[8] | 11,703,000 | [1],[8] |
Financial Derivatives - Assets [Member] | Short Credit Default Swap On Asset Backed Indices [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2046-05 | [1],[8] | '2046-05 | [1],[8] |
Financial Derivatives - Assets [Member] | Short Credit Default Swap On Asset Backed Indices [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2063-05 | [1],[8] | '2052-10 | [1],[8] |
Financial Derivatives - Assets [Member] | Short Interest Rate Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [1],[9] | 'Interest Rates | [1],[9] |
Notional value | -582,100,000 | [1],[9] | -18,900,000 | [1],[9] |
Range of expiration dates | ' | '2017-10 | [1],[9] | |
Derivative Assets | 12,805,000 | [1],[9] | 5,000 | [1],[9] |
Financial Derivatives - Assets [Member] | Short Interest Rate Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2016-01 | [1],[9] | ' | |
Financial Derivatives - Assets [Member] | Short Interest Rate Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2043-07 | [1],[9] | ' | |
Financial Derivatives - Assets [Member] | Short Total Return Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Equity Market | [1],[6] | ' | |
Notional value | -2,624,000 | [1],[6] | ' | |
Range of expiration dates | '2014-09 | [1],[5] | ' | |
Derivative Assets | 1,000 | [1],[6] | ' | |
Financial Derivatives - Assets [Member] | Swap [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Assets | 42,587,000 | [1] | 48,504,000 | [1] |
Investment owned as a percentage of net assets | 6.76% | [1],[3] | 9.58% | [1],[3] |
Financial derivatives - cost | 43,154,000 | [1] | 65,860,000 | [1] |
Financial Derivatives - Assets [Member] | Long US Treasury Note Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [1],[10] | ' | |
Notional value | 208,100,000 | [1],[10] | ' | |
Range of expiration dates | '2013-12 | [1],[10] | ' | |
Derivative Assets | 976,000 | [1],[10] | ' | |
Financial Derivatives - Assets [Member] | Short Eurodollar Future [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [1],[11] | ' | |
Notional value | -6,000,000 | [1],[11] | ' | |
Derivative Assets | 0 | [1],[11] | ' | |
Financial Derivatives - Assets [Member] | Short Eurodollar Future [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2013-12 | [1],[11] | ' | |
Financial Derivatives - Assets [Member] | Short Eurodollar Future [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2014-06 | [1],[11] | ' | |
Financial Derivatives - Assets [Member] | Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Assets | 976,000 | [1] | ' | |
Investment owned as a percentage of net assets | 0.16% | [1],[3] | ' | |
Financial Derivatives - Assets [Member] | TBA Put Options Purchased [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [1],[12] | ' | |
Notional value | 3,700,000 | [1],[12] | ' | |
Range of expiration dates | '2013-11 | [1],[12] | ' | |
Derivative Assets | 4,000 | [1],[12] | ' | |
Financial Derivatives - Assets [Member] | Put Option [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Assets | 4,000 | [1] | ' | |
Investment owned as a percentage of net assets | 0.00% | [1],[3] | ' | |
Financial derivatives - cost | 45,000 | [1] | ' | |
Financial Derivatives - Liabilities [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Fair Value | -33,457,000 | [1],[2] | -15,212,000 | [1],[2] |
Investment owned as a percentage of net assets | -5.31% | [1],[3] | -3.00% | [1],[3] |
Financial derivatives - proceeds | -28,271,000 | [1] | -13,171,000 | [1] |
Financial Derivatives - Liabilities [Member] | Long Interest Rate Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | ' | 'Interest Rates | [1],[4] | |
Notional value | ' | 2,500,000 | [1],[4] | |
Fair Value | ' | -32,000 | [1],[4] | |
Financial Derivatives - Liabilities [Member] | Long Interest Rate Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2022-11 | [1],[4] | |
Financial Derivatives - Liabilities [Member] | Long Interest Rate Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2022-12 | [1],[4] | |
Financial Derivatives - Liabilities [Member] | Long Credit Default Swap On Asset Backed Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [1],[5] | 'Credit | [1],[5] |
Notional value | 62,708,000 | [1],[5] | 30,050,000 | [1],[5] |
Fair Value | -19,310,000 | [1],[5] | -12,751,000 | [1],[5] |
Financial derivatives - proceeds | -20,679,000 | [1],[5] | -12,736,000 | [1],[5] |
Financial Derivatives - Liabilities [Member] | Long Credit Default Swap On Asset Backed Indices [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2049-12 | [1],[5] | '2049-12 | [1],[5] |
Financial Derivatives - Liabilities [Member] | Long Credit Default Swap On Asset Backed Indices [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2052-10 | [1],[5] | '2051-02 | [1],[5] |
Financial Derivatives - Liabilities [Member] | Long Total Return Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Equity Market | [1],[6] | ' | |
Notional value | 30,084,000 | [1],[6] | ' | |
Fair Value | -22,000 | [1],[6] | ' | |
Financial Derivatives - Liabilities [Member] | Long Total Return Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2014-03 | [1],[6] | ' | |
Financial Derivatives - Liabilities [Member] | Long Total Return Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2015-06 | [1],[6] | ' | |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swap On Asset Backed Securities [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [1],[7] | 'Credit | [1],[7] |
Notional value | -3,000,000 | [1],[7] | -3,000,000 | [1],[7] |
Range of expiration dates | '2035-03 | [1],[7] | '2035-03 | [1],[7] |
Fair Value | -319,000 | [1],[7] | -1,000 | [1],[7] |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swap On Asset Backed Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | ' | 'Credit | [1],[8] | |
Notional value | ' | -7,792,000 | [1],[8] | |
Fair Value | ' | -717,000 | [1],[8] | |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swap On Asset Backed Indices [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2036-06 | [1],[8] | |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swap On Asset Backed Indices [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2037-12 | [1],[8] | |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swaps On Corporate Bond Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [1],[13] | 'Credit | [1],[13] |
Notional value | -182,713,000 | [1],[13] | -67,500,000 | [1],[13] |
Range of expiration dates | ' | '2017-12 | [1],[13] | |
Fair Value | -9,679,000 | [1],[13] | -484,000 | [1],[13] |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swaps On Corporate Bond Indices [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2017-12 | [1],[13] | ' | |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swaps On Corporate Bond Indices [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2018-12 | [1],[13] | ' | |
Financial Derivatives - Liabilities [Member] | Short Interest Rate Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [1],[9] | 'Interest Rates | [1],[9] |
Notional value | -399,800,000 | [1],[9] | -220,000,000 | [1],[9] |
Fair Value | -4,122,000 | [1],[9] | -1,092,000 | [1],[9] |
Financial Derivatives - Liabilities [Member] | Short Interest Rate Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2015-03 | [1],[13] | '2014-08 | [1],[9] |
Financial Derivatives - Liabilities [Member] | Short Interest Rate Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2043-09 | [1],[13] | '2022-11 | [1],[9] |
Financial Derivatives - Liabilities [Member] | Short Total Return Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Equity Market | [1],[6] | 'Equity Market | [1],[6] |
Notional value | -6,793,000 | [1],[6] | -18,737,000 | [1],[6] |
Range of expiration dates | '2015-09 | [1],[6] | '2013-09 | [1],[6] |
Fair Value | 0 | [1],[6] | -65,000 | [1],[6] |
Financial Derivatives - Liabilities [Member] | Swap [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Fair Value | -33,452,000 | [1] | -15,142,000 | [1] |
Investment owned as a percentage of net assets | -5.31% | [1],[3] | -2.99% | [1],[3] |
Financial derivatives - proceeds | -28,222,000 | [1] | -13,171,000 | [1] |
Financial Derivatives - Liabilities [Member] | Short Eurodollar Future [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [1],[11] | 'Interest Rates | [1],[11] |
Notional value | -10,000,000 | [1],[11] | -63,000,000 | [1],[11] |
Range of expiration dates | '2015-09 | [1],[11] | ' | |
Fair Value | -1,000 | [1],[11] | -70,000 | [1],[11] |
Financial Derivatives - Liabilities [Member] | Short Eurodollar Future [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2013-03 | [1],[11] | |
Financial Derivatives - Liabilities [Member] | Short Eurodollar Future [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2013-09 | [1],[11] | |
Financial Derivatives - Liabilities [Member] | Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Fair Value | -1,000 | [1] | -70,000 | [1] |
Investment owned as a percentage of net assets | 0.00% | [1],[3] | -0.01% | [1],[3] |
Financial Derivatives - Liabilities [Member] | TBA Put Options Written [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [1],[12] | ' | |
Notional value | -3,700,000 | [1],[12] | ' | |
Range of expiration dates | '2013-11 | [1],[12] | ' | |
Fair Value | -4,000 | [1],[12] | ' | |
Financial Derivatives - Liabilities [Member] | Put Option [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Fair Value | -4,000 | [1] | ' | |
Investment owned as a percentage of net assets | 0.00% | [1],[3] | ' | |
Financial derivatives - proceeds | ($49,000) | [1] | ' | |
[1] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[2] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with the repurchase agreements, reverse repurchase agreements, and derivatives transactions are presented on a gross basis. | |||
[3] | Classification percentages are based on Total Equity. | |||
[4] | For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received. | |||
[5] | For long credit default swaps on asset-backed indices, the Company sold protection. | |||
[6] | Notional value represents number of underlying shares or par value times the closing price of the underlying security. | |||
[7] | For short credit default swaps on asset-backed securities, the Company purchased protection. | |||
[8] | For short credit default swaps on asset-backed indices, the Company purchased protection. | |||
[9] | For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received. | |||
[10] | Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of September 30, 2013 1,629 contracts were held. | |||
[11] | Every $1,000,000 in notional value represents one contract. | |||
[12] | Notional amount represents total face amount of TBA securities underlying each option contract. | |||
[13] | For short credit default swaps on corporate bond indices, the Company purchased protection. |
Consolidated_Statement_Of_Oper
Consolidated Statement Of Operations (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
INVESTMENT INCOME | ' | ' | ' | ' |
Interest income | $24,069 | $15,426 | $62,786 | $47,203 |
EXPENSES | ' | ' | ' | ' |
Base management fee | 2,378 | 1,913 | 6,751 | 4,901 |
Incentive fee | 2,038 | 9,491 | 5,275 | 11,802 |
Interest expense | 3,277 | 1,936 | 8,001 | 5,760 |
Other investment related expenses | 85 | 0 | 412 | 0 |
Compensation expense | 523 | 260 | 1,283 | 935 |
Custody and other fees | 355 | 262 | 1,010 | 870 |
Professional fees | 436 | 328 | 1,214 | 933 |
Agency and administration fees | 295 | 233 | 838 | 664 |
Insurance expense | 176 | 177 | 529 | 531 |
Directors' fees and expenses | 57 | 63 | 200 | 204 |
Share-based LTIP expense | 43 | 31 | 129 | 89 |
Total expenses | 9,663 | 14,694 | 25,642 | 26,689 |
NET INVESTMENT INCOME | 14,406 | 732 | 37,144 | 20,514 |
Net realized gain (loss) on: | ' | ' | ' | ' |
Investments | 10,731 | 8,130 | 35,326 | 13,543 |
Finanacial Derivatives | -6,442 | -3,187 | -12,774 | -31,669 |
Total net realized gain (loss) on investments and financial derivatives | 4,289 | 4,943 | 22,552 | -18,126 |
Change in net unrealized gain (loss) on: | ' | ' | ' | ' |
Investments | -4,867 | 26,526 | -10,000 | 54,957 |
Financial Derivatives | -2,005 | -2,664 | 14,578 | 15,015 |
Total net unrealized gain (loss) on investments and financial derivatives | -6,872 | 23,862 | 4,578 | 69,972 |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FINANCIAL DERIVATIVES | -2,583 | 28,805 | 27,130 | 51,846 |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 11,823 | 29,537 | 64,274 | 72,360 |
Net Income (Loss) Attributable to Noncontrolling Interest | 96 | 0 | 612 | 0 |
Net Income (Loss) Attributable to Parent | $11,727 | $29,537 | $63,662 | $72,360 |
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | ' | ' | ' | ' |
Basic and Diluted (in usd per share) | $0.45 | $1.59 | $2.73 | $4.15 |
Consolidated_Statement_Of_Chan
Consolidated Statement Of Changes In Equity (USD $) | Total | Parent [Member] | Noncontrolling Interest [Member] | ||
In Thousands, unless otherwise specified | |||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2011 | $370,916 | ' | ' | ||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2011 | ' | ' | 0 | ||
Stockholders' Equity Attributable to Parent at Dec. 31, 2011 | ' | 370,916 | ' | ||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ' | ' | ' | ||
Net investment income | 20,514 | ' | ' | ||
Net realized gain (loss) on investments and financial derivatives | -18,126 | ' | ' | ||
Change in net unrealized gain (loss) on investments and financial derivatives | 69,972 | ' | ' | ||
Net Income (Loss) Attributable to Parent | 72,360 | 72,360 | ' | ||
Net Income (Loss) Attributable to Noncontrolling Interest | 0 | ' | 0 | ||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 72,360 | ' | ' | ||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | ' | ' | ' | ||
Proceeds from the issuance of shares | 88,142 | 88,142 | ' | ||
Shares issued in connection with incentive fee payment | 231 | 231 | ' | ||
Noncontrolling Interest, Increase from Equity Issuance or Sale of Parent Equity Interest | 0 | ' | 0 | ||
Dividends | [1] | -32,766 | [2] | -32,766 | 0 |
Offering costs | -322 | -322 | ' | ||
Share-based LTIP awards | 89 | 89 | 0 | ||
Net increase (decrease) in equity from transactions | 55,374 | 55,374 | 0 | ||
Net increase in equity | 127,734 | 127,734 | 0 | ||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Sep. 30, 2012 | 498,650 | ' | ' | ||
Stockholders' Equity Attributable to Noncontrolling Interest at Sep. 30, 2012 | ' | ' | 0 | ||
Stockholders' Equity Attributable to Parent at Sep. 30, 2012 | ' | 498,650 | ' | ||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2012 | 506,355 | ' | ' | ||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2012 | 0 | ' | 0 | ||
Stockholders' Equity Attributable to Parent at Dec. 31, 2012 | 506,355 | 506,355 | ' | ||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ' | ' | ' | ||
Net investment income | 37,144 | ' | ' | ||
Net realized gain (loss) on investments and financial derivatives | 22,552 | ' | ' | ||
Change in net unrealized gain (loss) on investments and financial derivatives | 4,578 | ' | ' | ||
Net Income (Loss) Attributable to Parent | 63,662 | 63,662 | ' | ||
Net Income (Loss) Attributable to Noncontrolling Interest | 612 | ' | 612 | ||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 64,274 | ' | ' | ||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | ' | ' | ' | ||
Proceeds from the issuance of shares | 125,600 | 125,600 | ' | ||
Shares issued in connection with incentive fee payment | 1,058 | 1,058 | ' | ||
Noncontrolling Interest, Increase from Equity Issuance or Sale of Parent Equity Interest | 4,664 | ' | 4,664 | ||
Dividends | [1] | -72,016 | [2] | -71,368 | -648 |
Offering costs | -262 | -262 | ' | ||
Share-based LTIP awards | 129 | 128 | 1 | ||
Net increase (decrease) in equity from transactions | 59,173 | 55,156 | 4,017 | ||
Net increase in equity | 123,447 | 118,818 | 4,629 | ||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Sep. 30, 2013 | 629,802 | ' | ' | ||
Stockholders' Equity Attributable to Noncontrolling Interest at Sep. 30, 2013 | 4,629 | ' | 4,629 | ||
Stockholders' Equity Attributable to Parent at Sep. 30, 2013 | $625,173 | $625,173 | ' | ||
[1] | For the nine month periods ended September 30, 2013 and 2012, dividends totaling $3.06 and $1.80, respectively, per common share and convertible unit outstanding were declared and paid. | ||||
[2] | The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings. |
Consolidated_Statement_Of_Chan1
Consolidated Statement Of Changes In Equity (Parenthetical) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Statement of Stockholders' Equity [Abstract] | ' | ' | ' | ' |
Dividends (in usd per share) | $0.77 | $0.70 | $3.06 | $1.80 |
Consolidated_Statement_Of_Cash
Consolidated Statement Of Cash Flows (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 |
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS: | ' | ' |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $64,274 | $72,360 |
Reconciliation of the net increase in equity resulting from operations to net cash provided by (used in) operating activities: | ' | ' |
Change in net unrealized gain (loss) on investments and financial derivatives | -4,578 | -69,972 |
Net realized (gain) loss on investments and financial derivatives | -22,552 | 18,126 |
Amortization of premiums and accretion of discounts (net) | -15,485 | -8,904 |
Purchase of investments | -1,763,022 | -1,763,718 |
Proceeds from disposition of investments | 1,166,380 | 1,802,659 |
Proceeds from principal payments of investments | 145,570 | 103,733 |
Proceeds from investments sold short | 905,142 | 576,851 |
Repurchase of investments sold short | -652,073 | -600,777 |
Payments made to open financial derivatives | -11,720 | -78,043 |
Proceeds received to close financial derivatives | 35,406 | 111,235 |
Proceeds received to open financial derivatives | 27,986 | 40,248 |
Payments made to close financial derivatives | -26,686 | -53,439 |
Shares issued in connection with incentive fee payment | 1,058 | 231 |
Share-based LTIP expense | 129 | 89 |
(Increase) decrease in assets: | ' | ' |
(Increase) decrease in repurchase agreements | -27,344 | 1,970 |
(Increase) decrease in receivable for securities sold | -299,719 | 9,175 |
(Increase) decrease in due from brokers | -42,415 | 8,969 |
Increase in interest and principal receivable | -972 | -460 |
Increase in other assets | -713 | -229 |
Increase (decrease) in liabilities: | ' | ' |
Decrease in due to brokers | -17,214 | -45,171 |
Increase in payable for securities purchased | 173,317 | 50,936 |
Increase (decrease) in accounts payable and accrued expenses | 262 | -313 |
Increase (decrease) in incentive fee payable | -5,305 | 9,491 |
Increase (decrease) in other payables | -396 | 0 |
Increase (decrease) in interest and dividends payable | 768 | -261 |
Increase in base management fee payable | 444 | 517 |
Net cash provided by (used in) operating activities | -369,458 | 185,303 |
Cash flows provided by (used in) financing activities: | ' | ' |
Proceeds from the issuance of shares | 125,600 | 88,142 |
Proceeds from Noncontrolling Interests | 4,664 | 0 |
Offering costs paid | -350 | -280 |
Dividends paid | -72,016 | -32,766 |
Proceeds from issuance of securitized debt | 0 | 1,522 |
Principal payments on securitized debt | -292 | -158 |
Reverse repurchase agreements, net of repayments | 439,505 | -235,277 |
Net cash provided by (used in) financing activities | 497,111 | -178,817 |
NET INCREASE IN CASH AND CASH EQUIVALENTS | 127,653 | 6,486 |
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 59,084 | 62,737 |
CASH AND CASH EQUIVALENTS, END OF PERIOD | 186,737 | 69,223 |
Supplemental disclosure of cash flow information: | ' | ' |
Interest paid | 7,217 | 6,009 |
Shares issued in connection with incentive fee payment (non-cash) | 1,058 | 231 |
Share-based LTIP awards (non-cash) | 129 | 89 |
Aggregate TBA trade activity (buys sells) (non-cash) | $16,476,137 | $11,882,119 |
Organization_and_Investment_Ob
Organization and Investment Objective | 9 Months Ended |
Sep. 30, 2013 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Organization and Investment Objective | ' |
Organization and Investment Objective | |
Ellington Financial LLC was formed as a Delaware limited liability company on July 9, 2007 and commenced operations on August 17, 2007. Ellington Financial Operating Partnership LLC (the "Operating Partnership"), a 99.2% owned consolidated subsidiary of Ellington Financial LLC, was formed as a Delaware limited liability company on December 14, 2012 and commenced operations on January 1, 2013. All of the Company's operations and business activities are conducted through the Operating Partnership. EF Securities LLC, a wholly owned consolidated subsidiary of the Operating Partnership, was formed as a Delaware limited liability company on October 12, 2007 and commenced operations on November 30, 2007. EF Mortgage LLC, a wholly owned consolidated subsidiary of the Operating Partnership, was formed as a Delaware limited liability company on June 3, 2008 and commenced operations on July 8, 2008. EF CMO LLC, a wholly owned consolidated subsidiary of EF Mortgage LLC, was formed as a Delaware limited liability company on June 3, 2008 and commenced operations on July 8, 2008. EF Special Transactions LLC, a wholly owned consolidated subsidiary of EF CMO LLC, was formed as a Delaware limited liability company on December 14, 2011 and commenced operations on January 31, 2012. EF SBC 2013-1 LLC, a consolidated subsidiary of EF Mortgage LLC, was formed as a Delaware limited liability company on January 3, 2013 and commenced operations on January 8, 2013. EF Holdco Inc., a wholly owned consolidated subsidiary of the Operating Partnership, was formed as a Delaware corporation on August 1, 2013 and commenced operations on August 16, 2013. Ellington Financial LLC, the Operating Partnership, EF Securities LLC, EF Mortgage LLC, EF CMO LLC, EF Special Transactions LLC, EF SBC 2013-1 LLC, and EF Holdco Inc. are hereafter collectively referred to as the "Company." All inter-company accounts are eliminated in consolidation. | |
The Company is a specialty finance company that acquires and manages mortgage-related assets, including residential mortgage-backed securities, or "RMBS," backed by prime jumbo, Alt-A, manufactured housing and subprime residential mortgage loans, RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored enterprise, mortgage-related derivatives, commercial mortgage-backed securities, or "CMBS," commercial mortgage loans and other commercial real estate debt, as well as corporate debt and equity securities, and derivatives. The Company may also opportunistically acquire and manage other types of mortgage-related and financial asset classes, such as residential whole mortgage loans, asset-backed securities, or "ABS," backed by consumer and commercial assets and non-mortgage-related derivatives. | |
Ellington Financial Management LLC ("EFM" or the "Manager") is a registered investment adviser and a registered commodity pool operator that serves as the Manager to the Company pursuant to the terms of a management agreement (the "Management Agreement"). EFM is an affiliate of Ellington Management Group, L.L.C., an investment management firm that is registered as both an investment adviser and a commodity pool operator. In accordance with the terms of the Management Agreement, the Manager implements the investment strategy and manages the business and operations on a day-to-day basis for the Company and performs certain services for the Company, subject to oversight by the Board of Directors. |
Significant_Accounting_Policie
Significant Accounting Policies | 9 Months Ended | |
Sep. 30, 2013 | ||
Accounting Policies [Abstract] | ' | |
Significant Accounting Policies | ' | |
Significant Accounting Policies | ||
(A) Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles, "GAAP," in the United States of America for investment companies, ASC 946, Financial Services—Investment Companies ("ASC 946"), for interim financial information. ASC 946 requires, among other things, that investments be reported at fair value in the financial statements. The consolidated financial statements include the accounts of the Company, the Operating Partnership and its subsidiaries. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2012. | ||
(B) Valuation: The Company applies ASC 820-10, Fair Value Measurement and Disclosures ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: | ||
• | Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets, | |
• | Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly, and | |
• | Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. | |
A financial instrument's categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities. | ||
(C) Securities Transactions and Investment Income: Securities transactions are generally recorded on trade date. Realized and unrealized gains and losses are calculated based on identified cost. Interest income, which includes accretion of discounts and amortization of premiums on mortgage-backed securities, or "MBS," ABS, commercial mortgage loans, U.S. Treasury securities, and securitized debt, is recognized over the life of the investment using the effective interest method. For purposes of determining the effective interest rate, management estimates the future expected cash flows of its investment holdings based on assumptions including, but not limited to, assumptions for future prepayment rates, default rates and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly and require the use of a significant amount of judgment. Principal write-offs are generally treated as realized losses. For non-performing commercial mortgage loans, purchase discounts are generally not amortized. | ||
(D) Cash and Cash Equivalents: Cash and cash equivalents include amounts held in an interest bearing overnight account and money market funds. As of September 30, 2013, 27% and 73% of cash and cash equivalents were held in the JP Morgan Prime Money Market Premier Fund and an interest bearing account at the Bank of New York Mellon Corporation, respectively. As of December 31, 2012, all cash was held in an interest bearing account at the Bank of New York Mellon Corporation. | ||
(E) Financial Derivatives: The Company enters into various types of financial derivatives. The Company's derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and the futures commission merchant, or "FCM," acts as intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Collateral received by the Company is reflected on the Consolidated Statement of Assets, Liabilities and Equity as "Due to Brokers." Conversely, collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Statement of Assets, Liabilities and Equity. The two major types of derivatives utilized by the Company are swaps and futures. | ||
Swaps: The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps is credit risk and the primary risk associated with the Company's total return swap activity is equity market risk. | ||
The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. To help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating rate of interest on a notional principal amount and receives a fixed rate on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. | ||
The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a credit obligation (usually a bond, loan or a basket of bonds or loans). The definition of a credit event often varies from contract to contract. A credit event may occur (i) when the underlying reference asset(s) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the underlying reference obligation is downgraded below a certain rating level or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the underlying reference obligor. The Company typically writes (sells) protection to take a "long" position or purchases (buys) protection to take a "short" position with respect to underlying reference assets or to hedge exposure to other investment holdings. | ||
The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. | ||
Swaps change in value with movements in interest rates or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Statement of Assets, Liabilities, and Equity and are recorded as a realized gain or loss on the termination date. | ||
Futures Contracts: A futures contract is an exchange traded agreement between two parties to buy and sell a financial instrument for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury Note futures contracts to hedge its interest rate risk. Initial margin deposits are made upon entering into futures contracts and can be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking to market on a daily basis to reflect the market value of the contract at the end of each day's trading. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. | ||
Options: The Company may purchase or write put or call options or enter into swaptions. Generally, the Company enters into options primarily to help mitigate overall market risk or interest rate risk depending on the type of option. When the Company purchases an option, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options that expire unexercised are recognized on the expiration date as realized losses. If an option is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an option, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options that expire unexercised are recognized on the expiration date as realized gains. If an option is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction.When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. | ||
Financial derivatives disclosed on the Consolidated Condensed Schedule of Investments include: credit default swaps on asset-backed securities, credit default swaps on asset-backed indices, credit default swaps on corporate bond indices, interest rate swaps, total return swaps, futures and options contracts. | ||
Swap assets are included in Financial derivatives—assets at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. Swap liabilities are included in Financial derivatives—liabilities at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. In addition, swap contracts are summarized by type on the Consolidated Condensed Schedule of Investments. Unrealized appreciation on futures and options contracts is included in Financial derivatives—assets at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. Unrealized depreciation on futures and options contracts is included in Financial derivatives—liabilities at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. For futures, total return swaps, interest rate swaps, and credit default swaps, notional values reflected on the Consolidated Condensed Schedule of Investments represent approximately 227%, 217%, 181%, and 137%, respectively, of average monthly notional values of each such category outstanding during the nine month period ended September 30, 2013. For interest rate swaps, total return swaps, credit default swaps, and futures, notional values reflected on the Consolidated Condensed Schedule of Investments represent approximately 92%, 87%, 78%, and 57%, respectively, of average monthly notional values of each such category outstanding during the year ended December 31, 2012. The Company uses average monthly notional values outstanding as an indicator of the volume of activity with respect to these instruments. | ||
(F) Investments Sold Short: When the Company sells securities short, it typically satisfies its security delivery settlement obligation by obtaining the security sold from the same or a different counterparty. The Company generally is required to deliver cash or securities as collateral to the counterparty for the Company's obligation to return the borrowed security. The amount by which the market value of the obligation falls short of or exceeds the proceeds from the short sale is treated as an unrealized gain or loss, respectively. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the proceeds originally received. | ||
(G) Reverse Repurchase Agreements and Repurchase Agreements: The Company enters into reverse repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. Interest on the value of repurchase and reverse repurchase agreements issued and outstanding is based upon competitive market rates at the time of issuance. The Company accounts for reverse repurchase agreements as collateralized borrowings. When the Company enters into a reverse repurchase agreement, the lender establishes and maintains an account containing cash and securities having a value not less than the repurchase price, including accrued interest, of the reverse repurchase agreement. The Company enters into repurchase agreement transactions with third-party broker-dealers whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to repurchase agreements are delivered to counterparties of short sale transactions. Assets held pursuant to repurchase agreements are reflected as assets on the Consolidated Statement of Assets, Liabilities, and Equity. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. There are no repurchase and reverse repurchase agreements netted in the Company's consolidated financial statements. | ||
Reverse repurchase agreements are carried at their contractual amounts, which the Company believes is the best estimate of fair value. At September 30, 2013, the Company's open reverse repurchase agreements had remaining terms that averaged 65 days and ranged from 3 to 180 days, and had interest rates that averaged 0.92% and ranged from 0.34% to 2.28%. At September 30, 2013, approximately 20% of open reverse repurchase agreements were with one counterparty. At December 31, 2012, the Company's open reverse repurchase agreements had remaining terms that averaged 57 days and ranged from 10 to 180 days, and had interest rates that averaged 0.77% and ranged from 0.37% to 2.31%. At December 31, 2012, approximately 67% of open reverse repurchase agreements were with two counterparties. | ||
(H) Securitized Debt: The Company entered into a resecuritization transaction in January 2012, which is accounted for as a collateralized borrowing. The asset contributed to the securitization was not derecognized but rather, the liability issued by the securitization was recorded to reflect the term financing of the re-securitized asset. Under ASC 820-10, the Company has elected to carry securitized debt at fair value. The asset subject to the resecuritization had a fair value of $2.3 million as of September 30, 2013 which is included on the Consolidated Condensed Schedule of Investments under Principal and Interest – Private Label Securities. | ||
(I) When-Issued/Delayed Delivery Securities: The Company may purchase or sell securities on a when-issued or delayed delivery basis. Securities purchased or sold on a when-issued basis are traded for delivery beyond the normal settlement date at a stated price or yield, and no income accrues to the purchaser prior to settlement. Purchasing or selling securities on a when-issued or delayed delivery basis involves the risk that the market price or yield at the time of settlement may be lower or higher than the agreed-upon price or yield, in which case a realized loss may be incurred. | ||
The Company transacts in the forward settling To Be Announced MBS ("TBA") market. The Company typically does not take delivery of TBAs, but rather settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. The market value of the securities that the Company is required to purchase pursuant to a TBA transaction may decline below the agreed-upon purchase price. Conversely, the market value of the securities that the Company is required to sell pursuant to a TBA transaction may increase above the agreed upon sale price. As part of its TBA activities, the Company may "roll" its TBA positions, whereby the Company may sell (buy) securities for delivery (receipt) in an earlier month and simultaneously contract to repurchase (sell) similar, but not identical, securities at an agreed-upon price on a fixed date in a later month (with the later-month price typically lower than the earlier-month price). The Company accounts for its TBA transactions (including those related to TBA rolls) as purchases and sales. As of September 30, 2013, total assets included $123.1 million of TBAs as well as $808.8 million of receivable for securities sold relating to unsettled TBA sales. As of December 31, 2012, total assets included $43.6 million of TBAs as well as $608.5 million of receivable for securities sold relating to unsettled TBA sales. | ||
As of September 30, 2013, total liabilities included $819.3 million of TBAs sold short as well as $120.9 million of payable for securities purchased relating to unsettled TBA purchases. As of December 31, 2012, total liabilities included $608.7 million of TBAs sold short as well as $43.8 million of payable for securities purchased relating to unsettled TBA purchases. As of September 30, 2013, the Company held on an aggregate basis a short position in TBAs of $696.2 million while at December 31, 2012, the Company held in aggregate a short position in TBAs of $565.1 million. | ||
(J) Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are charged against shareholders' equity. | ||
(K) LTIP Units: Long term incentive plan units ("LTIP units") have been issued to the Company's dedicated and partially dedicated personnel and independent directors as well as the Manager. Costs associated with LTIP units issued to dedicated and partially dedicated personnel and independent directors are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation. Costs associated with LTIP units issued to the Manager are amortized over the vesting period in accordance with ASC 505-50, Equity-Based Payments to Non-Employees. The vesting period for units issued to dedicated and partially dedicated personnel and independent directors under the Ellington Incentive Plan for Individuals (the "Individual LTIP") is typically one year. The vesting period for units issued to the Manager under the Ellington Incentive Plan for Entities (the "Manager LTIP") occurred over a three year period that ended in August 2010. The cost of the Manager LTIP units fluctuated with the price per share until the vesting date, whereas the cost of the Individual LTIP units is based on the price per share at the initial grant date. | ||
(L) Non-controlling interest: Non-controlling interest represents the interest in the Operating Partnership owned by an affiliate of the Manager and certain related parties. | ||
(M) Dividends: Dividends payable by the Company are recorded in the consolidated financial statements on the ex-dividend date. Dividends are typically declared and paid on a quarterly basis in arrears. | ||
(O) Shares Repurchased: Common shares that are repurchased by the Company subsequent to issuance decrease total number of shares outstanding and issued. | ||
(P) Earnings Per Share ("EPS"): Basic EPS is computed using the two class method by dividing net increase (decrease) in shareholders' equity resulting from operations after adjusting for the impact of long term incentive plan units deemed to be participating securities, by the weighted average number of common shares outstanding calculated including long term incentive plan units. Because the Company's long term incentive plan units are deemed to be participating securities, they are included in the calculation of basic and diluted EPS. Operating Partnership Units relating to the non-controlling interest ("OP Units") are convertible into common shares and are included in the calculation of diluted EPS. | ||
(Q) Income Taxes: The Company intends to be treated as a partnership for U.S. federal income tax purposes. Certain of the Company's subsidiaries are not consolidated for U.S. federal income tax purposes, but are also treated as partnerships. In general, partnerships are not subject to entity-level tax on their income, but the income of a partnership is taxable to its owners on a flow-through basis. As of September 30, 2013, one of the Company's subsidiaries has elected to be treated as a corporation for U.S. federal income tax purposes. To date, this subsidiary has recognized a small net loss. | ||
The Company follows the provisions of ASC 740-10, Income Taxes ("ASC 740-10"), which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals, based on the technical merits of the position. The Company did not have any additions to its unrecognized tax benefits resulting from tax positions related either to the current period or to 2012, 2011, 2010, or 2009 (its open tax years), and no reductions resulting from tax positions of prior years or due to settlements, and thus had no unrecognized tax benefits since inception. The Company does not expect any change in unrecognized tax benefits within the next fiscal year. There were no amounts accrued for tax penalties or interest as of or during the periods presented in these consolidated financial statements. | ||
The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding ASC 740-10 may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance from the Financial Accounting Standards Board ("FASB"), and ongoing analyses of tax laws, regulations and interpretations thereof. | ||
To date there have been no material differences between the tax and U.S. GAAP bases of the Company's investments. | ||
(R) Subsequent Events: The Company applies the provisions of ASC 855-10, Subsequent Events, in the preparation of its consolidated financial statements. This standard establishes general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued. | ||
(S) Recent Accounting Pronouncements: In December 2011, the FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities ("ASU 2011-11"). This amends ASC 210-20, Balance Sheet Offsetting, to require new disclosures about balance sheet offsetting for derivative and financial instruments which are offset on the Statement of Assets, Liabilities and Equity. The update requires disclosure of gross asset and liability amounts for financial instruments shown net on the Statement of Assets, Liabilities and Equity. ASU 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013 and is to be applied retrospectively. | ||
In January 2013, the FASB issued ASU No. 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities ("ASU 2013- 01"). The amendment clarifies that the scope of ASU 2011-11 applies to derivatives accounted for in accordance with ASU No. 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements, reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with Section 210-20-45 or Section 815-10-45 or subject to an enforceable master netting arrangement or similar agreement. The adoption of ASU 2011-11, as amended by ASU 2013-01, did not have a material impact on the Company's consolidated financial statements. | ||
In June 2013, the FASB issued ASU 2013-08, Financial Services-Investment Companies ("ASC 946"). This update modifies the guidance for ASC 946 for determining whether an entity is an investment company for U.S. GAAP purposes. It requires entities that adopted Statement of Position 07-1 prior to its deferral to reassess whether they continue to meet the definition of an investment company for U.S. GAAP purposes. The guidance is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013, with retrospective application. Earlier application is prohibited. Management believes that the Company still meets the definition of an investment company under ASC 946 and does not anticipate the presentation of its financial statements will change as a result of this ASU. |
Valuation
Valuation | 9 Months Ended | |||||||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||||||||||||||||||
Valuation | ' | |||||||||||||||||||||||||||||||
Valuation | ||||||||||||||||||||||||||||||||
The following is a description of the valuation methodologies used for the Company's financial instruments. | ||||||||||||||||||||||||||||||||
Level 1 valuation methodologies include the observation of quoted prices (unadjusted) for identical assets or liabilities in active markets, often received from widely recognized data providers. | ||||||||||||||||||||||||||||||||
Level 2 valuation methodologies include the observation of (i) quoted prices for similar assets or liabilities in active markets, (ii) inputs other than quoted prices that are observable for the asset or liability (for example, interest rates and yield curves) in active markets and (iii) quoted prices for identical or similar assets or liabilities in markets that are not active. | ||||||||||||||||||||||||||||||||
Level 3 valuation methodologies include (i) the solicitation of valuations from third parties (typically, broker-dealers), (ii)the use of proprietary models that require the use of a significant amount of judgment and the application of various assumptions including, but not limited to, prepayment assumptions and default rate assumptions, and (iii) the assessment of observable or reported recent trading activity. The Company utilizes such information to assign a good faith fair value (the estimated price that would be received to sell an asset or paid to transfer a liability in an orderly transaction at the valuation date) to each such financial instrument. | ||||||||||||||||||||||||||||||||
The Company seeks to obtain at least one third-party indicative valuation for each instrument, and often obtains multiple indicative valuations when available. Third-party valuation providers often utilize proprietary models that are highly subjective and also require the use of a significant amount of judgment and the application of various assumptions including, but not limited to, prepayment assumptions and default rate assumptions. The Company has been able to obtain third-party valuations on the vast majority of the Company's assets and expects to continue to solicit third-party valuations on substantially all assets in the future to the extent practical. Beginning January 1, 2013, the Company generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding on the Company and while the Company generally does not adjust valuations it receives, the Company may challenge or reject a valuation when, based on validation criteria, the Company determines that such valuation is unreasonable or erroneous. Furthermore, the Company may determine, based on validation criteria, that for a given instrument the average of the third-party valuations received does not result in what the Company believes to be fair value, and in such circumstances the Company may override this average with its own good faith valuation. The validation criteria include the use of the Company's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. Prior to 2013, the valuation process relied more heavily on the use of the Company's models and observation of reported recent trading activity, which was substantiated by third-party valuations. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's valuation committee. Because of the inherent uncertainty of valuation, these estimated values may differ significantly from the values that would have been used had a ready market for the financial instruments existed and the differences could be material to the consolidated financial statements. | ||||||||||||||||||||||||||||||||
The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at September 30, 2013: | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 186,737 | $ | — | $ | — | $ | 186,737 | ||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 1,069,274 | $ | 37,033 | $ | 1,106,307 | ||||||||||||||||||||||||
Private label residential mortgage-backed securities | — | — | 651,982 | 651,982 | ||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | — | — | 33,271 | 33,271 | ||||||||||||||||||||||||||||
Commercial mortgage loans | — | — | 14,936 | 14,936 | ||||||||||||||||||||||||||||
Other asset-backed securities | — | — | 45,255 | 45,255 | ||||||||||||||||||||||||||||
Total investments at fair value | — | 1,069,274 | 782,477 | 1,851,751 | ||||||||||||||||||||||||||||
Financial derivatives-assets at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 17,615 | 17,615 | ||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | 9,184 | — | 9,184 | ||||||||||||||||||||||||||||
Interest rate swaps | — | 15,773 | — | 15,773 | ||||||||||||||||||||||||||||
Total return swaps | — | 15 | — | 15 | ||||||||||||||||||||||||||||
Options | — | 4 | — | 4 | ||||||||||||||||||||||||||||
Futures | 976 | — | — | 976 | ||||||||||||||||||||||||||||
Total financial derivatives-assets at fair value | 976 | 24,976 | 17,615 | 43,567 | ||||||||||||||||||||||||||||
Repurchase agreements | — | 40,994 | — | 40,994 | ||||||||||||||||||||||||||||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | $ | 976 | $ | 1,135,244 | $ | 800,092 | $ | 1,936,312 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Investments sold short at fair value- | ||||||||||||||||||||||||||||||||
U.S. Treasury and Agency residential mortgage-backed securities | $ | — | $ | (860,128 | ) | $ | — | $ | (860,128 | ) | ||||||||||||||||||||||
Financial derivatives-liabilities at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on corporate indices | — | (9,679 | ) | — | (9,679 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | (19,310 | ) | — | (19,310 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | (319 | ) | (319 | ) | ||||||||||||||||||||||||||
Interest rate swaps | — | (4,122 | ) | — | (4,122 | ) | ||||||||||||||||||||||||||
Total return swaps | — | (22 | ) | — | (22 | ) | ||||||||||||||||||||||||||
Options | — | (4 | ) | — | (4 | ) | ||||||||||||||||||||||||||
Futures | (1 | ) | — | — | (1 | ) | ||||||||||||||||||||||||||
Total financial derivatives-liabilities at fair value | (1 | ) | (33,137 | ) | (319 | ) | (33,457 | ) | ||||||||||||||||||||||||
Securitized debt | — | — | (1,038 | ) | (1,038 | ) | ||||||||||||||||||||||||||
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt | $ | (1 | ) | $ | (893,265 | ) | $ | (1,357 | ) | $ | (894,623 | ) | ||||||||||||||||||||
Investments under the Agency residential mortgage-backed securities Level 3 category are investments in Agency interest only RMBS securities. There were no transfers of financial instruments between Level 1, Level 2, or Level 3 during the three or nine month periods ended September 30, 2013. | ||||||||||||||||||||||||||||||||
The Company's reverse repurchase agreements are carried at cost, which approximates fair value. These liabilities are classified as Level 2 liabilities based on the adequacy of the collateral and their short term nature. | ||||||||||||||||||||||||||||||||
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2013: | ||||||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||
Description | Min | Max | Average | |||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities and Other asset-backed securities(1) | $ | 618,124 | Market Quotes | Non Binding Indicative Price | $ | 1.8 | $ | 145.25 | $ | 79.48 | ||||||||||||||||||||||
Private label residential mortgage-backed securities | 78,075 | Discounted Cash Flows | Yield | 5.8 | % | 21.7 | % | 7.8 | % | |||||||||||||||||||||||
Projected Collateral Prepayments | 6.2 | % | 64.6 | % | 34.4 | % | ||||||||||||||||||||||||||
Projected Collateral Losses | 1.8 | % | 44.6 | % | 18.8 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 0.2 | % | 19.6 | % | 10.8 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 13.5 | % | 88.5 | % | 36 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 17,296 | Net Discounted Cash Flows | Projected Collateral Prepayments | 19.2 | % | 57 | % | 28.5 | % | |||||||||||||||||||||||
Projected Collateral Losses | 17.1 | % | 49.4 | % | 36.8 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 8 | % | 15.4 | % | 13.1 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 16 | % | 40.5 | % | 21.6 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities and Performing commercial mortgage loans | 38,221 | Market Quotes | Non Binding Indicative Price | $ | 15.13 | $ | 100.33 | $ | 73.84 | |||||||||||||||||||||||
Non-performing commercial mortgage loans | 9,986 | Discounted Cash Flows | Yield | 15 | % | 15 | % | 15 | % | |||||||||||||||||||||||
Months to Resolution | 8 | 10 | 9 | |||||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 32,385 | Market Quotes | Non Binding Indicative Price | $ | 6.42 | $ | 29.63 | $ | 14.59 | |||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 4,648 | Option Adjusted Spread ("OAS") | LIBOR OAS(2) | 408 | 649 | 619 | ||||||||||||||||||||||||||
Projected Collateral Prepayments | 76.8 | % | 100 | % | 92.4 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 23.2 | % | 7.6 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
-1 | Includes securitized debt with a fair value of $1.0 million as of September 30, 2013. | |||||||||||||||||||||||||||||||
-2 | Shown in basis points. | |||||||||||||||||||||||||||||||
Third-party non-binding indicative prices are validated by comparing such prices to internally generated prices based on the Company's models and to recent trading activity in the same or similar instruments. | ||||||||||||||||||||||||||||||||
For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial loans. | ||||||||||||||||||||||||||||||||
Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. | ||||||||||||||||||||||||||||||||
The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2012: | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 59,084 | $ | — | $ | — | $ | 59,084 | ||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 811,233 | $ | 6,644 | $ | 817,877 | ||||||||||||||||||||||||
Private label residential mortgage-backed securities | — | — | 528,366 | 528,366 | ||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | — | — | 19,327 | 19,327 | ||||||||||||||||||||||||||||
Commercial mortgage loans | — | — | 9,546 | 9,546 | ||||||||||||||||||||||||||||
Total investments at fair value | — | 811,233 | 563,883 | 1,375,116 | ||||||||||||||||||||||||||||
Financial derivatives-assets at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 36,031 | 36,031 | ||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | 12,468 | — | 12,468 | ||||||||||||||||||||||||||||
Interest rate swaps | — | 5 | — | 5 | ||||||||||||||||||||||||||||
Total financial derivatives-assets at fair value | — | 12,473 | 36,031 | 48,504 | ||||||||||||||||||||||||||||
Repurchase agreements | — | 13,650 | — | 13,650 | ||||||||||||||||||||||||||||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | $ | — | $ | 837,356 | $ | 599,914 | $ | 1,437,270 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Investments sold short at fair value- | ||||||||||||||||||||||||||||||||
U.S. Treasury and Agency residential mortgage-backed securities | $ | — | $ | (622,301 | ) | $ | — | $ | (622,301 | ) | ||||||||||||||||||||||
Financial derivatives-liabilities at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on corporate indices | — | (484 | ) | — | (484 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | (13,468 | ) | — | (13,468 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | (1 | ) | (1 | ) | ||||||||||||||||||||||||||
Interest rate swaps | — | (1,124 | ) | — | (1,124 | ) | ||||||||||||||||||||||||||
Total return swaps | — | (65 | ) | — | (65 | ) | ||||||||||||||||||||||||||
Futures | (70 | ) | — | — | (70 | ) | ||||||||||||||||||||||||||
Total financial derivatives-liabilities at fair value | (70 | ) | (15,141 | ) | (1 | ) | (15,212 | ) | ||||||||||||||||||||||||
Securitized debt | — | — | (1,335 | ) | (1,335 | ) | ||||||||||||||||||||||||||
Total investments sold short and financial derivatives-liabilities at fair value | $ | (70 | ) | $ | (637,442 | ) | $ | (1,336 | ) | $ | (638,848 | ) | ||||||||||||||||||||
Investments under the Agency residential mortgage-backed securities Level 3 category are investments in Agency interest only RMBS securities. There were no transfers of financial instruments between Level 1, Level 2, or Level 3 during the year ended December 31, 2012. | ||||||||||||||||||||||||||||||||
The Company's reverse repurchase agreements are carried at cost, which approximates fair value. These liabilities are classified as Level 2 liabilities based on the adequacy of the collateral and their short term nature. | ||||||||||||||||||||||||||||||||
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2012: | ||||||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||
Description | Min | Max | Average | |||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities(1) | $ | 527,031 | Discounted Cash Flows | Yield | 2.6 | % | 29.1 | % | 7.8 | % | ||||||||||||||||||||||
Projected Collateral Prepayments | 0.7 | % | 64.6 | % | 22.7 | % | ||||||||||||||||||||||||||
Projected Collateral Losses | 3.7 | % | 79.7 | % | 28 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 0 | % | 41 | % | 21.4 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 4.1 | % | 90.4 | % | 27.9 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 36,030 | Net Discounted Cash Flows | Projected Collateral Prepayments | 8.7 | % | 44.1 | % | 18.7 | % | |||||||||||||||||||||||
Projected Collateral Losses | 20.4 | % | 57.1 | % | 37.8 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 12.2 | % | 32.8 | % | 19.3 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 9.8 | % | 35.5 | % | 24.2 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities and Commercial mortgage loans | 28,873 | Discounted Cash Flows | Yield | 5.2 | % | 17.9 | % | 9.5 | % | |||||||||||||||||||||||
Projected Collateral Losses | 0 | % | 25.1 | % | 3.9 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 0 | % | 88.9 | % | 20.5 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 100 | % | 75.6 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 6,644 | Option Adjusted Spread ("OAS") | LIBOR OAS (2) | 816 | 7,558 | 1,189 | ||||||||||||||||||||||||||
Projected Collateral Prepayments | 81 | % | 100 | % | 92.7 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization (3) | 0 | % | 19 | % | 7.3 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
-1 | Includes securitized debt with a fair value of $1.3 million as of December 31, 2012. | |||||||||||||||||||||||||||||||
-2 | Shown in basis points. | |||||||||||||||||||||||||||||||
-3 | For simplicity of presentation, net negative amortization is disregarded. | |||||||||||||||||||||||||||||||
For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. | ||||||||||||||||||||||||||||||||
Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. | ||||||||||||||||||||||||||||||||
The tables below include a roll-forward of the Company's financial instruments for the three and nine month periods ended September 30, 2013 and 2012 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. | ||||||||||||||||||||||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||
Three Month Period Ended September 30, 2013 | ||||||||||||||||||||||||||||||||
(In thousands) | Beginning | Accreted | Net Realized | Change in Net | Purchases/ | Sales/ | Transfers In | Ending | ||||||||||||||||||||||||
Balance as of | Discounts / | Gain/ | Unrealized | Payments | Issuances | and/or Out | Balance as of | |||||||||||||||||||||||||
30-Jun-13 | (Amortized | (Loss) | Gain/(Loss) | of Level 3 | 30-Sep-13 | |||||||||||||||||||||||||||
Premiums) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 27,397 | $ | (1,844 | ) | $ | — | $ | 875 | $ | 10,605 | $ | — | $ | — | $ | 37,033 | |||||||||||||||
Private label residential mortgage-backed securities | 694,510 | 7,289 | 11,187 | (5,865 | ) | 106,194 | (161,333 | ) | — | 651,982 | ||||||||||||||||||||||
Private label commercial mortgage-backed securities | 23,906 | 161 | 647 | 139 | 21,760 | (13,342 | ) | — | 33,271 | |||||||||||||||||||||||
Commercial mortgage loans | 7,563 | 31 | — | 411 | 6,931 | — | — | 14,936 | ||||||||||||||||||||||||
Other asset-backed securities | 39,840 | (658 | ) | 38 | 60 | 8,334 | (2,359 | ) | — | 45,255 | ||||||||||||||||||||||
Total investments at fair value | 793,216 | 4,979 | 11,872 | (4,380 | ) | 153,824 | (177,034 | ) | — | 782,477 | ||||||||||||||||||||||
Financial derivatives- assets at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 21,134 | — | (3,113 | ) | 2,995 | 58 | (3,459 | ) | — | 17,615 | ||||||||||||||||||||||
Total financial derivatives- assets at fair value | 21,134 | — | (3,113 | ) | 2,995 | 58 | (3,459 | ) | — | 17,615 | ||||||||||||||||||||||
Total investments and financial derivatives-assets at fair value | $ | 814,350 | $ | 4,979 | $ | 8,759 | $ | (1,385 | ) | $ | 153,882 | $ | (180,493 | ) | $ | — | $ | 800,092 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Financial derivatives- liabilities at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (541 | ) | $ | — | $ | (2 | ) | $ | 222 | $ | — | $ | 2 | $ | — | $ | (319 | ) | |||||||||||||
Total financial derivatives- liabilities at fair value | (541 | ) | — | (2 | ) | 222 | — | 2 | — | (319 | ) | |||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||
Securitized debt | (1,168 | ) | (10 | ) | — | 30 | 110 | — | — | (1,038 | ) | |||||||||||||||||||||
Total securitized debt | (1,168 | ) | (10 | ) | — | 30 | 110 | — | — | (1,038 | ) | |||||||||||||||||||||
Total financial derivatives- liabilities at fair value and securitized debt | $ | (1,709 | ) | $ | (10 | ) | $ | (2 | ) | $ | 252 | $ | 110 | $ | 2 | $ | — | $ | (1,357 | ) | ||||||||||||
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2013, as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2013. For Level 3 financial instruments held by the Company at September 30, 2013, change in net unrealized gain (loss) of $4.3 million, $1.0 million, $2.2 million, and $30.0 thousand, for the three month period ended September 30, 2013 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively. | ||||||||||||||||||||||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||
Three Month Period Ended September 30, 2012 | ||||||||||||||||||||||||||||||||
(In thousands) | Ending | Accreted | Net Realized | Change in Net | Purchases/ | Sales/ | Transfers In | Ending | ||||||||||||||||||||||||
Balance as of | Discounts / | Gain/ | Unrealized | Payments | Issuances | and/or Out | Balance as of | |||||||||||||||||||||||||
June 30, | (Amortized | (Loss) | Gain/(Loss) | of Level 3 | 30-Sep-12 | |||||||||||||||||||||||||||
2012 | Premiums) | |||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 4,667 | $ | (534 | ) | $ | 111 | $ | (314 | ) | $ | 1,057 | $ | (1,160 | ) | $ | — | $ | 3,827 | |||||||||||||
Private label residential mortgage-backed securities | 385,059 | 6,182 | 5,440 | 24,013 | 92,412 | (55,181 | ) | — | 457,925 | |||||||||||||||||||||||
Private label commercial mortgage-backed securities | 28,405 | 271 | 2,905 | (293 | ) | 57,195 | (39,287 | ) | — | 49,196 | ||||||||||||||||||||||
Commercial mortgage loans | 4,650 | 21 | — | (21 | ) | — | — | — | 4,650 | |||||||||||||||||||||||
Total investments at fair value | 422,781 | 5,940 | 8,456 | 23,385 | 150,664 | (95,628 | ) | — | 515,598 | |||||||||||||||||||||||
Financial derivatives- assets at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 38,759 | — | 3,963 | (3,823 | ) | 105 | (7,544 | ) | — | 31,460 | ||||||||||||||||||||||
Total financial derivatives- assets at fair value | 38,759 | — | 3,963 | (3,823 | ) | 105 | (7,544 | ) | — | 31,460 | ||||||||||||||||||||||
Total investments and financial derivatives-assets at fair value | $ | 461,540 | $ | 5,940 | $ | 12,419 | $ | 19,562 | $ | 150,769 | $ | (103,172 | ) | $ | — | $ | 547,058 | |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Securitized debt | $ | (1,415 | ) | $ | (15 | ) | $ | — | $ | (51 | ) | $ | 42 | $ | — | $ | — | $ | (1,439 | ) | ||||||||||||
Total securitized debt | $ | (1,415 | ) | $ | (15 | ) | $ | — | $ | (51 | ) | $ | 42 | $ | — | $ | — | $ | (1,439 | ) | ||||||||||||
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2012, as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2012. For Level 3 financial instruments held by the Company at September 30, 2012, change in net unrealized gain (loss) of $23.3 million, $(3.8) million, and $(51.0) thousand, for the three month period ended September 30, 2012 relate to investments, financial derivatives–assets, and securitized debt, respectively. | ||||||||||||||||||||||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||
Nine Month Period Ended September 30, 2013 | ||||||||||||||||||||||||||||||||
(In thousands) | Beginning | Accreted | Net Realized | Change in Net | Purchases/ | Sales/ | Transfers In | Ending | ||||||||||||||||||||||||
Balance as of | Discounts / | Gain/ | Unrealized | Payments | Issuances | and/or Out | Balance as of | |||||||||||||||||||||||||
December 31, | (Amortized | (Loss) | Gain/(Loss) | of Level 3 | 30-Sep-13 | |||||||||||||||||||||||||||
2012 | Premiums) | |||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 6,644 | $ | (3,846 | ) | $ | — | $ | 1,180 | $ | 33,055 | $ | — | $ | — | $ | 37,033 | |||||||||||||||
Private label residential mortgage-backed securities | 528,366 | 20,401 | 30,977 | 11,518 | 363,056 | (302,336 | ) | — | 651,982 | |||||||||||||||||||||||
Private label commercial mortgage-backed securities | 19,327 | 258 | (477 | ) | 2,612 | 58,928 | (47,377 | ) | — | 33,271 | ||||||||||||||||||||||
Commercial mortgage loans | 9,546 | 58 | 482 | 497 | 9,481 | (5,128 | ) | — | 14,936 | |||||||||||||||||||||||
Other asset-backed securities | — | (775 | ) | 569 | (866 | ) | 56,435 | (10,108 | ) | — | 45,255 | |||||||||||||||||||||
Total investments at fair value | 563,883 | 16,096 | 31,551 | 14,941 | 520,955 | (364,949 | ) | — | 782,477 | |||||||||||||||||||||||
Financial derivatives- assets at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 36,031 | — | (404 | ) | (1,497 | ) | 149 | (16,664 | ) | — | 17,615 | |||||||||||||||||||||
Total financial derivatives- assets at fair value | 36,031 | — | (404 | ) | (1,497 | ) | 149 | (16,664 | ) | — | 17,615 | |||||||||||||||||||||
Total investments and financial derivatives-assets at fair value | $ | 599,914 | $ | 16,096 | $ | 31,147 | $ | 13,444 | $ | 521,104 | $ | (381,613 | ) | $ | — | $ | 800,092 | |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Financial derivatives- liabilities at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (1 | ) | $ | — | $ | (59 | ) | $ | (318 | ) | $ | — | $ | 59 | $ | — | $ | (319 | ) | ||||||||||||
Total financial derivatives- liabilities at fair value | (1 | ) | — | (59 | ) | (318 | ) | — | 59 | — | (319 | ) | ||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||
Securitized debt | (1,335 | ) | (31 | ) | — | 36 | 292 | — | — | (1,038 | ) | |||||||||||||||||||||
Total securitized debt | (1,335 | ) | (31 | ) | — | 36 | 292 | — | — | (1,038 | ) | |||||||||||||||||||||
Total financial derivatives- liabilities at fair value and securitized debt | $ | (1,336 | ) | $ | (31 | ) | $ | (59 | ) | $ | (282 | ) | $ | 292 | $ | 59 | $ | — | $ | (1,357 | ) | |||||||||||
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2013, as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2013. For Level 3 financial instruments held by the Company at September 30, 2013, change in net unrealized gain (loss) of $19.6 million, $(8.8) million, $(0.3) million, and $36.0 thousand, for the nine month period ended September 30, 2013 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively. | ||||||||||||||||||||||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||
Nine Month Period Ended September 30, 2012 | ||||||||||||||||||||||||||||||||
(In thousands) | Beginning | Accreted | Net Realized | Change in | Purchases/ | Sales/ | Transfers In | Ending | ||||||||||||||||||||||||
Balance as of | Discounts / | Gain/ | Net | Payments | Issuances | and/or Out of | Balance as of September 30, 2012 | |||||||||||||||||||||||||
December 31, | (Amortized | (Loss) | Unrealized | Level 3 | ||||||||||||||||||||||||||||
2011 | Premiums) | Gain/(Loss) | ||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
U.S. Treasury and Agency residential mortgage-backed securities | $ | 5,337 | $ | (1,177 | ) | $ | 111 | $ | (679 | ) | $ | 1,929 | $ | (1,160 | ) | $ | — | $ | 3,827 | |||||||||||||
Private label residential mortgage-backed securities | 417,533 | 15,471 | 12,489 | 49,149 | 251,030 | (287,747 | ) | — | 457,925 | |||||||||||||||||||||||
Private label commercial mortgage-backed securities | 16,093 | 527 | 3,213 | 990 | 79,911 | (51,538 | ) | — | 49,196 | |||||||||||||||||||||||
Commercial mortgage loans | 4,400 | 71 | — | 179 | — | — | — | 4,650 | ||||||||||||||||||||||||
Total investments at fair value | 443,363 | 14,358 | 15,813 | 49,639 | 332,870 | (340,445 | ) | — | 515,598 | |||||||||||||||||||||||
Financial derivatives- assets at fair value - | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 61,498 | — | (1,514 | ) | 4,285 | 330 | (33,139 | ) | — | 31,460 | ||||||||||||||||||||||
Total financial derivatives- assets at fair value | 61,498 | — | (1,514 | ) | 4,285 | 330 | (33,139 | ) | — | 31,460 | ||||||||||||||||||||||
Total investments and financial derivatives- assets at fair value | $ | 504,861 | $ | 14,358 | $ | 14,299 | $ | 53,924 | $ | 333,200 | $ | (373,584 | ) | $ | — | $ | 547,058 | |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Securitized debt | $ | — | $ | (44 | ) | $ | — | $ | (30 | ) | $ | 157 | $ | (1,522 | ) | $ | — | $ | (1,439 | ) | ||||||||||||
Total securitized debt | $ | — | $ | (44 | ) | $ | — | $ | (30 | ) | $ | 157 | $ | (1,522 | ) | $ | — | $ | (1,439 | ) | ||||||||||||
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2012, as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2012. For Level 3 financial instruments held by the Company at September 30, 2012, change in net unrealized gain (loss) of $33.7 million, $(8.1) million, and $(30.0) thousand, for the nine month period ended September 30, 2012 relate to investments, financial derivatives–assets, and securitized debt, respectively. |
Financial_Derivatives
Financial Derivatives | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||
Financial Derivatives | ' | ||||||||||||||||||
Financial Derivatives | |||||||||||||||||||
Gains and losses on the Company's derivative contracts for the three and nine month periods ended September 30, 2013 and 2012 are summarized in the tables below: | |||||||||||||||||||
September 30, 2013: | |||||||||||||||||||
Derivative Type | Primary Risk | Net Realized | Change in Net | Net Realized | Change in Net | ||||||||||||||
Exposure | Gain/(Loss) for | Unrealized | Gain/(Loss) for | Unrealized | |||||||||||||||
the Three Month Period Ended | Gain/(Loss) for | the Nine Month Period Ended | Gain/(Loss) for | ||||||||||||||||
30-Sep-13 | the Three Month Period Ended | 30-Sep-13 | the Nine Month Period Ended | ||||||||||||||||
30-Sep-13 | 30-Sep-13 | ||||||||||||||||||
(In thousands) | |||||||||||||||||||
Financial derivatives - assets | |||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (3,113 | ) | $ | 2,995 | $ | (404 | ) | $ | (1,497 | ) | |||||||
Credit default swaps on asset-backed indices | Credit | (181 | ) | (1,011 | ) | (4,302 | ) | 2,503 | |||||||||||
Credit default swaps on corporate bond indices | Credit | (84 | ) | 44 | (3 | ) | — | ||||||||||||
Total return swaps | Equity Market | 907 | (112 | ) | 911 | 15 | |||||||||||||
Interest rate swaps | Interest Rates | (512 | ) | (195 | ) | (229 | ) | 15,768 | |||||||||||
Futures | Interest Rates | 255 | 970 | 103 | 975 | ||||||||||||||
Other | Interest Rates | 67 | (41 | ) | 67 | (41 | ) | ||||||||||||
(2,661 | ) | 2,650 | (3,857 | ) | 17,723 | ||||||||||||||
Financial derivatives - liabilities | |||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | (2 | ) | 222 | (59 | ) | (318 | ) | |||||||||||
Credit default swaps on asset-backed indices | Credit | 339 | 959 | 539 | 1,772 | ||||||||||||||
Credit default swaps on corporate bond indices | Credit | (2,985 | ) | (1,959 | ) | (7,517 | ) | (1,759 | ) | ||||||||||
Total return swaps | Equity Market | (53 | ) | 96 | (448 | ) | 43 | ||||||||||||
Interest rate swaps | Interest Rates | (10 | ) | (4,099 | ) | 282 | (2,997 | ) | |||||||||||
Futures | Interest Rates | (1,029 | ) | 82 | (1,673 | ) | 70 | ||||||||||||
Other | Interest Rates/Equity Market | (41 | ) | 44 | (41 | ) | 44 | ||||||||||||
(3,781 | ) | (4,655 | ) | (8,917 | ) | (3,145 | ) | ||||||||||||
Total | $ | (6,442 | ) | $ | (2,005 | ) | $ | (12,774 | ) | $ | 14,578 | ||||||||
September 30, 2012: | |||||||||||||||||||
Derivative Type | Primary Risk | Net Realized | Change in Net | Net Realized | Change in Net | ||||||||||||||
Exposure | Gain/(Loss) for | Unrealized | Gain/(Loss) for | Unrealized | |||||||||||||||
the Three Month Period Ended | Gain/(Loss) for | the Nine Month Period Ended | Gain/(Loss) for | ||||||||||||||||
30-Sep-12 | the Three Month Period Ended | 30-Sep-12 | the Nine Month Period Ended | ||||||||||||||||
30-Sep-12 | 30-Sep-12 | ||||||||||||||||||
(In thousands) | |||||||||||||||||||
Financial derivatives - assets | |||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | $ | 3,963 | $ | (3,823 | ) | $ | (1,514 | ) | $ | 4,285 | ||||||||
Credit default swaps on asset-backed indices | Credit | (134 | ) | (4,174 | ) | (7,200 | ) | (6,442 | ) | ||||||||||
Credit default swaps on corporate bond indices | Credit | 12 | (602 | ) | (1,548 | ) | 570 | ||||||||||||
Total return swaps | Equity Market | (1,520 | ) | 257 | (1,520 | ) | 257 | ||||||||||||
Interest rate swaps | Interest Rates | — | 495 | 49 | 417 | ||||||||||||||
Futures | Interest Rates | (15 | ) | — | (32 | ) | (12 | ) | |||||||||||
2,306 | (7,847 | ) | (11,765 | ) | (925 | ) | |||||||||||||
Financial derivatives - liabilities | |||||||||||||||||||
Credit default swaps on asset-backed indices | Credit | (190 | ) | 1,543 | 4,372 | 650 | |||||||||||||
Credit default swaps on corporate bond indices | Credit | (160 | ) | 11 | 143 | 11 | |||||||||||||
Total return swaps | Equity Market | 1,066 | 252 | (2,262 | ) | 273 | |||||||||||||
Interest rate swaps | Interest Rates | (6,209 | ) | 3,410 | (22,157 | ) | 15,093 | ||||||||||||
Futures | Interest Rates | — | (33 | ) | — | (87 | ) | ||||||||||||
(5,493 | ) | 5,183 | (19,904 | ) | 15,940 | ||||||||||||||
Total | $ | (3,187 | ) | $ | (2,664 | ) | $ | (31,669 | ) | $ | 15,015 | ||||||||
From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of September 30, 2013 and December 31, 2012, all of the Company's open written credit derivatives consisted of credit default swaps on mortgage/asset-backed indices (ABX and CMBX indices), for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets. Written credit derivatives held by the Company at September 30, 2013 and December 31, 2012, are summarized below: | |||||||||||||||||||
Credit Default Swaps on Asset-Backed Indices | Amount at | Amount at | |||||||||||||||||
30-Sep-13 | December 31, 2012 | ||||||||||||||||||
(In thousands) | |||||||||||||||||||
Fair Value of Written Credit Derivatives, Net | $ | (19,248 | ) | $ | (11,986 | ) | |||||||||||||
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | — | $ | (717 | ) | ||||||||||||||
Notional Amount of Written Credit Derivatives (2) | $ | (64,780 | ) | $ | (40,216 | ) | |||||||||||||
Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | — | $ | 7,792 | |||||||||||||||
-1 | Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation. | ||||||||||||||||||
-2 | The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional amount of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional amount of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. | ||||||||||||||||||
Unless terminated by mutual agreement by both the buyer and seller, a credit default swap on a mortgage/asset-backed index typically terminates at the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the contract. In situations where the credit quality of the underlying reference assets have deteriorated, the percentage of notional values paid up front ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market would expect to be paid points up front corresponding to the approximate fair value of the contract. For the Company’s written credit derivatives that were outstanding at September 30, 2013, periodic payment rates range between 25 and 458 basis points. For the Company’s written credit derivatives that were outstanding at December 31, 2012, periodic payment rates range between 35 and 458 basis points. Total net up-front payments received relating to written credit derivatives outstanding at September 30, 2013 and December 31, 2012 were $20.9 million and $12.6 million, respectively. |
Base_Management_Fee_And_Incent
Base Management Fee And Incentive Fee | 9 Months Ended |
Sep. 30, 2013 | |
Base Management Fee And Incentive Fee [Abstract] | ' |
Base Management Fee and Incentive Fee | ' |
Base Management Fee and Incentive Fee | |
We entered into a Management Agreement (which may be amended from time to time), pursuant to which the Manager manages the assets, operations, and affairs of the Company, in consideration of which the Company pays the Manager management and incentive fees. Effective January 1, 2013, the Company and its operating subsidiary entered into a Fourth Amended and Restated Management Agreement with the Manager, which replaces and supersedes the Third Amended and Restated Management Agreement, which was the Management Agreement that became effective August 2, 2011. The Fourth Amended and Restated Management Agreement causes, effective for all fiscal quarters beginning on or after January 1, 2013, base management fees and incentive fees to be calculated at the Operating Partnership level. The descriptions of the Base Management Fees and Incentive Fees are detailed below. | |
Base Management Fees | |
Periods after January 1, 2013 - The Operating Partnership pays the Manager 1.50% per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. | |
Periods prior to January 1, 2013 - Under the previous management agreement, the Company paid our Manager a base management fee quarterly in arrears in an amount equal to 1.50% per annum of shareholders' equity calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that shareholders' equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the independent directors, and approval by a majority of the independent directors in the case of non-cash charges. | |
Summary information—For the three month periods ended September 30, 2013 and 2012, the total base management fee incurred was $2.4 million and $1.9 million, respectively. For the nine month periods ended September 30, 2013 and 2012, the total base management fee incurred was $6.8 million and $4.9 million, respectively. | |
Incentive Fees | |
Periods after January 1, 2013 - The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. | |
For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. | |
For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) our net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of September 30, 2013 there was no Loss Carryforward. | |
For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common share and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares and OP Units issued in such issuance and the number of days that such issued shares and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to common shares and OP Units at the beginning of such fiscal quarter by (II) the average number of common shares and OP Units outstanding for each day during such fiscal quarter, (iii) the sum of the average number of common shares, LTIP Units, and OP Units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares and OP Units (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of common shares and cash, provided that at least 10% of any quarterly payment will be made in common shares. | |
Periods prior to January 1, 2013 - The Manager was entitled to receive a quarterly incentive fee calculated in accordance with the above described calculation except (a) For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in shareholders' equity from operations of the Company, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period; (b) For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) our net increase in shareholders' equity from operations (expressed as a positive number) or net decrease in shareholders' equity from operations (expressed as a negative number) of the Company for such fiscal quarter; and (c) For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all our common share issuances up to the end of such fiscal quarter, with each issuance weighted by both the number of shares issued in such issuance and the number of days that such issued shares were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to our common shares at the beginning of such fiscal quarter by (II) the average number of our common shares outstanding for each day during such fiscal quarter, and (iii) the average number of our common shares and LTIP Units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares (A) as equity incentive awards, (B) to the Manager as part of its base management fee or incentive fee and (C) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. | |
Summary information—Total incentive fee incurred for the three month periods ended September 30, 2013 and 2012 was $2.0 million and $9.5 million, respectively. Total incentive fee incurred for the nine month periods ended September 30, 2013 and 2012 was $5.3 million and $11.8 million, respectively. |
LongTerm_Incentive_Plan_Units
Long-Term Incentive Plan Units | 9 Months Ended | |||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ' | |||||||||||||||||
Long-Term Incentive Plan Units | ' | |||||||||||||||||
Long-Term Incentive Plan Units | ||||||||||||||||||
In connection with its initial offering in 2007, the Company established the Manager Long-Term Incentive Plan (the "Manager LTIP") and the Individual Long-Term Incentive Plan (the "Individual LTIP"). Pursuant to the terms of the Manager LTIP, the Company issued 375,000 long-term incentive plan units to its Manager. Pursuant to the terms of the Individual LTIP, each year since inception the Company has issued annual awards to its independent directors and, beginning in 2010, issued awards to certain of its dedicated and partially dedicated personnel. | ||||||||||||||||||
As of August 17, 2010, LTIP units awarded to the Manager were fully vested and expensed. LTIP units held pursuant to the Manager LTIP are generally exercisable by the holder at any time after vesting. Each LTIP unit is convertible into one common share. There is no cash flow effect from the issuance of the Manager LTIP units. Since inception, the aggregate expense associated with the Manager LTIP was $8.6 million. | ||||||||||||||||||
Since inception, the Company has awarded 29,562 Individual LTIP units to the Company's independent directors and 8,000 Individual LTIP units to certain of its dedicated and partially dedicated personnel. The vesting period for awards issued under the Individual LTIP units has generally been one year from the date of grant. Units held pursuant to the Individual LTIPs are generally exercisable by the holder at any time after vesting. Each unit is convertible into one common share. Costs associated with the Individual LTIPs are measured as of the grant date and expensed ratably over the vesting period. Since inception the total expense associated with the Individual LTIP units awarded is $0.7 million. Total expense associated with Individual LTIPs for the three month periods ended September 30, 2013 and 2012 is $0.04 million and $0.03 million, respectively. Total expense associated with Individual LTIPs for the nine month periods ended September 30, 2013 and 2012 are $0.13 million and $0.09 million, respectively. Since inception, 11,782 common shares were issued in connection with the conversion of Individual LTIP units awarded to independent directors at the direction of the three award holders and approximately $0.2 million was transferred from the share-based LTIP awards to common shares in shareholders' equity. | ||||||||||||||||||
Detailed below is a roll-forward of the Company's LTIP units outstanding for the three month periods ended September 30, 2013 and 2012: | ||||||||||||||||||
Three Month Period Ended | Three Month Period Ended | |||||||||||||||||
30-Sep-13 | 30-Sep-12 | |||||||||||||||||
Manager | Director/ | Total | Manager | Director/ | Total | |||||||||||||
Employee | Employee | |||||||||||||||||
LTIP Units Outstanding (6/30/2013 and 6/30/2012, respectively) | 375,000 | 22,096 | 397,096 | 375,000 | 15,500 | 390,500 | ||||||||||||
Granted | — | 5,466 | 5,466 | — | 5,346 | 5,346 | ||||||||||||
Exercised | — | (1,782 | ) | (1,782 | ) | — | — | — | ||||||||||
LTIP Units Outstanding (9/30/2013 and 9/30/2012, respectively) | 375,000 | 25,780 | 400,780 | 375,000 | 20,846 | 395,846 | ||||||||||||
LTIP Units Vested and Outstanding (9/30/2013 and 9/30/2012, respectively) | 375,000 | 17,814 | 392,814 | 375,000 | 12,500 | 387,500 | ||||||||||||
Detailed below is a roll-forward of the Company's LTIP units outstanding for the nine month periods ended September 30, 2013 and 2012: | ||||||||||||||||||
Nine Month Period Ended | Nine Month Period Ended | |||||||||||||||||
30-Sep-13 | 30-Sep-12 | |||||||||||||||||
Manager | Director/ | Total | Manager | Director/ | Total | |||||||||||||
Employee | Employee | |||||||||||||||||
LTIP Units Outstanding (12/31/2012 and 12/31/2011, respectively) | 375,000 | 22,096 | 397,096 | 375,000 | 15,500 | 390,500 | ||||||||||||
Granted | — | 5,466 | 5,466 | — | 5,346 | 5,346 | ||||||||||||
Exercised | — | (1,782 | ) | (1,782 | ) | — | — | — | ||||||||||
LTIP Units Outstanding (9/30/2013 and 9/30/2012, respectively) | 375,000 | 25,780 | 400,780 | 375,000 | 20,846 | 395,846 | ||||||||||||
LTIP Units Vested and Outstanding (9/30/2013 and 9/30/2012, respectively) | 375,000 | 17,814 | 392,814 | 375,000 | 12,500 | 387,500 | ||||||||||||
NonControlling_Interest_Operat
Non-Controlling Interest - Operating Partnership (Notes) | 9 Months Ended |
Sep. 30, 2013 | |
Noncontrolling Interest [Abstract] | ' |
Noncontrolling Interest Disclosure [Text Block] | ' |
7. Non-controlling Interest - Operating Partnership | |
Non-controlling interest represents the interest in the Operating Partnership owned by an affiliate of the Manager and certain related parties. On January 1, 2013, 212,000 OP Units were issued to the initial non-controlling interest member. Income allocated to the non-controlling interest is based on the non-controlling interest owners' ownership percentage of the Operating Partnership during the quarter, calculated using a daily weighted average of all common shares and convertible units outstanding during the quarter. Holders of OP Units are entitled to receive the same distributions that holders of common shares receive, and OP Units are convertible into common shares on a one-for-one basis following the expiration of a two-year holding period subject to additional limitations. OP Units are non-voting with respect to matters as to which common shareholders are entitled to vote. As of September 30, 2013, non-controlling interest related to the outstanding 212,000 OP Units represented an interest of approximately 0.8% in the Operating Partnership. |
Common_Share_Capitalization
Common Share Capitalization | 9 Months Ended | |||||
Sep. 30, 2013 | ||||||
Stockholders' Equity Note [Abstract] | ' | |||||
Common Share Capitalization | ' | |||||
Common Share Capitalization | ||||||
Dividends are declared and paid on a quarterly basis in arrears. During the three month periods ended September 30, 2013 and 2012 the Board of Directors authorized a second quarter dividend of $0.77 per share and $0.70 per share, respectively. During the nine month periods ended September 30, 2013 and 2012 the Board of Directors authorized three dividends totaling $3.06 and $1.80 per share, respectively. Total amount of dividends paid during the three month periods ended September 30, 2013 and 2012 was $20.0 million and $14.2 million, respectively. Total amount of dividends paid during the nine month periods ended September 30, 2013 and 2012 was $72.0 million and $32.8 million, respectively. | ||||||
Detailed below is a roll-forward of the Company's common shares outstanding for the three month periods ended September 30, 2013 and 2012: | ||||||
Three Month Period Ended | Three Month Period Ended | |||||
30-Sep-13 | 30-Sep-12 | |||||
Common Shares Outstanding | 25,412,011 | 16,447,651 | ||||
(6/30/2013 and 6/30/2012, respectively) | ||||||
Share Activity: | ||||||
Shares issued | — | 4,025,000 | ||||
Shares issued in connection with incentive fee payment | 5,144 | 11,045 | ||||
Director LTIP units exercised | 1,782 | — | ||||
Common Shares Outstanding | 25,418,937 | 20,483,696 | ||||
(9/30/2013 and 9/30/2012, respectively) | ||||||
Detailed below is a roll-forward of the Company's common shares outstanding for the nine month periods ended September 30, 2013 and 2012: | ||||||
Nine Month Period Ended | Nine Month Period Ended | |||||
30-Sep-13 | 30-Sep-12 | |||||
Common Shares Outstanding | 20,370,469 | 16,447,651 | ||||
(12/31/2012 and 12/31/2011, respectively) | ||||||
Share Activity: | ||||||
Shares issued | 5,000,000 | 4,025,000 | ||||
Shares issued in connection with incentive fee payment | 46,686 | 11,045 | ||||
Director LTIP units exercised | 1,782 | — | ||||
Common Shares Outstanding | 25,418,937 | 20,483,696 | ||||
(9/30/2013 and 9/30/2012, respectively) | ||||||
If all LTIP and OP Units that have been previously issued were to become fully vested and exchanged for common shares as of September 30, 2013, the Company's issued and outstanding common shares would increase to 26,031,717, resulting in equity per share of $24.19 as of September 30, 2013. If all of the LTIP units that have previously been issued were to become fully vested and exchanged for common shares as of December 31, 2012, the Company's issued and outstanding common shares would increase to 20,767,565 shares, resulting in equity per share of $24.38 as of December 31, 2012. | ||||||
On August 4, 2011, the Company's Board of Directors approved the adoption of a $10 million share repurchase program. The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions. Repurchases are at the Company's discretion, subject to applicable law, share availability, price, and the Company's financial performance, among other considerations. As of September 30, 2013, the Company has repurchased 217,619 shares under its current share repurchase program at an aggregate cost of $4.5 million, or at an average per share price of $20.59. |
Earnings_Per_Share
Earnings Per Share | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||||||
Earnings Per Share | ' | |||||||||||||||
Earnings Per Share | ||||||||||||||||
The components of the computation of basic and diluted EPS were as follows: | ||||||||||||||||
Three Month Period Ended | Nine Month Period Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||
(In thousands except share amounts) | ||||||||||||||||
Net increase in equity resulting from operations | $ | 11,823 | $ | 29,537 | $ | 64,274 | $ | 72,360 | ||||||||
Less: Net increase in equity resulting from operations attributable to non-controlling interest | 96 | — | 612 | — | ||||||||||||
Net increase in shareholders' equity resulting from operations | 11,727 | 29,537 | 63,662 | 72,360 | ||||||||||||
Net increase in shareholders' equity resulting from operations available to common share and LTIP unit holders: | ||||||||||||||||
Net increase in shareholders' equity resulting from operations– common shares | 11,546 | 28,914 | 62,579 | 70,736 | ||||||||||||
Net increase in shareholders' equity resulting from operations– LTIP units | 181 | 623 | 1,083 | 1,624 | ||||||||||||
Dividends Paid(1): | ||||||||||||||||
Common shareholders | (19,571 | ) | (13,971 | ) | (70,152 | ) | (32,063 | ) | ||||||||
LTIP unit holders | (306 | ) | (273 | ) | (1,216 | ) | (703 | ) | ||||||||
Non-controlling interest | (163 | ) | — | (648 | ) | — | ||||||||||
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | (20,040 | ) | (14,244 | ) | (72,016 | ) | (32,766 | ) | ||||||||
Undistributed earnings: | ||||||||||||||||
Common shareholders | (8,025 | ) | 14,943 | (7,573 | ) | 38,673 | ||||||||||
LTIP unit holders | (125 | ) | 350 | (133 | ) | 921 | ||||||||||
Non-controlling interest | (67 | ) | — | (36 | ) | — | ||||||||||
Total undistributed earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | $ | (8,217 | ) | $ | 15,293 | $ | (7,742 | ) | $ | 39,594 | ||||||
Weighted average shares outstanding (basic and diluted): | ||||||||||||||||
Weighted average common shares outstanding | 25,415,809 | 18,161,224 | 22,968,604 | 17,023,011 | ||||||||||||
Weighted average participating LTIP units | 397,897 | 391,604 | 397,366 | 390,871 | ||||||||||||
Weighted average non-controlling interest units | 212,000 | — | 212,000 | — | ||||||||||||
Basic earnings per common share: | ||||||||||||||||
Distributed | $ | 0.77 | $ | 0.7 | $ | 3.06 | $ | 1.8 | ||||||||
Undistributed (Distributed in excess of) | (0.32 | ) | 0.89 | (0.33 | ) | 2.35 | ||||||||||
$ | 0.45 | $ | 1.59 | $ | 2.73 | $ | 4.15 | |||||||||
Diluted earnings per common share: | ||||||||||||||||
Distributed | $ | 0.77 | $ | 0.7 | $ | 3.06 | $ | 1.8 | ||||||||
Undistributed (Distributed in excess of) | (0.32 | ) | 0.89 | (0.33 | ) | 2.35 | ||||||||||
$ | 0.45 | $ | 1.59 | $ | 2.73 | $ | 4.15 | |||||||||
-1 | The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings. |
Counterparty_Risk
Counterparty Risk | 9 Months Ended | ||
Sep. 30, 2013 | |||
Risks and Uncertainties [Abstract] | ' | ||
Counterparty Risk | ' | ||
Counterparty Risk | |||
As of September 30, 2013, investments with an aggregate value of approximately $1.6 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $115.0 million that were sold prior to period end but for which such sale had not yet settled as of September 30, 2013. | |||
The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.6 billion in collateral for various reverse repurchase agreements as of September 30, 2013. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $88.4 million were held in custody at the Bank of New York Mellon Corporation. | |||
Dealer | % of Total | ||
Collateral on | |||
Reverse Repurchase | |||
Agreements | |||
Deutsche Bank | 18% | ||
The following table details the percentage of collateral amounts held by dealers who hold greater than 15% of the Company's Due from Brokers, included as of September 30, 2013: | |||
Dealer | % of Total Due | ||
from Brokers | |||
Citigroup | 38% | ||
J.P. Morgan Securities Inc. | 19% | ||
Morgan Stanley | 15% | ||
The following table details the percentage of amounts held by dealers who hold greater than 15% of the Company's Receivable for securities sold as of September 30, 2013: | |||
Dealer | % of Total Receivable | ||
for Securities Sold | |||
Credit Suisse First Boston LLC | 26% | ||
Morgan Stanley | 25% |
Offsetting_Assets_and_Liabilit
Offsetting Assets and Liabilities (Notes) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Offsetting of Assets and Liabilities [Abstract] | ' | ||||||||||||||||
Offsetting of Assets and Liabilities [Text Block] | ' | ||||||||||||||||
11. Offsetting of Assets and Liabilities | |||||||||||||||||
The Company records financial instruments at fair value as described in Note 3. All financial instruments are recorded on a gross basis on the Condensed Statement of Assets, Liabilities, and Equity. In connection with its derivative, repurchase and reverse repurchase agreements, and the related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions, repurchase agreements, and reverse repurchase agreements. | |||||||||||||||||
The following tables present information about certain assets and liabilities representing financial instruments as of September 30, 2013 and December 31, 2012. The Company has not entered into master netting agreements with any of its counterparties. | |||||||||||||||||
September 30, 2013: | |||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity(1) | Financial Instruments(2)(3) | Cash Collateral (Received) Pledged(3) | Net Amount | |||||||||||||
(In thousands) | |||||||||||||||||
Assets | |||||||||||||||||
Financial Derivative Assets- Gross | $ | 43,567 | |||||||||||||||
Financial Derivative Assets-Net | $ | 10,110 | $ | — | $ | 33,692 | $ | 43,802 | |||||||||
Repurchase Agreements | $ | 40,994 | |||||||||||||||
Repurchase Agreements-Net | $ | — | $ | — | $ | — | $ | — | |||||||||
Liabilities | |||||||||||||||||
Financial Derivative Liabilities- Gross | $ | (33,457 | ) | ||||||||||||||
Financial Derivative Liabilities-Net | $ | — | $ | — | $ | — | $ | — | |||||||||
Reverse Repurchase Agreements | $ | (1,345,223 | ) | ||||||||||||||
Reverse Repurchase Agreements- Net | $ | (1,304,229 | ) | $ | 1,300,616 | $ | 3,613 | $ | — | ||||||||
December 31, 2012: | |||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity(1) | Financial Instruments(2)(3) | Cash Collateral (Received) Pledged(3) | Net Amount | |||||||||||||
(In thousands) | |||||||||||||||||
Assets | |||||||||||||||||
Financial Derivative Assets- Gross | $ | 48,504 | |||||||||||||||
Financial Derivative Assets-Net | $ | 33,292 | $ | — | $ | (13,188 | ) | $ | 20,104 | ||||||||
Repurchase Agreements | $ | 13,650 | |||||||||||||||
Repurchase Agreements-Net | $ | — | $ | — | $ | — | $ | — | |||||||||
Liabilities | |||||||||||||||||
Financial Derivative Liabilities- Gross | $ | (15,212 | ) | ||||||||||||||
Financial Derivative Liabilities-Net | $ | — | $ | — | $ | — | $ | — | |||||||||
Reverse Repurchase Agreements | $ | (905,718 | ) | ||||||||||||||
Reverse Repurchase Agreements- Net | $ | (892,068 | ) | $ | 887,940 | $ | 4,128 | $ | — | ||||||||
-1 | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with the repurchase agreements, reverse repurchase agreements, and derivatives transactions are presented on a gross basis. | ||||||||||||||||
-2 | Amounts disclosed in the Financial Instruments column of the table represent collateral that is available to be offset against balances associated with repurchase and reverse repurchase agreements. For the purposes of the table above, total financial instruments and cash collateral (received) pledged can not exceed the gross amount of assets and (liabilities) as presented above. Therefore we have reduced the amount of financial instruments related to our repurchase and reverse repurchase agreements in the table above. Total financial instruments for September 30, 2013 and December 31, 2012 were $1.60 billion and $1.05 billion, respectively. | ||||||||||||||||
-3 | As collateral is called or posted per counterparty it is generally called or posted across all positions with each respective counterparty. |
Contingencies_And_Commitments
Contingencies And Commitments | 9 Months Ended |
Sep. 30, 2013 | |
Commitments and Contingencies Disclosure [Abstract] | ' |
Contingencies and Commitments | ' |
Contingencies and Commitments | |
The Company provides current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. | |
In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. The Company has no liabilities recorded for these agreements as of September 30, 2013 and December 31, 2012. |
Financial_Highlights
Financial Highlights | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Financial Highlights [Abstract] | ' | |||||||||||||||
Financial Highlights | ' | |||||||||||||||
Financial Highlights | ||||||||||||||||
Results of Operations for a Share Outstanding Throughout the Periods: | ||||||||||||||||
Three Month Period Ended | Three Month Period Ended | Nine Month Period Ended | Nine Month Period Ended | |||||||||||||
30-Sep-13 | 30-Sep-12 | 30-Sep-13 | 30-Sep-12 | |||||||||||||
Beginning Shareholders' Equity Per Share (6/30/2013, 6/30/2012, 12/31/2012, and 12/31/2011, respectively) | $ | 24.92 | $ | 24.03 | $ | 24.86 | $ | 22.55 | ||||||||
Net Investment Income | 0.57 | 0.04 | 1.62 | 1.21 | ||||||||||||
Net Realized/Unrealized Gains (Losses) | (0.10 | ) | 1.59 | 1.18 | 3.04 | |||||||||||
Results of Operations Attributable to Equity | 0.47 | 1.63 | 2.8 | 4.25 | ||||||||||||
Less: Results of Operations Attributable to Non-controlling Interest | — | — | (0.03 | ) | — | |||||||||||
Results of Operations Attributable to Shareholders' Equity(1) | 0.47 | 1.63 | 2.77 | 4.25 | ||||||||||||
Dividends Paid to Common Shareholders | (0.77 | ) | (0.70 | ) | (3.06 | ) | (1.80 | ) | ||||||||
Weighted Average Share Impact on Dividends Paid (2) | (0.02 | ) | (0.08 | ) | (0.08 | ) | (0.12 | ) | ||||||||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs) and Share Repurchases | (0.01 | ) | (0.54 | ) | 0.1 | (0.54 | ) | |||||||||
Ending Shareholders' Equity Per Share (9/30/2013, 9/30/2012, 9/30/2013, and 9/30/2012, respectively)(3) | $ | 24.59 | $ | 24.34 | $ | 24.59 | $ | 24.34 | ||||||||
Shares Outstanding, end of period | 25,418,937 | 20,483,696 | 25,418,937 | 20,483,696 | ||||||||||||
-1 | Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 9). | |||||||||||||||
-2 | Per share impact on dividends paid relating to share issuances/repurchases during the period as well as dividends paid to LTIP and OP Unit holders. | |||||||||||||||
-3 | If all LTIP units and OP Units (if applicable) previously issued were vested and exchanged for common shares as of September 30, 2013 and 2012, shareholders' equity per share would be $24.19 and $23.88, respectively. | |||||||||||||||
Total Return: | ||||||||||||||||
The Company calculates its total return two ways, one based on its reported net asset value and the other based on its publicly-traded share price. | ||||||||||||||||
The following table illustrates the Company's total return for the periods presented based on net asset value: | ||||||||||||||||
Net Asset Based Total Return for a Shareholder: (1) | ||||||||||||||||
Three Month | Three Month | Nine Month | Nine Month | |||||||||||||
Period Ended | Period Ended | Period Ended | Period Ended | |||||||||||||
30-Sep-13 | 30-Sep-12 | 30-Sep-13 | 30-Sep-12 | |||||||||||||
Total Return | 1.82% | 4.25% | 11.57% | 16.31% | ||||||||||||
-1 | Total return is calculated for all shareholders' equity accounts taken as a whole for each period. Total return is calculated assuming reinvestment of all distributions at shareholders' equity per share during the period. | |||||||||||||||
Supplemental Information—Net Asset Based Total Return for a Shareholder assuming conversion of all LTIP and OP Units: (1) | ||||||||||||||||
Three Month Period Ended | Nine Month Period Ended | |||||||||||||||
30-Sep-13 | 30-Sep-13 | |||||||||||||||
Total Return | 0.16% | 9.75% | ||||||||||||||
-1 | Total return is calculated assuming all LTIP and OP Units had been converted into common shares at September 30, 2013. Total return represents all shareholders' equity accounts outstanding for the entire period. LTIP and OP Units outstanding at September 30, 2013 totaled 612,780 and represent 2.35% of total common shares and LTIP and OP Units outstanding as of that date. | |||||||||||||||
Market Based Total Return for a Shareholder: | ||||||||||||||||
For the three month periods ended September 30, 2013 and 2012, the Company's market based total return based on the closing price as reported by the New York Stock Exchange was 1.97% and 11.30%, respectively. For the nine month periods ended September 30, 2013 and 2012, the Company's market based total return based on the closing price as reported by the New York Stock Exchange was 13.31% and 44.75%, respectively. Calculation of market based total return assumes the reinvestment of dividends at the closing price as reported by the New York Stock Exchange as of the ex-date. | ||||||||||||||||
Net Investment Income Ratio to Average Equity: (1) | ||||||||||||||||
Three Month | Three Month | Nine Month | Nine Month | |||||||||||||
Period Ended | Period Ended | Period Ended | Period Ended | |||||||||||||
30-Sep-13 | 30-Sep-12 | 30-Sep-13 | 30-Sep-12 | |||||||||||||
Net Investment Income (2) | 9.99% | 7.04% | 8.89% | 7.65% | ||||||||||||
-1 | Average equity is calculated using month end values. | |||||||||||||||
-2 | Includes incentive fee in calculation which can vary substantially over periods. | |||||||||||||||
Expense Ratios to Average Equity: (1) | ||||||||||||||||
Three Month | Three Month | Nine Month | Nine Month | |||||||||||||
Period Ended | Period Ended | Period Ended | Period Ended | |||||||||||||
30-Sep-13 | 30-Sep-12 | 30-Sep-13 | 30-Sep-12 | |||||||||||||
Operating expenses before incentive fee, interest expense, and other investment related expenses | -2.67% | -2.93% | -2.77% | -2.97% | ||||||||||||
Incentive fee | -0.32% | -2.14% | -0.91% | -2.88% | ||||||||||||
Interest expense and other investment related expenses | -2.11% | -1.74% | -1.94% | -1.88% | ||||||||||||
Total Expenses | -5.10% | -6.81% | -5.62% | -7.73% | ||||||||||||
-1 | Average equity is calculated using month end values. |
Subsequent_Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2013 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
Subsequent Events | |
On November 4, 2013, the Company's Board of Directors approved a dividend for the third quarter of 2013 in the amount of $0.77 per share payable on December 16, 2013 to shareholders of record as of November 29, 2013. |
Significant_Accounting_Policie1
Significant Accounting Policies (Policy) | 9 Months Ended | |
Sep. 30, 2013 | ||
Accounting Policies [Abstract] | ' | |
Basis of Presentation | ' | |
(A) Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles, "GAAP," in the United States of America for investment companies, ASC 946, Financial Services—Investment Companies ("ASC 946"), for interim financial information. ASC 946 requires, among other things, that investments be reported at fair value in the financial statements. The consolidated financial statements include the accounts of the Company, the Operating Partnership and its subsidiaries. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2012. | ||
Valuation | ' | |
(B) Valuation: The Company applies ASC 820-10, Fair Value Measurement and Disclosures ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: | ||
• | Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets, | |
• | Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly, and | |
• | Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. | |
A financial instrument's categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities. | ||
Securities Transactions and Investment Income | ' | |
(C) Securities Transactions and Investment Income: Securities transactions are generally recorded on trade date. Realized and unrealized gains and losses are calculated based on identified cost. Interest income, which includes accretion of discounts and amortization of premiums on mortgage-backed securities, or "MBS," ABS, commercial mortgage loans, U.S. Treasury securities, and securitized debt, is recognized over the life of the investment using the effective interest method. For purposes of determining the effective interest rate, management estimates the future expected cash flows of its investment holdings based on assumptions including, but not limited to, assumptions for future prepayment rates, default rates and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly and require the use of a significant amount of judgment. Principal write-offs are generally treated as realized losses. For non-performing commercial mortgage loans, purchase discounts are generally not amortized. | ||
Cash and Cash Equivalents | ' | |
(D) Cash and Cash Equivalents: Cash and cash equivalents include amounts held in an interest bearing overnight account and money market funds. | ||
Financial Derivatives | ' | |
The Company uses average monthly notional values outstanding as an indicator of the volume of activity with respect to these instruments. | ||
(E) Financial Derivatives: The Company enters into various types of financial derivatives. The Company's derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and the futures commission merchant, or "FCM," acts as intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Collateral received by the Company is reflected on the Consolidated Statement of Assets, Liabilities and Equity as "Due to Brokers." Conversely, collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Statement of Assets, Liabilities and Equity. The two major types of derivatives utilized by the Company are swaps and futures. | ||
Swaps: The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps is credit risk and the primary risk associated with the Company's total return swap activity is equity market risk. | ||
The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. To help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating rate of interest on a notional principal amount and receives a fixed rate on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. | ||
The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a credit obligation (usually a bond, loan or a basket of bonds or loans). The definition of a credit event often varies from contract to contract. A credit event may occur (i) when the underlying reference asset(s) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the underlying reference obligation is downgraded below a certain rating level or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the underlying reference obligor. The Company typically writes (sells) protection to take a "long" position or purchases (buys) protection to take a "short" position with respect to underlying reference assets or to hedge exposure to other investment holdings. | ||
The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. | ||
Swaps change in value with movements in interest rates or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Statement of Assets, Liabilities, and Equity and are recorded as a realized gain or loss on the termination date. | ||
Futures Contracts: A futures contract is an exchange traded agreement between two parties to buy and sell a financial instrument for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury Note futures contracts to hedge its interest rate risk. Initial margin deposits are made upon entering into futures contracts and can be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking to market on a daily basis to reflect the market value of the contract at the end of each day's trading. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. | ||
Options: The Company may purchase or write put or call options or enter into swaptions. Generally, the Company enters into options primarily to help mitigate overall market risk or interest rate risk depending on the type of option. When the Company purchases an option, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options that expire unexercised are recognized on the expiration date as realized losses. If an option is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an option, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options that expire unexercised are recognized on the expiration date as realized gains. If an option is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction.When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. | ||
Financial derivatives disclosed on the Consolidated Condensed Schedule of Investments include: credit default swaps on asset-backed securities, credit default swaps on asset-backed indices, credit default swaps on corporate bond indices, interest rate swaps, total return swaps, futures and options contracts. | ||
Swap assets are included in Financial derivatives—assets at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. Swap liabilities are included in Financial derivatives—liabilities at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. In addition, swap contracts are summarized by type on the Consolidated Condensed Schedule of Investments. Unrealized appreciation on futures and options contracts is included in Financial derivatives—assets at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. Unrealized depreciation on futures and options contracts is included in Financial derivatives—liabilities at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. | ||
Investments Sold Short | ' | |
(F) Investments Sold Short: When the Company sells securities short, it typically satisfies its security delivery settlement obligation by obtaining the security sold from the same or a different counterparty. The Company generally is required to deliver cash or securities as collateral to the counterparty for the Company's obligation to return the borrowed security. The amount by which the market value of the obligation falls short of or exceeds the proceeds from the short sale is treated as an unrealized gain or loss, respectively. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the proceeds originally received. | ||
Reverse Repurchase Agreements and Repurchase Agreements | ' | |
(G) Reverse Repurchase Agreements and Repurchase Agreements: The Company enters into reverse repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. Interest on the value of repurchase and reverse repurchase agreements issued and outstanding is based upon competitive market rates at the time of issuance. The Company accounts for reverse repurchase agreements as collateralized borrowings. When the Company enters into a reverse repurchase agreement, the lender establishes and maintains an account containing cash and securities having a value not less than the repurchase price, including accrued interest, of the reverse repurchase agreement. The Company enters into repurchase agreement transactions with third-party broker-dealers whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to repurchase agreements are delivered to counterparties of short sale transactions. Assets held pursuant to repurchase agreements are reflected as assets on the Consolidated Statement of Assets, Liabilities, and Equity. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. There are no repurchase and reverse repurchase agreements netted in the Company's consolidated financial statements. | ||
Reverse repurchase agreements are carried at their contractual amounts, which the Company believes is the best estimate of fair value. | ||
Securitized Debt | ' | |
(H) Securitized Debt: The Company entered into a resecuritization transaction in January 2012, which is accounted for as a collateralized borrowing. The asset contributed to the securitization was not derecognized but rather, the liability issued by the securitization was recorded to reflect the term financing of the re-securitized asset. Under ASC 820-10, the Company has elected to carry securitized debt at fair value. | ||
When-Issued/Delayed Delivery Securities | ' | |
(I) When-Issued/Delayed Delivery Securities: The Company may purchase or sell securities on a when-issued or delayed delivery basis. Securities purchased or sold on a when-issued basis are traded for delivery beyond the normal settlement date at a stated price or yield, and no income accrues to the purchaser prior to settlement. Purchasing or selling securities on a when-issued or delayed delivery basis involves the risk that the market price or yield at the time of settlement may be lower or higher than the agreed-upon price or yield, in which case a realized loss may be incurred. | ||
The Company transacts in the forward settling To Be Announced MBS ("TBA") market. The Company typically does not take delivery of TBAs, but rather settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. The market value of the securities that the Company is required to purchase pursuant to a TBA transaction may decline below the agreed-upon purchase price. Conversely, the market value of the securities that the Company is required to sell pursuant to a TBA transaction may increase above the agreed upon sale price. As part of its TBA activities, the Company may "roll" its TBA positions, whereby the Company may sell (buy) securities for delivery (receipt) in an earlier month and simultaneously contract to repurchase (sell) similar, but not identical, securities at an agreed-upon price on a fixed date in a later month (with the later-month price typically lower than the earlier-month price). The Company accounts for its TBA transactions (including those related to TBA rolls) as purchases and sales. | ||
Offering Costs/Underwriters' Discount | ' | |
(J) Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are charged against shareholders' equity. | ||
LTIP Units | ' | |
(K) LTIP Units: Long term incentive plan units ("LTIP units") have been issued to the Company's dedicated and partially dedicated personnel and independent directors as well as the Manager. Costs associated with LTIP units issued to dedicated and partially dedicated personnel and independent directors are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation. Costs associated with LTIP units issued to the Manager are amortized over the vesting period in accordance with ASC 505-50, Equity-Based Payments to Non-Employees. The vesting period for units issued to dedicated and partially dedicated personnel and independent directors under the Ellington Incentive Plan for Individuals (the "Individual LTIP") is typically one year. The vesting period for units issued to the Manager under the Ellington Incentive Plan for Entities (the "Manager LTIP") occurred over a three year period that ended in August 2010. The cost of the Manager LTIP units fluctuated with the price per share until the vesting date, whereas the cost of the Individual LTIP units is based on the price per share at the initial grant date. | ||
Non-controlling interest | ' | |
(L) Non-controlling interest: Non-controlling interest represents the interest in the Operating Partnership owned by an affiliate of the Manager and certain related parties. | ||
Dividends | ' | |
(M) Dividends: Dividends payable by the Company are recorded in the consolidated financial statements on the ex-dividend date. Dividends are typically declared and paid on a quarterly basis in arrears. | ||
Shares Repurchased | ' | |
(O) Shares Repurchased: Common shares that are repurchased by the Company subsequent to issuance decrease total number of shares outstanding and issued. | ||
Earnings Per Share ("EPS") | ' | |
(P) Earnings Per Share ("EPS"): Basic EPS is computed using the two class method by dividing net increase (decrease) in shareholders' equity resulting from operations after adjusting for the impact of long term incentive plan units deemed to be participating securities, by the weighted average number of common shares outstanding calculated including long term incentive plan units. Because the Company's long term incentive plan units are deemed to be participating securities, they are included in the calculation of basic and diluted EPS. Operating Partnership Units relating to the non-controlling interest ("OP Units") are convertible into common shares and are included in the calculation of diluted EPS. | ||
Income Taxes | ' | |
(Q) Income Taxes: The Company intends to be treated as a partnership for U.S. federal income tax purposes. Certain of the Company's subsidiaries are not consolidated for U.S. federal income tax purposes, but are also treated as partnerships. In general, partnerships are not subject to entity-level tax on their income, but the income of a partnership is taxable to its owners on a flow-through basis. As of September 30, 2013, one of the Company's subsidiaries has elected to be treated as a corporation for U.S. federal income tax purposes. To date, this subsidiary has recognized a small net loss. | ||
The Company follows the provisions of ASC 740-10, Income Taxes ("ASC 740-10"), which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals, based on the technical merits of the position. The Company did not have any additions to its unrecognized tax benefits resulting from tax positions related either to the current period or to 2012, 2011, 2010, or 2009 (its open tax years), and no reductions resulting from tax positions of prior years or due to settlements, and thus had no unrecognized tax benefits since inception. The Company does not expect any change in unrecognized tax benefits within the next fiscal year. There were no amounts accrued for tax penalties or interest as of or during the periods presented in these consolidated financial statements. | ||
The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding ASC 740-10 may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance from the Financial Accounting Standards Board ("FASB"), and ongoing analyses of tax laws, regulations and interpretations thereof. | ||
To date there have been no material differences between the tax and U.S. GAAP bases of the Company's investments. | ||
Subsequent Events | ' | |
(R) Subsequent Events: The Company applies the provisions of ASC 855-10, Subsequent Events, in the preparation of its consolidated financial statements. This standard establishes general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued. | ||
Recent Accounting Pronouncements | ' | |
(S) Recent Accounting Pronouncements: In December 2011, the FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities ("ASU 2011-11"). This amends ASC 210-20, Balance Sheet Offsetting, to require new disclosures about balance sheet offsetting for derivative and financial instruments which are offset on the Statement of Assets, Liabilities and Equity. The update requires disclosure of gross asset and liability amounts for financial instruments shown net on the Statement of Assets, Liabilities and Equity. ASU 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013 and is to be applied retrospectively. | ||
In January 2013, the FASB issued ASU No. 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities ("ASU 2013- 01"). The amendment clarifies that the scope of ASU 2011-11 applies to derivatives accounted for in accordance with ASU No. 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements, reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with Section 210-20-45 or Section 815-10-45 or subject to an enforceable master netting arrangement or similar agreement. The adoption of ASU 2011-11, as amended by ASU 2013-01, did not have a material impact on the Company's consolidated financial statements. | ||
In June 2013, the FASB issued ASU 2013-08, Financial Services-Investment Companies ("ASC 946"). This update modifies the guidance for ASC 946 for determining whether an entity is an investment company for U.S. GAAP purposes. It requires entities that adopted Statement of Position 07-1 prior to its deferral to reassess whether they continue to meet the definition of an investment company for U.S. GAAP purposes. The guidance is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013, with retrospective application. Earlier application is prohibited. Management believes that the Company still meets the definition of an investment company under ASC 946 and does not anticipate the presentation of its financial statements will change as a result of this ASU. |
Valuation_Tables
Valuation (Tables) | 9 Months Ended | |||||||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||||||||||||||||||
Schedule Of Financial Instruments | ' | |||||||||||||||||||||||||||||||
The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2012: | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 59,084 | $ | — | $ | — | $ | 59,084 | ||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 811,233 | $ | 6,644 | $ | 817,877 | ||||||||||||||||||||||||
Private label residential mortgage-backed securities | — | — | 528,366 | 528,366 | ||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | — | — | 19,327 | 19,327 | ||||||||||||||||||||||||||||
Commercial mortgage loans | — | — | 9,546 | 9,546 | ||||||||||||||||||||||||||||
Total investments at fair value | — | 811,233 | 563,883 | 1,375,116 | ||||||||||||||||||||||||||||
Financial derivatives-assets at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 36,031 | 36,031 | ||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | 12,468 | — | 12,468 | ||||||||||||||||||||||||||||
Interest rate swaps | — | 5 | — | 5 | ||||||||||||||||||||||||||||
Total financial derivatives-assets at fair value | — | 12,473 | 36,031 | 48,504 | ||||||||||||||||||||||||||||
Repurchase agreements | — | 13,650 | — | 13,650 | ||||||||||||||||||||||||||||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | $ | — | $ | 837,356 | $ | 599,914 | $ | 1,437,270 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Investments sold short at fair value- | ||||||||||||||||||||||||||||||||
U.S. Treasury and Agency residential mortgage-backed securities | $ | — | $ | (622,301 | ) | $ | — | $ | (622,301 | ) | ||||||||||||||||||||||
Financial derivatives-liabilities at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on corporate indices | — | (484 | ) | — | (484 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | (13,468 | ) | — | (13,468 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | (1 | ) | (1 | ) | ||||||||||||||||||||||||||
Interest rate swaps | — | (1,124 | ) | — | (1,124 | ) | ||||||||||||||||||||||||||
Total return swaps | — | (65 | ) | — | (65 | ) | ||||||||||||||||||||||||||
Futures | (70 | ) | — | — | (70 | ) | ||||||||||||||||||||||||||
Total financial derivatives-liabilities at fair value | (70 | ) | (15,141 | ) | (1 | ) | (15,212 | ) | ||||||||||||||||||||||||
Securitized debt | — | — | (1,335 | ) | (1,335 | ) | ||||||||||||||||||||||||||
Total investments sold short and financial derivatives-liabilities at fair value | $ | (70 | ) | $ | (637,442 | ) | $ | (1,336 | ) | $ | (638,848 | ) | ||||||||||||||||||||
The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at September 30, 2013: | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 186,737 | $ | — | $ | — | $ | 186,737 | ||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 1,069,274 | $ | 37,033 | $ | 1,106,307 | ||||||||||||||||||||||||
Private label residential mortgage-backed securities | — | — | 651,982 | 651,982 | ||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | — | — | 33,271 | 33,271 | ||||||||||||||||||||||||||||
Commercial mortgage loans | — | — | 14,936 | 14,936 | ||||||||||||||||||||||||||||
Other asset-backed securities | — | — | 45,255 | 45,255 | ||||||||||||||||||||||||||||
Total investments at fair value | — | 1,069,274 | 782,477 | 1,851,751 | ||||||||||||||||||||||||||||
Financial derivatives-assets at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 17,615 | 17,615 | ||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | 9,184 | — | 9,184 | ||||||||||||||||||||||||||||
Interest rate swaps | — | 15,773 | — | 15,773 | ||||||||||||||||||||||||||||
Total return swaps | — | 15 | — | 15 | ||||||||||||||||||||||||||||
Options | — | 4 | — | 4 | ||||||||||||||||||||||||||||
Futures | 976 | — | — | 976 | ||||||||||||||||||||||||||||
Total financial derivatives-assets at fair value | 976 | 24,976 | 17,615 | 43,567 | ||||||||||||||||||||||||||||
Repurchase agreements | — | 40,994 | — | 40,994 | ||||||||||||||||||||||||||||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | $ | 976 | $ | 1,135,244 | $ | 800,092 | $ | 1,936,312 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Investments sold short at fair value- | ||||||||||||||||||||||||||||||||
U.S. Treasury and Agency residential mortgage-backed securities | $ | — | $ | (860,128 | ) | $ | — | $ | (860,128 | ) | ||||||||||||||||||||||
Financial derivatives-liabilities at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on corporate indices | — | (9,679 | ) | — | (9,679 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | (19,310 | ) | — | (19,310 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | (319 | ) | (319 | ) | ||||||||||||||||||||||||||
Interest rate swaps | — | (4,122 | ) | — | (4,122 | ) | ||||||||||||||||||||||||||
Total return swaps | — | (22 | ) | — | (22 | ) | ||||||||||||||||||||||||||
Options | — | (4 | ) | — | (4 | ) | ||||||||||||||||||||||||||
Futures | (1 | ) | — | — | (1 | ) | ||||||||||||||||||||||||||
Total financial derivatives-liabilities at fair value | (1 | ) | (33,137 | ) | (319 | ) | (33,457 | ) | ||||||||||||||||||||||||
Securitized debt | — | — | (1,038 | ) | (1,038 | ) | ||||||||||||||||||||||||||
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt | $ | (1 | ) | $ | (893,265 | ) | $ | (1,357 | ) | $ | (894,623 | ) | ||||||||||||||||||||
Schedule Of Significant Unobservable Inputs, Qualitative Information | ' | |||||||||||||||||||||||||||||||
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2012: | ||||||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||
Description | Min | Max | Average | |||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities(1) | $ | 527,031 | Discounted Cash Flows | Yield | 2.6 | % | 29.1 | % | 7.8 | % | ||||||||||||||||||||||
Projected Collateral Prepayments | 0.7 | % | 64.6 | % | 22.7 | % | ||||||||||||||||||||||||||
Projected Collateral Losses | 3.7 | % | 79.7 | % | 28 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 0 | % | 41 | % | 21.4 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 4.1 | % | 90.4 | % | 27.9 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 36,030 | Net Discounted Cash Flows | Projected Collateral Prepayments | 8.7 | % | 44.1 | % | 18.7 | % | |||||||||||||||||||||||
Projected Collateral Losses | 20.4 | % | 57.1 | % | 37.8 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 12.2 | % | 32.8 | % | 19.3 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 9.8 | % | 35.5 | % | 24.2 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities and Commercial mortgage loans | 28,873 | Discounted Cash Flows | Yield | 5.2 | % | 17.9 | % | 9.5 | % | |||||||||||||||||||||||
Projected Collateral Losses | 0 | % | 25.1 | % | 3.9 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 0 | % | 88.9 | % | 20.5 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 100 | % | 75.6 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 6,644 | Option Adjusted Spread ("OAS") | LIBOR OAS (2) | 816 | 7,558 | 1,189 | ||||||||||||||||||||||||||
Projected Collateral Prepayments | 81 | % | 100 | % | 92.7 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization (3) | 0 | % | 19 | % | 7.3 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
-1 | Includes securitized debt with a fair value of $1.3 million as of December 31, 2012. | |||||||||||||||||||||||||||||||
-2 | Shown in basis points. | |||||||||||||||||||||||||||||||
-3 | For simplicity of presentation, net negative amortization is disregarded. | |||||||||||||||||||||||||||||||
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2013: | ||||||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||
Description | Min | Max | Average | |||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities and Other asset-backed securities(1) | $ | 618,124 | Market Quotes | Non Binding Indicative Price | $ | 1.8 | $ | 145.25 | $ | 79.48 | ||||||||||||||||||||||
Private label residential mortgage-backed securities | 78,075 | Discounted Cash Flows | Yield | 5.8 | % | 21.7 | % | 7.8 | % | |||||||||||||||||||||||
Projected Collateral Prepayments | 6.2 | % | 64.6 | % | 34.4 | % | ||||||||||||||||||||||||||
Projected Collateral Losses | 1.8 | % | 44.6 | % | 18.8 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 0.2 | % | 19.6 | % | 10.8 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 13.5 | % | 88.5 | % | 36 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 17,296 | Net Discounted Cash Flows | Projected Collateral Prepayments | 19.2 | % | 57 | % | 28.5 | % | |||||||||||||||||||||||
Projected Collateral Losses | 17.1 | % | 49.4 | % | 36.8 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 8 | % | 15.4 | % | 13.1 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 16 | % | 40.5 | % | 21.6 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities and Performing commercial mortgage loans | 38,221 | Market Quotes | Non Binding Indicative Price | $ | 15.13 | $ | 100.33 | $ | 73.84 | |||||||||||||||||||||||
Non-performing commercial mortgage loans | 9,986 | Discounted Cash Flows | Yield | 15 | % | 15 | % | 15 | % | |||||||||||||||||||||||
Months to Resolution | 8 | 10 | 9 | |||||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 32,385 | Market Quotes | Non Binding Indicative Price | $ | 6.42 | $ | 29.63 | $ | 14.59 | |||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 4,648 | Option Adjusted Spread ("OAS") | LIBOR OAS(2) | 408 | 649 | 619 | ||||||||||||||||||||||||||
Projected Collateral Prepayments | 76.8 | % | 100 | % | 92.4 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 23.2 | % | 7.6 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
-1 | Includes securitized debt with a fair value of $1.0 million as of September 30, 2013. | |||||||||||||||||||||||||||||||
-2 | Shown in basis points. | |||||||||||||||||||||||||||||||
Fair Value Measurement Using Significant Unobservable Inputs | ' | |||||||||||||||||||||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||
Three Month Period Ended September 30, 2013 | ||||||||||||||||||||||||||||||||
(In thousands) | Beginning | Accreted | Net Realized | Change in Net | Purchases/ | Sales/ | Transfers In | Ending | ||||||||||||||||||||||||
Balance as of | Discounts / | Gain/ | Unrealized | Payments | Issuances | and/or Out | Balance as of | |||||||||||||||||||||||||
30-Jun-13 | (Amortized | (Loss) | Gain/(Loss) | of Level 3 | 30-Sep-13 | |||||||||||||||||||||||||||
Premiums) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 27,397 | $ | (1,844 | ) | $ | — | $ | 875 | $ | 10,605 | $ | — | $ | — | $ | 37,033 | |||||||||||||||
Private label residential mortgage-backed securities | 694,510 | 7,289 | 11,187 | (5,865 | ) | 106,194 | (161,333 | ) | — | 651,982 | ||||||||||||||||||||||
Private label commercial mortgage-backed securities | 23,906 | 161 | 647 | 139 | 21,760 | (13,342 | ) | — | 33,271 | |||||||||||||||||||||||
Commercial mortgage loans | 7,563 | 31 | — | 411 | 6,931 | — | — | 14,936 | ||||||||||||||||||||||||
Other asset-backed securities | 39,840 | (658 | ) | 38 | 60 | 8,334 | (2,359 | ) | — | 45,255 | ||||||||||||||||||||||
Total investments at fair value | 793,216 | 4,979 | 11,872 | (4,380 | ) | 153,824 | (177,034 | ) | — | 782,477 | ||||||||||||||||||||||
Financial derivatives- assets at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 21,134 | — | (3,113 | ) | 2,995 | 58 | (3,459 | ) | — | 17,615 | ||||||||||||||||||||||
Total financial derivatives- assets at fair value | 21,134 | — | (3,113 | ) | 2,995 | 58 | (3,459 | ) | — | 17,615 | ||||||||||||||||||||||
Total investments and financial derivatives-assets at fair value | $ | 814,350 | $ | 4,979 | $ | 8,759 | $ | (1,385 | ) | $ | 153,882 | $ | (180,493 | ) | $ | — | $ | 800,092 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Financial derivatives- liabilities at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (541 | ) | $ | — | $ | (2 | ) | $ | 222 | $ | — | $ | 2 | $ | — | $ | (319 | ) | |||||||||||||
Total financial derivatives- liabilities at fair value | (541 | ) | — | (2 | ) | 222 | — | 2 | — | (319 | ) | |||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||
Securitized debt | (1,168 | ) | (10 | ) | — | 30 | 110 | — | — | (1,038 | ) | |||||||||||||||||||||
Total securitized debt | (1,168 | ) | (10 | ) | — | 30 | 110 | — | — | (1,038 | ) | |||||||||||||||||||||
Total financial derivatives- liabilities at fair value and securitized debt | $ | (1,709 | ) | $ | (10 | ) | $ | (2 | ) | $ | 252 | $ | 110 | $ | 2 | $ | — | $ | (1,357 | ) | ||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||
Nine Month Period Ended September 30, 2012 | ||||||||||||||||||||||||||||||||
(In thousands) | Beginning | Accreted | Net Realized | Change in | Purchases/ | Sales/ | Transfers In | Ending | ||||||||||||||||||||||||
Balance as of | Discounts / | Gain/ | Net | Payments | Issuances | and/or Out of | Balance as of September 30, 2012 | |||||||||||||||||||||||||
December 31, | (Amortized | (Loss) | Unrealized | Level 3 | ||||||||||||||||||||||||||||
2011 | Premiums) | Gain/(Loss) | ||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
U.S. Treasury and Agency residential mortgage-backed securities | $ | 5,337 | $ | (1,177 | ) | $ | 111 | $ | (679 | ) | $ | 1,929 | $ | (1,160 | ) | $ | — | $ | 3,827 | |||||||||||||
Private label residential mortgage-backed securities | 417,533 | 15,471 | 12,489 | 49,149 | 251,030 | (287,747 | ) | — | 457,925 | |||||||||||||||||||||||
Private label commercial mortgage-backed securities | 16,093 | 527 | 3,213 | 990 | 79,911 | (51,538 | ) | — | 49,196 | |||||||||||||||||||||||
Commercial mortgage loans | 4,400 | 71 | — | 179 | — | — | — | 4,650 | ||||||||||||||||||||||||
Total investments at fair value | 443,363 | 14,358 | 15,813 | 49,639 | 332,870 | (340,445 | ) | — | 515,598 | |||||||||||||||||||||||
Financial derivatives- assets at fair value - | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 61,498 | — | (1,514 | ) | 4,285 | 330 | (33,139 | ) | — | 31,460 | ||||||||||||||||||||||
Total financial derivatives- assets at fair value | 61,498 | — | (1,514 | ) | 4,285 | 330 | (33,139 | ) | — | 31,460 | ||||||||||||||||||||||
Total investments and financial derivatives- assets at fair value | $ | 504,861 | $ | 14,358 | $ | 14,299 | $ | 53,924 | $ | 333,200 | $ | (373,584 | ) | $ | — | $ | 547,058 | |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Securitized debt | $ | — | $ | (44 | ) | $ | — | $ | (30 | ) | $ | 157 | $ | (1,522 | ) | $ | — | $ | (1,439 | ) | ||||||||||||
Total securitized debt | $ | — | $ | (44 | ) | $ | — | $ | (30 | ) | $ | 157 | $ | (1,522 | ) | $ | — | $ | (1,439 | ) | ||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||
Nine Month Period Ended September 30, 2013 | ||||||||||||||||||||||||||||||||
(In thousands) | Beginning | Accreted | Net Realized | Change in Net | Purchases/ | Sales/ | Transfers In | Ending | ||||||||||||||||||||||||
Balance as of | Discounts / | Gain/ | Unrealized | Payments | Issuances | and/or Out | Balance as of | |||||||||||||||||||||||||
December 31, | (Amortized | (Loss) | Gain/(Loss) | of Level 3 | 30-Sep-13 | |||||||||||||||||||||||||||
2012 | Premiums) | |||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 6,644 | $ | (3,846 | ) | $ | — | $ | 1,180 | $ | 33,055 | $ | — | $ | — | $ | 37,033 | |||||||||||||||
Private label residential mortgage-backed securities | 528,366 | 20,401 | 30,977 | 11,518 | 363,056 | (302,336 | ) | — | 651,982 | |||||||||||||||||||||||
Private label commercial mortgage-backed securities | 19,327 | 258 | (477 | ) | 2,612 | 58,928 | (47,377 | ) | — | 33,271 | ||||||||||||||||||||||
Commercial mortgage loans | 9,546 | 58 | 482 | 497 | 9,481 | (5,128 | ) | — | 14,936 | |||||||||||||||||||||||
Other asset-backed securities | — | (775 | ) | 569 | (866 | ) | 56,435 | (10,108 | ) | — | 45,255 | |||||||||||||||||||||
Total investments at fair value | 563,883 | 16,096 | 31,551 | 14,941 | 520,955 | (364,949 | ) | — | 782,477 | |||||||||||||||||||||||
Financial derivatives- assets at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 36,031 | — | (404 | ) | (1,497 | ) | 149 | (16,664 | ) | — | 17,615 | |||||||||||||||||||||
Total financial derivatives- assets at fair value | 36,031 | — | (404 | ) | (1,497 | ) | 149 | (16,664 | ) | — | 17,615 | |||||||||||||||||||||
Total investments and financial derivatives-assets at fair value | $ | 599,914 | $ | 16,096 | $ | 31,147 | $ | 13,444 | $ | 521,104 | $ | (381,613 | ) | $ | — | $ | 800,092 | |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Financial derivatives- liabilities at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (1 | ) | $ | — | $ | (59 | ) | $ | (318 | ) | $ | — | $ | 59 | $ | — | $ | (319 | ) | ||||||||||||
Total financial derivatives- liabilities at fair value | (1 | ) | — | (59 | ) | (318 | ) | — | 59 | — | (319 | ) | ||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||
Securitized debt | (1,335 | ) | (31 | ) | — | 36 | 292 | — | — | (1,038 | ) | |||||||||||||||||||||
Total securitized debt | (1,335 | ) | (31 | ) | — | 36 | 292 | — | — | (1,038 | ) | |||||||||||||||||||||
Total financial derivatives- liabilities at fair value and securitized debt | $ | (1,336 | ) | $ | (31 | ) | $ | (59 | ) | $ | (282 | ) | $ | 292 | $ | 59 | $ | — | $ | (1,357 | ) | |||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||
Three Month Period Ended September 30, 2012 | ||||||||||||||||||||||||||||||||
(In thousands) | Ending | Accreted | Net Realized | Change in Net | Purchases/ | Sales/ | Transfers In | Ending | ||||||||||||||||||||||||
Balance as of | Discounts / | Gain/ | Unrealized | Payments | Issuances | and/or Out | Balance as of | |||||||||||||||||||||||||
June 30, | (Amortized | (Loss) | Gain/(Loss) | of Level 3 | 30-Sep-12 | |||||||||||||||||||||||||||
2012 | Premiums) | |||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 4,667 | $ | (534 | ) | $ | 111 | $ | (314 | ) | $ | 1,057 | $ | (1,160 | ) | $ | — | $ | 3,827 | |||||||||||||
Private label residential mortgage-backed securities | 385,059 | 6,182 | 5,440 | 24,013 | 92,412 | (55,181 | ) | — | 457,925 | |||||||||||||||||||||||
Private label commercial mortgage-backed securities | 28,405 | 271 | 2,905 | (293 | ) | 57,195 | (39,287 | ) | — | 49,196 | ||||||||||||||||||||||
Commercial mortgage loans | 4,650 | 21 | — | (21 | ) | — | — | — | 4,650 | |||||||||||||||||||||||
Total investments at fair value | 422,781 | 5,940 | 8,456 | 23,385 | 150,664 | (95,628 | ) | — | 515,598 | |||||||||||||||||||||||
Financial derivatives- assets at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 38,759 | — | 3,963 | (3,823 | ) | 105 | (7,544 | ) | — | 31,460 | ||||||||||||||||||||||
Total financial derivatives- assets at fair value | 38,759 | — | 3,963 | (3,823 | ) | 105 | (7,544 | ) | — | 31,460 | ||||||||||||||||||||||
Total investments and financial derivatives-assets at fair value | $ | 461,540 | $ | 5,940 | $ | 12,419 | $ | 19,562 | $ | 150,769 | $ | (103,172 | ) | $ | — | $ | 547,058 | |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Securitized debt | $ | (1,415 | ) | $ | (15 | ) | $ | — | $ | (51 | ) | $ | 42 | $ | — | $ | — | $ | (1,439 | ) | ||||||||||||
Total securitized debt | $ | (1,415 | ) | $ | (15 | ) | $ | — | $ | (51 | ) | $ | 42 | $ | — | $ | — | $ | (1,439 | ) | ||||||||||||
Financial_Derivatives_Tables
Financial Derivatives (Tables) | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||
Schedule of Gains and Losses on Derivative Contracts | ' | ||||||||||||||||||
Gains and losses on the Company's derivative contracts for the three and nine month periods ended September 30, 2013 and 2012 are summarized in the tables below: | |||||||||||||||||||
September 30, 2013: | |||||||||||||||||||
Derivative Type | Primary Risk | Net Realized | Change in Net | Net Realized | Change in Net | ||||||||||||||
Exposure | Gain/(Loss) for | Unrealized | Gain/(Loss) for | Unrealized | |||||||||||||||
the Three Month Period Ended | Gain/(Loss) for | the Nine Month Period Ended | Gain/(Loss) for | ||||||||||||||||
30-Sep-13 | the Three Month Period Ended | 30-Sep-13 | the Nine Month Period Ended | ||||||||||||||||
30-Sep-13 | 30-Sep-13 | ||||||||||||||||||
(In thousands) | |||||||||||||||||||
Financial derivatives - assets | |||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (3,113 | ) | $ | 2,995 | $ | (404 | ) | $ | (1,497 | ) | |||||||
Credit default swaps on asset-backed indices | Credit | (181 | ) | (1,011 | ) | (4,302 | ) | 2,503 | |||||||||||
Credit default swaps on corporate bond indices | Credit | (84 | ) | 44 | (3 | ) | — | ||||||||||||
Total return swaps | Equity Market | 907 | (112 | ) | 911 | 15 | |||||||||||||
Interest rate swaps | Interest Rates | (512 | ) | (195 | ) | (229 | ) | 15,768 | |||||||||||
Futures | Interest Rates | 255 | 970 | 103 | 975 | ||||||||||||||
Other | Interest Rates | 67 | (41 | ) | 67 | (41 | ) | ||||||||||||
(2,661 | ) | 2,650 | (3,857 | ) | 17,723 | ||||||||||||||
Financial derivatives - liabilities | |||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | (2 | ) | 222 | (59 | ) | (318 | ) | |||||||||||
Credit default swaps on asset-backed indices | Credit | 339 | 959 | 539 | 1,772 | ||||||||||||||
Credit default swaps on corporate bond indices | Credit | (2,985 | ) | (1,959 | ) | (7,517 | ) | (1,759 | ) | ||||||||||
Total return swaps | Equity Market | (53 | ) | 96 | (448 | ) | 43 | ||||||||||||
Interest rate swaps | Interest Rates | (10 | ) | (4,099 | ) | 282 | (2,997 | ) | |||||||||||
Futures | Interest Rates | (1,029 | ) | 82 | (1,673 | ) | 70 | ||||||||||||
Other | Interest Rates/Equity Market | (41 | ) | 44 | (41 | ) | 44 | ||||||||||||
(3,781 | ) | (4,655 | ) | (8,917 | ) | (3,145 | ) | ||||||||||||
Total | $ | (6,442 | ) | $ | (2,005 | ) | $ | (12,774 | ) | $ | 14,578 | ||||||||
September 30, 2012: | |||||||||||||||||||
Derivative Type | Primary Risk | Net Realized | Change in Net | Net Realized | Change in Net | ||||||||||||||
Exposure | Gain/(Loss) for | Unrealized | Gain/(Loss) for | Unrealized | |||||||||||||||
the Three Month Period Ended | Gain/(Loss) for | the Nine Month Period Ended | Gain/(Loss) for | ||||||||||||||||
30-Sep-12 | the Three Month Period Ended | 30-Sep-12 | the Nine Month Period Ended | ||||||||||||||||
30-Sep-12 | 30-Sep-12 | ||||||||||||||||||
(In thousands) | |||||||||||||||||||
Financial derivatives - assets | |||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | $ | 3,963 | $ | (3,823 | ) | $ | (1,514 | ) | $ | 4,285 | ||||||||
Credit default swaps on asset-backed indices | Credit | (134 | ) | (4,174 | ) | (7,200 | ) | (6,442 | ) | ||||||||||
Credit default swaps on corporate bond indices | Credit | 12 | (602 | ) | (1,548 | ) | 570 | ||||||||||||
Total return swaps | Equity Market | (1,520 | ) | 257 | (1,520 | ) | 257 | ||||||||||||
Interest rate swaps | Interest Rates | — | 495 | 49 | 417 | ||||||||||||||
Futures | Interest Rates | (15 | ) | — | (32 | ) | (12 | ) | |||||||||||
2,306 | (7,847 | ) | (11,765 | ) | (925 | ) | |||||||||||||
Financial derivatives - liabilities | |||||||||||||||||||
Credit default swaps on asset-backed indices | Credit | (190 | ) | 1,543 | 4,372 | 650 | |||||||||||||
Credit default swaps on corporate bond indices | Credit | (160 | ) | 11 | 143 | 11 | |||||||||||||
Total return swaps | Equity Market | 1,066 | 252 | (2,262 | ) | 273 | |||||||||||||
Interest rate swaps | Interest Rates | (6,209 | ) | 3,410 | (22,157 | ) | 15,093 | ||||||||||||
Futures | Interest Rates | — | (33 | ) | — | (87 | ) | ||||||||||||
(5,493 | ) | 5,183 | (19,904 | ) | 15,940 | ||||||||||||||
Total | $ | (3,187 | ) | $ | (2,664 | ) | $ | (31,669 | ) | $ | 15,015 | ||||||||
Schedule of Credit Derivatives | ' | ||||||||||||||||||
Written credit derivatives held by the Company at September 30, 2013 and December 31, 2012, are summarized below: | |||||||||||||||||||
Credit Default Swaps on Asset-Backed Indices | Amount at | Amount at | |||||||||||||||||
30-Sep-13 | December 31, 2012 | ||||||||||||||||||
(In thousands) | |||||||||||||||||||
Fair Value of Written Credit Derivatives, Net | $ | (19,248 | ) | $ | (11,986 | ) | |||||||||||||
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | — | $ | (717 | ) | ||||||||||||||
Notional Amount of Written Credit Derivatives (2) | $ | (64,780 | ) | $ | (40,216 | ) | |||||||||||||
Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | — | $ | 7,792 | |||||||||||||||
-1 | Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation. | ||||||||||||||||||
-2 | The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional amount of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional amount of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. |
LongTerm_Incentive_Plan_Units_
Long-Term Incentive Plan Units (Tables) | 9 Months Ended | |||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ' | |||||||||||||||||
Roll-Forward of Company's LTIP Units Outstanding | ' | |||||||||||||||||
Detailed below is a roll-forward of the Company's LTIP units outstanding for the three month periods ended September 30, 2013 and 2012: | ||||||||||||||||||
Three Month Period Ended | Three Month Period Ended | |||||||||||||||||
30-Sep-13 | 30-Sep-12 | |||||||||||||||||
Manager | Director/ | Total | Manager | Director/ | Total | |||||||||||||
Employee | Employee | |||||||||||||||||
LTIP Units Outstanding (6/30/2013 and 6/30/2012, respectively) | 375,000 | 22,096 | 397,096 | 375,000 | 15,500 | 390,500 | ||||||||||||
Granted | — | 5,466 | 5,466 | — | 5,346 | 5,346 | ||||||||||||
Exercised | — | (1,782 | ) | (1,782 | ) | — | — | — | ||||||||||
LTIP Units Outstanding (9/30/2013 and 9/30/2012, respectively) | 375,000 | 25,780 | 400,780 | 375,000 | 20,846 | 395,846 | ||||||||||||
LTIP Units Vested and Outstanding (9/30/2013 and 9/30/2012, respectively) | 375,000 | 17,814 | 392,814 | 375,000 | 12,500 | 387,500 | ||||||||||||
Detailed below is a roll-forward of the Company's LTIP units outstanding for the nine month periods ended September 30, 2013 and 2012: | ||||||||||||||||||
Nine Month Period Ended | Nine Month Period Ended | |||||||||||||||||
30-Sep-13 | 30-Sep-12 | |||||||||||||||||
Manager | Director/ | Total | Manager | Director/ | Total | |||||||||||||
Employee | Employee | |||||||||||||||||
LTIP Units Outstanding (12/31/2012 and 12/31/2011, respectively) | 375,000 | 22,096 | 397,096 | 375,000 | 15,500 | 390,500 | ||||||||||||
Granted | — | 5,466 | 5,466 | — | 5,346 | 5,346 | ||||||||||||
Exercised | — | (1,782 | ) | (1,782 | ) | — | — | — | ||||||||||
LTIP Units Outstanding (9/30/2013 and 9/30/2012, respectively) | 375,000 | 25,780 | 400,780 | 375,000 | 20,846 | 395,846 | ||||||||||||
LTIP Units Vested and Outstanding (9/30/2013 and 9/30/2012, respectively) | 375,000 | 17,814 | 392,814 | 375,000 | 12,500 | 387,500 | ||||||||||||
Common_Share_Capitalization_Ta
Common Share Capitalization (Tables) | 9 Months Ended | |||||
Sep. 30, 2013 | ||||||
Stockholders' Equity Note [Abstract] | ' | |||||
Summary of Common Shares Outstanding | ' | |||||
Detailed below is a roll-forward of the Company's common shares outstanding for the three month periods ended September 30, 2013 and 2012: | ||||||
Three Month Period Ended | Three Month Period Ended | |||||
30-Sep-13 | 30-Sep-12 | |||||
Common Shares Outstanding | 25,412,011 | 16,447,651 | ||||
(6/30/2013 and 6/30/2012, respectively) | ||||||
Share Activity: | ||||||
Shares issued | — | 4,025,000 | ||||
Shares issued in connection with incentive fee payment | 5,144 | 11,045 | ||||
Director LTIP units exercised | 1,782 | — | ||||
Common Shares Outstanding | 25,418,937 | 20,483,696 | ||||
(9/30/2013 and 9/30/2012, respectively) | ||||||
Detailed below is a roll-forward of the Company's common shares outstanding for the nine month periods ended September 30, 2013 and 2012: | ||||||
Nine Month Period Ended | Nine Month Period Ended | |||||
30-Sep-13 | 30-Sep-12 | |||||
Common Shares Outstanding | 20,370,469 | 16,447,651 | ||||
(12/31/2012 and 12/31/2011, respectively) | ||||||
Share Activity: | ||||||
Shares issued | 5,000,000 | 4,025,000 | ||||
Shares issued in connection with incentive fee payment | 46,686 | 11,045 | ||||
Director LTIP units exercised | 1,782 | — | ||||
Common Shares Outstanding | 25,418,937 | 20,483,696 | ||||
(9/30/2013 and 9/30/2012, respectively) | ||||||
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||||||
Computation Of Basic And Diluted EPS | ' | |||||||||||||||
The components of the computation of basic and diluted EPS were as follows: | ||||||||||||||||
Three Month Period Ended | Nine Month Period Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||
(In thousands except share amounts) | ||||||||||||||||
Net increase in equity resulting from operations | $ | 11,823 | $ | 29,537 | $ | 64,274 | $ | 72,360 | ||||||||
Less: Net increase in equity resulting from operations attributable to non-controlling interest | 96 | — | 612 | — | ||||||||||||
Net increase in shareholders' equity resulting from operations | 11,727 | 29,537 | 63,662 | 72,360 | ||||||||||||
Net increase in shareholders' equity resulting from operations available to common share and LTIP unit holders: | ||||||||||||||||
Net increase in shareholders' equity resulting from operations– common shares | 11,546 | 28,914 | 62,579 | 70,736 | ||||||||||||
Net increase in shareholders' equity resulting from operations– LTIP units | 181 | 623 | 1,083 | 1,624 | ||||||||||||
Dividends Paid(1): | ||||||||||||||||
Common shareholders | (19,571 | ) | (13,971 | ) | (70,152 | ) | (32,063 | ) | ||||||||
LTIP unit holders | (306 | ) | (273 | ) | (1,216 | ) | (703 | ) | ||||||||
Non-controlling interest | (163 | ) | — | (648 | ) | — | ||||||||||
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | (20,040 | ) | (14,244 | ) | (72,016 | ) | (32,766 | ) | ||||||||
Undistributed earnings: | ||||||||||||||||
Common shareholders | (8,025 | ) | 14,943 | (7,573 | ) | 38,673 | ||||||||||
LTIP unit holders | (125 | ) | 350 | (133 | ) | 921 | ||||||||||
Non-controlling interest | (67 | ) | — | (36 | ) | — | ||||||||||
Total undistributed earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | $ | (8,217 | ) | $ | 15,293 | $ | (7,742 | ) | $ | 39,594 | ||||||
Weighted average shares outstanding (basic and diluted): | ||||||||||||||||
Weighted average common shares outstanding | 25,415,809 | 18,161,224 | 22,968,604 | 17,023,011 | ||||||||||||
Weighted average participating LTIP units | 397,897 | 391,604 | 397,366 | 390,871 | ||||||||||||
Weighted average non-controlling interest units | 212,000 | — | 212,000 | — | ||||||||||||
Basic earnings per common share: | ||||||||||||||||
Distributed | $ | 0.77 | $ | 0.7 | $ | 3.06 | $ | 1.8 | ||||||||
Undistributed (Distributed in excess of) | (0.32 | ) | 0.89 | (0.33 | ) | 2.35 | ||||||||||
$ | 0.45 | $ | 1.59 | $ | 2.73 | $ | 4.15 | |||||||||
Diluted earnings per common share: | ||||||||||||||||
Distributed | $ | 0.77 | $ | 0.7 | $ | 3.06 | $ | 1.8 | ||||||||
Undistributed (Distributed in excess of) | (0.32 | ) | 0.89 | (0.33 | ) | 2.35 | ||||||||||
$ | 0.45 | $ | 1.59 | $ | 2.73 | $ | 4.15 | |||||||||
-1 | The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings. |
Counterparty_Risk_Tables
Counterparty Risk (Tables) | 9 Months Ended | ||
Sep. 30, 2013 | |||
Risks and Uncertainties [Abstract] | ' | ||
% Of Total Collateral On Reverse Repurchase Agreements | ' | ||
The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.6 billion in collateral for various reverse repurchase agreements as of September 30, 2013. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $88.4 million were held in custody at the Bank of New York Mellon Corporation. | |||
Dealer | % of Total | ||
Collateral on | |||
Reverse Repurchase | |||
Agreements | |||
Deutsche Bank | 18% | ||
% Of Total Deposits With Dealers Held As Collateral | ' | ||
The following table details the percentage of collateral amounts held by dealers who hold greater than 15% of the Company's Due from Brokers, included as of September 30, 2013: | |||
Dealer | % of Total Due | ||
from Brokers | |||
Citigroup | 38% | ||
J.P. Morgan Securities Inc. | 19% | ||
Morgan Stanley | 15% | ||
% Of Total Receivable For Securities Sold | ' | ||
The following table details the percentage of amounts held by dealers who hold greater than 15% of the Company's Receivable for securities sold as of September 30, 2013: | |||
Dealer | % of Total Receivable | ||
for Securities Sold | |||
Credit Suisse First Boston LLC | 26% | ||
Morgan Stanley | 25% |
Offsetting_Assets_and_Liabilit1
Offsetting Assets and Liabilities (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Offsetting of Assets and Liabilities [Abstract] | ' | ||||||||||||||||
Offsetting of Assets and Liabilities [Table Text Block] | ' | ||||||||||||||||
The following tables present information about certain assets and liabilities representing financial instruments as of September 30, 2013 and December 31, 2012. The Company has not entered into master netting agreements with any of its counterparties. | |||||||||||||||||
September 30, 2013: | |||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity(1) | Financial Instruments(2)(3) | Cash Collateral (Received) Pledged(3) | Net Amount | |||||||||||||
(In thousands) | |||||||||||||||||
Assets | |||||||||||||||||
Financial Derivative Assets- Gross | $ | 43,567 | |||||||||||||||
Financial Derivative Assets-Net | $ | 10,110 | $ | — | $ | 33,692 | $ | 43,802 | |||||||||
Repurchase Agreements | $ | 40,994 | |||||||||||||||
Repurchase Agreements-Net | $ | — | $ | — | $ | — | $ | — | |||||||||
Liabilities | |||||||||||||||||
Financial Derivative Liabilities- Gross | $ | (33,457 | ) | ||||||||||||||
Financial Derivative Liabilities-Net | $ | — | $ | — | $ | — | $ | — | |||||||||
Reverse Repurchase Agreements | $ | (1,345,223 | ) | ||||||||||||||
Reverse Repurchase Agreements- Net | $ | (1,304,229 | ) | $ | 1,300,616 | $ | 3,613 | $ | — | ||||||||
December 31, 2012: | |||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity(1) | Financial Instruments(2)(3) | Cash Collateral (Received) Pledged(3) | Net Amount | |||||||||||||
(In thousands) | |||||||||||||||||
Assets | |||||||||||||||||
Financial Derivative Assets- Gross | $ | 48,504 | |||||||||||||||
Financial Derivative Assets-Net | $ | 33,292 | $ | — | $ | (13,188 | ) | $ | 20,104 | ||||||||
Repurchase Agreements | $ | 13,650 | |||||||||||||||
Repurchase Agreements-Net | $ | — | $ | — | $ | — | $ | — | |||||||||
Liabilities | |||||||||||||||||
Financial Derivative Liabilities- Gross | $ | (15,212 | ) | ||||||||||||||
Financial Derivative Liabilities-Net | $ | — | $ | — | $ | — | $ | — | |||||||||
Reverse Repurchase Agreements | $ | (905,718 | ) | ||||||||||||||
Reverse Repurchase Agreements- Net | $ | (892,068 | ) | $ | 887,940 | $ | 4,128 | $ | — | ||||||||
-1 | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with the repurchase agreements, reverse repurchase agreements, and derivatives transactions are presented on a gross basis. | ||||||||||||||||
-2 | Amounts disclosed in the Financial Instruments column of the table represent collateral that is available to be offset against balances associated with repurchase and reverse repurchase agreements. For the purposes of the table above, total financial instruments and cash collateral (received) pledged can not exceed the gross amount of assets and (liabilities) as presented above. Therefore we have reduced the amount of financial instruments related to our repurchase and reverse repurchase agreements in the table above. Total financial instruments for September 30, 2013 and December 31, 2012 were $1.60 billion and $1.05 billion, respectively. | ||||||||||||||||
-3 | As collateral is called or posted per counterparty it is generally called or posted across all positions with each respective counterparty. |
Financial_Highlights_Tables
Financial Highlights (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Financial Highlights [Abstract] | ' | |||||||||||||||
Results of Operations For a Share Outstanding | ' | |||||||||||||||
Results of Operations for a Share Outstanding Throughout the Periods: | ||||||||||||||||
Three Month Period Ended | Three Month Period Ended | Nine Month Period Ended | Nine Month Period Ended | |||||||||||||
30-Sep-13 | 30-Sep-12 | 30-Sep-13 | 30-Sep-12 | |||||||||||||
Beginning Shareholders' Equity Per Share (6/30/2013, 6/30/2012, 12/31/2012, and 12/31/2011, respectively) | $ | 24.92 | $ | 24.03 | $ | 24.86 | $ | 22.55 | ||||||||
Net Investment Income | 0.57 | 0.04 | 1.62 | 1.21 | ||||||||||||
Net Realized/Unrealized Gains (Losses) | (0.10 | ) | 1.59 | 1.18 | 3.04 | |||||||||||
Results of Operations Attributable to Equity | 0.47 | 1.63 | 2.8 | 4.25 | ||||||||||||
Less: Results of Operations Attributable to Non-controlling Interest | — | — | (0.03 | ) | — | |||||||||||
Results of Operations Attributable to Shareholders' Equity(1) | 0.47 | 1.63 | 2.77 | 4.25 | ||||||||||||
Dividends Paid to Common Shareholders | (0.77 | ) | (0.70 | ) | (3.06 | ) | (1.80 | ) | ||||||||
Weighted Average Share Impact on Dividends Paid (2) | (0.02 | ) | (0.08 | ) | (0.08 | ) | (0.12 | ) | ||||||||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs) and Share Repurchases | (0.01 | ) | (0.54 | ) | 0.1 | (0.54 | ) | |||||||||
Ending Shareholders' Equity Per Share (9/30/2013, 9/30/2012, 9/30/2013, and 9/30/2012, respectively)(3) | $ | 24.59 | $ | 24.34 | $ | 24.59 | $ | 24.34 | ||||||||
Shares Outstanding, end of period | 25,418,937 | 20,483,696 | 25,418,937 | 20,483,696 | ||||||||||||
-1 | Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 9). | |||||||||||||||
-2 | Per share impact on dividends paid relating to share issuances/repurchases during the period as well as dividends paid to LTIP and OP Unit holders. | |||||||||||||||
-3 | If all LTIP units and OP Units (if applicable) previously issued were vested and exchanged for common shares as of September 30, 2013 and 2012, shareholders' equity per share would be $24.19 and $23.88, respectively. | |||||||||||||||
Net Asset Based Total Return For a Shareholder | ' | |||||||||||||||
The following table illustrates the Company's total return for the periods presented based on net asset value: | ||||||||||||||||
Net Asset Based Total Return for a Shareholder: (1) | ||||||||||||||||
Three Month | Three Month | Nine Month | Nine Month | |||||||||||||
Period Ended | Period Ended | Period Ended | Period Ended | |||||||||||||
30-Sep-13 | 30-Sep-12 | 30-Sep-13 | 30-Sep-12 | |||||||||||||
Total Return | 1.82% | 4.25% | 11.57% | 16.31% | ||||||||||||
-1 | Total return is calculated for all shareholders' equity accounts taken as a whole for each period. Total return is calculated assuming reinvestment of all distributions at shareholders' equity per share during the period. | |||||||||||||||
Net Asset Based Total Return For a Shareholder Assuming Conversion of All LTIP and OP Units | ' | |||||||||||||||
Supplemental Information—Net Asset Based Total Return for a Shareholder assuming conversion of all LTIP and OP Units: (1) | ||||||||||||||||
Three Month Period Ended | Nine Month Period Ended | |||||||||||||||
30-Sep-13 | 30-Sep-13 | |||||||||||||||
Total Return | 0.16% | 9.75% | ||||||||||||||
-1 | Total return is calculated assuming all LTIP and OP Units had been converted into common shares at September 30, 2013. Total return represents all shareholders' equity accounts outstanding for the entire period. LTIP and OP Units outstanding at September 30, 2013 totaled 612,780 and represent 2.35% of total common shares and LTIP and OP Units outstanding as of that date. | |||||||||||||||
Net Investment Income Ratio to Average Equity | ' | |||||||||||||||
Net Investment Income Ratio to Average Equity: (1) | ||||||||||||||||
Three Month | Three Month | Nine Month | Nine Month | |||||||||||||
Period Ended | Period Ended | Period Ended | Period Ended | |||||||||||||
30-Sep-13 | 30-Sep-12 | 30-Sep-13 | 30-Sep-12 | |||||||||||||
Net Investment Income (2) | 9.99% | 7.04% | 8.89% | 7.65% | ||||||||||||
-1 | Average equity is calculated using month end values. | |||||||||||||||
-2 | Includes incentive fee in calculation which can vary substantially over periods. | |||||||||||||||
Expense Ratios to Average Equity | ' | |||||||||||||||
Expense Ratios to Average Equity: (1) | ||||||||||||||||
Three Month | Three Month | Nine Month | Nine Month | |||||||||||||
Period Ended | Period Ended | Period Ended | Period Ended | |||||||||||||
30-Sep-13 | 30-Sep-12 | 30-Sep-13 | 30-Sep-12 | |||||||||||||
Operating expenses before incentive fee, interest expense, and other investment related expenses | -2.67% | -2.93% | -2.77% | -2.97% | ||||||||||||
Incentive fee | -0.32% | -2.14% | -0.91% | -2.88% | ||||||||||||
Interest expense and other investment related expenses | -2.11% | -1.74% | -1.94% | -1.88% | ||||||||||||
Total Expenses | -5.10% | -6.81% | -5.62% | -7.73% | ||||||||||||
-1 | Average equity is calculated using month end values. |
Organization_and_Investment_Ob1
Organization and Investment Objective Narrative (Details) (Parent [Member]) | Sep. 30, 2013 |
Parent [Member] | ' |
Organization, Consolidation and Presentation of Financial Statements [Line Items] | ' |
Ownership Percentage | 99.20% |
Significant_Accounting_Policie2
Significant Accounting Policies (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Aug. 31, 2010 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | ||||
counterparties | counterparties | Long-Term Incentive Plan Units [Member] | Long-Term Incentive Plan Units [Member] | TBA - Fixed Rate Agency Securities [Member] | TBA - Fixed Rate Agency Securities [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Maximum [Member] | Maximum [Member] | Minimum [Member] | Minimum [Member] | Weighted Average [Member] | Weighted Average [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Total Return Swaps [Member] | Total Return Swaps [Member] | Credit Default Swaps [Member] | Credit Default Swaps [Member] | Futures [Member] | Futures [Member] | JP Morgan Prime Money Market Premier Fund [Member] | Bank of New York Mellon Corporation [Member] | |||||
Non-Manager [Member] | Non-Employees [Member] | |||||||||||||||||||||||||||
Significant Accounting Policies [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Fair Value, Concentration of Risk, Cash and Cash Equivalents | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 27.00% | 73.00% | ||||
Percentage of average monthly notional amount | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 181.00% | 92.00% | 217.00% | 87.00% | 137.00% | 78.00% | 227.00% | 57.00% | ' | ' | ||||
Reverse repurchase agreements remaining terms | ' | ' | ' | ' | ' | ' | ' | ' | '180 days | '180 days | '3 days | '10 days | '65 days | '57 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Reverse repurchase agreements interest rate | ' | ' | ' | ' | ' | ' | ' | ' | 2.28% | 2.31% | 0.34% | 0.37% | 0.92% | 0.77% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Percentage of open reserve repurchase agreements | 20.00% | 67.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Number of counterparties | 1 | 2 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Fair value of asset subject to resecuritization | $2,300,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Fair Value | 1,851,751,000 | 1,375,116,000 | ' | ' | 123,131,000 | [1],[2],[3] | 43,610,000 | [1],[4],[5] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Receivable for securities sold | 926,638,000 | 626,919,000 | ' | ' | 808,800,000 | 608,500,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Investments sold short at fair value- | -860,128,000 | -622,301,000 | ' | ' | ' | ' | -819,334,000 | [1],[6] | -608,720,000 | [1],[7] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Payable for securities purchased | 230,650,000 | 57,333,000 | ' | ' | ' | ' | 120,900,000 | 43,800,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Net short position, TBA | ' | ' | ' | ' | ' | ' | ($696,200,000) | ($565,100,000) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Vesting period | ' | ' | '1 year | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
LTIP vesting period | ' | ' | ' | '3 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
[1] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||||||||||||||||||||||||||
[2] | The table below shows the ratings on the Company's long investments from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."Rating Description Percent ofEquityUnrated but Agency-Guaranteed 175.66%Aaa/AAA/AAA 0.00%Aa/AA/AA 0.00%A/A/A 0.48%Baa/BBB/BBB 2.53%Ba/BB/BB or below 110.32%Unrated 5.03% | |||||||||||||||||||||||||||
[3] | At September 30, 2013, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 104.50%, 59.09%, and 12.07% of equity, respectively. | |||||||||||||||||||||||||||
[4] | At December 31, 2012, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 119.78%, 40.49%, and 1.25% of equity, respectively. | |||||||||||||||||||||||||||
[5] | The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."Rating Description Percent ofEquityUnrated but Agency-Guaranteed 161.52%Aaa/AAA/AAA 0.01%Aa/AA/AA 0.26%A/A/A 1.02%Baa/BBB/BBB 3.70%Ba/BB/BB or below 102.40%Unrated 2.66% | |||||||||||||||||||||||||||
[6] | At September 30, 2013, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 107.05% and 23.04% of equity, respectively. | |||||||||||||||||||||||||||
[7] | At December 31, 2012, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 105.27% and 14.95% of equity, respectively. |
Valuation_Schedule_Of_Financia
Valuation (Schedule Of Financial Instruments) (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | $43,567 | $48,504 | ||
Fair value | 40,994 | [1] | 13,650 | [1] |
Investments sold short at fair value- | -860,128 | -622,301 | ||
Financial derivatives-liabilities at fair value- | -33,457 | -15,212 | ||
Level 1 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Cash and cash equivalents | 186,737 | 59,084 | ||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | 976 | 0 | ||
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt | -1 | -70 | ||
Level 1 [Member] | Investments Sold Short [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short at fair value- | 0 | 0 | ||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -1 | -70 | ||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Put Option [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | ' | ||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Futures [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -1 | -70 | ||
Level 1 [Member] | Securitized Debt [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Securitized debt | 0 | 0 | ||
Level 1 [Member] | Investments [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 0 | 0 | ||
Level 1 [Member] | Investments [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 0 | 0 | ||
Level 1 [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 0 | 0 | ||
Level 1 [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 0 | 0 | ||
Level 1 [Member] | Investments [Member] | Commercial Mortgage Loans [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 0 | 0 | ||
Level 1 [Member] | Investments [Member] | Asset-backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 0 | ' | ||
Level 1 [Member] | Financial Derivatives - Assets [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 976 | 0 | ||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | 0 | ||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | 0 | ||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | 0 | ||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | ' | ||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Put Option [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | ' | ||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Futures [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 976 | ' | ||
Level 1 [Member] | Repurchase Agreements [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Fair value | 0 | 0 | ||
Level 2 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Cash and cash equivalents | 0 | 0 | ||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | 1,135,244 | 837,356 | ||
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt | -893,265 | -637,442 | ||
Level 2 [Member] | Investments Sold Short [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short at fair value- | -860,128 | -622,301 | ||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -33,137 | -15,141 | ||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -9,679 | -484 | ||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -19,310 | -13,468 | ||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -4,122 | -1,124 | ||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -22 | -65 | ||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Put Option [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -4 | ' | ||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Futures [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 2 [Member] | Securitized Debt [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Securitized debt | 0 | 0 | ||
Level 2 [Member] | Investments [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 1,069,274 | 811,233 | ||
Level 2 [Member] | Investments [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 1,069,274 | 811,233 | ||
Level 2 [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 0 | 0 | ||
Level 2 [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 0 | 0 | ||
Level 2 [Member] | Investments [Member] | Commercial Mortgage Loans [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 0 | 0 | ||
Level 2 [Member] | Investments [Member] | Asset-backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 0 | ' | ||
Level 2 [Member] | Financial Derivatives - Assets [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 24,976 | 12,473 | ||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 9,184 | 12,468 | ||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | 0 | ||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 15,773 | 5 | ||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 15 | ' | ||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Put Option [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 4 | ' | ||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Futures [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | ' | ||
Level 2 [Member] | Repurchase Agreements [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Fair value | 40,994 | 13,650 | ||
Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Cash and cash equivalents | 0 | 0 | ||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | 800,092 | 599,914 | ||
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt | -1,357 | -1,336 | ||
Level 3 [Member] | Investments Sold Short [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short at fair value- | 0 | 0 | ||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -319 | -1 | ||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -319 | -1 | ||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Put Option [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | ' | ||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Futures [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||
Level 3 [Member] | Securitized Debt [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Securitized debt | -1,038 | -1,335 | ||
Level 3 [Member] | Investments [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 782,477 | 563,883 | ||
Level 3 [Member] | Investments [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 37,033 | 6,644 | ||
Level 3 [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 651,982 | 528,366 | ||
Level 3 [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 33,271 | 19,327 | ||
Level 3 [Member] | Investments [Member] | Commercial Mortgage Loans [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 14,936 | 9,546 | ||
Level 3 [Member] | Investments [Member] | Asset-backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 45,255 | ' | ||
Level 3 [Member] | Financial Derivatives - Assets [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 17,615 | 36,031 | ||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | 0 | ||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 17,615 | 36,031 | ||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | 0 | ||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | ' | ||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Put Option [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | ' | ||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Futures [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 0 | ' | ||
Level 3 [Member] | Repurchase Agreements [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Fair value | 0 | 0 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Cash and cash equivalents | 186,737 | 59,084 | ||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | 1,936,312 | 1,437,270 | ||
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt | -894,623 | -638,848 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments Sold Short [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short at fair value- | -860,128 | -622,301 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -33,457 | -15,212 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -9,679 | -484 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -19,310 | -13,468 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -319 | -1 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -4,122 | -1,124 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -22 | -65 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Put Option [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -4 | ' | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Futures [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -1 | -70 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Securitized Debt [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Securitized debt | -1,038 | -1,335 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 1,851,751 | 1,375,116 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 1,106,307 | 817,877 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 651,982 | 528,366 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 33,271 | 19,327 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Commercial Mortgage Loans [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 14,936 | 9,546 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Asset-backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments at fair value- | 45,255 | ' | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 43,567 | 48,504 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 9,184 | 12,468 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 17,615 | 36,031 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 15,773 | 5 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 15 | ' | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Put Option [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 4 | ' | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Futures [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 976 | ' | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Repurchase Agreements [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Fair value | 40,994 | 13,650 | ||
Fair Value, Measurements, Recurring [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Transfers of financial instruments between Level 1, Level 2, or Level 3 | $0 | $0 | ||
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with the repurchase agreements, reverse repurchase agreements, and derivatives transactions are presented on a gross basis. |
Valuation_Schedule_Of_Signific
Valuation (Schedule Of Significant Unobservable Inputs, Qualitative Information) (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2013 | Dec. 31, 2012 | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Securitized debt | 1,038,000 | 1,335,000 | ||
Level 3 [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 800,092,000 | 599,914,000 | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities, Other asset-backed securities, and Securitized Debt [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 618,124,000 | [1] | ' | |
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities, Other asset-backed securities, and Securitized Debt [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 1.8 | [1] | ' | |
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities, Other asset-backed securities, and Securitized Debt [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 145.25 | [1] | ' | |
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities, Other asset-backed securities, and Securitized Debt [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 79.48 | [1] | ' | |
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 38,221,000 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 15.13 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 100.33 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 73.84 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 32,385,000 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 6.42 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 29.63 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 14.59 | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities and Securitized Debt [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | ' | 527,031,000 | [2] | |
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities and Securitized Debt [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | ' | 2.60% | [2] | |
Projected Collateral Prepayments | ' | 0.70% | [2] | |
Projected Collateral Losses | ' | 3.70% | [2] | |
Projected Collateral Recoveries | ' | 0.00% | [2] | |
Projected Collateral Scheduled Amortization | ' | 4.10% | [2] | |
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities and Securitized Debt [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | ' | 29.10% | [2] | |
Projected Collateral Prepayments | ' | 64.60% | [2] | |
Projected Collateral Losses | ' | 79.70% | [2] | |
Projected Collateral Recoveries | ' | 41.00% | [2] | |
Projected Collateral Scheduled Amortization | ' | 90.40% | [2] | |
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities and Securitized Debt [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | ' | 7.80% | [2] | |
Projected Collateral Prepayments | ' | 22.70% | [2] | |
Projected Collateral Losses | ' | 28.00% | [2] | |
Projected Collateral Recoveries | ' | 21.40% | [2] | |
Projected Collateral Scheduled Amortization | ' | 27.90% | [2] | |
Total Outstanding Collateral | ' | 100.00% | [2] | |
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 78,075,000 | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage-Backed Securities [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 5.80% | ' | ||
Projected Collateral Prepayments | 6.20% | ' | ||
Projected Collateral Losses | 1.80% | ' | ||
Projected Collateral Recoveries | 0.20% | ' | ||
Projected Collateral Scheduled Amortization | 13.50% | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage-Backed Securities [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 21.70% | ' | ||
Projected Collateral Prepayments | 64.60% | ' | ||
Projected Collateral Losses | 44.60% | ' | ||
Projected Collateral Recoveries | 19.60% | ' | ||
Projected Collateral Scheduled Amortization | 88.50% | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage-Backed Securities [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 7.80% | ' | ||
Projected Collateral Prepayments | 34.40% | ' | ||
Projected Collateral Losses | 18.80% | ' | ||
Projected Collateral Recoveries | 10.80% | ' | ||
Projected Collateral Scheduled Amortization | 36.00% | ' | ||
Total Outstanding Collateral | 100.00% | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 17,296,000 | 36,030,000 | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Projected Collateral Prepayments | 19.20% | 8.70% | ||
Projected Collateral Losses | 17.10% | 20.40% | ||
Projected Collateral Recoveries | 8.00% | 12.20% | ||
Projected Collateral Scheduled Amortization | 16.00% | 9.80% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Projected Collateral Prepayments | 57.00% | 44.10% | ||
Projected Collateral Losses | 49.40% | 57.10% | ||
Projected Collateral Recoveries | 15.40% | 32.80% | ||
Projected Collateral Scheduled Amortization | 40.50% | 35.50% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Projected Collateral Prepayments | 28.50% | 18.70% | ||
Projected Collateral Losses | 36.80% | 37.80% | ||
Projected Collateral Recoveries | 13.10% | 19.30% | ||
Projected Collateral Scheduled Amortization | 21.60% | 24.20% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | ' | 28,873,000 | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | ' | 5.20% | ||
Projected Collateral Losses | ' | 0.00% | ||
Projected Collateral Recoveries | ' | 0.00% | ||
Projected Collateral Scheduled Amortization | ' | 0.00% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | ' | 17.90% | ||
Projected Collateral Losses | ' | 25.10% | ||
Projected Collateral Recoveries | ' | 88.90% | ||
Projected Collateral Scheduled Amortization | ' | 100.00% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | ' | 9.50% | ||
Projected Collateral Losses | ' | 3.90% | ||
Projected Collateral Recoveries | ' | 20.50% | ||
Projected Collateral Scheduled Amortization | ' | 75.60% | ||
Total Outstanding Collateral | ' | 100.00% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Commercial Mortgage Loans [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 9,986,000 | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Commercial Mortgage Loans [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 15.00% | ' | ||
Months to Resolution | '8 months | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Commercial Mortgage Loans [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 15.00% | ' | ||
Months to Resolution | '10 months | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Commercial Mortgage Loans [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 15.00% | ' | ||
Months to Resolution | '9 months | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 4,648,000 | 6,644,000 | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Projected Collateral Prepayments | 76.80% | 81.00% | ||
Projected Collateral Scheduled Amortization | 0.00% | 0.00% | [3] | |
LIBOR OAS | 4.08% | [4] | 8.16% | [4] |
Level 3 [Member] | Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Projected Collateral Prepayments | 100.00% | 100.00% | ||
Projected Collateral Scheduled Amortization | 23.20% | 19.00% | [3] | |
LIBOR OAS | 6.49% | [4] | 75.58% | [4] |
Level 3 [Member] | Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Projected Collateral Prepayments | 92.40% | 92.70% | ||
Projected Collateral Scheduled Amortization | 7.60% | 7.30% | [3] | |
LIBOR OAS | 6.19% | [4] | 11.89% | [4] |
Total Outstanding Collateral | 100.00% | 100.00% | ||
[1] | Includes securitized debt with a fair value of $1.0 million as of September 30, 2013. | |||
[2] | Includes securitized debt with a fair value of $1.3 million as of December 31, 2012. | |||
[3] | For simplicity of presentation, net negative amortization is disregarded. | |||
[4] | Shown in basis points. |
Valuation_Fair_Value_Measureme
Valuation (Fair Value Measurement Using Significant Unobservable Inputs) (Details) (Level 3 [Member], USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | $814,350,000 | $461,540,000 | $599,914,000 | $504,861,000 |
Assets, Accreted Discounts/Amortized Premiums | 4,979,000 | 5,940,000 | 16,096,000 | 14,358,000 |
Assets, Realized Gain (Loss) | 8,759,000 | 12,419,000 | 31,147,000 | 14,299,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -1,385,000 | 19,562,000 | 13,444,000 | 53,924,000 |
Assets, Purchases | 153,882,000 | 150,769,000 | 521,104,000 | 333,200,000 |
Assets, Sales | -180,493,000 | -103,172,000 | -381,613,000 | -373,584,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 800,092,000 | 547,058,000 | 800,092,000 | 547,058,000 |
Liabilities, Begining Balance | -1,709,000 | ' | -1,336,000 | ' |
Liabilities, Accreted Discounts/Amortized Premiums | -10,000 | ' | -31,000 | ' |
Liabilities, Realized Gain/(Loss) | -2,000 | ' | -59,000 | ' |
Liabilities, Change In Net Unrealized Gain/(Loss) | 252,000 | ' | -282,000 | ' |
Liabilities Purchases/Payments | 110,000 | ' | 292,000 | ' |
Liabilities, Sales/Issuance | 2,000 | ' | 59,000 | ' |
Liabilities, Transfers In and/or Out of Level 3 | 0 | ' | 0 | ' |
Liabilities, Ending Balance | -1,357,000 | ' | -1,357,000 | ' |
Change in net unrealized gain (loss) on investments | 4,300,000 | 23,300,000 | 19,600,000 | 33,700,000 |
Change in net unrealized gain (loss) in financial derivative assets | 1,000,000 | -3,800,000 | -8,800,000 | -8,100,000 |
Change in net unrealized Gain (Loss) on financial derivative liabilities | 2,200,000 | ' | -300,000 | ' |
Change in net unrealized gain (loss) in securitized debt | 30,000 | -51,000 | 36,000 | -30,000 |
Securitized Debt [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Liabilities, Begining Balance | -1,168,000 | -1,415,000 | -1,335,000 | 0 |
Liabilities, Accreted Discounts/Amortized Premiums | -10,000 | -15,000 | -31,000 | -44,000 |
Liabilities, Realized Gain/(Loss) | 0 | 0 | 0 | 0 |
Liabilities, Change In Net Unrealized Gain/(Loss) | 30,000 | -51,000 | 36,000 | -30,000 |
Liabilities, Payments | 110,000 | 42,000 | 292,000 | 157,000 |
Liabilities, Issuances | 0 | 0 | 0 | -1,522,000 |
Liabilities, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | -1,038,000 | -1,439,000 | -1,038,000 | -1,439,000 |
Investments [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 793,216,000 | 422,781,000 | 563,883,000 | 443,363,000 |
Assets, Accreted Discounts/Amortized Premiums | 4,979,000 | 5,940,000 | 16,096,000 | 14,358,000 |
Assets, Realized Gain (Loss) | 11,872,000 | 8,456,000 | 31,551,000 | 15,813,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -4,380,000 | 23,385,000 | 14,941,000 | 49,639,000 |
Assets, Purchases | 153,824,000 | 150,664,000 | 520,955,000 | 332,870,000 |
Assets, Sales | -177,034,000 | -95,628,000 | -364,949,000 | -340,445,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 782,477,000 | 515,598,000 | 782,477,000 | 515,598,000 |
Investments [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 27,397,000 | 4,667,000 | 6,644,000 | 5,337,000 |
Assets, Accreted Discounts/Amortized Premiums | -1,844,000 | -534,000 | -3,846,000 | -1,177,000 |
Assets, Realized Gain (Loss) | 0 | 111,000 | 0 | 111,000 |
Assets, Change In Net Unrealized Gain/(Loss) | 875,000 | -314,000 | 1,180,000 | -679,000 |
Assets, Purchases | 10,605,000 | 1,057,000 | 33,055,000 | 1,929,000 |
Assets, Sales | 0 | -1,160,000 | 0 | -1,160,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 37,033,000 | 3,827,000 | 37,033,000 | 3,827,000 |
Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 694,510,000 | 385,059,000 | 528,366,000 | 417,533,000 |
Assets, Accreted Discounts/Amortized Premiums | 7,289,000 | 6,182,000 | 20,401,000 | 15,471,000 |
Assets, Realized Gain (Loss) | 11,187,000 | 5,440,000 | 30,977,000 | 12,489,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -5,865,000 | 24,013,000 | 11,518,000 | 49,149,000 |
Assets, Purchases | 106,194,000 | 92,412,000 | 363,056,000 | 251,030,000 |
Assets, Sales | -161,333,000 | -55,181,000 | -302,336,000 | -287,747,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 651,982,000 | 457,925,000 | 651,982,000 | 457,925,000 |
Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 23,906,000 | 28,405,000 | 19,327,000 | 16,093,000 |
Assets, Accreted Discounts/Amortized Premiums | 161,000 | 271,000 | 258,000 | 527,000 |
Assets, Realized Gain (Loss) | 647,000 | 2,905,000 | -477,000 | 3,213,000 |
Assets, Change In Net Unrealized Gain/(Loss) | 139,000 | -293,000 | 2,612,000 | 990,000 |
Assets, Purchases | 21,760,000 | 57,195,000 | 58,928,000 | 79,911,000 |
Assets, Sales | -13,342,000 | -39,287,000 | -47,377,000 | -51,538,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 33,271,000 | 49,196,000 | 33,271,000 | 49,196,000 |
Investments [Member] | Commercial Mortgage Loans [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 7,563,000 | 4,650,000 | 9,546,000 | 4,400,000 |
Assets, Accreted Discounts/Amortized Premiums | 31,000 | 21,000 | 58,000 | 71,000 |
Assets, Realized Gain (Loss) | 0 | 0 | 482,000 | 0 |
Assets, Change In Net Unrealized Gain/(Loss) | 411,000 | -21,000 | 497,000 | 179,000 |
Assets, Purchases | 6,931,000 | 0 | 9,481,000 | 0 |
Assets, Sales | 0 | 0 | -5,128,000 | 0 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 14,936,000 | 4,650,000 | 14,936,000 | 4,650,000 |
Investments [Member] | Asset-backed Securities [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 39,840,000 | ' | 0 | ' |
Assets, Accreted Discounts/Amortized Premiums | -658,000 | ' | -775,000 | ' |
Assets, Realized Gain (Loss) | 38,000 | ' | 569,000 | ' |
Assets, Change In Net Unrealized Gain/(Loss) | 60,000 | ' | -866,000 | ' |
Assets, Purchases | 8,334,000 | ' | 56,435,000 | ' |
Assets, Sales | -2,359,000 | ' | -10,108,000 | ' |
Assets, Transfers In and/or Out of Level 3 | 0 | ' | 0 | ' |
Assets, Ending Balance | 45,255,000 | ' | 45,255,000 | ' |
Financial Derivatives - Assets [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 21,134,000 | 38,759,000 | 36,031,000 | 61,498,000 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | -3,113,000 | 3,963,000 | -404,000 | -1,514,000 |
Assets, Change In Net Unrealized Gain/(Loss) | 2,995,000 | -3,823,000 | -1,497,000 | 4,285,000 |
Assets, Purchases | 58,000 | 105,000 | 149,000 | 330,000 |
Assets, Sales | -3,459,000 | -7,544,000 | -16,664,000 | -33,139,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 17,615,000 | 31,460,000 | 17,615,000 | 31,460,000 |
Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 21,134,000 | 38,759,000 | 36,031,000 | 61,498,000 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | -3,113,000 | 3,963,000 | -404,000 | -1,514,000 |
Assets, Change In Net Unrealized Gain/(Loss) | 2,995,000 | -3,823,000 | -1,497,000 | 4,285,000 |
Assets, Purchases | 58,000 | 105,000 | 149,000 | 330,000 |
Assets, Sales | -3,459,000 | -7,544,000 | -16,664,000 | -33,139,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 17,615,000 | 31,460,000 | 17,615,000 | 31,460,000 |
Derivative Financial Instruments, Liabilities [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Liabilities, Begining Balance | -541,000 | ' | -1,000 | ' |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | ' | 0 | ' |
Liabilities, Realized Gain/(Loss) | -2,000 | ' | -59,000 | ' |
Liabilities, Change In Net Unrealized Gain/(Loss) | 222,000 | ' | -318,000 | ' |
Liabilities, Purchases | 0 | ' | 0 | ' |
Liabilities, Sales | 2,000 | ' | 59,000 | ' |
Liabilities, Transfers In and/or Out of Level 3 | 0 | ' | 0 | ' |
Liabilities, Ending Balance | -319,000 | ' | -319,000 | ' |
Derivative Financial Instruments, Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Liabilities, Begining Balance | -541,000 | ' | -1,000 | ' |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | ' | 0 | ' |
Liabilities, Realized Gain/(Loss) | -2,000 | ' | -59,000 | ' |
Liabilities, Change In Net Unrealized Gain/(Loss) | 222,000 | ' | -318,000 | ' |
Liabilities, Purchases | 0 | ' | 0 | ' |
Liabilities, Sales | 2,000 | ' | 59,000 | ' |
Liabilities, Transfers In and/or Out of Level 3 | 0 | ' | 0 | ' |
Liabilities, Ending Balance | ($319,000) | ' | ($319,000) | ' |
Financial_Derivatives_Schedule
Financial Derivatives (Schedule Of Gains And Losses On Derivative Contracts) (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Derivative [Line Items] | ' | ' | ' | ' |
Net Realized Gain/Loss on Financial Derivatives | ($6,442) | ($3,187) | ($12,774) | ($31,669) |
Unrealized Gain (Loss) on Financial Derivatives | -2,005 | -2,664 | 14,578 | 15,015 |
Financial Derivatives - Assets [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Net Realized Gain/Loss on Financial Derivatives | -2,661 | 2,306 | -3,857 | -11,765 |
Unrealized Gain (Loss) on Financial Derivatives | 2,650 | -7,847 | 17,723 | -925 |
Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Credit | 'Credit | 'Credit | 'Credit |
Net Realized Gain/Loss on Financial Derivatives | -3,113 | 3,963 | -404 | -1,514 |
Unrealized Gain (Loss) on Financial Derivatives | 2,995 | -3,823 | -1,497 | 4,285 |
Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Credit | 'Credit | 'Credit | 'Credit |
Net Realized Gain/Loss on Financial Derivatives | -181 | -134 | -4,302 | -7,200 |
Unrealized Gain (Loss) on Financial Derivatives | -1,011 | -4,174 | 2,503 | -6,442 |
Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Credit | 'Credit | 'Credit | 'Credit |
Net Realized Gain/Loss on Financial Derivatives | -84 | 12 | -3 | -1,548 |
Unrealized Gain (Loss) on Financial Derivatives | 44 | -602 | 0 | 570 |
Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Equity Market | 'Equity Market | 'Equity Market | 'Equity Market |
Net Realized Gain/Loss on Financial Derivatives | 907 | -1,520 | 911 | -1,520 |
Unrealized Gain (Loss) on Financial Derivatives | -112 | 257 | 15 | 257 |
Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Interest Rates | 'Interest Rates | 'Interest Rates | 'Interest Rates |
Net Realized Gain/Loss on Financial Derivatives | -512 | 0 | -229 | 49 |
Unrealized Gain (Loss) on Financial Derivatives | -195 | 495 | 15,768 | 417 |
Financial Derivatives - Assets [Member] | Futures [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Interest Rates | 'Interest Rates | 'Interest Rates | 'Interest Rates |
Net Realized Gain/Loss on Financial Derivatives | 255 | -15 | 103 | -32 |
Unrealized Gain (Loss) on Financial Derivatives | 970 | 0 | 975 | -12 |
Financial Derivatives - Assets [Member] | Other Derivatives [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Interest Rates | ' | 'Interest Rates | ' |
Net Realized Gain/Loss on Financial Derivatives | 67 | ' | 67 | ' |
Unrealized Gain (Loss) on Financial Derivatives | -41 | ' | -41 | ' |
Financial Derivatives - Liabilities [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Net Realized Gain/Loss on Financial Derivatives | -3,781 | -5,493 | -8,917 | -19,904 |
Unrealized Gain (Loss) on Financial Derivatives | -4,655 | 5,183 | -3,145 | 15,940 |
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Credit | ' | 'Credit | ' |
Net Realized Gain/Loss on Financial Derivatives | -2 | ' | -59 | ' |
Unrealized Gain (Loss) on Financial Derivatives | 222 | ' | -318 | ' |
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Credit | 'Credit | 'Credit | 'Credit |
Net Realized Gain/Loss on Financial Derivatives | 339 | -190 | 539 | 4,372 |
Unrealized Gain (Loss) on Financial Derivatives | 959 | 1,543 | 1,772 | 650 |
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Credit | 'Credit | 'Credit | 'Credit |
Net Realized Gain/Loss on Financial Derivatives | -2,985 | -160 | -7,517 | 143 |
Unrealized Gain (Loss) on Financial Derivatives | -1,959 | 11 | -1,759 | 11 |
Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Equity Market | 'Equity Market | 'Equity Market | 'Equity Market |
Net Realized Gain/Loss on Financial Derivatives | -53 | 1,066 | -448 | -2,262 |
Unrealized Gain (Loss) on Financial Derivatives | 96 | 252 | 43 | 273 |
Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Interest Rates | 'Interest Rates | 'Interest Rates | 'Interest Rates |
Net Realized Gain/Loss on Financial Derivatives | -10 | -6,209 | 282 | -22,157 |
Unrealized Gain (Loss) on Financial Derivatives | -4,099 | 3,410 | -2,997 | 15,093 |
Financial Derivatives - Liabilities [Member] | Futures [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Interest Rates | 'Interest Rates | 'Interest Rates | 'Interest Rates |
Net Realized Gain/Loss on Financial Derivatives | -1,029 | 0 | -1,673 | 0 |
Unrealized Gain (Loss) on Financial Derivatives | 82 | -33 | 70 | -87 |
Financial Derivatives - Liabilities [Member] | Other Derivatives [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Interest Rates/Equity Market | ' | 'Interest Rates/Equity Market | ' |
Net Realized Gain/Loss on Financial Derivatives | -41 | ' | -41 | ' |
Unrealized Gain (Loss) on Financial Derivatives | $44 | ' | $44 | ' |
Financial_Derivatives_Schedule1
Financial Derivatives (Schedule Of Credit Derivatives) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Credit Default Swap, Selling Protection [Member] | ' | ' | ||
Credit Derivatives [Line Items] | ' | ' | ||
Fair Value of Written Credit Derivatives, Net | ($19,248) | ($11,986) | ||
Notional value | -64,780 | [1] | -40,216 | [1] |
Credit Default Swap, Buying Protection [Member] | ' | ' | ||
Credit Derivatives [Line Items] | ' | ' | ||
Fair Value of Written Credit Derivatives, Net | 0 | [2] | -717 | [2] |
Notional value | $0 | [2] | $7,792 | [2] |
[1] | The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional amount of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional amount of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. | |||
[2] | Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation. |
Financial_Derivatives_Narrativ
Financial Derivatives (Narrative) (Details) (USD $) | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Dec. 31, 2012 |
In Millions, unless otherwise specified | Credit Default Swap, Selling Protection [Member] | Credit Default Swap, Selling Protection [Member] | ||
Derivative [Line Items] | ' | ' | ' | ' |
Low range of spread on written credit derivatives | 0.25% | 0.35% | ' | ' |
High range of spread on written credit derivatives | 4.58% | 4.58% | ' | ' |
Total net up-front payments received | ' | ' | $20.90 | $12.60 |
Base_Management_Fee_And_Incent1
Base Management Fee And Incentive Fee (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Base Management Fee And Incentive Fee [Abstract] | ' | ' | ' | ' |
Annual base management fee percentage | ' | ' | 1.50% | ' |
Management fee description | ' | ' | 'The Operating Partnership pays the Manager 1.50%Â per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. | ' |
Base management fee | $2,378 | $1,913 | $6,751 | $4,901 |
Incentive fee rate | ' | ' | 25.00% | ' |
Incentive fees arrangement | ' | ' | 'The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i)Â the product of (A)Â 25% and (B)Â the excess of (1)Â Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2)Â the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii)Â the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1)Â the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2)Â our net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of March 31, 2013 there was no Loss Carryforward. For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i)Â one-fourth of the greater of (A)Â 9% and (B)Â 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii)Â the sum of (A)Â the weighted average gross proceeds per share of all common share and OP unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares and OP units issued in such issuance and the number of days that such issued shares and OP units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share and OP unit repurchases to the earliest issuances first) and (B)Â the result obtained by dividing (I)Â retained earnings attributable to common shares and OP units at the beginning of such fiscal quarter by (II) the average number of common shares and OP units outstanding for each day during such fiscal quarter, (iii) the sum of the average number of common shares, LTIP Units, and OP units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares and OP units (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of common shares and cash, provided that at least 10% of any quarterly payment will be made in common shares. | ' |
Incentive fee hurdle rate fixed | ' | ' | 9.00% | ' |
Incentive fee hurdle rate floating | ' | ' | 3.00% | ' |
Minimum percentage of incentive fee to be paid in share | ' | ' | 10.00% | ' |
Incentive fee | $2,038 | $9,491 | $5,275 | $11,802 |
LongTerm_Incentive_Plan_Units_1
Long-Term Incentive Plan Units (Narrative) (Details) (USD $) | 3 Months Ended | 9 Months Ended | 73 Months Ended | 4 Months Ended | 73 Months Ended | 3 Months Ended | 9 Months Ended | 73 Months Ended | ||||||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2007 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | |
Independent Directors [Member] | Manager [Member] | Manager [Member] | Dedicated Personnel [Member] | Non-Manager [Member] | Non-Manager [Member] | Non-Manager [Member] | Non-Manager [Member] | Non-Manager [Member] | ||||||
Long-Term Incentive Plan Units [Member] | Long-Term Incentive Plan Units [Member] | Long-Term Incentive Plan Units [Member] | Long-Term Incentive Plan Units [Member] | Long-Term Incentive Plan Units [Member] | Long-Term Incentive Plan Units [Member] | Long-Term Incentive Plan Units [Member] | Long-Term Incentive Plan Units [Member] | Long-Term Incentive Plan Units [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
LTIP units granted | ' | ' | ' | ' | ' | 29,562 | 375,000 | ' | 8,000 | ' | ' | ' | ' | ' |
Aggregate expense associated with Manager LTIP, Since inception | ' | ' | ' | ' | ' | ' | ' | $8,600,000 | ' | ' | ' | ' | ' | ' |
Vesting period | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '1 year | ' | ' |
Allocated Share-based Compensation Expense | 43,000 | 31,000 | 129,000 | 89,000 | ' | ' | ' | ' | ' | 43,000 | 31,000 | 129,000 | 89,000 | 700,000 |
LTIPs converted since inception | ' | ' | ' | ' | 11,782 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amount transferred from share-based LTIP awards to Shareholders Equity | ' | ' | ' | ' | $200,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
LongTerm_Incentive_Plan_Units_2
Long-Term Incentive Plan Units (Roll-Forward Of Company's LTIP Units Outstanding) (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ' | ' | ' | ' |
Exercised | -1,782 | 0 | -1,782 | 0 |
Long-Term Incentive Plan Units [Member] | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ' | ' | ' | ' |
LTIP Units Outstanding | 397,096 | 390,500 | 397,096 | 390,500 |
Granted | 5,466 | 5,346 | 5,466 | 5,346 |
Exercised | -1,782 | 0 | -1,782 | 0 |
LTIP Units Outstanding | 400,780 | 395,846 | 400,780 | 395,846 |
LTIP Units Vested and Outstanding | 392,814 | 387,500 | 392,814 | 387,500 |
Manager [Member] | Long-Term Incentive Plan Units [Member] | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ' | ' | ' | ' |
LTIP Units Outstanding | 375,000 | 375,000 | 375,000 | 375,000 |
Granted | 0 | 0 | 0 | 0 |
Exercised | 0 | 0 | 0 | 0 |
LTIP Units Outstanding | 375,000 | 375,000 | 375,000 | 375,000 |
LTIP Units Vested and Outstanding | 375,000 | 375,000 | 375,000 | 375,000 |
Non-Manager [Member] | Long-Term Incentive Plan Units [Member] | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ' | ' | ' | ' |
LTIP Units Outstanding | 22,096 | 15,500 | 22,096 | 15,500 |
Granted | 5,466 | 5,346 | 5,466 | 5,346 |
Exercised | -1,782 | 0 | -1,782 | 0 |
LTIP Units Outstanding | 25,780 | 20,846 | 25,780 | 20,846 |
LTIP Units Vested and Outstanding | 17,814 | 12,500 | 17,814 | 12,500 |
NonControlling_Interest_Operat1
Non-Controlling Interest - Operating Partnership (Details) (Noncontrolling Interest [Member]) | 0 Months Ended | 9 Months Ended |
Jan. 02, 2013 | Sep. 30, 2013 | |
Noncontrolling Interest [Member] | ' | ' |
Noncontrolling Interest [Line Items] | ' | ' |
Operating Partnership Units Issued | 212,000 | ' |
Holding Period Operating Partnership Units | ' | '2 years |
Operating Partnership Units | ' | 212,000 |
Ownership Percentage | ' | 0.80% |
Common_Share_Capitalization_Na
Common Share Capitalization (Narrative) (Details) (USD $) | 0 Months Ended | 2 Months Ended | 3 Months Ended | 9 Months Ended | |||||||
Aug. 04, 2011 | Sep. 30, 2011 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |||||
Dividend | Dividend | ||||||||||
Common Stock Capitalization [Line Items] | ' | ' | ' | ' | ' | ' | ' | ||||
Common Shares Issued And Outstanding Upon Conversion of All Convertible Securities | ' | ' | 26,031,717 | ' | 26,031,717 | ' | ' | ||||
Shareholders Equity Per Share Upon Conversion Of All Convertible Units (in usd per share) | ' | ' | $24.19 | ' | $24.19 | ' | ' | ||||
Common Shares Issued And Outstanding Upon Conversion Of All LTIP Units | ' | ' | ' | ' | ' | ' | 20,767,565 | ||||
Shareholders' equity per share upon conversion of LTIPs (in usd per share) | ' | ' | ' | $23.88 | ' | $23.88 | $24.38 | ||||
Dividends (in usd per share) | ' | ' | $0.77 | $0.70 | $3.06 | $1.80 | ' | ||||
Number of Dividends Authorized | ' | ' | ' | ' | 3 | 3 | ' | ||||
Dividend Amount | ' | ' | $20,040,000 | [1] | $14,244,000 | [1] | $72,016,000 | [1],[2] | $32,766,000 | [1],[2] | ' |
Aggregate cost of shares repurchase | 10,000,000 | ' | ' | ' | ' | ' | ' | ||||
Shares repurchased | ' | 217,619 | ' | ' | ' | ' | ' | ||||
Aggregate cost of shares repurchased | ' | $4,500,000 | ' | ' | ' | ' | ' | ||||
Average price per share repurchased (in usd per share) | ' | $20.59 | ' | ' | ' | ' | ' | ||||
[1] | The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings. | ||||||||||
[2] | For the nine month periods ended September 30, 2013 and 2012, dividends totaling $3.06 and $1.80, respectively, per common share and convertible unit outstanding were declared and paid. |
Common_Share_Capitalization_Su
Common Share Capitalization (Summary Of Common Shares Outstanding) (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' |
Common Shares Outstanding, period begin | 25,412,011 | 16,447,651 | 20,370,469 | 16,447,651 |
Proceeds from the issuance of shares | 0 | 4,025,000 | 5,000,000 | 4,025,000 |
Shares issued in connection with incentive fee payment | 5,144 | 11,045 | 46,686 | 11,045 |
LTIP Units Exercised | 1,782 | 0 | 1,782 | 0 |
Common Shares Outstanding, period end | 25,418,937 | 20,483,696 | 25,418,937 | 20,483,696 |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | ||||
Net increase (decrease) in shareholders' equity resulting from operations | ' | ' | ' | ' | ||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $11,823 | $29,537 | $64,274 | $72,360 | ||||
Net Income (Loss) Attributable to Noncontrolling Interest | 96 | 0 | 612 | 0 | ||||
Net Income (Loss) Attributable to Parent | 11,727 | 29,537 | 63,662 | 72,360 | ||||
Net increase in shareholders' equity resulting from operations - common shares | 11,546 | 28,914 | 62,579 | 70,736 | ||||
Net increase in shareholders' equity resulting from operations - LTIP units | 181 | 623 | 1,083 | 1,624 | ||||
Dividends Paid(1): | ' | ' | ' | ' | ||||
Common shareholders | -19,571 | [1] | -13,971 | [1] | -70,152 | [1] | -32,063 | [1] |
LTIP unit holders | -306 | [1] | -273 | [1] | -1,216 | [1] | -703 | [1] |
Non-controlling Interest | -163 | [1] | 0 | [1] | -648 | [1] | 0 | [1] |
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | -20,040 | [1] | -14,244 | [1] | -72,016 | [1],[2] | -32,766 | [1],[2] |
Undistributed earnings: | ' | ' | ' | ' | ||||
Common shareholders | -8,025 | 14,943 | -7,573 | 38,673 | ||||
LTIP Unit holders | -125 | 350 | -133 | 921 | ||||
Non-controlling interest | -67 | 0 | -36 | 0 | ||||
Total undistributed earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | ($8,217) | $15,293 | ($7,742) | $39,594 | ||||
Weighted average shares outstanding (basic and diluted): | ' | ' | ' | ' | ||||
Weighted average common shares outstanding | 25,415,809 | 18,161,224 | 22,968,604 | 17,023,011 | ||||
Weighted average participating LTIP units | 397,897 | 391,604 | 397,366 | 390,871 | ||||
Weighted average non-controlling interest units | 212,000 | 0 | 212,000 | 0 | ||||
Basic earnings per common share: | ' | ' | ' | ' | ||||
Distributed (in usd per share) | $0.77 | $0.70 | $3.06 | $1.80 | ||||
Undistributed (in usd per share) | ($0.32) | $0.89 | ($0.33) | $2.35 | ||||
Basic earnings per common share (in usd per share) | $0.45 | $1.59 | $2.73 | $4.15 | ||||
Diluted earnings per common share: | ' | ' | ' | ' | ||||
Distributed (in usd per share) | $0.77 | $0.70 | $3.06 | $1.80 | ||||
Undistributed (in usd per share) | ($0.32) | $0.89 | ($0.33) | $2.35 | ||||
Diluted earnings per common share (in usd per share) | $0.45 | $1.59 | $2.73 | $4.15 | ||||
[1] | The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings. | |||||||
[2] | For the nine month periods ended September 30, 2013 and 2012, dividends totaling $3.06 and $1.80, respectively, per common share and convertible unit outstanding were declared and paid. |
Counterparty_Risk_Narrative_De
Counterparty Risk (Narrative) (Details) (USD $) | 9 Months Ended |
Sep. 30, 2013 | |
Risks and Uncertainties [Abstract] | ' |
Investments held with dealers as collateral | $1,600,000,000 |
Unencumbered investments held in custody | 88,400,000 |
Concentration risk threshold | 15.00% |
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | $115,000,000 |
Counterparty_Risk_Of_Total_Col
Counterparty Risk (% Of Total Collateral On Reverse Repurchase Agreements) (Details) (Deutsche Bank [Member]) | Sep. 30, 2013 |
Deutsche Bank [Member] | ' |
Concentration Risk [Line Items] | ' |
% of Total Collateral on Reverse Repurchase Agreements | 18.00% |
Counterparty_Risk_Of_Due_from_
Counterparty Risk (% Of Due from Brokers) (Details) | Sep. 30, 2013 |
Citigroup [Member] | ' |
Concentration Risk [Line Items] | ' |
% of Total Due from Broker | 38.00% |
Jp Morgan Securities Inc [Member] | ' |
Concentration Risk [Line Items] | ' |
% of Total Due from Broker | 19.00% |
Morgan Stanley [Member] | ' |
Concentration Risk [Line Items] | ' |
% of Total Due from Broker | 15.00% |
Counterparty_Risk_Of_Total_Rec
Counterparty Risk (% Of Total Receivable For Securities Sold) (Details) | Sep. 30, 2013 |
CS First Boston [Member] | ' |
Concentration Risk [Line Items] | ' |
% of Total Receivable for Securities Sold | 26.00% |
Morgan Stanley [Member] | ' |
Concentration Risk [Line Items] | ' |
% of Total Receivable for Securities Sold | 25.00% |
Offsetting_Assets_and_Liabilit2
Offsetting Assets and Liabilities (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
Offsetting of Assets and Liabilities [Line Items] | ' | ' | ||
Securities Collateral realting to Repurchase and Reverse Repurchase Agreements | $1,600,000,000 | $1,050,000,000 | ||
Reverse Repurchase Agreements | -1,345,223,000 | -905,718,000 | ||
Reverse Repurchase Agreements Net | -1,304,229,000 | [1] | -892,068,000 | [1] |
Reverse Repurchase Agreements and Related Collateral Net | 0 | 0 | ||
Financial derivatives-liabilities at fair value- | -33,457,000 | -15,212,000 | ||
Financial derivatives-assets at fair value- | 43,567,000 | 48,504,000 | ||
Fair value | 40,994,000 | [1] | 13,650,000 | [1] |
Repurchase Agreements Net | 0 | [1] | 0 | [1] |
Collateral for Offsetting Relating to Repurchase Agreements | 0 | [2],[3] | 0 | [2],[3] |
Cash Collateral Received Pledged for Repurchase Agreements | 0 | [2] | 0 | [2] |
Repurchase Agreements and Related Collateral Net | 0 | 0 | ||
Collateral for offsetting relating to Repurchase and Reverse Repurchase Agreements | 1,300,616,000 | [2],[3] | 887,940,000 | [2],[3] |
Cash Collateral (Received) Pledged, Reverse and Reverse Repurchase Agreements | 3,613,000 | [2] | 4,128,000 | [2] |
Financial Derivatives - Assets [Member] | ' | ' | ||
Offsetting of Assets and Liabilities [Line Items] | ' | ' | ||
Financial derivatives-assets at fair value- | 43,567,000 | [1],[4] | 48,504,000 | [1],[4] |
Derivative Asset, Fair Value, Net | 10,110,000 | [1] | 33,292,000 | [1] |
Securities Collateral on Derivatives | 0 | [2],[3] | 0 | [2],[3] |
Cash collateral (Received) Pledged for Derivatives | 33,692,000 | [2] | -13,188,000 | [2] |
Derivatives and Related Collateral Net | 43,802,000 | 20,104,000 | ||
Securities Sold under Agreements to Repurchase [Member] | ' | ' | ||
Offsetting of Assets and Liabilities [Line Items] | ' | ' | ||
Reverse Repurchase Agreements | -1,345,223,000 | [1] | -905,718,000 | [1] |
Derivative Financial Instruments, Liabilities [Member] | ' | ' | ||
Offsetting of Assets and Liabilities [Line Items] | ' | ' | ||
Financial derivatives-liabilities at fair value- | -33,457,000 | [1],[4] | -15,212,000 | [1],[4] |
Derivative Asset, Fair Value, Net | 0 | [1] | 0 | [1] |
Securities Collateral on Derivatives | 0 | [2],[3] | 0 | [2],[3] |
Cash collateral (Received) Pledged for Derivatives | 0 | [2] | 0 | [2] |
Derivatives and Related Collateral Net | $0 | $0 | ||
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with the repurchase agreements, reverse repurchase agreements, and derivatives transactions are presented on a gross basis. | |||
[2] | As collateral is called or posted per counterparty it is generally called or posted across all positions with each respective counterparty. | |||
[3] | Amounts disclosed in the Financial Instruments column of the table represent collateral that is available to be offset against balances associated with repurchase and reverse repurchase agreements. For the purposes of the table above, total financial instruments and cash collateral (received) pledged can not exceed the gross amount of assets and (liabilities) as presented above. Therefore we have reduced the amount of financial instruments related to our repurchase and reverse repurchase agreements in the table above. Total financial instruments for September 30, 2013 and December 31, 2012 were $1.60 billion and $1.05 billion, respectively. | |||
[4] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. |
Financial_Highlights_Narrative
Financial Highlights (Narrative) (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Financial Highlights [Abstract] | ' | ' | ' | ' |
Market based total return | 1.97% | 11.30% | 13.31% | 44.75% |
Financial_Highlights_Results_O
Financial Highlights (Results Of Operations For A Share Outstanding) (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||||||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Jun. 30, 2013 | Dec. 31, 2012 | Jun. 30, 2012 | Dec. 31, 2011 | |||||
Increase (Decrease) Earnings Per Share [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Beginning Shareholders' Equity Per Share (6/30/2013, 6/30/2012, 12/31/2012, and 12/31/2011, respectively) | $24.92 | $24.03 | $24.86 | $22.55 | ' | ' | ' | ' | ||||
Net Investment Income | $0.57 | $0.04 | $1.62 | $1.21 | ' | ' | ' | ' | ||||
Net Realized/Unrealized Gains (Losses) | ($0.10) | $1.59 | $1.18 | $3.04 | ' | ' | ' | ' | ||||
Results of Operations Attributable to Equity | $0.47 | $1.63 | $2.80 | $4.25 | ' | ' | ' | ' | ||||
NetIncomeLossAttributableToNoncontrollingInterestPerShare | $0 | $0 | ($0.03) | $0 | ' | ' | ' | ' | ||||
NetIncomeLossAttributableToParentPerShare | $0.47 | [1] | $1.63 | [1] | $2.77 | [1] | $4.25 | [1] | ' | ' | ' | ' |
Dividends Paid Per Common Share | ($0.77) | ($0.70) | ($3.06) | ($1.80) | ' | ' | ' | ' | ||||
Weighted Average Share Impact on Dividends Paid (2) | ($0.02) | [2] | ($0.08) | [2] | ($0.08) | [2] | ($0.12) | [2] | ' | ' | ' | ' |
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs) and Share Repurchases | ($0.01) | ($0.54) | $0.10 | ($0.54) | ' | ' | ' | ' | ||||
Ending Shareholders' Equity Per Share (9/30/2013, 9/30/2012, 9/30/2013, and 9/30/2012, respectively)(3) | $24.59 | [3] | $24.34 | [3] | $24.59 | [3] | $24.34 | [3] | ' | ' | ' | ' |
Shares Outstanding, end of period | 25,418,937 | 20,483,696 | 25,418,937 | 20,483,696 | 25,412,011 | 20,370,469 | 16,447,651 | 16,447,651 | ||||
Shareholders Equity Per Share Upon Conversion Of All Convertible Units (in usd per share) | $24.19 | ' | $24.19 | ' | ' | ' | ' | ' | ||||
Shareholders' equity per share upon conversion of LTIPs (in usd per share) | ' | $23.88 | ' | $23.88 | ' | $24.38 | ' | ' | ||||
[1] | Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 9). | |||||||||||
[2] | Per share impact on dividends paid relating to share issuances/repurchases during the period as well as dividends paid to LTIP and OP Unit holders. | |||||||||||
[3] | If all LTIP units and OP Units (if applicable) previously issued were vested and exchanged for common shares as of September 30, 2013 and 2012, shareholders' equity per share would be $24.19 and $23.88, respectively. |
Financial_Highlights_Net_Asset
Financial Highlights (Net Asset Based Total Return For A Shareholder) (Details) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |||||
Financial Highlights [Abstract] | ' | ' | ' | ' | ||||
Total Return | 1.82% | [1] | 4.25% | [1] | 11.57% | [1] | 16.31% | [1] |
[1] | Total return is calculated for all shareholders' equity accounts taken as a whole for each period. Total return is calculated assuming reinvestment of all distributions at shareholders' equity per share during the period. |
Financial_Highlights_Net_Asset1
Financial Highlights (Net Asset Based Total Return For A Shareholder Assuming Conversion Of All LTIP and OP Units) (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2013 | |||
Financial Highlights [Line Items] | ' | ' | ||
Total LTIP and OP Units Outstanding | 612,780 | 612,780 | ||
Total Return | 0.16% | [1] | 9.75% | [1] |
Percentage of LTIP and OP units outstanding | 2.35% | 2.35% | ||
[1] | Total return is calculated assuming all LTIP and OP Units had been converted into common shares at September 30, 2013. Total return represents all shareholders' equity accounts outstanding for the entire period. LTIP and OP Units outstanding at September 30, 2013 totaled 612,780 and represent 2.35% of total common shares and LTIP and OP Units outstanding as of that date. |
Financial_Highlights_Net_Inves
Financial Highlights (Net Investment Income Ratio To Average Equity) (Details) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |||||
Financial Highlights [Abstract] | ' | ' | ' | ' | ||||
Net Investment Income | 9.99% | [1],[2] | 7.04% | [1],[2] | 8.89% | [1],[2] | 7.65% | [1],[2] |
[1] | Includes incentive fee in calculation which can vary substantially over periods. | |||||||
[2] | Average equity is calculated using month end values. |
Financial_Highlights_Expense_R
Financial Highlights (Expense Ratios To Average Equity) (Details) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |||||
Financial Highlights [Abstract] | ' | ' | ' | ' | ||||
Operating expenses before incentive fee, interest expense, and other investment related expenses | -2.67% | [1] | -2.93% | [1] | -2.77% | [1] | -2.97% | [1] |
Ratio Of Incentive Fee To Average Equity | -0.32% | [1] | -2.14% | [1] | -0.91% | [1] | -2.88% | [1] |
Interest expense and other investment related expenses | -2.11% | [1] | -1.74% | [1] | -1.94% | [1] | -1.88% | [1] |
Total Expenses | -5.10% | [1] | -6.81% | [1] | -5.62% | [1] | -7.73% | [1] |
[1] | Average equity is calculated using month end values. |
Subsequent_Events_Details
Subsequent Events (Details) (Subsequent Event [Member], USD $) | 0 Months Ended |
Nov. 04, 2013 | |
Subsequent Event [Line Items] | ' |
Declared date | 4-Nov-13 |
Payment Date | 16-Dec-13 |
Record Date | 29-Nov-13 |
Regular Dividend [Member] | ' |
Subsequent Event [Line Items] | ' |
Dividend Per Share | 0.77 |