Document_And_Entity_Informatio
Document And Entity Information | 9 Months Ended | |
Sep. 30, 2014 | Nov. 04, 2014 | |
Document and Entity Information [Abstract] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 30-Sep-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
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 | ' | 33,449,678 |
Consolidated_Statement_Of_Asse
Consolidated Statement Of Assets, Liabilities And Equity (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, except Per Share data, unless otherwise specified | ||||
ASSETS | ' | ' | ||
Cash and cash equivalents | $129,124 | $183,489 | ||
Investments, financial derivatives, and repurchase agreements: | ' | ' | ||
Investments, at fair value (Cost – $2,391,276 and $1,688,257) | 2,440,828 | 1,730,130 | ||
Financial derivatives–assets, at fair value (Net cost – $45,074 and $50,533) | 56,366 | [1] | 59,664 | [1] |
Repurchase agreements (Cost – $47,192 and $27,943) | 47,039 | [1] | 27,962 | [1] |
Total investments, financial derivatives, and repurchase agreements | 2,544,233 | 1,817,756 | ||
Due from brokers | 141,497 | 82,571 | ||
Receivable for securities sold | 1,246,205 | 883,005 | ||
Interest and principal receivable | 10,953 | 6,831 | ||
Other assets | 2,525 | 1,546 | ||
Total Assets | 4,074,537 | 2,975,198 | ||
Investments and financial derivatives: | ' | ' | ||
Investments sold short, at fair value (Proceeds – $1,223,043 and $847,602) | 1,221,894 | 845,614 | ||
Financial derivatives–liabilities, at fair value (Net proceeds – $33,950 and $29,746) | 47,331 | [1] | 44,791 | [1] |
Total investments and financial derivatives | 1,269,225 | 890,405 | ||
Reverse repurchase agreements | 1,395,132 | [1] | 1,236,166 | [1] |
Due to brokers | 12,010 | 19,762 | ||
Payable for securities purchased | 576,455 | 193,047 | ||
Securitized debt (Proceeds – $849 and $980) | 870 | 983 | ||
Accounts payable and accrued expenses | 2,144 | 1,810 | ||
Base management fee payable | 3,056 | 2,364 | ||
Incentive fee payable | 1,400 | 3,091 | ||
Interest and dividends payable | 2,138 | 1,521 | ||
Total Liabilities | 3,262,430 | 2,349,149 | ||
Total Equity | 812,107 | 626,049 | ||
TOTAL LIABILITIES AND EQUITY | 4,074,537 | 2,975,198 | ||
ANALYSIS OF EQUITY: | ' | ' | ||
Common shares, no par value, 100,000,000 shares authorized; (33,443,572 and 25,428,186 shares issued and outstanding) | 796,108 | 611,282 | ||
Additional paid-in capital – LTIP units | 9,269 | 9,119 | ||
Total Shareholders' Equity | 805,377 | 620,401 | ||
Non-controlling interests | 6,730 | 5,648 | ||
Total Equity | $812,107 | $626,049 | ||
PER SHARE INFORMATION: | ' | ' | ||
Common shares (in usd per share) | $24.08 | [2] | $24.40 | |
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. | |||
[2] | If all LTIP units and OP Units previously issued were vested and exchanged for common shares as of September 30, 2014 and 2013, shareholders' equity per share would be $23.79 and $24.19, 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, 2014 | Dec. 31, 2013 |
Statement of Financial Position [Abstract] | ' | ' |
Investments at value, cost | $2,391,276 | $1,688,257 |
Financial derivatives–assets, at fair value Net cost | 45,074 | 50,533 |
Repurchase agreements, cost | 47,192 | 27,943 |
Investments sold short at value, proceeds | -1,223,043 | -847,602 |
Financial derivatives-liabilities, at fair value Net proceeds | -33,950 | -29,746 |
Securitized debt proceeds | ($849) | ($980) |
Common stock, par value | ' | ' |
Common stock, shares authorized | 100,000,000 | 100,000,000 |
Common stock, shares issued | 33,443,572 | 25,428,186 |
Common stock, shares outstanding | 33,443,572 | 25,428,186 |
Consolidated_Condensed_Schedul
Consolidated Condensed Schedule Of Investments (Long Investments) (USD $) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2014 | Dec. 31, 2013 | |||
Schedule of Investments [Line Items] | ' | ' | ||
Fair Value | $2,440,828,000 | $1,730,130,000 | ||
Investment Owned, at Cost | 2,391,276,000 | 1,688,257,000 | ||
Percentage collaterallized by GNRCMO certificates | 100.00% | 100.00% | ||
Non-performing loans, maturity date not applicable | 10,600,000 | ' | ||
Unrated But Agency-Guaranteed [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 144.78% | 164.58% | ||
Long Investment A Rating [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 0.64% | 0.34% | ||
Long Investment BBB Rating [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 4.59% | 2.97% | ||
Long Investment BB Rating [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 66.71% | 97.95% | ||
Long Investment Unrated Rating [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Long investment holdings as a percentage of stockholders' equity | 83.84% | 10.52% | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 124.03% | [1],[2],[3],[4],[5] | 137.75% | [1],[2],[6],[7],[8] |
Fair Value | 1,007,244,000 | [2],[3],[4],[5] | 862,368,000 | [2],[6],[7],[8] |
Principal And Interest - Fixed Rate Agency Securities [Member] | 25,954 Federal National Mortgage Association Pool 3.50% 2042-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 25,954,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 3.50% | [2],[3],[4],[5] | ' | |
Maturity | '2042-10 | [2],[3],[4],[5] | ' | |
Fair Value | 26,602,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,116 Federal National Mortgage Association Pool 4.00% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 17,116,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-11 | [2],[3],[4],[5] | ' | |
Fair Value | 18,152,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 15,562 Federal National Mortgage Association Pool 4.00% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 15,562,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-11 | [2],[3],[4],[5] | ' | |
Fair Value | 16,490,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 14,850 Government National Mortgage Association Pool 4.00% 2044-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 14,850,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Government National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-09 | [2],[3],[4],[5] | ' | |
Fair Value | 15,784,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 14,095 Federal National Mortgage Association Pool 5.00% 2041-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 14,095,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2041-08 | [2],[3],[4],[5] | ' | |
Fair Value | 15,583,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 12,100 Federal Home Loan Mortgage Corporation Pool 4.50% 2044-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 12,100,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2044-01 | [2],[3],[4],[5] | ' | |
Fair Value | 13,227,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 12,351 Federal Home Loan Mortgage Corporation Pool 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 12,351,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-08 | [2],[3],[4],[5] | ' | |
Fair Value | 13,106,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,623 Federal National Mortgage Association Pool 5.00% 2041-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 11,623,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2041-03 | [2],[3],[4],[5] | ' | |
Fair Value | 12,984,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,143 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 11,143,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-09 | [2],[3],[4],[5] | ' | |
Fair Value | 11,750,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 10,646 Federal National Mortgage Association Pool 4.00% 2044-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 10,646,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-09 | [2],[3],[4],[5] | ' | |
Fair Value | 11,287,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,734 Federal National Mortgage Association Pool 4.00% 2044-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 9,734,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-06 | [2],[3],[4],[5] | ' | |
Fair Value | 10,335,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,338 Federal National Mortgage Association Pool 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 9,338,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2043-10 | [2],[3],[4],[5] | ' | |
Fair Value | 10,088,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,040 Federal Home Loan Mortgage Corporation Pool 4.00% 2043-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 9,040,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-07 | [2],[3],[4],[5] | ' | |
Fair Value | 9,550,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 8,721 Federal National Mortgage Association Pool 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 8,721,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-08 | [2],[3],[4],[5] | ' | |
Fair Value | 9,219,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 8,380 Federal National Mortgage Association Pool 4.50% 2044-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 8,380,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2044-02 | [2],[3],[4],[5] | ' | |
Fair Value | 9,069,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,711 Federal National Mortgage Association Pool 5.00% 2044-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,711,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-03 | [2],[3],[4],[5] | ' | |
Fair Value | 7,503,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,076 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 7,076,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-10 | [2],[3],[4],[5] | ' | |
Fair Value | 7,490,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,034 Federal National Mortgage Association Pool 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 7,034,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 3.50% | [2],[3],[4],[5] | ' | |
Maturity | '2042-11 | [2],[3],[4],[5] | ' | |
Fair Value | 7,234,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,692 Federal National Mortgage Association Pool 3.50% 2028-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,692,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 3.50% | [2],[3],[4],[5] | ' | |
Maturity | '2028-03 | [2],[3],[4],[5] | ' | |
Fair Value | 7,077,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,464 Federal Home Loan Mortgage Corporation Pool 4.50% 2044-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,464,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2044-02 | [2],[3],[4],[5] | ' | |
Fair Value | 7,068,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,302 Federal National Mortgage Association Pool 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,302,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2043-10 | [2],[3],[4],[5] | ' | |
Fair Value | 6,824,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,218 Federal National Mortgage Association Pool 4.50% 2046-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,218,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2026-04 | [2],[3],[4],[5] | ' | |
Fair Value | 6,579,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,072 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,072,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-09 | [2],[3],[4],[5] | ' | |
Fair Value | 6,403,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,605 Federal National Mortgage Association Pool 4.50% 2044-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,605,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2044-02 | [2],[3],[4],[5] | ' | |
Fair Value | 6,142,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,789 Federal Home Loan Mortgage Corporation Pool 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,789,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-08 | [2],[3],[4],[5] | ' | |
Fair Value | 6,142,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,387 Federal National Mortgage Association Pool 5.00% 2044-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,387,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-03 | [2],[3],[4],[5] | ' | |
Fair Value | 6,022,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,633 Federal National Mortgage Association Pool 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,633,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-08 | [2],[3],[4],[5] | ' | |
Fair Value | 5,978,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,333 Federal National Mortgage Association Pool 5.50% 2039-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,333,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.50% | [2],[3],[4],[5] | ' | |
Maturity | '2039-10 | [2],[3],[4],[5] | ' | |
Fair Value | 5,939,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,588 Federal National Mortgage Association Pool 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,588,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-08 | [2],[3],[4],[5] | ' | |
Fair Value | 5,906,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,289 Government National Mortgage Association Pool 4.54% 2062-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,289,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Government National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.54% | [2],[3],[4],[5] | ' | |
Maturity | '2062-11 | [2],[3],[4],[5] | ' | |
Fair Value | 5,760,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,434 Federal National Mortgage Association Pool 4.00% 2044-05 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,434,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-05 | [2],[3],[4],[5] | ' | |
Fair Value | 5,753,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,427 Federal Home Loan Mortgage Corporation Pool 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,427,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-08 | [2],[3],[4],[5] | ' | |
Fair Value | 5,731,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,757 Federal Home Loan Mortgage Corporation Pool 3.00% 2043-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,757,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 3.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-01 | [2],[3],[4],[5] | ' | |
Fair Value | 5,721,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,384 Federal Home Loan Mortgage Corporation Pool 3.50% 2029-05 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,384,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 3.50% | [2],[3],[4],[5] | ' | |
Maturity | '2029-05 | [2],[3],[4],[5] | ' | |
Fair Value | 5,680,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,011 Federal National Mortgage Association Pool 4.50% 2043-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,011,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2043-12 | [2],[3],[4],[5] | ' | |
Fair Value | 5,480,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,179 Federal National Mortgage Association Pool, 3.50% 2028-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,179,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 3.50% | [2],[3],[4],[5] | ' | |
Maturity | '2028-12 | [2],[3],[4],[5] | ' | |
Fair Value | 5,471,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,155 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,155,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-09 | [2],[3],[4],[5] | ' | |
Fair Value | 5,466,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,150 Federal National Mortgage Association Pool 4.00% 2044-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,150,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-06 | [2],[3],[4],[5] | ' | |
Fair Value | 5,448,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,501 Federal National Mortgage Association Pool 3.00% 2043-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,501,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 3.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-04 | [2],[3],[4],[5] | ' | |
Fair Value | 5,435,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,108 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,108,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-07 | [2],[3],[4],[5] | ' | |
Fair Value | 5,424,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,066 Federal National Mortgage Association Pool 4.00% 2044-05 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,066,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-05 | [2],[3],[4],[5] | ' | |
Fair Value | 5,374,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,958 Federal National Mortgage Association Pool 4.00% 2044-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,958,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-01 | [2],[3],[4],[5] | ' | |
Fair Value | 5,264,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,684 Federal National Mortgage Association Pool 4.50% 2044-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,684,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2044-01 | [2],[3],[4],[5] | ' | |
Fair Value | 5,126,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,841 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,841,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-09 | [2],[3],[4],[5] | ' | |
Fair Value | 5,124,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,522 Federal Home Loan Mortgage Corporation Pool 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,522,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2043-10 | [2],[3],[4],[5] | ' | |
Fair Value | 4,946,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,623 Federal National Mortgage Association Pool 4.00% 2043-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,623,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-01 | [2],[3],[4],[5] | ' | |
Fair Value | 4,886,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,527 Federal National Mortgage Association Pool 4.00% 2044-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,527,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-09 | [2],[3],[4],[5] | ' | |
Fair Value | 4,800,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,508 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,508,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-02 | [2],[3],[4],[5] | ' | |
Fair Value | 4,787,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,514 Federal Home Loan Mortgage Corporation Pool 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,514,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-08 | [2],[3],[4],[5] | ' | |
Fair Value | 4,770,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,497 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,497,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-09 | [2],[3],[4],[5] | ' | |
Fair Value | 4,768,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,312 Federal National Mortgage Association Pool 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,312,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2043-10 | [2],[3],[4],[5] | ' | |
Fair Value | 4,691,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,253 Federal National Mortgage Association Pool 5.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,253,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-10 | [2],[3],[4],[5] | ' | |
Fair Value | 4,686,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,262 Federal National Mortgage Association Pool 4.50% 2044-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,262,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2044-02 | [2],[3],[4],[5] | ' | |
Fair Value | 4,638,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,387 Federal National Mortgage Association Pool 3.50% 2029-05 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,387,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 3.50% | [2],[3],[4],[5] | ' | |
Maturity | '2029-05 | [2],[3],[4],[5] | ' | |
Fair Value | 4,633,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,285 Government National Mortgage Association Pool 4.75% 2061-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,285,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Government National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.75% | [2],[3],[4],[5] | ' | |
Maturity | '2061-01 | [2],[3],[4],[5] | ' | |
Fair Value | 4,589,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,188 Federal National Mortgage Association Pool 4.50% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,188,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2043-11 | [2],[3],[4],[5] | ' | |
Fair Value | 4,510,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,094 Federal National Mortgage Association Pool 4.50% 2044-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,094,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2044-03 | [2],[3],[4],[5] | ' | |
Fair Value | 4,462,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,015 Federal National Mortgage Association Pool 5.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,015,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-10 | [2],[3],[4],[5] | ' | |
Fair Value | 4,458,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,138 Federal National Mortgage Association Pool 4.00% 2044-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,138,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-06 | [2],[3],[4],[5] | ' | |
Fair Value | 4,380,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,094 Federal National Mortgage Association Pool 4.00% 2042-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,094,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2042-04 | [2],[3],[4],[5] | ' | |
Fair Value | 4,327,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,079 Federal National Mortgage Association Pool 4.00% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,079,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-11 | [2],[3],[4],[5] | ' | |
Fair Value | 4,325,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,988 Federal National Mortgage Association Pool 4.50% 2044-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,988,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2044-04 | [2],[3],[4],[5] | ' | |
Fair Value | 4,319,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,958 Federal Home Loan Mortgage Corporation Pool 4.50% 2043-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,958,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2043-12 | [2],[3],[4],[5] | ' | |
Fair Value | 4,290,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,823 Federal National Mortgage Association Pool 5.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,823,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-10 | [2],[3],[4],[5] | ' | |
Fair Value | 4,266,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,035 Federal Home Loan Mortgage Corporation Pool 3.50% 2029-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,035,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 3.50% | [2],[3],[4],[5] | ' | |
Maturity | '2029-02 | [2],[3],[4],[5] | ' | |
Fair Value | 4,257,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,769 Federal National Mortgage Association Pool 5.00% 2044-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,769,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-01 | [2],[3],[4],[5] | ' | |
Fair Value | 4,237,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,813 Federal National Mortgage Association Pool 5.00% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,813,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-11 | [2],[3],[4],[5] | ' | |
Fair Value | 4,232,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,162 Federal Home Loan Mortgage Corporation Pool 3.50% 2043-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 4,162,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 3.50% | [2],[3],[4],[5] | ' | |
Maturity | '2043-06 | [2],[3],[4],[5] | ' | |
Fair Value | 4,232,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,909 Federal National Mortgage Association Pool 4.00% 2044-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,909,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-10 | [2],[3],[4],[5] | ' | |
Fair Value | 4,137,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,742 Federal National Mortgage Association Pool 5.00% 2044-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,742,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2044-01 | [2],[3],[4],[5] | ' | |
Fair Value | 4,128,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,718 Federal National Mortgage Association Pool 5.00% 2040-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,718,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2040-11 | [2],[3],[4],[5] | ' | |
Fair Value | 4,117,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,815 Federal National Mortgage Association Pool 4.50% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,815,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.50% | [2],[3],[4],[5] | ' | |
Maturity | '2043-08 | [2],[3],[4],[5] | ' | |
Fair Value | 4,112,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,838 Federal National Mortgage Corporation Pool 4.00% 2033-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,838,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 4.00% | [2],[3],[4],[5] | ' | |
Maturity | '2033-11 | [2],[3],[4],[5] | ' | |
Fair Value | 4,105,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,674 Federal National Mortgage Association Pool 5.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 3,674,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association Pool | [2],[3],[4],[5] | ' | |
Rate | 5.00% | [2],[3],[4],[5] | ' | |
Maturity | '2043-10 | [2],[3],[4],[5] | ' | |
Fair Value | 4,094,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 298,087,000 | [2],[3],[4],[5] | 111,228,000 | [2],[6],[7],[8] |
Investment Owned Description | 'Other Federal National Mortgage Association Pools | [2],[3],[4],[5] | 'Other Federal National Mortgage Association Pools | [2],[6],[7],[8] |
Fair Value | 318,998,000 | [2],[3],[4],[5] | 115,792,000 | [2],[6],[7],[8] |
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],[5] | 3.00% | [2],[6],[7],[8] |
Maturity | '2026-06 | [2],[3],[4],[5] | '2028-06 | [2],[6],[7],[8] |
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],[5] | 6.00% | [2],[6],[7],[8] |
Maturity | '2044-10 | [2],[3],[4],[5] | '2044-01 | [2],[6],[7],[8] |
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 | 145,950,000 | [2],[3],[4],[5] | 80,675,000 | [2],[6],[7],[8] |
Investment Owned Description | 'Other Federal Home Loan Mortgage Corporation Pools | [2],[3],[4],[5] | 'Other Federal Home Loan Mortgage Corporation Pools | [2],[6],[7],[8] |
Fair Value | 155,009,000 | [2],[3],[4],[5] | 81,716,000 | [2],[6],[7],[8] |
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],[5] | 2.50% | [2],[6],[7],[8] |
Maturity | '2028-03 | [2],[3],[4],[5] | '2028-09 | [2],[6],[7],[8] |
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],[5] | 6.00% | [2],[6],[7],[8] |
Maturity | '2044-10 | [2],[3],[4],[5] | '2043-12 | [2],[6],[7],[8] |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association Pools [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 20,467,000 | [2],[3],[4],[5] | 8,191,000 | [2],[6],[7],[8] |
Investment Owned Description | 'Other Government National Mortgage Association Pools | [2],[3],[4],[5] | 'Other Government National Mortgage Association Pools | [2],[6],[7],[8] |
Fair Value | 22,265,000 | [2],[3],[4],[5] | 8,949,000 | [2],[6],[7],[8] |
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],[5] | 4.49% | [2],[6],[7],[8] |
Maturity | '2060-02 | [2],[3],[4],[5] | '2061-11 | [2],[6],[7],[8] |
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association Pools [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 5.54% | [2],[3],[4],[5] | 4.68% | [2],[6],[7],[8] |
Maturity | '2064-06 | [2],[3],[4],[5] | '2062-11 | [2],[6],[7],[8] |
Principal And Interest - Fixed Rate Agency Securities [Member] | 38,439 Federal National Mortgage Association Pool, 3.50% 2043-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 38,439,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-01 | [2],[6],[7],[8] | |
Fair Value | ' | 37,742,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 27,523 Federal National Mortgage Association Pool, 3.50% 2042-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 27,523,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.50% | [2],[6],[7],[8] | |
Maturity | ' | '2042-10 | [2],[6],[7],[8] | |
Fair Value | ' | 27,407,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,735 Federal National Mortgage Association Pool, 4.00% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 17,735,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-11 | [2],[6],[7],[8] | |
Fair Value | ' | 18,327,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 18,267 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 18,267,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-04 | [2],[6],[7],[8] | |
Fair Value | ' | 17,322,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 15,538 Federal National Mortgage Association Pool, 5.00% 2041-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 15,538,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2041-08 | [2],[6],[7],[8] | |
Fair Value | ' | 16,910,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 16,572 Federal National Mortgage Association Pool, 3.00% 2028-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 16,572,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2028-06 | [2],[6],[7],[8] | |
Fair Value | ' | 16,729,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 15,759 Federal National Mortgage Association Pool, 4.00% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 15,759,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-11 | [2],[6],[7],[8] | |
Fair Value | ' | 16,279,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 15,017 Federal National Mortgage Association Pool, 4.50% 2041-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 15,017,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2041-10 | [2],[6],[7],[8] | |
Fair Value | ' | 15,958,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 14,835 Federal National Mortgage Association Pool, 4.50% 2041-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 14,835,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2041-09 | [2],[6],[7],[8] | |
Fair Value | ' | 15,743,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 13,367 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 13,367,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 13,783,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 12,686 Federal Home Loan Mortgage Corporation Pool, 5.00% 2041-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 12,686,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2041-07 | [2],[6],[7],[8] | |
Fair Value | ' | 13,692,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 12,316 Federal National Mortgage Association Pool, 5.00% 2041-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 12,316,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2041-03 | [2],[6],[7],[8] | |
Fair Value | ' | 13,444,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,295 Federal National Mortgage Association Pool, 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 11,295,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 12,005,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,478 Federal National Mortgage Association Pool, 4.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 11,478,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 11,861,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,835 Federal National Mortgage Association Pool, 3.00% 2042-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 11,835,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2042-08 | [2],[6],[7],[8] | |
Fair Value | ' | 11,263,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,697 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 9,697,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-07 | [2],[6],[7],[8] | |
Fair Value | ' | 9,979,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,114 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 9,114,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 9,409,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 8,841 Federal Home Loan Mortgage Corporation Pool, 4.50% 2041-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 8,841,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2041-10 | [2],[6],[7],[8] | |
Fair Value | ' | 9,378,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,025 Federal National Mortgage Association Pool, 4.00% 2043-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 9,025,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-12 | [2],[6],[7],[8] | |
Fair Value | ' | 9,326,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,747 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 9,747,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-02 | [2],[6],[7],[8] | |
Fair Value | ' | 9,251,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 8,789 Federal National Mortgage Association Pool, 4.00% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 8,789,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-11 | [2],[6],[7],[8] | |
Fair Value | ' | 9,013,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,413 Federal National Mortgage Association Pool, 4.50% 2026-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 7,413,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2026-04 | [2],[6],[7],[8] | |
Fair Value | ' | 7,898,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,893 Federal National Mortgage Association Pool, 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,893,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 7,326,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,327 Federal National Mortgage Association Pool, 3.50% 2042-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 7,327,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.50% | [2],[6],[7],[8] | |
Maturity | ' | '2042-11 | [2],[6],[7],[8] | |
Fair Value | ' | 7,299,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,854 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,854,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 7,005,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,288 Federal National Mortgage Association Pool, 5.50% 2039-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,288,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.50% | [2],[6],[7],[8] | |
Maturity | ' | '2039-10 | [2],[6],[7],[8] | |
Fair Value | ' | 6,946,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,463 Federal National Mortgage Association Pool, 4.50% 2043-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,463,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-09 | [2],[6],[7],[8] | |
Fair Value | ' | 6,865,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,033 Federal National Mortgage Association Pool, 4.50% 2043-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,033,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-12 | [2],[6],[7],[8] | |
Fair Value | ' | 6,418,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,022 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,022,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 6,228,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,025 Federal National Mortgage Association Pool, 4.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,025,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 6,218,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,632 Government National Mortgage Association Pool, 4.46% 2063-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,632,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Government National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.46% | [2],[6],[7],[8] | |
Maturity | ' | '2063-02 | [2],[6],[7],[8] | |
Fair Value | ' | 6,136,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,893 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,893,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 6,083,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,342 Federal National Mortgage Association Pool, 3.00% 2042-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,342,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2042-04 | [2],[6],[7],[8] | |
Fair Value | ' | 6,035,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,287 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,287,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-01 | [2],[6],[7],[8] | |
Fair Value | ' | 5,967,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,410 Federal National Mortgage Association Pool, 5.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,410,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 5,925,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,702 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,702,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 5,867,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,361 Government National Mortgage Association Pool, 4.54% 2062-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,361,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Government National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.54% | [2],[6],[7],[8] | |
Maturity | ' | '2062-11 | [2],[6],[7],[8] | |
Fair Value | ' | 5,859,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,241 Government National Mortgage Association Pool, 4.58% 2062-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,241,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Government National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.58% | [2],[6],[7],[8] | |
Maturity | ' | '2062-10 | [2],[6],[7],[8] | |
Fair Value | ' | 5,733,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,234 Government National Mortgage Association Pool, 4.63% 2061-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,234,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Government National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.63% | [2],[6],[7],[8] | |
Maturity | ' | '2061-06 | [2],[6],[7],[8] | |
Fair Value | ' | 5,688,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,978 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,978,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-04 | [2],[6],[7],[8] | |
Fair Value | ' | 5,676,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,189 Government National Mortgage Association Pool, 4.60% 2062-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,189,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Government National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.60% | [2],[6],[7],[8] | |
Maturity | ' | '2062-06 | [2],[6],[7],[8] | |
Fair Value | ' | 5,672,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,338 Federal National Mortgage Association Pool, 4.50% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,338,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-11 | [2],[6],[7],[8] | |
Fair Value | ' | 5,668,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,274 Federal National Mortgage Association Pool, 4.00% 2026-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,274,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2026-07 | [2],[6],[7],[8] | |
Fair Value | ' | 5,593,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,147 Federal Home Loan Mortgage Corporation Pool, 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,147,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 5,460,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,130 Federal Home Loan Mortgage Corporation Pool, 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,130,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 5,442,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,904 Federal National Mortgage Association Pool, 4.00% 2043-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,904,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-01 | [2],[6],[7],[8] | |
Fair Value | ' | 5,063,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,484 Federal National Mortgage Association Pool, 5.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,484,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 4,897,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,720 Federal National Mortgage Association Pool, 4.00% 2042-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,720,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2042-04 | [2],[6],[7],[8] | |
Fair Value | ' | 4,873,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,032 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 5,032,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-06 | [2],[6],[7],[8] | |
Fair Value | ' | 4,776,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,472 Federal National Mortgage Association Pool, 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,472,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 4,768,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,604 Federal National Mortgage Association Pool, 4.00% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,604,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-11 | [2],[6],[7],[8] | |
Fair Value | ' | 4,758,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,477 Federal National Mortgage Association Pool, 4.50% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,477,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 4,754,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,581 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,581,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 4,715,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,359 Federal Home Loan Mortgage Corporation Pool, 4.50% 2043-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,359,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-09 | [2],[6],[7],[8] | |
Fair Value | ' | 4,625,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,604 Federal National Mortgage Association Pool, 3.50% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,604,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 4,586,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,673 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,673,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-02 | [2],[6],[7],[8] | |
Fair Value | ' | 4,435,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,060 Federal National Mortgage Association Pool, 5.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,060,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 4,423,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,025 Federal National Mortgage Association Pool, 5.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,025,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 4,387,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,231 Federal National Mortgage Association Pool, 4.00% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,231,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-11 | [2],[6],[7],[8] | |
Fair Value | ' | 4,372,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,932 Government National Mortgage Association Pool, 4.69% 2061-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,932,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Government National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.69% | [2],[6],[7],[8] | |
Maturity | ' | '2061-07 | [2],[6],[7],[8] | |
Fair Value | ' | 4,288,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,886 Government National Mortgage Association Pool, 4.75% 2061-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,886,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Government National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.75% | [2],[6],[7],[8] | |
Maturity | ' | '2061-01 | [2],[6],[7],[8] | |
Fair Value | ' | 4,213,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,864 Federal National Mortgage Association Pool, 5.00% 2040-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,864,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2040-11 | [2],[6],[7],[8] | |
Fair Value | ' | 4,203,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,811 Federal National Mortgage Association Pool, 5.00% 2044-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,811,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2044-01 | [2],[6],[7],[8] | |
Fair Value | ' | 4,169,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,826 Government National Mortgage Association Pool, 4.80% 2061-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,826,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Government National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.80% | [2],[6],[7],[8] | |
Maturity | ' | '2061-02 | [2],[6],[7],[8] | |
Fair Value | ' | 4,157,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,225 Federal Home Loan Mortgage Corporation Pool, 3.50% 2043-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,225,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 3.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-06 | [2],[6],[7],[8] | |
Fair Value | ' | 4,137,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,929 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,929,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 4,043,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,801 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,801,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-11 | [2],[6],[7],[8] | |
Fair Value | ' | 3,885,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,599 Federal National Mortgage Association Pool, 4.50% 2043-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,599,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-12 | [2],[6],[7],[8] | |
Fair Value | ' | 3,837,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,737 Federal Home Loan Mortgage Corporation Pool, 3.00% 2028-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,737,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2028-03 | [2],[6],[7],[8] | |
Fair Value | ' | 3,810,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,434 Government National Mortgage Association Pool, 4.66% 2063-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,434,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Government National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.66% | [2],[6],[7],[8] | |
Maturity | ' | '2063-01 | [2],[6],[7],[8] | |
Fair Value | ' | 3,772,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,448 Federal National Mortgage Association Pool, 5.00% 2040-12 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,448,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2040-12 | [2],[6],[7],[8] | |
Fair Value | ' | 3,759,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,601 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,601,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 3,715,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,594 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,594,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 3,710,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,566 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,566,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 3,683,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,400 Federal National Mortgage Association Pool, 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,400,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 3,613,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,495 Federal National Mortgage Association Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,495,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 3,608,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,273 Federal National Mortgage Association Pool, 4.50% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,273,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 3,479,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,515 Federal Home Loan Mortgage Corporation Pool, 3.50% 2043-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,515,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 3.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-06 | [2],[6],[7],[8] | |
Fair Value | ' | 3,454,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,111 Federal National Mortgage Association Pool, 5.00% 2035-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,111,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2035-10 | [2],[6],[7],[8] | |
Fair Value | ' | 3,429,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,134 Government National Mortgage Association Pool, 4.68% 2061-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,134,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Government National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.68% | [2],[6],[7],[8] | |
Maturity | ' | '2061-10 | [2],[6],[7],[8] | |
Fair Value | ' | 3,421,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,094 Government National Mortgage Association Pool, 5.54% 2060-02 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,094,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Government National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.54% | [2],[6],[7],[8] | |
Maturity | ' | '2060-02 | [2],[6],[7],[8] | |
Fair Value | ' | 3,420,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,469 Federal National Mortgage Association Pool, 3.50% 2042-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,469,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.50% | [2],[6],[7],[8] | |
Maturity | ' | '2042-06 | [2],[6],[7],[8] | |
Fair Value | ' | 3,419,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,387 Federal Home Loan Mortgage Corporation Pool, 3.00% 2028-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,387,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2028-06 | [2],[6],[7],[8] | |
Fair Value | ' | 3,412,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,421 Federal National Mortgage Association Pool, 3.50% 2043-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,421,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-01 | [2],[6],[7],[8] | |
Fair Value | ' | 3,407,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,170 Federal National Mortgage Association Pool, 4.00% 2026-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,170,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2026-06 | [2],[6],[7],[8] | |
Fair Value | ' | 3,362,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,200 Federal National Mortgage Association Pool, 3.50% 2028-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,200,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.50% | [2],[6],[7],[8] | |
Maturity | ' | '2028-11 | [2],[6],[7],[8] | |
Fair Value | ' | 3,355,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,194 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,194,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-08 | [2],[6],[7],[8] | |
Fair Value | ' | 3,294,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,203 Federal National Mortgage Association Pool, 3.00% 2028-06 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,203,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2028-06 | [2],[6],[7],[8] | |
Fair Value | ' | 3,274,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,981 Federal National Mortgage Association Pool, 5.00% 2043-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,981,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-11 | [2],[6],[7],[8] | |
Fair Value | ' | 3,261,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,218 Federal National Mortgage Association Pool, 3.00% 2028-03 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,218,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2028-03 | [2],[6],[7],[8] | |
Fair Value | ' | 3,249,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,142 Federal National Mortgage Association Pool, 4.00% 2043-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,142,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.00% | [2],[6],[7],[8] | |
Maturity | ' | '2043-10 | [2],[6],[7],[8] | |
Fair Value | ' | 3,247,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,124 Federal National Mortgage Association Pool, 3.00% 2028-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,124,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2028-07 | [2],[6],[7],[8] | |
Fair Value | ' | 3,193,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,998 Federal Home Loan Mortgage Corporation Pool, 4.50% 2043-09 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,998,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2043-09 | [2],[6],[7],[8] | |
Fair Value | ' | 3,191,000 | [2],[6],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,996 Federal National Mortgage Association Pool, 4.50% 2042-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 2,996,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.50% | [2],[6],[7],[8] | |
Maturity | ' | '2042-04 | [2],[6],[7],[8] | |
Fair Value | ' | 3,182,000 | [2],[6],[7],[8] | |
Interest Only - Fixed Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 1.84% | [1],[2],[3],[4],[5] | 3.06% | [1],[2],[6],[7],[8] |
Fair Value | 14,957,000 | [2],[3],[4],[5] | 19,132,000 | [2],[6],[7],[8] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 68,234,000 | [2],[3],[4],[5] | 97,796,000 | [2],[6],[7],[8] |
Investment Owned Description | 'Other Federal National Mortgage Association | [2],[3],[4],[5] | 'Other Federal National Mortgage Association | [2],[6],[7],[8] |
Fair Value | 9,768,000 | [2],[3],[4],[5] | 13,821,000 | [2],[6],[7],[8] |
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],[5] | 3.00% | [2],[6],[7],[8] |
Maturity | '2020-12 | [2],[3],[4],[5] | '2020-12 | [2],[6],[7],[8] |
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] | 5.50% | [2],[6],[7],[8] |
Maturity | '2043-06 | [2],[3],[4],[5] | '2043-06 | [2],[6],[7],[8] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 24,917,000 | [2],[3],[4],[5] | 21,959,000 | [2],[6],[7],[8] |
Investment Owned Description | 'Other Federal Home Loan Mortgage Corporation | [2],[3],[4],[5] | 'Other Federal Home Loan Mortgage Corporation | [2],[6],[7],[8] |
Fair Value | 3,663,000 | [2],[3],[4],[5] | 3,577,000 | [2],[6],[7],[8] |
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] | 3.00% | [2],[6],[7],[8] |
Maturity | '2032-12 | [2],[3],[4],[5] | '2032-12 | [2],[6],[7],[8] |
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] | 5.50% | [2],[6],[7],[8] |
Maturity | '2043-01 | [2],[3],[4],[5] | '2043-01 | [2],[6],[7],[8] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 9,547,000 | [2],[3],[4],[5] | 10,460,000 | [2],[6],[7],[8] |
Investment Owned Description | 'Other Government National Mortgage Association | [2],[3],[4],[5] | 'Other Government National Mortgage Association | [2],[6],[7],[8] |
Fair Value | 1,526,000 | [2],[3],[4],[5] | 1,734,000 | [2],[6],[7],[8] |
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],[5] | 3.00% | [2],[6],[7],[8] |
Maturity | '2040-07 | [2],[3],[4],[5] | '2036-03 | [2],[6],[7],[8] |
Interest Only - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 4.75% | [2],[3],[4],[5] | 5.50% | [2],[6],[7],[8] |
Maturity | '2042-11 | [2],[3],[4],[5] | '2042-11 | [2],[6],[7],[8] |
TBA - Fixed Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 13.74% | [1],[2],[3],[4],[5] | 15.47% | [1],[2],[6],[7],[8] |
Current Principal/Notional Amount | 112,448,000 | 101,150,000 | ||
Fair Value | 111,624,000 | [2],[3],[4],[5] | 96,856,000 | [2],[6],[7],[8] |
TBA - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association (30 Year) 3.00% 2014-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 43,978,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association (30 Year) | [2],[3],[4],[5] | ' | |
Rate | 3.00% | [2],[3],[4],[5] | ' | |
Maturity | '2014-10 | [2],[3],[4],[5] | ' | |
Fair Value | 43,347,000 | [2],[3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3.50% 2014-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 23,750,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation (30 Year) | [2],[3],[4],[5] | ' | |
Rate | 3.50% | [2],[3],[4],[5] | ' | |
Maturity | '2014-10 | [2],[3],[4],[5] | ' | |
Fair Value | 24,231,000 | [2],[3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3.00% 2014-10 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 23,120,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation (30 Year) | [2],[3],[4],[5] | ' | |
Rate | 3.00% | [2],[3],[4],[5] | ' | |
Maturity | '2014-10 | [2],[3],[4],[5] | ' | |
Fair Value | 22,815,000 | [2],[3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association (30 Year) 3.00% 2014-11 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 21,600,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal National Mortgage Association (30 Year) | [2],[3],[4],[5] | ' | |
Rate | 3.00% | [2],[3],[4],[5] | ' | |
Maturity | '2014-11 | [2],[3],[4],[5] | ' | |
Fair Value | 21,231,000 | [2],[3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities [Member] | 63,300 Federal Home Loan Mortgage Corporation (30 Year) 3.00% 2014-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 63,300,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation (30 Year) | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2014-01 | [2],[6],[7],[8] | |
Fair Value | ' | 60,016,000 | [2],[6],[7],[8] | |
TBA - Fixed Rate Agency Securities [Member] | 31,150 Federal National Mortgage Association (30 Year) 3.00% 2014-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 31,150,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association (30 Year) | [2],[6],[7],[8] | |
Rate | ' | 3.00% | [2],[6],[7],[8] | |
Maturity | ' | '2014-01 | [2],[6],[7],[8] | |
Fair Value | ' | 29,612,000 | [2],[6],[7],[8] | |
TBA - Fixed Rate Agency Securities [Member] | 6,700 Federal Home Loan Mortgage Corporation (30 Year) 5.00% 2014-01 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,700,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation (30 Year) | [2],[6],[7],[8] | |
Rate | ' | 5.00% | [2],[6],[7],[8] | |
Maturity | ' | '2014-01 | [2],[6],[7],[8] | |
Fair Value | ' | 7,228,000 | [2],[6],[7],[8] | |
Fixed Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 139.61% | [1],[2],[3],[4],[5] | 156.28% | [1],[2],[6],[7],[8] |
Fair Value | 1,133,825,000 | [2],[3],[4],[5] | 978,356,000 | [2],[6],[7],[8] |
Investment Owned, at Cost | 1,124,947,000 | [2],[3],[4],[5] | 992,207,000 | [2],[6],[7],[8] |
Principal And Interest - Floating Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 2.26% | [1],[2],[3],[4],[5] | 4.89% | [1],[2],[6],[7],[8] |
Fair Value | 18,360,000 | [2],[3],[4],[5] | 30,618,000 | [2],[6],[7],[8] |
Principal And Interest - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 6,543,000 | [2],[3],[4],[5] | 3,667,000 | [2],[6],[7],[8] |
Investment Owned Description | 'Other Federal National Mortgage Association Pools | [2],[3],[4],[5] | 'Other Federal National Mortgage Association Pools | [2],[6],[7],[8] |
Fair Value | 7,000,000 | [2],[3],[4],[5] | 3,900,000 | [2],[6],[7],[8] |
Principal And Interest - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 5.04% | [2],[3],[4],[5] | 2.64% | [2],[6],[7],[8] |
Maturity | '2035-09 | [2],[3],[4],[5] | '2036-04 | [2],[6],[7],[8] |
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] | 6.05% | [2],[6],[7],[8] |
Maturity | '2037-09 | [2],[3],[4],[5] | '2037-09 | [2],[6],[7],[8] |
Principal And Interest - Floating Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation Pools [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,662,000 | [2],[3],[4],[5] | 3,148,000 | [2],[6],[7],[8] |
Investment Owned Description | 'Other Federal Home Loan Mortgage Corporation Pools | [2],[3],[4],[5] | 'Other Federal Home Loan Mortgage Corporation Pools | [2],[6],[7],[8] |
Fair Value | 5,920,000 | [2],[3],[4],[5] | 3,341,000 | [2],[6],[7],[8] |
Principal And Interest - Floating Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation Pools [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 2.36% | [2],[3],[4],[5] | 5.83% | [2],[6],[7],[8] |
Maturity | '2037-06 | [2],[3],[4],[5] | '2037-06 | [2],[6],[7],[8] |
Principal And Interest - Floating Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation Pools [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 5.94% | [2],[3],[4],[5] | 5.89% | [2],[6],[7],[8] |
Maturity | '2044-05 | [2],[3],[4],[5] | '2037-07 | [2],[6],[7],[8] |
Principal And Interest - Floating Rate Agency Securities [Member] | 5,085 Federal Home Loan Mortgage Corporation Pool 4.92% 2038-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,085,000 | [2],[3],[4],[5] | ' | |
Investment Owned Description | 'Federal Home Loan Mortgage Corporation Pool | [2],[3],[4],[5] | ' | |
Rate | 4.92% | [2],[3],[4],[5] | ' | |
Maturity | '2038-04 | [2],[3],[4],[5] | ' | |
Fair Value | 5,440,000 | [2],[3],[4],[5] | ' | |
Principal And Interest - Floating Rate Agency Securities [Member] | 6,281 Federal Home Loan Mortgage Corporation Pool, 4.92% 2038-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 6,281,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal Home Loan Mortgage Corporation Pool | [2],[6],[7],[8] | |
Rate | ' | 4.92% | [2],[6],[7],[8] | |
Maturity | ' | '2038-04 | [2],[6],[7],[8] | |
Fair Value | ' | 6,709,000 | [2],[6],[7],[8] | |
Principal And Interest - Floating Rate Agency Securities [Member] | 4,935 Federal National Mortgage Association Pool, 4.27% 2040-04 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 4,935,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 4.27% | [2],[6],[7],[8] | |
Maturity | ' | '2040-04 | [2],[6],[7],[8] | |
Fair Value | ' | 5,256,000 | [2],[6],[7],[8] | |
Principal And Interest - Floating Rate Agency Securities [Member] | 3,674 Federal National Mortgage Association Pool, 5.73% 2037-07 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,674,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 5.73% | [2],[6],[7],[8] | |
Maturity | ' | '2037-07 | [2],[6],[7],[8] | |
Fair Value | ' | 3,937,000 | [2],[6],[7],[8] | |
Principal And Interest - Floating Rate Agency Securities [Member] | 3,646 Federal National Mortgage Association Pool, 2.53% 2038-05 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,646,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 2.53% | [2],[6],[7],[8] | |
Maturity | ' | '2038-05 | [2],[6],[7],[8] | |
Fair Value | ' | 3,878,000 | [2],[6],[7],[8] | |
Principal And Interest - Floating Rate Agency Securities [Member] | 3,395 Federal National Mortgage Association Pool, 6.1% 2037-08 [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 3,395,000 | [2],[6],[7],[8] | |
Investment Owned Description | ' | 'Federal National Mortgage Association Pool | [2],[6],[7],[8] | |
Rate | ' | 6.10% | [2],[6],[7],[8] | |
Maturity | ' | '2037-08 | [2],[6],[7],[8] | |
Fair Value | ' | 3,597,000 | [2],[6],[7],[8] | |
Interest Only - Floating Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 2.91% | [1],[2],[3],[4],[5] | 3.41% | [1],[2],[6],[7],[8] |
Fair Value | 23,615,000 | [2],[3],[4],[5] | 21,372,000 | [2],[6],[7],[8] |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 29,766,000 | [2],[3],[4],[5] | 25,322,000 | [2],[6],[7],[8] |
Investment Owned Description | 'Other Federal National Mortgage Association | [2],[3],[4],[5] | 'Other Federal National Mortgage Association | [2],[6],[7],[8] |
Fair Value | 5,161,000 | [2],[3],[4],[5] | 4,600,000 | [2],[6],[7],[8] |
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],[5] | 5.50% | [2],[6],[7],[8] |
Maturity | '2035-04 | [2],[3],[4],[5] | '2036-08 | [2],[6],[7],[8] |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 6.60% | [2],[3],[4],[5] | 6.59% | [2],[6],[7],[8] |
Maturity | '2043-07 | [2],[3],[4],[5] | '2043-07 | [2],[6],[7],[8] |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 7,692,000 | [2],[3],[4],[5] | 18,180,000 | [2],[6],[7],[8] |
Investment Owned Description | 'Other Federal Home Loan Mortgage Corporation | [2],[3],[4],[5] | 'Other Federal Home Loan Mortgage Corporation | [2],[6],[7],[8] |
Rate | 5.85% | [2],[3],[4],[5] | ' | |
Maturity | '2039-08 | [2],[3],[4],[5] | ' | |
Fair Value | 941,000 | [2],[3],[4],[5] | 2,433,000 | [2],[6],[7],[8] |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | ' | 5.83% | [2],[6],[7],[8] | |
Maturity | ' | '2038-11 | [2],[6],[7],[8] | |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | ' | 6.53% | [2],[6],[7],[8] | |
Maturity | ' | '2039-08 | [2],[6],[7],[8] | |
Interest Only - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 192,100,000 | [2],[3],[4],[5] | 108,194,000 | [2],[6],[7],[8] |
Investment Owned Description | 'Other Government National Mortgage Association | [2],[3],[4],[5] | 'Other Government National Mortgage Association | [2],[6],[7],[8] |
Fair Value | 15,481,000 | [2],[3],[4],[5] | 11,987,000 | [2],[6],[7],[8] |
Interest Only - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 0.39% | [2],[3],[4],[5] | 1.64% | [2],[6],[7],[8] |
Maturity | '2042-11 | [2],[3],[4],[5] | '2042-11 | [2],[6],[7],[8] |
Interest Only - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 6.60% | [2],[3],[4],[5] | 6.58% | [2],[6],[7],[8] |
Maturity | '2063-10 | [2],[3],[4],[5] | '2063-08 | [2],[6],[7],[8] |
Interest Only - Floating Rate Agency Securities [Member] | Resecuritization of Government National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 21,706,000 | [2],[3],[4],[5],[9] | 22,796,000 | [2],[6],[7],[8],[9] |
Investment Owned Description | 'Resecuritization of Government National Mortgage Association (w) | [2],[3],[4],[5],[9] | 'Resecuritization of Government National Mortgage Association (t) | [2],[6],[7],[8],[9] |
Rate | 4.34% | [2],[3],[4],[5],[9] | 4.34% | [2],[6],[7],[8],[9] |
Maturity | '2060-08 | [2],[3],[4],[5],[9] | '2060-08 | [2],[6],[7],[8],[9] |
Fair Value | 2,032,000 | [2],[3],[4],[5],[9] | 2,352,000 | [2],[6],[7],[8],[9] |
Floating Rate Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 5.17% | [1],[2],[3],[4],[5] | 8.30% | [1],[2],[6],[7],[8] |
Fair Value | 41,975,000 | [2],[3],[4],[5] | 51,990,000 | [2],[6],[7],[8] |
Investment Owned, at Cost | 40,824,000 | [2],[3],[4],[5] | 50,969,000 | [2],[6],[7],[8] |
Agency Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 144.78% | [1],[2],[3],[4],[5] | 164.58% | [1],[2],[6],[7],[8] |
Fair Value | 1,175,800,000 | [2],[3],[4],[5] | 1,030,346,000 | [2],[6],[7],[8] |
Investment Owned, at Cost | 1,165,771,000 | [2],[3],[4],[5] | 1,043,176,000 | [2],[6],[7],[8] |
Principal And Interest - Private Label Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 66.86% | [1],[2],[3],[4] | 97.40% | [1],[2],[6],[7] |
Fair Value | 542,990,000 | [2],[3],[4] | 609,766,000 | [2],[6],[7] |
Investment Owned, at Cost | 504,510,000 | [2],[3],[4] | 555,708,000 | [2],[6],[7] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 866,595,000 | [2],[3],[4] | 920,032,000 | [2],[6],[7] |
Investment Owned Description | 'Various | [2],[3],[4] | 'Various | [2],[6],[7] |
Fair Value | 542,990,000 | [2],[3],[4] | 609,766,000 | [2],[6],[7] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 0.00% | [2],[3],[4] | 0.24% | [2],[6],[7] |
Maturity | '2015-07 | [2],[3],[4] | '2019-05 | [2],[6],[7] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 9.35% | [2],[3],[4] | 9.35% | [2],[6],[7] |
Maturity | '2061-01 | [2],[3],[4] | '2050-06 | [2],[6],[7] |
Principal Only - Private Label Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 0.40% | [1],[2],[3],[4] | 0.45% | [1],[2],[6],[7] |
Fair Value | 3,248,000 | [2],[3],[4] | 2,784,000 | [2],[6],[7] |
Investment Owned, at Cost | 2,671,000 | [2],[3],[4] | 2,477,000 | [2],[6],[7] |
Principal Only - Private Label Securities [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 5,800,000 | [2],[3],[4] | 5,800,000 | [2],[6],[7] |
Investment Owned Description | 'Various | [2],[3],[4] | 'Various | [2],[6],[7] |
Rate | 0.00% | [2],[3],[4] | 0.00% | [2],[6],[7] |
Maturity | '2030-08 | [2],[3],[4] | '2030-08 | [2],[6],[7] |
Fair Value | 3,248,000 | [2],[3],[4] | 2,784,000 | [2],[6],[7] |
Interest Only - Private Label Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 0.27% | [1],[2],[3],[4] | 0.19% | [1],[2],[6],[7] |
Fair Value | 2,149,000 | [2],[3],[4] | 1,216,000 | [2],[6],[7] |
Investment Owned, at Cost | 1,387,000 | [2],[3],[4] | 519,000 | [2],[6],[7] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 60,779,000 | [2],[3],[4] | 50,649,000 | [2],[6],[7] |
Investment Owned Description | 'Various | [2],[3],[4] | 'Various | [2],[6],[7] |
Fair Value | 2,149,000 | [2],[3],[4] | 1,216,000 | [2],[6],[7] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 0.50% | [2],[3],[4] | 0.50% | [2],[6],[7] |
Maturity | '2044-06 | [2],[3],[4] | '2044-06 | [2],[6],[7] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 2.00% | [2],[3],[4] | 2.00% | [2],[6],[7] |
Maturity | '2047-09 | [2],[3],[4] | '2047-09 | [2],[6],[7] |
Other Private Label Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 0.00% | [1],[2],[3],[4] | 0.00% | [1],[2],[6],[7] |
Fair Value | 0 | [2],[3],[4] | 0 | [2],[6],[7] |
Investment Owned, at Cost | 311,000 | [2],[3],[4] | 345,000 | [2],[6],[7] |
Other Private Label Securities [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 114,905,000 | [2],[3],[4] | 127,491,000 | [2],[6],[7] |
Investment Owned Description | 'Various | [2],[3],[4] | 'Various | [2],[6],[7] |
Rate | 0.00% | [2],[3],[4] | 0.00% | [2],[6],[7] |
Fair Value | 0 | [2],[3],[4] | 0 | [2],[6],[7] |
Other Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Maturity | '2037-06 | [2],[3],[4] | '2037-06 | [2],[6],[7] |
Other Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Maturity | '2047-10 | [2],[3],[4] | '2045-07 | [2],[6],[7] |
Private Label Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 67.53% | [1],[2],[3],[4] | 98.04% | [1],[2],[6],[7] |
Fair Value | 548,387,000 | [2],[3],[4] | 613,766,000 | [2],[6],[7] |
Investment Owned, at Cost | 508,879,000 | [2],[3],[4] | 559,049,000 | [2],[6],[7] |
Mortgage-Backed Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 212.31% | [1],[2],[3],[4] | 262.62% | [1],[2],[6],[7] |
Fair Value | 1,724,187,000 | [2],[3],[4] | 1,644,112,000 | [2],[6],[7] |
Investment Owned, at Cost | 1,674,650,000 | [2],[3],[4] | 1,602,225,000 | [2],[6],[7] |
Other Asset-backed Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | ' | 6.08% | [1],[2],[6],[7] | |
Fair Value | ' | 38,069,000 | [2],[6],[7] | |
Investment Owned, at Cost | ' | 38,758,000 | [2],[6],[7] | |
Other Asset-backed Securities [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | 42,822,000 | [2],[6],[7] | |
Investment Owned Description | ' | 'Various | [2],[6],[7] | |
Fair Value | ' | 38,069,000 | [2],[6],[7] | |
Other Asset-backed Securities [Member] | Various Issuer [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | ' | 0.00% | [2],[6],[7] | |
Maturity | ' | '2017-06 | [2],[6],[7] | |
Other Asset-backed Securities [Member] | Various Issuer [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | ' | 9.74% | [2],[6],[7] | |
Maturity | ' | '2040-12 | [2],[6],[7] | |
Other sset-backed securities and loans [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 13.44% | [1],[2],[3],[4] | ' | |
Fair Value | 109,152,000 | [2],[3],[4] | ' | |
Investment Owned, at Cost | 110,423,000 | [2],[3],[4] | ' | |
Other sset-backed securities and loans [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 126,490,000 | [2],[3],[4] | ' | |
Investment Owned Description | 'Various | [2],[3],[4] | ' | |
Fair Value | 109,152,000 | [2],[3],[4] | ' | |
Other sset-backed securities and loans [Member] | Various Issuer [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 0.00% | [2],[3],[4] | ' | |
Maturity | '2017-03 | [2],[3],[4] | ' | |
Other sset-backed securities and loans [Member] | Various Issuer [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 9.73% | [2],[3],[4] | ' | |
Maturity | '2068-09 | [2],[3],[4] | ' | |
Commercial Mortgage Loans [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 3.68% | [1],[10],[2],[3],[4] | 3.82% | [1],[11],[2],[6],[7] |
Fair Value | 29,852,000 | [10],[2],[3],[4] | 23,887,000 | [11],[2],[6],[7] |
Investment Owned, at Cost | 29,850,000 | [10],[2],[3],[4] | 23,212,000 | [11],[2],[6],[7] |
Commercial Mortgage Loans [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 34,123,000 | [10],[2],[3],[4] | 26,227,000 | [11],[2],[6],[7] |
Investment Owned Description | 'Various | [10],[2],[3],[4] | 'Various | [11],[2],[6],[7] |
Fair Value | 29,852,000 | [10],[2],[3],[4] | 23,887,000 | [11],[2],[6],[7] |
Commercial Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 0.00% | [10],[2],[3],[4] | 0.00% | [11],[2],[6],[7] |
Maturity | '2014-12 | [10],[2],[3],[4] | '2014-06 | [11],[2],[6],[7] |
Commercial Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Rate | 10.00% | [10],[2],[3],[4] | 7.25% | [11],[2],[6],[7] |
Maturity | '2017-11 | [10],[2],[3],[4] | '2016-12 | [11],[2],[6],[7] |
Residential Mortgage Loans [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 2.11% | [1],[2],[3],[4] | 3.84% | [1],[2],[6],[7] |
Fair Value | 17,147,000 | [2],[3],[4] | 24,062,000 | [2],[6],[7] |
Investment Owned, at Cost | 16,324,000 | [2],[3],[4] | 24,062,000 | [2],[6],[7] |
Residential Mortgage Loans [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 23,551,000 | [2],[3],[4] | 36,218,000 | [2],[6],[7] |
Investment Owned Description | 'Various | [2],[3],[4] | 'Various | [2],[6],[7] |
Rate | 0.00% | [2],[3],[4] | 0.00% | [2],[6],[7] |
Fair Value | 17,147,000 | [2],[3],[4] | 24,062,000 | [2],[6],[7] |
Residential Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Maturity | '2018-02 | [2],[3],[4] | '2024-08 | |
Residential Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Maturity | '2054-05 | [2],[3],[4] | '2042-10 | |
Real Estate Owned [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 0.92% | [1],[12],[2],[3],[4] | ' | |
Fair Value | 7,464,000 | [12],[2],[3],[4] | ' | |
Investment Owned, at Cost | 7,252,000 | [12],[2],[3],[4] | ' | |
Real Estate Owned [Member] | Single-Family Houses [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 46 | [12],[2],[3],[4] | ' | |
Investment Owned Description | 'Single-Family Houses | [12],[2],[3],[4] | ' | |
Fair Value | 5,420,000 | [12],[2],[3],[4] | ' | |
Real Estate Owned [Member] | Commercial Property [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 1 | [12],[2],[3],[4] | ' | |
Investment Owned Description | 'Commercial Property | [12],[2],[3],[4] | ' | |
Fair Value | 2,044,000 | [12],[2],[3],[4] | ' | |
Private Corporate Investments [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 0.95% | [1],[2],[3],[4] | ' | |
Fair Value | 7,686,000 | [2],[3],[4] | ' | |
Investment Owned, at Cost | 7,924,000 | [2],[3],[4] | ' | |
Private Corporate Investments [Member] | North America [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 0.95% | ' | ||
Fair Value | 7,686,000 | ' | ||
Investment Owned, Balance, Shares | 13,225,000 | ' | ||
Investment Owned, at Cost | 7,924,000 | ' | ||
Private Corporate Investments [Member] | Preferred Stock [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment Owned Description | 'Preferred Equity Investment in Commercial Mortgage-related Partnership | [2],[3],[4] | ' | |
Fair Value | 5,000,000 | [2],[3],[4] | ' | |
Investment Owned, Balance, Shares | 5,000,000 | [2],[3],[4] | ' | |
Private Corporate Investments [Member] | Equity in Mortgage Originator [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment Owned Description | 'Equity Investment in Mortgage Originator | [2],[3],[4] | ' | |
Fair Value | 2,686,000 | [2],[3],[4] | ' | |
Investment Owned, Balance, Shares | 8,225,000 | [2],[3],[4] | ' | |
US Treasury Securities [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 67.16% | [1],[2],[3],[4] | ' | |
Fair Value | 545,340,000 | [2],[3],[4] | ' | |
Investment Owned, at Cost | 544,853,000 | [2],[3],[4] | ' | |
US Treasury Securities [Member] | U.S. Treasury Note 1.75% [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 526,091,000 | [2],[3],[4] | ' | |
Investment Owned Description | 'U.S. Treasury Note | [2],[3],[4] | ' | |
Rate | 1.75% | [2],[3],[4] | ' | |
Maturity | '2019-09 | [2],[3],[4] | ' | |
Fair Value | 525,452,000 | [2],[3],[4] | ' | |
US Treasury Securities [Member] | U.S. Treasury Note 1.00% [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 12,223,000 | [2],[3],[4] | ' | |
Investment Owned Description | 'U.S. Treasury Note | [2],[3],[4] | ' | |
Rate | 100.00% | [2],[3],[4] | ' | |
Maturity | '2017-09 | [2],[3],[4] | ' | |
Fair Value | 12,206,000 | [2],[3],[4] | ' | |
US Treasury Securities [Member] | US Treasury Notes 2.38% [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Current Principal/Notional Amount | 7,769,000 | [2],[3],[4] | ' | |
Investment Owned Description | 'U.S. Treasury Note | [2],[3],[4] | ' | |
Rate | 238.00% | [2],[3],[4] | ' | |
Maturity | '2024-08 | [2],[3],[4] | ' | |
Fair Value | 7,682,000 | [2],[3],[4] | ' | |
Long Investments [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 300.56% | [1],[2],[3],[4] | 276.36% | [1],[2],[6],[7] |
Current Principal/Notional Amount | ' | 2,478,291,000 | ||
Fair Value | 2,440,828,000 | [2],[3],[4] | 1,730,130,000 | [2],[6],[7] |
Investment Owned, at Cost | 2,391,276,000 | [2],[3],[4] | 1,688,257,000 | [2],[6],[7] |
Long Investments [Member] | North America [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 294.75% | 275.44% | ||
Current Principal/Notional Amount | 3,161,385,000 | 2,470,650,000 | ||
Fair Value | 2,393,715,000 | 1,724,370,000 | ||
Investment Owned, at Cost | 2,342,001,000 | 1,682,533,000 | ||
Long Investments [Member] | Europe [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 4.85% | 0.92% | ||
Current Principal/Notional Amount | 43,235,000 | 7,641,000 | ||
Fair Value | 39,427,000 | 5,760,000 | ||
Investment Owned, at Cost | 41,351,000 | 5,724,000 | ||
Long Investments [Member] | Federal National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 92.40% | 100.85% | ||
Long Investments [Member] | Federal Home Loan Mortgage Corporation [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 44.08% | 51.37% | ||
Long Investments [Member] | Government National Mortgage Association [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment owned as a percentage of equity | 8.30% | 12.36% | ||
Commercial Mortgage Loan With Extendable Maturity [Member] | Commercial Mortgage Loans [Member] | Various Issuer [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Fair Value | ' | $5,000,000 | ||
[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 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 guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. 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 of EquityUnrated but Agency-Guaranteed 144.78%A/A/A 0.64%Baa/BBB/BBB 4.59%Ba/BB/BB or below 66.71%Unrated 83.84% | |||
[4] | The following table details the breakout by geographical region of long investments, investments sold short, repurchase agreements, financial derivatives–assets, and financial derivatives–liabilities.Region Current Principal/Notional Value/Number of Properties/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 3,161,385 $2,342,001 $2,393,715 294.75 %Europe 43,235 41,351 39,427 4.85 %North America (Common Stock) 13,225 7,924 7,686 0.95 %Total $2,391,276 $2,440,828 300.56 %Investments Sold Short: North America (TBAs and Government Debt) (1,121,387) $(1,178,095) $(1,178,831) (145.16)%Europe (Government Debt) (21,367) (24,110) (23,707) (2.92)%North America (Common Stock) (2,113) (20,838) (19,356) (2.38)%Total $(1,223,043) $(1,221,894) (150.46)%Repurchase Agreements: North America 20,046 $20,045 $20,045 2.47 %Europe 26,994 27,147 26,994 3.32 %Total 47,040 $47,192 $47,039 5.79 %Financial Derivatives–Assets: North America 634,538 $45,074 $56,365 6.94 %Europe (8,733) — 1 — %Total 625,805 $45,074 $56,366 6.94 %Financial Derivatives–Liabilities: North America (617,900) $(32,133) $(45,569) (5.61)%Europe (16,675) (1,817) (1,762) (0.22)%Total (634,575) $(33,950) $(47,331) (5.83)% | |||
[5] | At September 30, 2014, 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 92.40%, 44.08%, and 8.30% of equity, respectively. | |||
[6] | The following table details the breakout by geographical region of long investments, investments sold short, and repurchase agreements. All financial derivatives were concentrated in North America.Region Current Principal/Notional Value/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 2,470,650 $1,682,533 $1,724,370 275.44 %Europe 7,641 5,724 5,760 0.92 %Total 2,478,291 $1,688,257 $1,730,130 276.36 %Investments Sold Short: North America (TBAs and Government Debt) (804,888) $(833,656) $(831,564) (132.82)%Europe (Government Debt) (7,337) (7,633) (7,681) (1.23)%North America (Common Stock) (763) (6,313) (6,369) (1.02)%Total $(847,602) $(845,614) (135.07)%Repurchase Agreements: North America 19,675 $19,675 $19,675 3.15 %Europe 8,287 8,268 8,287 1.32 %Total 27,962 $27,943 $27,962 4.47 % | |||
[7] | 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 guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. 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 164.58%A/A/A 0.34%Baa/BBB/BBB 2.97%Ba/BB/BB or below 97.95%Unrated 10.52% | |||
[8] | At December 31, 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 100.85%, 51.37%, and 12.36% of equity, respectively. | |||
[9] | Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates. | |||
[10] | Includes non-performing commercial loans in the amount of $10.6 million whereby principal and/or interest is past due and a maturity date is not applicable. | |||
[11] | 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 mortgage loans. | |||
[12] | Number of properties not shown in thousands, represents actual number of properties owned. |
Consolidated_Condensed_Schedul1
Consolidated Condensed Schedule Of Investments (Repurchase Agreements) (Repurchase Agreements [Member], USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | ||||||||||
Deutsche Bank Securities Collateralized By Par Value $15,657 Sovereign Government Bond Coupon 3.75% Maturity Date 2018-10 [Member] | Deutsche Bank Securities Collateralized By Par Value $7,580 Sovereign Government Bond, Coupon 2.75% Maturity Date 2019-04 [Member] | Barclays Capital Inc. Collateralized By Par Value $7,669 US Treasury Bond, Coupon 3.13% Maturity Date 2044-08 [Member] | Barclays Capital Inc. Collateralized By Par Value, $7,500 U.S. Treasury Note Coupon 1.63% Maturity Date 2019-08 [Member] | Barclays Capital Inc. Collateralized By Par Value $5,000 US Treasury Note Coupon 1.25% Maturity Date 2018-10 [Member] | Deutsche Bank Securities Collateralized By Par Value $28 US Treasury Note Coupon, 1.00% Maturity Date 2017-09[Member] | JP Morgan Securities Inc Collateralized by Par Value $20,000 U.S. Treasury Note Coupon 1.25% Maturity Date 2018-10 [Member] | Deutsche Bank Securities Collateralized by Par Value $5,625 Sovereign Bond Coupon 3.75% Maturity Date 2018-10 [Member] | North America [Member] | North America [Member] | Europe [Member] | Europe [Member] | |||||||||||||
Schedule of Investments [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Current Principal/Notional Amount | $47,040,000 | $27,962,000 | $18,492,000 | [1],[2],[3] | $8,502,000 | [1],[2],[3] | $7,602,000 | [1],[2],[3] | $7,453,000 | [1],[2],[3] | $4,963,000 | [1],[2],[3] | $28,000 | [1],[2],[3] | $19,675,000 | [1],[2],[4] | $8,287,000 | [1],[2],[4] | $20,046,000 | $19,675,000 | $26,994,000 | $8,287,000 | ||
Securities collateralized by par value | ' | ' | 15,657,000 | [1],[2],[3] | 7,580,000 | [1],[2],[3] | 7,669,000 | [1],[2],[3] | 7,500,000 | [1],[2],[3] | 5,000,000 | [1],[2],[3] | 28,000 | [1],[2],[3] | 20,000,000 | [1],[2],[4] | 7,751,000 | [1],[2],[4] | ' | ' | ' | ' | ||
U.S. treasury note, coupon | ' | ' | 3.75% | [1],[2],[3] | 2.75% | [1],[2],[3] | 3.13% | [1],[2],[3] | 1.63% | [1],[2],[3] | 1.25% | [1],[2],[3] | 1.00% | [1],[2],[3] | 1.25% | [1],[2],[4] | 3.75% | [1],[2],[4] | ' | ' | ' | ' | ||
Maturity date of securities | ' | ' | '2018-10 | [1],[2],[3] | '2019-04 | [1],[2],[3] | '2044-08 | [1],[2],[3] | '2019-08 | [1],[2],[3] | '2018-10 | [1],[2],[3] | '2017-09 | [1],[2],[3] | '2018-10 | [1],[2],[4] | '2018-10 | [1],[2],[4] | ' | ' | ' | ' | ||
Description | ' | ' | 'Deutsche Bank Securities Collateralized by Par Value $15,657 Sovereign Government Bond, Coupon 3.75%, Maturity Date 2018-10 | [1],[2],[3] | 'Deutsche Bank Securities Collateralized by Par Value $7,580 Sovereign Government Bond, Coupon 2.75%, Maturity Date 2019-04 | [1],[2],[3] | 'Barclays Capital Inc. Collateralized by Par Value $7,669 U.S. Treasury Note, Coupon 3.13%, Maturity Date 2044-08 | [1],[2],[3] | 'Barclays Capital Inc. Collateralized by Par Value $7,500 U.S. Treasury Note, Coupon 1.63%, Maturity Date 2019-08 | [1],[2],[3] | 'Barclays Capital Inc. Collateralized by Par Value $5,00 U.S. Treasury Note, Coupon 1.25%, Maturity Date 2018-10 | [1],[2],[3] | 'Barclays Capital Inc. Collateralized by Par Value $28 U.S. Treasury Note, Coupon 1.00%, Maturity Date 2017-09 | [1],[2],[3] | 'J.P. Morgan Securities Inc. Collateralized by Par Value $20,000 U.S. Treasury Note, Coupon 1.25%, Maturity Date 10/18 | [1],[2],[4] | 'Deutsche Bank Securities Collateralized by Par Value $7,751 European Sovereign Bond, Coupon 3.75%, Maturity Date 10/18 | [1],[2],[4] | ' | ' | ' | ' | ||
Rate | ' | ' | -0.25% | [1],[2],[3] | -0.15% | [1],[2],[3] | -0.40% | [1],[2],[3] | -3.00% | [1],[2],[3] | -0.10% | [1],[2],[3] | -1.15% | [1],[2],[3] | -0.05% | [1],[2],[4] | 0.00% | [1],[2],[4] | ' | ' | ' | ' | ||
Investments maturity date | ' | ' | '2014-10 | [1],[2],[3] | '2014-10 | [1],[2],[3] | '2014-10 | [1],[2],[3] | '2014-10 | [1],[2],[3] | '2014-10 | [1],[2],[3] | '2014-10 | [1],[2],[3] | '2014-01 | [1],[2],[4] | '2014-01 | [1],[2],[4] | ' | ' | ' | ' | ||
Fair value repurchase agreements | 47,039,000 | [1],[2],[3] | 27,962,000 | [1],[2],[4] | 18,492,000 | [1],[2],[3] | 8,502,000 | [1],[2],[3] | 7,602,000 | [1],[2],[3] | 7,453,000 | [1],[2],[3] | 4,962,000 | [1],[2],[3] | 28,000 | [1],[2],[3] | 19,675,000 | [1],[2],[4] | 8,287,000 | [1],[2],[4] | 20,045,000 | 19,675,000 | 26,994,000 | 8,287,000 |
Investment owned as a percentage of equity | 5.79% | [1],[2],[3],[5] | 4.47% | [1],[2],[4],[5] | ' | ' | ' | ' | ' | ' | ' | ' | 2.47% | 3.15% | 3.32% | 1.32% | ||||||||
Repurchase agreements, cost | $47,192,000 | [1],[2],[3] | $27,943,000 | [1],[2],[4] | ' | ' | ' | ' | ' | ' | ' | ' | $20,045,000 | $19,675,000 | $27,147,000 | $8,268,000 | ||||||||
[1] | In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. | |||||||||||||||||||||||
[2] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||||||||||||||||||||||
[3] | The following table details the breakout by geographical region of long investments, investments sold short, repurchase agreements, financial derivatives–assets, and financial derivatives–liabilities.Region Current Principal/Notional Value/Number of Properties/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 3,161,385 $2,342,001 $2,393,715 294.75 %Europe 43,235 41,351 39,427 4.85 %North America (Common Stock) 13,225 7,924 7,686 0.95 %Total $2,391,276 $2,440,828 300.56 %Investments Sold Short: North America (TBAs and Government Debt) (1,121,387) $(1,178,095) $(1,178,831) (145.16)%Europe (Government Debt) (21,367) (24,110) (23,707) (2.92)%North America (Common Stock) (2,113) (20,838) (19,356) (2.38)%Total $(1,223,043) $(1,221,894) (150.46)%Repurchase Agreements: North America 20,046 $20,045 $20,045 2.47 %Europe 26,994 27,147 26,994 3.32 %Total 47,040 $47,192 $47,039 5.79 %Financial Derivatives–Assets: North America 634,538 $45,074 $56,365 6.94 %Europe (8,733) — 1 — %Total 625,805 $45,074 $56,366 6.94 %Financial Derivatives–Liabilities: North America (617,900) $(32,133) $(45,569) (5.61)%Europe (16,675) (1,817) (1,762) (0.22)%Total (634,575) $(33,950) $(47,331) (5.83)% | |||||||||||||||||||||||
[4] | The following table details the breakout by geographical region of long investments, investments sold short, and repurchase agreements. All financial derivatives were concentrated in North America.Region Current Principal/Notional Value/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 2,470,650 $1,682,533 $1,724,370 275.44 %Europe 7,641 5,724 5,760 0.92 %Total 2,478,291 $1,688,257 $1,730,130 276.36 %Investments Sold Short: North America (TBAs and Government Debt) (804,888) $(833,656) $(831,564) (132.82)%Europe (Government Debt) (7,337) (7,633) (7,681) (1.23)%North America (Common Stock) (763) (6,313) (6,369) (1.02)%Total $(847,602) $(845,614) (135.07)%Repurchase Agreements: North America 19,675 $19,675 $19,675 3.15 %Europe 8,287 8,268 8,287 1.32 %Total 27,962 $27,943 $27,962 4.47 % | |||||||||||||||||||||||
[5] | 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, 2014 | Dec. 31, 2013 | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Financial derivatives-liabilities, at fair value Net proceeds | ($33,950) | ($29,746) | ||
Financial derivatives–liabilities, at fair value- | -47,331 | [1] | -44,791 | [1] |
Investments sold short, at fair value- | -1,221,894 | -845,614 | ||
Proceeds from investments sold short | -1,223,043 | -847,602 | ||
Financial derivatives–assets, at fair value Net cost | 45,074 | 50,533 | ||
Financial derivatives–assets, at fair value- | 56,366 | [1] | 59,664 | [1] |
Investment Owned, at Cost | 2,391,276 | 1,688,257 | ||
Fair Value | 2,440,828 | 1,730,130 | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Equity | -142.70% | [2],[3],[4],[5] | -129.69% | [2],[3],[6],[7] |
Current Principal/Notional Amount | -1,101,218 | -784,888 | ||
Investments sold short, at fair value- | -1,158,892 | [3],[4],[5] | -811,957 | [3],[6],[7] |
Proceeds from investments sold short | -1,158,171 | [3],[4],[5] | -813,757 | [3],[6],[7] |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.00% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -248,558 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (30 year) | [3],[4],[5] | ' | |
Rate | 4.00% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -261,957 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.50% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -192,422 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (30 year) | [3],[4],[5] | ' | |
Rate | 3.50% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -196,669 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.50% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -119,830 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (15 year) | [3],[4],[5] | ' | |
Rate | 3.50% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -126,046 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4.00% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -115,217 | [3],[4],[5] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (30 year) | [3],[4],[5] | ' | |
Rate | 4.00% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -121,293 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.50% 2014-10 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -84,730 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (30 year) | [3],[4],[5] | ' | |
Rate | 4.50% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -91,429 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.00% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -62,750 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (30 year) | [3],[4],[5] | ' | |
Rate | 5.00% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -69,263 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.00% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -61,110 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (15 year) | [3],[4],[5] | ' | |
Rate | 3.00% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -62,943 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 2.50% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -38,900 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (15 year) | [3],[4],[5] | ' | |
Rate | 2.50% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -39,119 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (15 Year) 3.50%[Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -29,700 | [3],[4],[5] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (15 year) | [3],[4],[5] | ' | |
Rate | 3.50% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -31,180 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.00% 2014-11 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -29,300 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (30 year) | [3],[4],[5] | ' | |
Rate | 4.00% | [3],[4],[5] | ' | |
Investments maturity date | '2014-11 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -30,788 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.00% 2014-12 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -27,300 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (30 year) | [3],[4],[5] | ' | |
Rate | 5.00% | [3],[4],[5] | ' | |
Investments maturity date | '2014-12 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -30,014 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.50% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -17,500 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (30 year) | [3],[4],[5] | ' | |
Rate | 4.50% | [3],[4],[5] | ' | |
Investments maturity date | '2014-11 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -18,837 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4.50% 2014-11 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -17,300 | [3],[4],[5] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (30 year) | [3],[4],[5] | ' | |
Rate | 4.50% | [3],[4],[5] | ' | |
Investments maturity date | '2014-11 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -18,616 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association (30 Year) 4.00% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -14,900 | [3],[4],[5] | ' | |
Description | 'Government National Mortgage Association (30 year) | [3],[4],[5] | ' | |
Rate | 4.00% | [3],[4],[5] | ' | |
Investments maturity date | '2014-11 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -15,768 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4.50% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -12,631 | [3],[4],[5] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (30 year) | [3],[4],[5] | ' | |
Rate | 4.50% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -13,625 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 4.00% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -9,870 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (15 year) | [3],[4],[5] | ' | |
Rate | 4.00% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -10,447 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.50% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -6,700 | [3],[4],[5] | ' | |
Description | 'Federal National Mortgage Association (30 year) | [3],[4],[5] | ' | |
Rate | 5.50% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -7,464 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 year) 5.00% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -6,000 | [3],[4],[5] | -23,200 | [3],[6],[7] |
Description | 'Federal Home Loan Mortgage Corporation (30 year) | [3],[4],[5] | 'Federal Home Loan Mortgage Corporation (30 year) | [3],[6],[7] |
Rate | 5.00% | [3],[4],[5] | 5.00% | [3],[6],[7] |
Investments maturity date | '2014-10 | [3],[4],[5] | '2014-02 | [3],[6],[7] |
Investments sold short, at fair value- | -6,612 | [3],[4],[5] | -24,996 | [3],[6],[7] |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (15 Year) 3.00% [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -4,100 | [3],[4],[5] | ' | |
Description | 'Federal Home Loan Mortgage Corporation (15 year) | [3],[4],[5] | ' | |
Rate | 3.00% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -4,216 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal Home Loan Mortgage Corporation (30 Year) [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -1,300 | [3],[4],[5] | ' | |
Description | 'Other Federal Home Loan Mortgage Corporation (30 year) | ' | ||
Rate | 5.50% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -1,444 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal Home Loan Mortgage Corporation (15 Year) [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -1,100 | [3],[4],[5] | ' | |
Description | 'Other Federal Home Loan Mortgage Corporation (15 year) | [3],[4],[5] | ' | |
Rate | 4.00% | [3],[4],[5] | ' | |
Investments maturity date | '2014-10 | [3],[4],[5] | ' | |
Investments sold short, at fair value- | -1,162 | [3],[4],[5] | ' | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 year) 4.00% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -156,890 | [3],[6],[7] | |
Description | ' | 'Federal National Mortgage Association (30 year) | [3],[6],[7] | |
Rate | ' | 4.00% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -161,689 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 year) 3.50% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -136,182 | [3],[6],[7] | |
Description | ' | 'Federal National Mortgage Association (30 year) | [3],[6],[7] | |
Rate | ' | 3.50% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -135,427 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 year) 4.50% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -96,700 | [3],[6],[7] | |
Description | ' | 'Federal National Mortgage Association (30 year) | [3],[6],[7] | |
Rate | ' | 4.50% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -102,559 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 year) 3.50% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -89,600 | [3],[6],[7] | |
Description | ' | 'Federal National Mortgage Association (15 year) | [3],[6],[7] | |
Rate | ' | 3.50% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -93,716 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 year) 5.00% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -57,600 | [3],[6],[7] | |
Description | ' | 'Federal National Mortgage Association (30 year) | [3],[6],[7] | |
Rate | ' | 5.00% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -62,617 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 year) 3.00% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -58,960 | [3],[6],[7] | |
Description | ' | 'Federal National Mortgage Association (15 year) | [3],[6],[7] | |
Rate | ' | 3.00% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -60,158 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 year) 4.00% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -57,837 | [3],[6],[7] | |
Description | ' | 'Federal Home Loan Mortgage Corporation (30 year) | [3],[6],[7] | |
Rate | ' | 4.00% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -59,409 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 year) 2.50% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -31,150 | [3],[6],[7] | |
Description | ' | 'Federal National Mortgage Association (15 year) | [3],[6],[7] | |
Rate | ' | 2.50% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -30,816 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 year) 4.50% 2014-02 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -24,400 | [3],[6],[7] | |
Description | ' | 'Federal National Mortgage Association (30 year) | [3],[6],[7] | |
Rate | ' | 4.50% | [3],[6],[7] | |
Investments maturity date | ' | '2014-02 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -25,798 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 year) 4.00% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -16,604 | [3],[6],[7] | |
Description | ' | 'Federal National Mortgage Association (15 year) | [3],[6],[7] | |
Rate | ' | 4.00% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -17,589 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (15 year) 3.50% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -8,200 | [3],[6],[7] | |
Description | ' | 'Federal Home Loan Mortgage Corporation (15 year) | [3],[6],[7] | |
Rate | ' | 3.50% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -8,550 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 year) 5.50% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -6,700 | [3],[6],[7] | |
Description | ' | 'Federal National Mortgage Association (30 year) | [3],[6],[7] | |
Rate | ' | 5.50% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -7,373 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 year) 3.50% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -6,550 | [3],[6],[7] | |
Description | ' | 'Federal Home Loan Mortgage Corporation (30 year) | [3],[6],[7] | |
Rate | ' | 3.50% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -6,495 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (15 year) 3.00% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -4,100 | [3],[6],[7] | |
Description | ' | 'Federal Home Loan Mortgage Corporation (15 year) | [3],[6],[7] | |
Rate | ' | 3.00% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -4,175 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 year) 4.50% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -3,900 | [3],[6],[7] | |
Description | ' | 'Federal Home Loan Mortgage Corporation (30 year) | [3],[6],[7] | |
Rate | ' | 4.50% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -4,129 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal National Mortgage Association (30 year) 6.00% 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -2,500 | [3],[6],[7] | |
Description | ' | 'Other Federal National Mortgage Association (30 Year) | [3],[6],[7] | |
Rate | ' | 6.00% | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -2,776 | [3],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal Home Loan Mortgage Corporation (30 year) 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | ' | -3,815 | [3],[6],[7] | |
Description | ' | 'Other Federal Home Loan Mortgage Corporation (30 Year) | [3],[6],[7] | |
Investments maturity date | ' | '2014-01 | [3],[6],[7] | |
Investments sold short, at fair value- | ' | -3,685 | [3],[6],[7] | |
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 Equity | -116.36% | -111.89% | ||
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 Equity | -24.40% | -17.80% | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Equity | -1.94% | ' | ||
Government debt sold short [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Equity | -5.38% | [2],[3],[4] | -4.36% | [2],[3],[6] |
Investments sold short, at fair value- | -43,646 | [3],[4] | -27,288 | [3],[6] |
Proceeds from investments sold short | -44,034 | [3],[4] | -27,532 | [3],[6] |
Government debt sold short [Member] | US Treasury Bond Securities [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -8 | [3],[4] | ' | |
Description | 'U.S. Treasury Bond | [3],[4] | ' | |
Rate | 3.13% | [3],[4] | ' | |
Investments maturity date | '2044-08 | [3],[4] | ' | |
Investments sold short, at fair value- | -7,550 | [3],[4] | ' | |
Government debt sold short [Member] | Sovereign Debt Securities [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -21,367 | [3],[4] | -7,337 | [3],[6] |
Description | 'European Sovereign Bonds | [3],[4] | 'European Sovereign Bond | [3],[6] |
Rate | ' | 3.75% | [3],[6] | |
Investments maturity date | ' | '2018-10 | [3],[6] | |
Investments sold short, at fair value- | -23,707 | [3],[4] | -7,681 | [3],[6] |
Government debt sold short [Member] | US Treasury Notes Securities [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Current Principal/Notional Amount | -12,500 | [3],[4] | -20,000 | [3],[6] |
Description | 'U.S. Treasury Note | [3],[4] | 'U.S. Treasury Note | [3],[6] |
Rate | ' | 1.25% | [3],[6] | |
Investments maturity date | ' | '2018-10 | [3],[6] | |
Investments sold short, at fair value- | -12,389 | [3],[4] | -19,607 | [3],[6] |
Common Stock Sold Short [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Equity | -2.38% | [2],[3],[4] | -1.02% | [2],[3],[6] |
Investments sold short, at fair value- | -19,356 | [3],[4] | -6,369 | [3],[6] |
Proceeds from investments sold short | -20,838 | [3],[4] | -6,313 | [3],[6] |
Common Stock Sold Short [Member] | Publicly Traded Real Estate Investment Trusts [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Description | 'Publicly Traded Real Estate Investment Trusts | [3],[4] | 'Publicly Traded Real Estate Investment Trusts | [3],[6] |
Investments sold short, at fair value- | -19,356 | [3],[4] | -6,369 | [3],[6] |
Investment Sold, Not yet Purchased, Balance, Shares | -2,113 | [3],[4] | -763 | [3],[6] |
Securities Sold Short - Securities Sold, Not Yet Purchased [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Equity | -150.46% | [2],[3],[4] | -135.07% | [2],[3],[6] |
Investments sold short, at fair value- | -1,221,894 | [3],[4] | -845,614 | [3],[6] |
Proceeds from investments sold short | -1,223,043 | [3],[4] | -847,602 | [3],[6] |
Minimum [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal Home Loan Mortgage Corporation (30 year) 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Rate | ' | 2.50% | [3],[6],[7] | |
Minimum [Member] | Government debt sold short [Member] | Sovereign Debt Securities [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Rate | 2.75% | [3],[4] | ' | |
Investments maturity date | '2018-10 | [3],[4] | ' | |
Minimum [Member] | Government debt sold short [Member] | US Treasury Notes Securities [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Rate | 1.25% | [3],[4] | ' | |
Investments maturity date | '2018-10 | [3],[4] | ' | |
Maximum [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal Home Loan Mortgage Corporation (30 year) 2014-01 [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Rate | ' | 5.50% | [3],[6],[7] | |
Maximum [Member] | Government debt sold short [Member] | Sovereign Debt Securities [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Rate | 3.75% | [3],[4] | ' | |
Investments maturity date | '2019-04 | [3],[4] | ' | |
Maximum [Member] | Government debt sold short [Member] | US Treasury Notes Securities [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Rate | 1.63% | [3],[4] | ' | |
Investments maturity date | '2019-08 | [3],[4] | ' | |
Europe [Member] | Securities Sold Short - Securities Sold, Not Yet Purchased [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Equity | ' | -1.23% | ||
Current Principal/Notional Amount | ' | -7,337 | ||
Investments sold short, at fair value- | ' | -7,681 | ||
Proceeds from investments sold short | ' | -7,633 | ||
Europe [Member] | Sovereign Debt Securities [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Equity | -2.92% | ' | ||
Current Principal/Notional Amount | -21,367 | ' | ||
Investments sold short, at fair value- | -23,707 | ' | ||
Proceeds from investments sold short | -24,110 | ' | ||
North America [Member] | Common Stock Sold Short [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Equity | -2.38% | -1.02% | ||
Investments sold short, at fair value- | -19,356 | -6,369 | ||
Investment Sold, Not yet Purchased, Balance, Shares | -2,113 | -763 | ||
Proceeds from investments sold short | -20,838 | -6,313 | ||
North America [Member] | Securities Sold Short - Securities Sold, Not Yet Purchased [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Equity | ' | -132.82% | ||
Current Principal/Notional Amount | ' | -804,888 | ||
Investments sold short, at fair value- | ' | -831,564 | ||
Proceeds from investments sold short | ' | -833,656 | ||
North America [Member] | Securities Sold Short Securities Sold Not Yet Purchased TBAs and Government Debt [Member] | ' | ' | ||
Investments Sold, Not yet Purchased [Line Items] | ' | ' | ||
Investment Sold, Not yet Purchased, Percent of Equity | -145.16% | ' | ||
Current Principal/Notional Amount | -1,121,387 | ' | ||
Investments sold short, at fair value- | -1,178,831 | ' | ||
Proceeds from investments sold short | ($1,178,095) | ' | ||
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. | |||
[2] | Classification percentages are based on Total Equity. | |||
[3] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[4] | The following table details the breakout by geographical region of long investments, investments sold short, repurchase agreements, financial derivatives–assets, and financial derivatives–liabilities.Region Current Principal/Notional Value/Number of Properties/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 3,161,385 $2,342,001 $2,393,715 294.75 %Europe 43,235 41,351 39,427 4.85 %North America (Common Stock) 13,225 7,924 7,686 0.95 %Total $2,391,276 $2,440,828 300.56 %Investments Sold Short: North America (TBAs and Government Debt) (1,121,387) $(1,178,095) $(1,178,831) (145.16)%Europe (Government Debt) (21,367) (24,110) (23,707) (2.92)%North America (Common Stock) (2,113) (20,838) (19,356) (2.38)%Total $(1,223,043) $(1,221,894) (150.46)%Repurchase Agreements: North America 20,046 $20,045 $20,045 2.47 %Europe 26,994 27,147 26,994 3.32 %Total 47,040 $47,192 $47,039 5.79 %Financial Derivatives–Assets: North America 634,538 $45,074 $56,365 6.94 %Europe (8,733) — 1 — %Total 625,805 $45,074 $56,366 6.94 %Financial Derivatives–Liabilities: North America (617,900) $(32,133) $(45,569) (5.61)%Europe (16,675) (1,817) (1,762) (0.22)%Total (634,575) $(33,950) $(47,331) (5.83)% | |||
[5] | At September 30, 2014, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 116.36%, 24.40%, and 1.94% of equity, respectively. | |||
[6] | The following table details the breakout by geographical region of long investments, investments sold short, and repurchase agreements. All financial derivatives were concentrated in North America.Region Current Principal/Notional Value/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 2,470,650 $1,682,533 $1,724,370 275.44 %Europe 7,641 5,724 5,760 0.92 %Total 2,478,291 $1,688,257 $1,730,130 276.36 %Investments Sold Short: North America (TBAs and Government Debt) (804,888) $(833,656) $(831,564) (132.82)%Europe (Government Debt) (7,337) (7,633) (7,681) (1.23)%North America (Common Stock) (763) (6,313) (6,369) (1.02)%Total $(847,602) $(845,614) (135.07)%Repurchase Agreements: North America 19,675 $19,675 $19,675 3.15 %Europe 8,287 8,268 8,287 1.32 %Total 27,962 $27,943 $27,962 4.47 % | |||
[7] | At December 31, 2013, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 111.89% and 17.80% of equity, respectively. |
Consolidated_Condensed_Schedul3
Consolidated Condensed Schedule Of Investments (Financial Derivatives) (USD $) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2014 | Dec. 31, 2013 | |||
contracts | contracts | |||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Asset | $56,366,000 | [1] | $59,664,000 | [1] |
Derivative Liabilities | -47,331,000 | [1] | -44,791,000 | [1] |
Net cost | 45,074,000 | 50,533,000 | ||
Net proceeds | -33,950,000 | -29,746,000 | ||
Index multiplier | 50 | ' | ||
Eurodollar Future [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Future contract notional | 1,000,000 | 1,000,000 | ||
Future contract | 1 | 1 | ||
Long US Treasury Note Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Number of contracts | 1,934 | 1,847 | ||
Short US Treasury Note Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Number of contracts | 29 | ' | ||
Financial Derivatives - Assets [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Asset, Notional Amount | 625,805,000 | ' | ||
Derivative Asset | 56,366,000 | [2],[3] | 59,664,000 | [2],[4] |
Investment owned as a percentage of equity | 6.94% | [2],[3],[5] | 9.53% | [2],[4],[5] |
Net cost | 45,074,000 | [2],[3] | 50,533,000 | [2],[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 | [2],[3],[6] | 'Credit | [2],[4],[7] |
Derivative Asset, Notional Amount | 1,789,000 | [2],[3],[6] | 1,990,000 | [2],[4],[7] |
Range of expiration dates | '2037-12 | [2],[3],[6] | '2037-12 | [2],[4],[7] |
Derivative Asset | 57,000 | [2],[3],[6] | 61,000 | [2],[4],[7] |
Net proceeds | 217,000 | [2],[3],[6] | -217,000 | [2],[4],[7] |
Financial Derivatives - Assets [Member] | Long Credit Default Swap On Corporate Bond Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [2],[3],[6] | 'Credit | [2],[4],[8] |
Derivative Asset, Notional Amount | 114,693,000 | [2],[3],[6] | 70,425,000 | [2],[4],[8] |
Range of expiration dates | ' | '2018-12 | [2],[4],[8] | |
Derivative Asset | 20,044,000 | [2],[3],[6] | 14,273,000 | [2],[4],[8] |
Net cost | 19,410,000 | [2],[3],[6] | 13,248,000 | [2],[4],[8] |
Financial Derivatives - Assets [Member] | Long Credit Default Swap On Corporate Bond Indices [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2018-12 | [2],[3],[6] | ' | |
Financial Derivatives - Assets [Member] | Long Credit Default Swap On Corporate Bond Indices [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2019-06 | [2],[3],[6] | ' | |
Financial Derivatives - Assets [Member] | Long Interest Rate Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [2],[3],[9] | 'Interest Rates | [2],[4],[9] |
Derivative Asset, Notional Amount | 682,994,000 | [2],[3],[9] | 153,100,000 | [2],[4],[9] |
Derivative Asset | 8,446,000 | [2],[3],[9] | 1,978,000 | [2],[4],[9] |
Financial Derivatives - Assets [Member] | Long Interest Rate Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2016-09 | [2],[3],[9] | '2018-07 | [2],[4],[9] |
Financial Derivatives - Assets [Member] | Long Interest Rate Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2044-09 | [2],[3],[9] | '2023-09 | [2],[4],[9] |
Financial Derivatives - Assets [Member] | Long Total Return Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | ' | 'Equity Market | [10],[2],[4] | |
Derivative Asset, Notional Amount | ' | 3,044,000 | [10],[2],[4] | |
Derivative Asset | ' | 4,000 | [10],[2],[4] | |
Financial Derivatives - Assets [Member] | Long Total Return Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2014-06 | [10],[2],[4] | |
Financial Derivatives - Assets [Member] | Long Total Return Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2015-06 | [10],[2],[4] | |
Financial Derivatives - Assets [Member] | Short Credit Default Swap On Asset Backed Securities [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [11],[2],[3] | 'Credit | [12],[2],[4] |
Derivative Asset, Notional Amount | -18,892,000 | [11],[2],[3] | -23,426,000 | [12],[2],[4] |
Derivative Asset | 12,788,000 | [11],[2],[3] | 16,646,000 | [12],[2],[4] |
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 | [11],[2],[3] | '2034-09 | [12],[2],[4] |
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 | [11],[2],[3] | '2036-05 | [12],[2],[4] |
Financial Derivatives - Assets [Member] | Short Credit Default Swap On Asset Backed Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [11],[2],[3] | 'Credit | [13],[2],[4] |
Derivative Asset, Notional Amount | -66,061,000 | [11],[2],[3] | -72,422,000 | [13],[2],[4] |
Derivative Asset | 2,247,000 | [11],[2],[3] | 4,876,000 | [13],[2],[4] |
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 | [11],[2],[3] | '2046-05 | [13],[2],[4] |
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 | [11],[2],[3] | '2063-05 | [13],[2],[4] |
Financial Derivatives - Assets [Member] | Short Interest Rate Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [14],[2],[3] | 'Interest Rates | [14],[2],[4] |
Derivative Asset, Notional Amount | -1,059,638,000 | [14],[2],[3] | -840,600,000 | [14],[2],[4] |
Derivative Asset | 11,518,000 | [14],[2],[3] | 21,575,000 | [14],[2],[4] |
Financial Derivatives - Assets [Member] | Short Interest Rate Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2016-02 | [14],[2],[3] | '2016-11 | [14],[2],[4] |
Financial Derivatives - Assets [Member] | Short Interest Rate Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2044-09 | [14],[2],[3] | '2043-08 | [14],[2],[4] |
Financial Derivatives - Assets [Member] | Short Total Return Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Equity Market | [10],[2],[3] | 'Equity Market | [10],[2],[4] |
Derivative Asset, Notional Amount | -3,065,000 | [10],[2],[3] | -23,000 | [10],[2],[4] |
Range of expiration dates | ' | '2015-09 | [10],[2],[4] | |
Derivative Asset | 29,000 | [10],[2],[3] | 0 | [10],[2],[4] |
Financial Derivatives - Assets [Member] | Short Total Return Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2016-10 | [10],[2],[3] | ' | |
Financial Derivatives - Assets [Member] | Short Total Return Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2018-10 | [10],[2],[3] | ' | |
Financial Derivatives - Assets [Member] | Swap [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Asset | 55,129,000 | [2],[3] | 59,413,000 | [2],[4] |
Investment owned as a percentage of equity | 6.79% | [2],[3],[5] | 9.49% | [2],[4],[5] |
Net cost | 45,042,000 | [2],[3] | 50,039,000 | [2],[4] |
Financial Derivatives - Assets [Member] | Long US Treasury Note Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [15],[2],[3] | ' | |
Derivative Asset, Notional Amount | 242,100,000 | [15],[2],[3] | ' | |
Range of expiration dates | '2014-12 | [15],[2],[3] | ' | |
Derivative Asset | 477,000 | [15],[2],[3] | ' | |
Financial Derivatives - Assets [Member] | Long Eurodollar Future [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [16],[2],[3] | ' | |
Derivative Asset, Notional Amount | 18,000,000 | [16],[2],[3] | ' | |
Range of expiration dates | '2014-12 | [16],[2],[3] | ' | |
Derivative Asset | 0 | [16],[2],[3] | ' | |
Financial Derivatives - Assets [Member] | Short Eurodollar Future [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [16],[2],[3] | ' | |
Derivative Asset, Notional Amount | -186,000,000 | [16],[2],[3] | ' | |
Derivative Asset | 65,000 | [16],[2],[3] | ' | |
Financial Derivatives - Assets [Member] | Short Eurodollar Future [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2015-09 | [16],[2],[3] | ' | |
Financial Derivatives - Assets [Member] | Short Eurodollar Future [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2016-12 | [16],[2],[3] | ' | |
Financial Derivatives - Assets [Member] | Short Equity Index Future [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [17],[2],[3] | ' | |
Derivative Asset, Notional Amount | -2,850,000 | [17],[2],[3] | ' | |
Range of expiration dates | '2014-12 | [17],[2],[3] | ' | |
Derivative Asset | 7,000 | [17],[2],[3] | ' | |
Financial Derivatives - Assets [Member] | Purchased Options on Eurodollar Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [18],[2],[3] | ' | |
Derivative Asset, Notional Amount | 150,000,000 | [18],[2],[3] | ' | |
Range of expiration dates | '2015-03 | [18],[2],[3] | ' | |
Derivative Asset | 31,000 | [18],[2],[3] | ' | |
Financial Derivatives - Assets [Member] | Option on CDS on Corporate Bond Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | ' | 'Credit | [19],[2],[4] | |
Derivative Asset, Notional Amount | ' | 22,588,000 | [19],[2],[4] | |
Range of expiration dates | ' | '2014-06 | [19],[2],[4] | |
Derivative Asset | ' | 190,000 | [19],[2],[4] | |
Financial Derivatives - Assets [Member] | Interest Rate Swaption [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | ' | 'Interest Rates | [2],[20],[4] | |
Derivative Asset, Notional Amount | ' | 15,000,000 | [2],[20],[4] | |
Range of expiration dates | ' | '2014-04 | [2],[20],[4] | |
Derivative Asset | ' | 61,000 | [2],[20],[4] | |
Financial Derivatives - Assets [Member] | Payer Swaption [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [2],[20],[3] | ' | |
Derivative Asset, Notional Amount | 774,000,000 | [2],[20],[3] | ' | |
Derivative Asset | 261,000 | [2],[20],[3] | ' | |
Financial Derivatives - Assets [Member] | Payer Swaption [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2017-02 | [2],[20],[3] | ' | |
Financial Derivatives - Assets [Member] | Payer Swaption [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2017-03 | [2],[20],[3] | ' | |
Financial Derivatives - Assets [Member] | Options [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Asset | 292,000 | [2],[3] | 251,000 | [2],[4] |
Investment owned as a percentage of equity | 0.03% | [2],[3],[5] | 0.04% | [2],[4],[5] |
Net cost | 32,000 | [2],[3] | 494,000 | [2],[4] |
Financial Derivatives - Assets [Member] | Long Currency Forward [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Currency | [2],[21],[3] | ' | |
Derivative Asset, Notional Amount | -21,265,000 | [2],[21],[3] | ' | |
Range of expiration dates | '2014-12 | [2],[21],[3] | ' | |
Derivative Asset | 396,000 | [2],[21],[3] | ' | |
Financial Derivatives - Assets [Member] | Forwards [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Asset | 396,000 | [2],[3] | ' | |
Investment owned as a percentage of equity | 0.05% | [2],[3],[5] | ' | |
Financial Derivatives - Assets [Member] | Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Asset | 549,000 | [2],[3] | ' | |
Investment owned as a percentage of equity | 0.07% | [2],[3],[5] | ' | |
Financial Derivatives - Liabilities [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Liability, Notional Amount | -634,575,000 | ' | ||
Derivative Liabilities | -47,331,000 | [2],[3] | -44,791,000 | [2],[4] |
Investment owned as a percentage of equity | -5.83% | [2],[3],[5] | -7.16% | [2],[4],[5] |
Net proceeds | -33,950,000 | [2],[3] | -29,746,000 | [2],[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 | [2],[3],[6] | 'Credit | [2],[4],[7] |
Derivative Liability, Notional Amount | 14,770,000 | [2],[3],[6] | 44,082,000 | [2],[4],[7] |
Derivative Liabilities | -4,311,000 | [2],[3],[6] | -11,866,000 | [2],[4],[7] |
Net proceeds | -5,461,000 | [2],[3],[6] | -14,331,000 | [2],[4],[7] |
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 | '2047-01 | [2],[3],[6] | '2049-12 | [2],[4],[7] |
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 | [2],[3],[6] | '2052-10 | [2],[4],[7] |
Financial Derivatives - Liabilities [Member] | Long Credit Default Swap On Corporate Bond Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [2],[3],[6] | 'Credit | [2],[4],[8] |
Derivative Liability, Notional Amount | 3,756,000 | [2],[3],[6] | 4,000,000 | [2],[4],[8] |
Range of expiration dates | '2017-12 | [2],[3],[6] | '2017-12 | [2],[4],[8] |
Derivative Liabilities | -1,166,000 | [2],[3],[6] | -1,047,000 | [2],[4],[8] |
Net proceeds | -1,200,000 | [2],[3],[6] | -1,200,000 | [2],[4],[8] |
Financial Derivatives - Liabilities [Member] | Long Credit Default Swap On Corporate Bonds [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [2],[3],[6] | ' | |
Derivative Liability, Notional Amount | 5,005,000 | [2],[3],[6] | ' | |
Derivative Liabilities | -2,583,000 | [2],[3],[6] | ' | |
Net proceeds | -1,968,000 | [2],[3],[6] | ' | |
Financial Derivatives - Liabilities [Member] | Long Credit Default Swap On Corporate Bonds [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2019-06 | [2],[3],[6] | ' | |
Financial Derivatives - Liabilities [Member] | Long Credit Default Swap On Corporate Bonds [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2019-12 | [2],[3],[6] | ' | |
Financial Derivatives - Liabilities [Member] | Long Interest Rate Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [2],[3],[9] | 'Interest Rates | [2],[4],[9] |
Derivative Liability, Notional Amount | 438,894,000 | [2],[3],[9] | 234,600,000 | [2],[4],[9] |
Derivative Liabilities | -1,141,000 | [2],[3],[9] | -2,857,000 | [2],[4],[9] |
Financial Derivatives - Liabilities [Member] | Long Interest Rate Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2016-07 | [2],[3],[9] | '2017-10 | [2],[4],[9] |
Financial Derivatives - Liabilities [Member] | Long Interest Rate Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2044-10 | [2],[3],[9] | '2043-07 | [2],[4],[9] |
Financial Derivatives - Liabilities [Member] | Long Total Return Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Equity Market | [10],[2],[3] | 'Equity Market | [10],[2],[4] |
Derivative Liability, Notional Amount | 76,371,000 | [10],[2],[3] | 47,974,000 | [10],[2],[4] |
Range of expiration dates | ' | '2015-06 | [10],[2],[4] | |
Derivative Liabilities | -40,000 | [10],[2],[3] | 0 | [10],[2],[4] |
Financial Derivatives - Liabilities [Member] | Long Total Return Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2018-06 | [10],[2],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Long Total Return Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2019-10 | [10],[2],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swap On Asset Backed Securities [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [11],[2],[3] | 'Credit | [12],[2],[4] |
Derivative Liability, Notional Amount | -3,000,000 | [11],[2],[3] | -3,000,000 | [12],[2],[4] |
Range of expiration dates | '2035-03 | [11],[2],[3] | '2035-03 | [12],[2],[4] |
Derivative Liabilities | -378,000 | [11],[2],[3] | -350,000 | [12],[2],[4] |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swap On Asset Backed Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [11],[2],[3] | ' | |
Derivative Liability, Notional Amount | -16,250,000 | [11],[2],[3] | ' | |
Range of expiration dates | '2063-05 | [11],[2],[3] | ' | |
Derivative Liabilities | -74,000 | [11],[2],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swaps On Corporate Bond Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [11],[2],[3] | 'Credit | [2],[22],[4] |
Derivative Liability, Notional Amount | -284,577,000 | [11],[2],[3] | -337,815,000 | [2],[22],[4] |
Derivative Liabilities | -22,463,000 | [11],[2],[3] | -23,902,000 | [2],[22],[4] |
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 | '2016-12 | [11],[2],[3] | '2016-12 | [2],[22],[4] |
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 | '2019-06 | [11],[2],[3] | '2018-12 | [2],[22],[4] |
Financial Derivatives - Liabilities [Member] | Short Interest Rate Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [14],[2],[3] | 'Interest Rates | [14],[2],[4] |
Derivative Liability, Notional Amount | -1,098,816,000 | [14],[2],[3] | -323,800,000 | [14],[2],[4] |
Derivative Liabilities | -14,625,000 | [14],[2],[3] | -2,207,000 | [14],[2],[4] |
Financial Derivatives - Liabilities [Member] | Short Interest Rate Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2015-03 | [14],[2],[3] | '2015-03 | [14],[2],[4] |
Financial Derivatives - Liabilities [Member] | Short Interest Rate Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2044-09 | [14],[2],[3] | '2043-09 | [14],[2],[4] |
Financial Derivatives - Liabilities [Member] | Short Total Return Swaps [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Equity Market | [10],[2],[3] | 'Equity Market | [10],[2],[4] |
Derivative Liability, Notional Amount | -7,051,000 | [10],[2],[3] | -10,374,000 | [10],[2],[4] |
Range of expiration dates | '2018-10 | [10],[2],[3] | ' | |
Derivative Liabilities | 0 | [10],[2],[3] | -67,000 | [10],[2],[4] |
Financial Derivatives - Liabilities [Member] | Short Total Return Swaps [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2014-09 | [10],[2],[4] | |
Financial Derivatives - Liabilities [Member] | Short Total Return Swaps [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | ' | '2015-09 | [10],[2],[4] | |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swaps on Corporate Bonds [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [11],[2],[3] | ' | |
Derivative Liability, Notional Amount | -2,475,000 | [11],[2],[3] | ' | |
Derivative Liabilities | -112,000 | [11],[2],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swaps on Corporate Bonds [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2019-06 | [11],[2],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Short Credit Default Swaps on Corporate Bonds [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2019-09 | [11],[2],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Swap [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Liabilities | -46,893,000 | [2],[3] | -42,296,000 | [2],[4] |
Investment owned as a percentage of equity | -5.77% | [2],[3],[5] | -6.76% | [2],[4],[5] |
Net proceeds | -33,692,000 | [2],[3] | -29,746,000 | [2],[4] |
Financial Derivatives - Liabilities [Member] | Long US Treasury Note Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | ' | 'Interest Rates | [2],[23],[4] | |
Derivative Liability, Notional Amount | ' | 227,200,000 | [2],[23],[4] | |
Range of expiration dates | ' | '2014-03 | [2],[23],[4] | |
Derivative Liabilities | ' | -2,370,000 | [2],[23],[4] | |
Financial Derivatives - Liabilities [Member] | Long Eurodollar Future [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [16],[2],[3] | ' | |
Derivative Liability, Notional Amount | 91,000,000 | [16],[2],[3] | ' | |
Derivative Liabilities | -22,000 | [16],[2],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Long Eurodollar Future [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2017-03 | [16],[2],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Long Eurodollar Future [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2017-06 | [16],[2],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Short Eurodollar Future [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [16],[2],[3] | 'Interest Rates | [16],[2],[4] |
Derivative Liability, Notional Amount | -143,000,000 | [16],[2],[3] | -14,000,000 | [16],[2],[4] |
Derivative Liabilities | -39,000 | [16],[2],[3] | -3,000 | [16],[2],[4] |
Financial Derivatives - Liabilities [Member] | Short Eurodollar Future [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2015-03 | [16],[2],[3] | '2014-03 | [16],[2],[4] |
Financial Derivatives - Liabilities [Member] | Short Eurodollar Future [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2015-06 | [16],[2],[3] | '2015-09 | [16],[2],[4] |
Financial Derivatives - Liabilities [Member] | Option on CDS on Corporate Bond Indices [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Credit | [2],[24],[3] | ' | |
Derivative Liability, Notional Amount | -59,202,000 | [2],[24],[3] | ' | |
Derivative Liabilities | -158,000 | [2],[24],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Option on CDS on Corporate Bond Indices [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2014-10 | [2],[24],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Option on CDS on Corporate Bond Indices [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2014-11 | [2],[24],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Written Options on Eurodollar Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [2],[25],[3] | ' | |
Derivative Liability, Notional Amount | -150,000,000 | [2],[25],[3] | ' | |
Range of expiration dates | '2015-03 | [2],[25],[3] | ' | |
Derivative Liabilities | -6,000 | [2],[25],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Interest Rate Swaption [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | ' | 'Interest Rates | [2],[26],[4] | |
Derivative Liability, Notional Amount | ' | -4,000,000 | [2],[26],[4] | |
Range of expiration dates | ' | '2014-04 | [2],[26],[4] | |
Derivative Liabilities | ' | -84,000 | [2],[26],[4] | |
Financial Derivatives - Liabilities [Member] | Straddle Swaption [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [2],[27],[3] | ' | |
Derivative Liability, Notional Amount | -34,000,000 | [2],[27],[3] | ' | |
Range of expiration dates | '2025-09 | [2],[27],[3] | ' | |
Derivative Liabilities | -25,000 | [2],[27],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Payer Swaption [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [2],[20],[3] | ' | |
Derivative Liability, Notional Amount | 504,000,000 | [2],[20],[3] | ' | |
Derivative Liabilities | -109,000 | [2],[20],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Payer Swaption [Member] | Minimum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2017-01 | [2],[20],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Payer Swaption [Member] | Maximum [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Range of expiration dates | '2017-02 | [2],[20],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Purchased Straddle Swaption [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | 'Interest Rates | [2],[28],[3] | ' | |
Derivative Liability, Notional Amount | 30,000,000 | [2],[28],[3] | ' | |
Range of expiration dates | '2029-05 | [2],[28],[3] | ' | |
Derivative Liabilities | -79,000 | [2],[28],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Options [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Liabilities | -377,000 | [2],[3] | -84,000 | [2],[4] |
Investment owned as a percentage of equity | -0.05% | [2],[3],[5] | -0.01% | [2],[4],[5] |
Net proceeds | -258,000 | [2],[3] | ' | |
Financial Derivatives - Liabilities [Member] | Forwards [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Liabilities | ' | -38,000 | [2],[4] | |
Investment owned as a percentage of equity | ' | -0.01% | [2],[4],[5] | |
Financial Derivatives - Liabilities [Member] | Short Currency Forward [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Primary risk exposure | ' | 'Currency | [2],[4] | |
Derivative Liability, Notional Amount | ' | -6,575,000 | [2],[4] | |
Range of expiration dates | ' | '2014-03 | [2],[4] | |
Derivative Liabilities | ' | -38,000 | [2],[4] | |
Financial Derivatives - Liabilities [Member] | Futures [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Liabilities | -61,000 | [2],[3] | -2,373,000 | [2],[4] |
Investment owned as a percentage of equity | -0.01% | [2],[3],[5] | -0.38% | [2],[4],[5] |
North America [Member] | Financial Derivatives - Assets [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Asset, Notional Amount | 634,538,000 | ' | ||
Derivative Asset | 56,365,000 | ' | ||
Investment owned as a percentage of equity | 6.94% | ' | ||
Net cost | 45,074,000 | ' | ||
North America [Member] | Financial Derivatives - Liabilities [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Liability, Notional Amount | -617,900,000 | ' | ||
Derivative Liabilities | -45,569,000 | ' | ||
Investment owned as a percentage of equity | -5.61% | ' | ||
Net proceeds | -32,133,000 | ' | ||
Europe [Member] | Financial Derivatives - Assets [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Asset, Notional Amount | -8,733,000 | ' | ||
Derivative Asset | 1,000 | ' | ||
Investment owned as a percentage of equity | 0.00% | ' | ||
Net cost | 0 | ' | ||
Europe [Member] | Financial Derivatives - Liabilities [Member] | ' | ' | ||
Investment Holdings, Other than Securities [Line Items] | ' | ' | ||
Derivative Liability, Notional Amount | -16,675,000 | ' | ||
Derivative Liabilities | -1,762,000 | ' | ||
Investment owned as a percentage of equity | -0.22% | ' | ||
Net proceeds | ($1,817,000) | ' | ||
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. | |||
[2] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[3] | The following table details the breakout by geographical region of long investments, investments sold short, repurchase agreements, financial derivatives–assets, and financial derivatives–liabilities.Region Current Principal/Notional Value/Number of Properties/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 3,161,385 $2,342,001 $2,393,715 294.75 %Europe 43,235 41,351 39,427 4.85 %North America (Common Stock) 13,225 7,924 7,686 0.95 %Total $2,391,276 $2,440,828 300.56 %Investments Sold Short: North America (TBAs and Government Debt) (1,121,387) $(1,178,095) $(1,178,831) (145.16)%Europe (Government Debt) (21,367) (24,110) (23,707) (2.92)%North America (Common Stock) (2,113) (20,838) (19,356) (2.38)%Total $(1,223,043) $(1,221,894) (150.46)%Repurchase Agreements: North America 20,046 $20,045 $20,045 2.47 %Europe 26,994 27,147 26,994 3.32 %Total 47,040 $47,192 $47,039 5.79 %Financial Derivatives–Assets: North America 634,538 $45,074 $56,365 6.94 %Europe (8,733) — 1 — %Total 625,805 $45,074 $56,366 6.94 %Financial Derivatives–Liabilities: North America (617,900) $(32,133) $(45,569) (5.61)%Europe (16,675) (1,817) (1,762) (0.22)%Total (634,575) $(33,950) $(47,331) (5.83)% | |||
[4] | The following table details the breakout by geographical region of long investments, investments sold short, and repurchase agreements. All financial derivatives were concentrated in North America.Region Current Principal/Notional Value/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 2,470,650 $1,682,533 $1,724,370 275.44 %Europe 7,641 5,724 5,760 0.92 %Total 2,478,291 $1,688,257 $1,730,130 276.36 %Investments Sold Short: North America (TBAs and Government Debt) (804,888) $(833,656) $(831,564) (132.82)%Europe (Government Debt) (7,337) (7,633) (7,681) (1.23)%North America (Common Stock) (763) (6,313) (6,369) (1.02)%Total $(847,602) $(845,614) (135.07)%Repurchase Agreements: North America 19,675 $19,675 $19,675 3.15 %Europe 8,287 8,268 8,287 1.32 %Total 27,962 $27,943 $27,962 4.47 % | |||
[5] | Classification percentages are based on Total Equity. | |||
[6] | For long credit default swaps, the Company sold protection. | |||
[7] | For long credit default swaps on asset-backed indices, the Company sold protection. | |||
[8] | For long credit default swaps on corporate bond indices, the Company sold protection. | |||
[9] | For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received. | |||
[10] | Notional value represents number of underlying shares times the closing price of the underlying security. | |||
[11] | For short credit default swaps, the Company purchased protection. | |||
[12] | For short credit default swaps on asset-backed securities, the Company purchased protection. | |||
[13] | For short credit default swaps on asset-backed indices, the Company purchased protection. | |||
[14] | For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received. | |||
[15] | Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of September 30, 2014, 1,934 contracts were held. | |||
[16] | Every $1,000,000 in notional value represents one contract. | |||
[17] | Notional value represents the number of contracts held times 50 times the Index price at September 30, 2014; as of September 30, 2014, 29 contracts were held. | |||
[18] | Represents the option on the part of the Company to enter into a futures contract with a counterparty. Every $1,000,000 in notional value represents one contract. | |||
[19] | Represents the option on the part of the Company to enter into a credit default swap on a corporate bond index whereby the Company would pay a fixed rate and receive credit protection payments. | |||
[20] | Represents the option on the part of the Company to enter into an interest rate swap whereby the Company would pay a fixed rate and receive a floating rate. | |||
[21] | Notional amount represents U.S. Dollars to be received by the Company at the maturity of the forward contract. | |||
[22] | For short credit default swaps on corporate bond indices, the Company purchased protection. | |||
[23] | Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of December 31, 2013 1,847 contracts were held. | |||
[24] | Represents the option on the part of a counterparty to enter into a credit default swap on a corporate bond index whereby the Company would receive a fixed rate and pay credit protection payments. | |||
[25] | Represents the option on the part of a counterparty to enter into a futures contract with the Company. Every $1,000,000 in notional value represents one contract. | |||
[26] | Represents the option on the part of a counterparty to enter into an interest rate swap with the Company whereby the Company would receive a fixed rate and pay a floating rate. | |||
[27] | Represents the combination of a written payer swaption and a written receiver swaption on the same underlying swap. | |||
[28] | Represents the combination of a purchased payer swaption and a purchased receiver swaption on the same underlying swap. |
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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
INVESTMENT INCOME | ' | ' | ' | ' |
Interest income | $22,521 | $24,069 | $65,014 | $62,786 |
EXPENSES | ' | ' | ' | ' |
Base management fee | 3,056 | 2,378 | 7,789 | 6,751 |
Incentive fee | 1,400 | 2,038 | 1,400 | 5,275 |
Interest expense | 2,179 | 3,277 | 7,222 | 8,001 |
Other investment related expenses | 1,184 | 85 | 2,846 | 412 |
Compensation expense | 358 | 523 | 1,030 | 1,283 |
Custody and other fees | 560 | 355 | 1,411 | 1,010 |
Professional fees | 553 | 436 | 1,772 | 1,214 |
Agency and administration fees | 306 | 295 | 893 | 838 |
Insurance expense | 191 | 176 | 573 | 529 |
Directors' fees and expenses | 70 | 57 | 200 | 200 |
Share-based LTIP expense | 65 | 43 | 191 | 129 |
Total expenses | 9,922 | 9,663 | 25,327 | 25,642 |
NET INVESTMENT INCOME | 12,599 | 14,406 | 39,687 | 37,144 |
Net realized gain (loss) on: | ' | ' | ' | ' |
Investments | 2,449 | 10,731 | 16,887 | 35,326 |
Financial derivatives | -9,477 | -6,442 | -9,075 | -12,774 |
Foreign currency transactions | -1,455 | 0 | -1,202 | 0 |
Total net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | -8,483 | 4,289 | 6,610 | 22,552 |
Change in net unrealized gain (loss) on: | ' | ' | ' | ' |
Investments | -2,560 | -4,867 | 7,096 | -10,000 |
Financial derivatives | 12,056 | -2,005 | 3,845 | 14,578 |
Foreign currency translation | -465 | 0 | -48 | 0 |
Total Net Unrealized Gain Loss On Investments, Financial derivatives, and Foreign currency translation | 9,031 | -6,872 | 10,893 | 4,578 |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION | 548 | -2,583 | 17,503 | 27,130 |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 13,147 | 11,823 | 57,190 | 64,274 |
Net Income (Loss) Attributable to Noncontrolling Interest | 199 | 96 | 660 | 612 |
Net Income (Loss) Attributable to Parent | $12,948 | $11,727 | $56,530 | $63,662 |
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | ' | ' | ' | ' |
Basic and Diluted (in usd per share) | $0.46 | $0.45 | $2.13 | $2.73 |
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, 2012 | $506,355 | ' | ' | ||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2012 | ' | ' | 0 | ||
Stockholders' Equity Attributable to Parent at Dec. 31, 2012 | ' | 506,355 | ' | ||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ' | ' | ' | ||
Net investment income | 37,144 | ' | ' | ||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 22,552 | ' | ' | ||
Total Net Unrealized Gain Loss On Investments, Financial derivatives, and Foreign currency translation | 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 | [1] | 125,600 | 125,600 | ' | |
Shares issued in connection with incentive fee payment | 1,058 | 1,058 | ' | ||
Noncontrolling Interest, Increase from Sale of Parent Equity Interest | 4,664 | ' | 4,664 | ||
Dividends | [2] | -72,016 | [3] | -71,368 | -648 |
Distributions to non-controlling interest | 0 | ' | 0 | ||
Adjustments to non-controlling interests | 0 | 0 | 0 | ||
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 | ||
Stockholders' Equity Attributable to Parent at Sep. 30, 2013 | ' | 625,173 | ' | ||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2013 | 626,049 | ' | ' | ||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2013 | 5,648 | ' | 5,648 | ||
Stockholders' Equity Attributable to Parent at Dec. 31, 2013 | 620,401 | 620,401 | ' | ||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ' | ' | ' | ||
Net investment income | 39,687 | ' | ' | ||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 6,610 | ' | ' | ||
Total Net Unrealized Gain Loss On Investments, Financial derivatives, and Foreign currency translation | 10,893 | ' | ' | ||
Net Income (Loss) Attributable to Parent | 56,530 | 56,530 | ' | ||
Net Income (Loss) Attributable to Noncontrolling Interest | 660 | ' | 660 | ||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 57,190 | ' | ' | ||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | ' | ' | ' | ||
Proceeds from the issuance of shares | [1] | 188,400 | 188,400 | ' | |
Shares issued in connection with incentive fee payment | 309 | 309 | ' | ||
Noncontrolling Interest, Increase from Sale of Parent Equity Interest | 1,524 | ' | 1,524 | ||
Dividends | [2] | -60,210 | [3] | -59,720 | -490 |
Distributions to non-controlling interest | -1,099 | ' | -1,099 | ||
Adjustments to non-controlling interests | 0 | -486 | 486 | ||
Offering costs | -247 | -247 | ' | ||
Share-based LTIP awards | 191 | 190 | 1 | ||
Net increase (decrease) in equity from transactions | 128,868 | 128,446 | 422 | ||
Net increase in equity | 186,058 | 184,976 | 1,082 | ||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Sep. 30, 2014 | 812,107 | ' | ' | ||
Stockholders' Equity Attributable to Noncontrolling Interest at Sep. 30, 2014 | 6,730 | ' | 6,730 | ||
Stockholders' Equity Attributable to Parent at Sep. 30, 2014 | $805,377 | $805,377 | ' | ||
[1] | For the nine month period ended September 30, 2014 proceeds from the issuance of shares is net of an underwriters' discount of $3.0 million. | ||||
[2] | For the nine month periods ended September 30, 2014 and 2013, dividends totaling $2.31 and $3.06, respectively, per common share and convertible unit outstanding, were declared and paid. | ||||
[3] | 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 $) | 9 Months Ended | |
In Millions, except Per Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 |
Statement of Stockholders' Equity [Abstract] | ' | ' |
Underwriting discount | $3 | ' |
Dividends (in usd per share) | $2.31 | $3.06 |
Consolidated_Statement_Of_Cash
Consolidated Statement Of Cash Flows (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 |
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS: | ' | ' |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $57,190 | $64,274 |
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, and foreign currency translation | -10,678 | -4,578 |
Net realized (gain) loss on investments, financial derivatives, and foreign currency transactions | -8,115 | -22,552 |
Amortization of premiums and accretion of discounts (net) | -6,036 | -15,485 |
Purchase of investments | -2,899,745 | -1,763,022 |
Proceeds from disposition of investments | 2,118,261 | 1,166,380 |
Proceeds from principal payments of investments | 135,376 | 145,570 |
Proceeds from investments sold short | 1,429,501 | 905,142 |
Repurchase of investments sold short | -1,087,703 | -652,073 |
Payments made to open financial derivatives | -18,692 | -11,720 |
Proceeds received to close financial derivatives | 41,677 | 35,406 |
Proceeds received to open financial derivatives | 43,471 | 27,986 |
Payments made to close financial derivatives | -65,865 | -26,686 |
Shares issued in connection with incentive fee payment | 309 | 1,058 |
Share-based LTIP expense | 191 | 129 |
(Increase) decrease in assets: | ' | ' |
Increase in repurchase agreements | -19,077 | -27,344 |
Increase in receivable for securities sold | -363,200 | -299,719 |
Increase in due from brokers | -58,926 | -42,415 |
Increase in interest and principal receivable | -4,122 | -972 |
Increase in other assets | -1,182 | -713 |
Increase (decrease) in liabilities: | ' | ' |
Decrease in due to brokers | -7,752 | -17,214 |
Increase in payable for securities purchased | 383,408 | 173,317 |
Increase in accounts payable and accrued expenses | 440 | 262 |
Decrease in incentive fee payable | -1,691 | -5,305 |
Increase (decrease) in other payables | 0 | -396 |
Increase in interest and dividends payable | 617 | 768 |
Increase in base management fee payable | 692 | 444 |
Net cash used in operating activities | -341,651 | -369,458 |
Cash flows provided by (used in) financing activities: | ' | ' |
Proceeds from the issuance of shares | 188,400 | 125,600 |
Contribution from non-controlling interest | 1,524 | 4,664 |
Offering costs paid | -151 | -350 |
Dividends paid | -60,210 | -72,016 |
Distributions to non-controlling Interest | -1,099 | 0 |
Principal payments on securitized debt | -144 | -292 |
Reverse repurchase agreements, net of repayments | 158,966 | 439,505 |
Net cash provided by financing activities | 287,286 | 497,111 |
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | -54,365 | 127,653 |
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 183,489 | 59,084 |
CASH AND CASH EQUIVALENTS, END OF PERIOD | 129,124 | 186,737 |
Supplemental disclosure of cash flow information: | ' | ' |
Interest paid | 7,110 | 7,217 |
Shares issued in connection with incentive fee payment (non-cash) | 309 | 1,058 |
Share-based LTIP awards (non-cash) | 191 | 129 |
Aggregate TBA trade activity (buys sells) (non-cash) | $20,616,947 | $16,476,137 |
Organization_and_Investment_Ob
Organization and Investment Objective | 9 Months Ended |
Sep. 30, 2014 | |
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 99.4% 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. Ellington Financial LLC, the Operating Partnership, and their consolidated subsidiaries are hereafter collectively referred to as the "Company." All inter-company accounts are eliminated in consolidation. | |
The Company is a specialty finance company that primarily acquires and manages mortgage-related assets, including residential mortgage-backed securities, or "RMBS," residential mortgage loans, commercial mortgage-backed securities, or "CMBS," commercial mortgage loans and other commercial real estate debt, real property and mortgage-related derivatives. The Company also invests in corporate debt and equity securities, asset-backed securities backed by consumer and commercial assets, or "ABS," non-mortgage-related derivatives and other financial assets. | |
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, 2014 | ||
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 in the United States of America, or "U.S. GAAP," for investment companies, ASC 946, Financial Services—Investment Companies ("ASC 946"). 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, 2013. | ||
(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: Purchases and sales of investments 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 and residential mortgage loans, U.S. Treasury securities, sovereign debt, 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. The Company uses the cost recovery method for certain non-performing commercial and residential mortgage loans that have principal and/or interest payments that are more than 90 days past due and for which future cash flows are not estimable. | ||
(D) Cash and Cash Equivalents: Cash and cash equivalents include amounts held in an interest bearing overnight account and money market funds. | ||
(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 a futures commission merchant, or "FCM," acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is reflected on the Consolidated Statement of Assets, Liabilities, and Equity as "Due to Brokers." Conversely, cash collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Statement of Assets, Liabilities, and Equity. The major types of derivatives utilized by the Company are swaps, futures, options and swaptions, and forwards. | ||
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. Primarily 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 to buy or sell an asset 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 to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. 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, credit, 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. | ||
Forward Currency Contracts: A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, 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. | ||
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, credit default swaps on corporate bonds, interest rate swaps, total return swaps, futures, foreign currency forwards, and options contracts. | ||
Financial derivative assets are included in Financial derivatives—assets, at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. In addition, financial derivative contracts are summarized by type on the Consolidated Condensed Schedule of Investments. | ||
(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. The Company also 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. The Company accounts for reverse repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the reverse repurchase agreement, on the amount borrowed over the term of the reverse repurchase agreement. The interest rate on a reverse repurchase agreement or a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. 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. 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 approximate fair value as the debt is short-term in nature. | ||
(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 825-10, the Company has elected to carry securitized debt at fair value. | ||
(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. | ||
(J) Investments in Operating Entities: The Company may make non-controlling investments in operating entities such as mortgage originators. Investments in such operating entities may be in the form of preferred and/or common equity, or debt. The Company carries its investments in such entities at fair value. | ||
(K) Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are charged against shareholders' equity. | ||
(L) LTIP Units: Long term incentive plan units ("LTIP units") have been issued to the Company's dedicated or partially dedicated personnel and independent directors as well as the Manager. Costs associated with LTIP units issued to dedicated or 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 periods for units issued under the Ellington Incentive Plan for Individuals (the "Individual LTIP") to dedicated or partially dedicated personnel are typically one year and can be up to two years. The vesting periods of Individual LTIP units are typically one year for independent directors. 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. | ||
(M) Non-controlling interests: Non-controlling interests include the interest in the Operating Partnership owned by an affiliate of the Manager and certain related parties and consist of units convertible into the Company's common shares. Non-controlling interests also include the interest of a joint venture partner in a consolidated subsidiary. The joint venture partner's interest does not consist of units convertible into the Company's common shares. The Company adjusts the non-controlling interests owned by an affiliate of the Manager and certain related parties to align their carrying value with the share of total outstanding operating partnership units ("OP Units") issued by the Operating Partnership to the non-controlling interest. Any such adjustments are reflected in "Adjustment to non-controlling interest" on the Consolidated Statement of Changes in Equity. See Note 9 for further discussion of non-controlling interests. | ||
(N) 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 LTIP units deemed to be participating securities, by the weighted average number of common shares outstanding calculated including LTIP units. Because the Company's LTIP units are deemed to be participating securities, they are included in the calculation of basic and diluted EPS. OP Units relating to a non-controlling interest are also considered participating securities and, accordingly, are included in the calculation of both basic and diluted EPS. | ||
(Q) Foreign Currency: Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Foreign currency transactions and Foreign currency translation, respectively, on the Consolidated Statement of Operations. | ||
(R) 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 December 31, 2013, a subsidiary of the Company has elected to be treated as a corporation for U.S. federal income tax purposes. To date, this subsidiary has recognized a small 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 unrecognized tax benefits resulting from tax positions related either to the current period or to 2013, 2012, 2011, or 2010 (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 or reductions 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 of 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, or "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. | ||
(S) Recent Accounting Pronouncements: 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 AICPA 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 has determined that the Company still meets the definition of an investment company under ASC 946 and, as a result, the presentation of its financial statements has not changed as a result of this ASU. | ||
In January 2014, the FASB issued ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). This update modifies the guidance for ASC 310-40, Receivables-Troubled Debt Restructurings by Creditors. ASU 2014-04 clarifies when an in-substance repossession or foreclosure occurs that would require a transfer of a mortgage loan to real estate owned. Under ASU 2014-04, repossession or foreclosure is deemed to have occurred, and the creditor is considered to have received physical possession of residential real estate property collateralizing a mortgage loan when the creditor obtains legal title to the property upon completion of a foreclosure or the borrower conveys all interest in the property to the creditor through a deed in lieu of foreclosure or a similar legal agreement. ASU 2014-04 will become effective for annual and interim periods beginning after December 15, 2014 with early adoption permitted. ASU 2014-04 can be adopted using either a modified retrospective method or a prospective transition method with the cumulative effect being recognized in the beginning retained earnings of the earliest annual period for which ASU 2014-04 is adopted. The Company elected to adopt ASU 2014-04 effective January 1, 2014; such adoption did not have a material impact on the financial statements. | ||
In June 2014, the FASB issued ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures ("ASU 2014-11"). This amends ASC 860, Transfers and Servicing ("ASC 860"), to require disclosure of repurchase-to maturity transactions to be accounted for as secured borrowings rather than sales of an asset, and transfers of financial assets with a contemporaneous repo will no longer be evaluated to determine whether they should be accounted for on a combined basis as forward contracts. The new guidance also prescribes additional disclosures particularly on the nature of collateral pledged under repurchase agreements accounted for as secured borrowings. ASU 2014-11 is effective for interim and annual periods beginning after December 15, 2014. The adoption of ASC 860, as amended by ASU 2014-11 is not expected to have a material impact on the Company's consolidated financial statements. |
Valuation
Valuation | 9 Months Ended | |||||||||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||||||||
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, pricing services and 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, (iii) the assessment of observable or reported recent trading activity, and (iv) principally in connection with investments in private operating entities, other metrics, such as estimated market multiples. 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. | ||||||||||||||||||||||||||||||||
Excluding its investments in private operating entities, the Company generally 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 of its assets in the future to the extent practical. 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. 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, 2014: | ||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||
Assets: | (In thousands) | |||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 129,124 | $ | — | $ | — | $ | 129,124 | ||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities and U.S. Treasury securities | $ | — | $ | 1,682,568 | $ | 38,572 | $ | 1,721,140 | ||||||||||||||||||||||||
Private label residential mortgage-backed securities | — | — | 502,070 | 502,070 | ||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | — | — | 46,317 | 46,317 | ||||||||||||||||||||||||||||
Commercial mortgage loans | — | — | 29,852 | 29,852 | ||||||||||||||||||||||||||||
Residential mortgage loans | — | — | 17,147 | 17,147 | ||||||||||||||||||||||||||||
Other asset-backed securities and loans | — | — | 109,152 | 109,152 | ||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||
Investments, at fair value- (continued): | (In thousands) | |||||||||||||||||||||||||||||||
Real estate owned | $ | — | $ | — | $ | 7,464 | $ | 7,464 | ||||||||||||||||||||||||
Private corporate investments | — | — | 7,686 | 7,686 | ||||||||||||||||||||||||||||
Total investments, at fair value | — | 1,682,568 | 758,260 | 2,440,828 | ||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 12,788 | 12,788 | ||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | 20,044 | — | 20,044 | ||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | 2,304 | — | 2,304 | ||||||||||||||||||||||||||||
Interest rate swaps | — | 19,964 | — | 19,964 | ||||||||||||||||||||||||||||
Total return swaps | — | 29 | — | 29 | ||||||||||||||||||||||||||||
Swaptions | — | 261 | — | 261 | ||||||||||||||||||||||||||||
Options | — | 31 | — | 31 | ||||||||||||||||||||||||||||
Futures | 549 | — | — | 549 | ||||||||||||||||||||||||||||
Forwards | — | 396 | — | 396 | ||||||||||||||||||||||||||||
Total financial derivatives–assets, at fair value | 549 | 43,029 | 12,788 | 56,366 | ||||||||||||||||||||||||||||
Repurchase agreements | — | 47,039 | — | 47,039 | ||||||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | $ | 549 | $ | 1,772,636 | $ | 771,048 | $ | 2,544,233 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Investments sold short, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | (1,158,892 | ) | $ | — | $ | (1,158,892 | ) | ||||||||||||||||||||||
Government debt | — | (43,646 | ) | — | (43,646 | ) | ||||||||||||||||||||||||||
Common stock | (19,356 | ) | — | — | (19,356 | ) | ||||||||||||||||||||||||||
Total investments sold short, at fair value | (19,356 | ) | (1,202,538 | ) | — | (1,221,894 | ) | |||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | (23,629 | ) | — | (23,629 | ) | ||||||||||||||||||||||||||
Credit default swaps on corporate bonds | — | (2,695 | ) | — | (2,695 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | (4,385 | ) | — | (4,385 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | (378 | ) | (378 | ) | ||||||||||||||||||||||||||
Interest rate swaps | — | (15,766 | ) | — | (15,766 | ) | ||||||||||||||||||||||||||
Total return swaps | — | (40 | ) | — | (40 | ) | ||||||||||||||||||||||||||
Options | — | (164 | ) | — | (164 | ) | ||||||||||||||||||||||||||
Swaptions | — | (213 | ) | — | (213 | ) | ||||||||||||||||||||||||||
Futures | (61 | ) | — | — | (61 | ) | ||||||||||||||||||||||||||
Forwards | — | — | — | — | ||||||||||||||||||||||||||||
Total financial derivatives–liabilities, at fair value | (61 | ) | (46,892 | ) | (378 | ) | (47,331 | ) | ||||||||||||||||||||||||
Securitized debt(1) | — | — | (870 | ) | (870 | ) | ||||||||||||||||||||||||||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | $ | (19,417 | ) | $ | (1,249,430 | ) | $ | (1,248 | ) | $ | (1,270,095 | ) | ||||||||||||||||||||
-1 | The asset subject to the resecuritization had a fair value of $2.3 million as of September 30, 2014, which is included on the Consolidated Schedule of Investments under Principal and Interest Private – Label Securities. | |||||||||||||||||||||||||||||||
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 nine month period ended September 30, 2014. 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, 2014: | ||||||||||||||||||||||||||||||||
Fair Value | Valuation | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||
Description | Technique | Min | Max | Average | ||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities (1) | $ | 422,033 | Market Quotes | Non Binding Indicative Price | $ | 1.96 | $ | 109.91 | $ | 76.65 | ||||||||||||||||||||||
Other asset-backed securities and loans | 102,804 | Market Quotes | Non Binding Indicative Price | 48 | 162 | 102.08 | ||||||||||||||||||||||||||
Private label residential mortgage-backed securities | 79,167 | Discounted Cash Flows | Yield | 3.6 | % | 16.1 | % | 7.3 | % | |||||||||||||||||||||||
Projected Collateral Prepayments | 7.6 | % | 83.6 | % | 40.1 | % | ||||||||||||||||||||||||||
Projected Collateral Losses | 3 | % | 45.2 | % | 13.1 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 0 | % | 25.5 | % | 8.3 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 79.5 | % | 38.5 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 12,950 | Discounted Cash Flows | Yield | 14.5 | % | 28.4 | % | 22.7 | % | |||||||||||||||||||||||
Projected Collateral Losses | 0.2 | % | 1.1 | % | 0.8 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 2.8 | % | 14.1 | % | 8.4 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 84.9 | % | 97 | % | 90.8 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Other asset-backed securities and loans | 6,348 | Discounted Cash Flows | Yield | 5.9 | % | 13.9 | % | 9.2 | % | |||||||||||||||||||||||
Projected Collateral Prepayments | — | % | 73.8 | % | 9.5 | % | ||||||||||||||||||||||||||
Projected Collateral Losses | 1.1 | % | 94.6 | % | 75.6 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | — | % | 92.8 | % | 7.3 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | — | % | 28 | % | 7.6 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 33,367 | Market Quotes | Non Binding Indicative Price | $ | 10.02 | $ | 97.09 | $ | 57.28 | |||||||||||||||||||||||
Performing commercial mortgage loans | 19,108 | Discounted Cash Flows | Yield | 10 | % | 19.7 | % | 17.5 | % | |||||||||||||||||||||||
Non-performing commercial mortgage loans | 10,744 | Discounted Cash Flows | Yield | 10.3 | % | 15 | % | 13.9 | % | |||||||||||||||||||||||
Months to Resolution | 3 | 28 | 7.9 | |||||||||||||||||||||||||||||
Non-performing residential mortgage loan pools and real estate owned | 24,611 | Discounted Cash Flows | Yield | 6.5 | % | 12 | % | 7.4 | % | |||||||||||||||||||||||
Months to Resolution | 4 | 26 | 12.7 | |||||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 35,069 | Market Quotes | Non Binding Indicative Price | $ | 3.76 | $ | 30.14 | $ | 13.65 | |||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 3,503 | Option Adjusted Spread ("OAS") | LIBOR OAS(2) | (44 | ) | 1,401 | 671 | |||||||||||||||||||||||||
Projected Collateral Prepayments | 57.2 | % | 100 | % | 77 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 42.8 | % | 23 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
(continued) | ||||||||||||||||||||||||||||||||
Fair Value | Valuation | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||
Description | Technique | Min | Max | Average | ||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 12,410 | Net Discounted Cash Flows | Projected Collateral Prepayments | 18.7 | % | 56.9 | % | 32.2 | % | |||||||||||||||||||||||
Projected Collateral Losses | 15.8 | % | 46.4 | % | 31 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 7.6 | % | 16.9 | % | 12.5 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 15.9 | % | 42.1 | % | 24.3 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Preferred equity investment in commercial mortgage-related private partnership | 5,000 | Discounted Cash Flows | Yield | 10.7 | % | 10.7 | % | 10.7 | % | |||||||||||||||||||||||
Expected Holding Period (Months) | 47.9 | 47.9 | 47.9 | |||||||||||||||||||||||||||||
Equity investment in mortgage originator | 2,686 | Recent Transactions | Transaction Price | N/A | N/A | N/A | ||||||||||||||||||||||||||
-1 | Includes securitized debt with a fair value of $0.9 million as of September 30, 2014. | |||||||||||||||||||||||||||||||
-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 and residential 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, 2013: | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 183,489 | $ | — | $ | — | $ | 183,489 | ||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 989,842 | $ | 40,504 | $ | 1,030,346 | ||||||||||||||||||||||||
Private label residential mortgage-backed securities | — | — | 580,772 | 580,772 | ||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | — | — | 32,994 | 32,994 | ||||||||||||||||||||||||||||
Commercial mortgage loans | — | — | 23,887 | 23,887 | ||||||||||||||||||||||||||||
Residential mortgage loans | — | — | 24,062 | 24,062 | ||||||||||||||||||||||||||||
Other asset-backed securities | — | — | 38,069 | 38,069 | ||||||||||||||||||||||||||||
Total investments, at fair value | — | 989,842 | 740,288 | 1,730,130 | ||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 16,646 | 16,646 | ||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | 14,273 | — | 14,273 | ||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | 4,937 | — | 4,937 | ||||||||||||||||||||||||||||
Interest rate swaps | — | 23,553 | — | 23,553 | ||||||||||||||||||||||||||||
Total return swaps | — | 4 | — | 4 | ||||||||||||||||||||||||||||
Options | — | 251 | — | 251 | ||||||||||||||||||||||||||||
Total financial derivatives–assets, at fair value | — | 43,018 | 16,646 | 59,664 | ||||||||||||||||||||||||||||
Repurchase agreements | — | 27,962 | — | 27,962 | ||||||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | $ | — | $ | 1,060,822 | $ | 756,934 | $ | 1,817,756 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Investments sold short, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | (811,957 | ) | $ | — | $ | (811,957 | ) | ||||||||||||||||||||||
Government debt | — | (27,288 | ) | — | (27,288 | ) | ||||||||||||||||||||||||||
Common stock | (6,369 | ) | — | — | (6,369 | ) | ||||||||||||||||||||||||||
Total investments sold short, at fair value | (6,369 | ) | (839,245 | ) | — | (845,614 | ) | |||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | (24,949 | ) | — | (24,949 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | (11,866 | ) | — | (11,866 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | (350 | ) | (350 | ) | ||||||||||||||||||||||||||
Interest rate swaps | — | (5,064 | ) | — | (5,064 | ) | ||||||||||||||||||||||||||
Total return swaps | — | (67 | ) | — | (67 | ) | ||||||||||||||||||||||||||
Options | — | (84 | ) | — | (84 | ) | ||||||||||||||||||||||||||
Futures | (2,373 | ) | — | — | (2,373 | ) | ||||||||||||||||||||||||||
Forwards | — | (38 | ) | — | (38 | ) | ||||||||||||||||||||||||||
Total financial derivatives–liabilities, at fair value | (2,373 | ) | (42,068 | ) | (350 | ) | (44,791 | ) | ||||||||||||||||||||||||
Securitized debt(1) | — | — | (983 | ) | (983 | ) | ||||||||||||||||||||||||||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | $ | (8,742 | ) | $ | (881,313 | ) | $ | (1,333 | ) | $ | (891,388 | ) | ||||||||||||||||||||
-1 | The asset subject to the resecuritization had a fair value of $2.3 million as of December 31, 2013, which is included on the Consolidated Schedule of Investments under Principal and Interest Private – Label Securities. | |||||||||||||||||||||||||||||||
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, 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 December 31, 2013: | ||||||||||||||||||||||||||||||||
Fair Value | Valuation | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||
Description | Technique | Min | Max | Average | ||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities and Other asset-backed securities(1) | $ | 550,701 | Market Quotes | Non Binding Indicative Price | $ | 1.8 | $ | 110.35 | $ | 78.09 | ||||||||||||||||||||||
Private label residential mortgage-backed securities | 67,158 | Discounted Cash Flows | Yield | 3.8 | % | 20.5 | % | 8 | % | |||||||||||||||||||||||
Projected Collateral Prepayments | 6.9 | % | 64.5 | % | 29.7 | % | ||||||||||||||||||||||||||
Projected Collateral Losses | 4.3 | % | 35.2 | % | 17.4 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 0.3 | % | 17.1 | % | 9.1 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 14.1 | % | 87.3 | % | 43.8 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 3,480 | Discounted Cash Flows | Yield | 9.2 | % | 18.2 | % | 13.5 | % | |||||||||||||||||||||||
Projected Collateral Losses | 0.2 | % | 0.2 | % | 0.2 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 15.4 | % | 15.4 | % | 15.4 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 84.4 | % | 84.4 | % | 84.4 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities and commercial mortgage loans | 34,489 | Market Quotes | Non Binding Indicative Price | $ | 14.25 | $ | 102.89 | $ | 74.24 | |||||||||||||||||||||||
Performing commercial mortgage loans | 8,788 | Discounted Cash Flows | Yield | 12.7 | % | 12.8 | % | 12.7 | % | |||||||||||||||||||||||
Non-performing commercial mortgage loans | 10,123 | Discounted Cash Flows | Yield | 15 | % | 15 | % | 15 | % | |||||||||||||||||||||||
Months to Resolution | 5 | 7 | 6 | |||||||||||||||||||||||||||||
Non-performing residential mortgage loan pools | 24,062 | Discounted Cash Flows | Yield | 7.4 | % | 7.4 | % | 7.4 | % | |||||||||||||||||||||||
Months to Resolution | 16.3 | 16.3 | 16.3 | |||||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 38,783 | Market Quotes | Non Binding Indicative Price | $ | 6.26 | $ | 33.77 | $ | 14.53 | |||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 1,721 | Option Adjusted Spread ("OAS") | LIBOR OAS(2) | 349 | 645 | 422 | ||||||||||||||||||||||||||
Projected Collateral Prepayments | 49 | % | 58.1 | % | 51.2 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 41.9 | % | 51 | % | 48.8 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 16,296 | Net Discounted Cash Flows | Projected Collateral Prepayments | 19.3 | % | 59 | % | 29.9 | % | |||||||||||||||||||||||
Projected Collateral Losses | 15.5 | % | 47.8 | % | 34.8 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 8.2 | % | 15.2 | % | 13.1 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 15.7 | % | 41.2 | % | 22.2 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
-1 | Includes securitized debt with a fair value of $1.0 million as of December 31, 2013. | |||||||||||||||||||||||||||||||
-2 | Shown in basis points. | |||||||||||||||||||||||||||||||
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 month periods ended September 30, 2014 and 2013 (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, 2014 | ||||||||||||||||||||||||||||||||
(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 | |||||||||||||||||||||||||
30-Jun-14 | (Amortized | (Loss) | Gain/(Loss) | of Level 3 | 30-Sep-14 | |||||||||||||||||||||||||||
Premiums) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 36,240 | $ | (2,188 | ) | $ | 286 | $ | 492 | $ | 4,695 | $ | (953 | ) | $ | — | $ | 38,572 | ||||||||||||||
Private label residential mortgage-backed securities | 485,902 | 4,770 | 3,684 | (5,030 | ) | 79,431 | (66,687 | ) | — | 502,070 | ||||||||||||||||||||||
Private label commercial mortgage-backed securities | 28,047 | 145 | 1,089 | (378 | ) | 29,496 | (12,082 | ) | — | 46,317 | ||||||||||||||||||||||
Commercial mortgage loans | 37,415 | 832 | 1,029 | (382 | ) | 8,113 | (17,155 | ) | — | 29,852 | ||||||||||||||||||||||
Residential mortgage loans | 23,371 | 878 | 501 | (131 | ) | (547 | ) | (6,925 | ) | — | 17,147 | |||||||||||||||||||||
Other asset-backed securities and loans | 81,315 | (2,791 | ) | (170 | ) | (637 | ) | 43,353 | (11,918 | ) | — | 109,152 | ||||||||||||||||||||
Real estate owned | 1,641 | — | 18 | 229 | 6,033 | (457 | ) | — | 7,464 | |||||||||||||||||||||||
Private corporate investments | — | — | — | (239 | ) | 7,925 | — | — | 7,686 | |||||||||||||||||||||||
Total investments, at fair value | 693,931 | 1,646 | 6,437 | (6,076 | ) | 178,499 | (116,177 | ) | — | 758,260 | ||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 14,162 | — | (2,860 | ) | 3,004 | 75 | (1,593 | ) | — | 12,788 | ||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 14,162 | — | (2,860 | ) | 3,004 | 75 | (1,593 | ) | — | 12,788 | ||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 708,093 | $ | 1,646 | $ | 3,577 | $ | (3,072 | ) | $ | 178,574 | $ | (117,770 | ) | $ | — | $ | 771,048 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (350 | ) | $ | — | $ | (20 | ) | $ | (28 | ) | $ | — | $ | 20 | $ | — | $ | (378 | ) | ||||||||||||
Total financial derivatives– liabilities, at fair value | (350 | ) | — | (20 | ) | (28 | ) | — | 20 | — | (378 | ) | ||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||
Securitized debt | (925 | ) | (1 | ) | — | (2 | ) | 58 | — | — | (870 | ) | ||||||||||||||||||||
Total securitized debt | (925 | ) | (1 | ) | — | (2 | ) | 58 | — | — | (870 | ) | ||||||||||||||||||||
Total financial derivatives– liabilities and securitized debt, at fair value | $ | (1,275 | ) | $ | (1 | ) | $ | (20 | ) | $ | (30 | ) | $ | 58 | $ | 20 | $ | — | $ | (1,248 | ) | |||||||||||
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, 2014, as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2014. For Level 3 financial instruments held by the Company at September 30, 2014, change in net unrealized gain (loss) of $(2.9) million, $(0.7) million, $(28.6) thousand and $(2.0) thousand, for the three month period ended September 30, 2014 relate to investments, financial derivatives–assets, and securitized debt, respectively. | ||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||
June 30, | (Amortized | (Loss) | Gain/(Loss) | of Level 3 | 30-Sep-13 | |||||||||||||||||||||||||||
2013 | 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 and securitized debt, at fair value | $ | (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: | ||||||||||||||||||||||||||||||||
Nine Month Period Ended September 30, 2014 | ||||||||||||||||||||||||||||||||
(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-14 | |||||||||||||||||||||||||||
2013 | Premiums) | |||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 40,504 | $ | (6,523 | ) | $ | 457 | $ | 515 | $ | 7,249 | $ | (3,630 | ) | $ | — | $ | 38,572 | ||||||||||||||
Private label residential mortgage-backed securities | 580,772 | 15,359 | 34,862 | (14,366 | ) | 233,654 | (348,211 | ) | — | 502,070 | ||||||||||||||||||||||
Private label commercial mortgage-backed securities | 32,994 | 497 | 5,479 | (842 | ) | 95,665 | (87,476 | ) | — | 46,317 | ||||||||||||||||||||||
Commercial mortgage loans | 23,887 | 1,916 | 1,901 | (673 | ) | 32,117 | (29,296 | ) | — | 29,852 | ||||||||||||||||||||||
Residential mortgage loans | 24,062 | 878 | 878 | 823 | 1,148 | (10,642 | ) | — | 17,147 | |||||||||||||||||||||||
Other asset-backed securities and loans | 38,069 | (3,444 | ) | 184 | (581 | ) | 97,539 | (22,615 | ) | — | 109,152 | |||||||||||||||||||||
Real estate owned | — | — | 7 | 212 | 7,792 | (547 | ) | — | 7,464 | |||||||||||||||||||||||
Private corporate investments | — | — | — | (239 | ) | 7,925 | — | — | 7,686 | |||||||||||||||||||||||
Total investments, at fair value | 740,288 | 8,683 | 43,768 | (15,151 | ) | 483,089 | (502,417 | ) | — | 758,260 | ||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 16,646 | — | (2,135 | ) | 2,379 | 530 | (4,632 | ) | — | 12,788 | ||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 16,646 | — | (2,135 | ) | 2,379 | 530 | (4,632 | ) | — | 12,788 | ||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 756,934 | $ | 8,683 | $ | 41,633 | $ | (12,772 | ) | $ | 483,619 | $ | (507,049 | ) | $ | — | $ | 771,048 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (350 | ) | $ | — | $ | (59 | ) | $ | (28 | ) | $ | — | $ | 59 | $ | — | $ | (378 | ) | ||||||||||||
Total financial derivatives– liabilities, at fair value | (350 | ) | — | (59 | ) | (28 | ) | — | 59 | — | (378 | ) | ||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||
Securitized debt | (983 | ) | (14 | ) | — | (17 | ) | 144 | — | — | (870 | ) | ||||||||||||||||||||
Total securitized debt | (983 | ) | (14 | ) | — | (17 | ) | 144 | — | — | (870 | ) | ||||||||||||||||||||
Total financial derivatives– liabilities and securitized debt, at fair value | $ | (1,333 | ) | $ | (14 | ) | $ | (59 | ) | $ | (45 | ) | $ | 144 | $ | 59 | $ | — | $ | (1,248 | ) | |||||||||||
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, 2014, as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2014. For Level 3 financial instruments held by the Company at September 30, 2014, change in net unrealized gain (loss) of $2.3 million, $(1.9) million, $(28.4) thousand and $(17.0) thousand, for the nine month period ended September 30, 2014 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, 2013 | ||||||||||||||||||||||||||||||||
(In thousands) | Ending | Accreted | Net Realized | Change in | Purchases/ | Sales/ | Transfers In | Ending | ||||||||||||||||||||||||
Balance as of December 31, 2012 | Discounts / | Gain/ | Net | Payments | Issuances | and/or Out | Balance as of September 30, 2013 | |||||||||||||||||||||||||
(Amortized | (Loss) | Unrealized | of Level 3 | |||||||||||||||||||||||||||||
Premiums) | Gain/(Loss) | |||||||||||||||||||||||||||||||
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 and securitized debt, at fair value | $ | (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. |
To_Be_Announced_RMBS
To Be Announced RMBS | 9 Months Ended | ||||||||
Sep. 30, 2014 | |||||||||
To Be Announced RMBS [Abstract] | ' | ||||||||
To Be Announced RMBS | ' | ||||||||
To Be Announced RMBS | |||||||||
In addition to investing in pools of Agency RMBS, the Company transacts in the forward settling To Be Announced MBS ("TBA") market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are liquid and have quoted market prices and represent the most actively traded class of MBS. The Company uses TBAs primarily for hedging purposes, typically in the form of short positions. However, the Company may also invest in TBAs for speculative purposes, including holding long positions. Overall, the Company typically holds a net short position. | |||||||||
The Company does not generally take delivery of TBAs; rather, it 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 fair value of the Company's positions in long TBA contracts are reflected on the Schedule of Investments under TBA - Fixed Rate Agency Securities and the fair value of the Company's positions in TBA contracts sold short are reflected on the Schedule of Investments under TBA - Fixed Rate Agency Securities Sold Short. The payables and receivables related to the Company's TBA securities are included on the Consolidated Statement of Assets, Liabilities, and Equity in Payable for securities purchased and Receivable for securities sold, respectively. | |||||||||
The below table details TBA assets, liabilities, and the respective related payables and receivables as of September 30, 2014 and December 31, 2013: | |||||||||
As of | |||||||||
September 30, 2014 | 31-Dec-13 | ||||||||
Assets: | (In thousands) | ||||||||
TBA securities, at fair value (Current principal: $112,448 and $101,150, respectively) | $ | 111,624 | $ | 96,856 | |||||
Receivable for securities sold relating to unsettled TBA sales | 1,158,168 | 813,933 | |||||||
Liabilities: | |||||||||
TBA securities sold short, at fair value (Current principal: -$1,101,218 and -$784,888, respectively) | $ | (1,158,892 | ) | $ | (811,957 | ) | |||
Payable for securities purchased relating to unsettled TBA purchases | (112,286 | ) | (96,762 | ) | |||||
Net short TBA securities, at fair value | (1,047,268 | ) | (715,101 | ) |
Financial_Derivatives
Financial Derivatives | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||
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, 2014 and 2013 are summarized in the tables below: | |||||||||||||||||||
September 30, 2014: | |||||||||||||||||||
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-14 | the Three Month Period Ended | 30-Sep-14 | the Nine Month Period Ended | ||||||||||||||||
30-Sep-14 | 30-Sep-14 | ||||||||||||||||||
(In thousands) | |||||||||||||||||||
Financial derivatives–assets | |||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (2,860 | ) | $ | 3,004 | $ | (2,135 | ) | $ | 2,379 | ||||||||
Credit default swaps on asset-backed indices | Credit | (2,145 | ) | 2,327 | (4,261 | ) | 2,367 | ||||||||||||
Credit default swaps on corporate bond indices | Credit | (1,459 | ) | 414 | 653 | (361 | ) | ||||||||||||
Total return swaps | Equity Market | 1,079 | 4 | 8,846 | 24 | ||||||||||||||
Interest rate swaps | Interest Rates | 1,953 | 191 | 1,904 | (3,940 | ) | |||||||||||||
Futures | Interest Rates | 299 | (2,023 | ) | 1,266 | 550 | |||||||||||||
Forwards | Currency | 2,218 | 345 | 2,722 | 396 | ||||||||||||||
Other | Credit/ | (60 | ) | (97 | ) | 48 | 504 | ||||||||||||
Interest Rates | |||||||||||||||||||
(975 | ) | 4,165 | 9,043 | 1,919 | |||||||||||||||
Financial derivatives–liabilities | |||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | (20 | ) | (28 | ) | (59 | ) | (28 | ) | ||||||||||
Credit default swaps on asset-backed indices | Credit | 166 | (55 | ) | 2,608 | (1,180 | ) | ||||||||||||
Credit default swaps on corporate bond indices | Credit | (1,878 | ) | 5,034 | (7,639 | ) | 8,948 | ||||||||||||
Credit default swaps on corporate bonds | Credit | 369 | (395 | ) | 510 | (620 | ) | ||||||||||||
Total return swaps | Equity Market | (4,067 | ) | 3 | (5,041 | ) | 27 | ||||||||||||
Interest rate swaps | Interest Rates | (2,218 | ) | 174 | (6,075 | ) | (7,539 | ) | |||||||||||
Futures | Interest Rates | 39 | 2,650 | 14 | 2,315 | ||||||||||||||
Forwards | Currency | (997 | ) | 314 | (1,926 | ) | 38 | ||||||||||||
Other | Credit/ | 104 | 194 | (510 | ) | (35 | ) | ||||||||||||
Interest Rates/Equity Market | |||||||||||||||||||
(8,502 | ) | 7,891 | (18,118 | ) | 1,926 | ||||||||||||||
Total | $ | (9,477 | ) | $ | 12,056 | $ | (9,075 | ) | $ | 3,845 | |||||||||
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 | ||||||||
The Company uses period end notional values as a percentage of average monthly notional values outstanding by instrument type as an indicator of the volume of activity with respect to financial derivatives. For options, interest rate swaps, total return swaps, credit default swaps, futures, and forwards notional values reflected on the Consolidated Condensed Schedule of Investments represent approximately 263%, 165%, 164%, 105%, 96%, and 56%, respectively, of average monthly notional values of each such category outstanding during the nine month period ended September 30, 2014. For options, total return swaps, interest rate swaps, futures, and credit default swaps, notional values reflected on the Consolidated Condensed Schedule of Investments represent approximately 387%, 210%, 187%, 179%, and 174%, respectively, of average monthly notional values of each such category outstanding during the year ended December 31, 2013. The Company started trading foreign currency forward contracts in December 2013; foreign currency contracts outstanding at December 31, 2013 represented the entire foreign currency forward activity for the year ended December 31, 2013. | |||||||||||||||||||
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, 2014 and December 31, 2013, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (ABX and CMBX indices), corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, 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, 2014 and December 31, 2013, are summarized below: | |||||||||||||||||||
Credit Derivatives | Amount at | Amount at | |||||||||||||||||
30-Sep-14 | December 31, 2013 | ||||||||||||||||||
(In thousands) | |||||||||||||||||||
Fair Value of Written Credit Derivatives, Net | $ | 12,041 | $ | 1,421 | |||||||||||||||
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | 334 | $ | 57 | |||||||||||||||
Notional Amount of Written Credit Derivatives (2) | $ | (140,013 | ) | $ | (120,497 | ) | |||||||||||||
Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | 1,910 | $ | 249 | |||||||||||||||
-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. | ||||||||||||||||||
A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, 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 has 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. Total net up-front payments received relating to written credit derivatives outstanding at September 30, 2014 and December 31, 2013 were $10.6 million and $2.5 million, respectively. |
Borrowings_under_Reverse_Repur
Borrowings under Reverse Repurchase Agreements | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||
Borrowings under Reverse Repurchase Agreements [Abstract] | ' | |||||||||||||||||||
Borrowings under Reverse Repurchase Agreements | ' | |||||||||||||||||||
Borrowings under Reverse Repurchase Agreements | ||||||||||||||||||||
The Company enters into reverse repurchase agreements. A reverse repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its reverse repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's reverse repurchase agreements typically range in term from 30 to 180 days. The principal economic terms of each reverse repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as relating to events of default, are typically governed under the Company's master repurchase agreements, or "MRAs." Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the reverse repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the reverse repurchase agreement at which time the Company may enter into a new reverse repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, reverse repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. The contractual amount (loan amount) of the Company's reverse repurchase agreements approximates their fair value, as the debt is short-term in nature. | ||||||||||||||||||||
In September 2014, the Company entered into a $150 million "non-mark-to-market" reverse repo facility with an existing counterparty which provides financing for certain types of non-Agency assets for a period of at least two years. After the first 18 months, the facility converts to a rolling facility with a six month cancellation notice period and automatic termination in September 2017. Under the terms of the facility, no additional collateral is required to be posted by the Company based on changes in market values of the underlying assets; however, all payments and prepayments of principal received on financed assets are applied to reduce the amount outstanding under the facility. As of September 30, 2014, the Company had $58.4 million in borrowings outstanding under the facility and intends to utilize the remaining available credit over the near term. | ||||||||||||||||||||
At any given time, the Company seeks to have its outstanding borrowings under reverse repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under reverse repurchase agreements with seventeen counterparties and fourteen counterparties, as of September 30, 2014 and December 31, 2013, respectively. | ||||||||||||||||||||
At September 30, 2014, approximately 20% of open reverse repurchase agreements were with one counterparty. At December 31, 2013, approximately 39% of open reverse repurchase agreements were with two counterparties. As of September 30, 2014 remaining days to maturity on the Company's open reverse repurchase agreements ranged from 1 to 723 days and from 2 to 180 days as of December 31, 2013. Interest rates on the Company's open reverse repurchase agreements ranged from (0.10)% to 2.41% as of September 30, 2014 and from 0.32% to 2.27% as of December 31, 2013. The negative interest rate at September 30, 2014 was related to a reverse repurchase agreement on a U.S. Treasury security. | ||||||||||||||||||||
The following table details the Company's outstanding borrowings under reverse repurchase agreements by remaining maturity as of September 30, 2014 and December 31, 2013: | ||||||||||||||||||||
(In thousands) | 30-Sep-14 | 31-Dec-13 | ||||||||||||||||||
Weighted Average | Weighted Average | |||||||||||||||||||
Remaining Maturity | Outstanding | Interest Rate | Remaining Days to Maturity | Outstanding | Interest Rate | Remaining Days to Maturity | ||||||||||||||
Borrowings | Borrowings | |||||||||||||||||||
30 Days or Less | $ | 609,777 | 0.35 | % | 11 | $ | 369,861 | 0.53 | % | 14 | ||||||||||
31-60 Days | 331,753 | 0.69 | % | 46 | 402,206 | 1.12 | % | 45 | ||||||||||||
61-90 Days | 284,665 | 0.42 | % | 72 | 320,161 | 0.78 | % | 72 | ||||||||||||
91-120 Days | 36,338 | 0.4 | % | 106 | 8,233 | 1.4 | % | 100 | ||||||||||||
121-150 Days | 7,053 | 0.9 | % | 134 | 38,856 | 0.49 | % | 135 | ||||||||||||
151-180 Days | 67,134 | 1.71 | % | 166 | 96,849 | 1.9 | % | 179 | ||||||||||||
>360 Days | 58,412 | 2.41 | % | 723 | — | — | % | — | ||||||||||||
$ | 1,395,132 | 0.61 | % | 72 | $ | 1,236,166 | 0.9 | % | 56 | |||||||||||
Reverse repurchase agreements involving underlying investments that we sold prior to period end, for settlement following period end, are shown using their original maturity dates even though such reverse repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. Not included above are any reverse repurchase agreements that we may have entered into prior to period end for which delivery of the borrowed funds is not scheduled until after period end. | ||||||||||||||||||||
As of September 30, 2014 and December 31, 2013, the fair value of investments transferred as collateral under outstanding borrowings under reverse repurchase agreements was $1.56 billion and $1.46 billion, respectively. Collateral transferred under outstanding borrowings as of September 30, 2014 include investments in the amount of $27.0 million that were sold prior to period end but for which such sale had not yet settled. Collateral transferred under outstanding borrowings as of December 31, 2013 include investments in the amount of $13.3 million that were sold prior to period end but for which such sale had not yet settled. In addition the Company posted net cash collateral of $14.3 million and additional securities with a fair value of $11.4 million as of September 30, 2014 as a result of margin calls with various counterparties. The Company posted additional net cash collateral of $2.9 million and additional securities with a fair value of $20.6 million as of December 31, 2013 as a result of margin calls with various counterparties. As of September 30, 2014, our reverse repos included overnight borrowings on U.S. Treasury securities in the amount of $224.4 million. |
Base_Management_Fee_And_Incent
Base Management Fee And Incentive Fee | 9 Months Ended |
Sep. 30, 2014 | |
Base Management Fee And Incentive Fee [Abstract] | ' |
Base Management Fee and Incentive Fee | ' |
Base Management Fee and Incentive Fee | |
The Company is party to 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 March 13, 2014, the Board of Directors approved a Fifth Amended and Restated Management Agreement, between the Company and the Manager. The descriptions of the Base Management Fees and Incentive Fees are detailed below. | |
Base Management Fees | |
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. | |
Summary information—For the three month periods ended September 30, 2014 and 2013, the total base management fee incurred was $3.1 million and $2.4 million, respectively. For the nine month periods ended September 30, 2014 and 2013, the total base management fee incurred was $7.8 million and $6.8 million, respectively. | |
Incentive Fees | |
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) the Company's 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, 2014 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. | |
Summary information— Total incentive fee incurred for the three and nine month periods ended September 30, 2014 was $1.4 million. Total incentive fee incurred for the three and nine month periods ended September 30, 2013 was $2.0 million and $5.3 million, respectively. |
LongTerm_Incentive_Plan_Units
Long-Term Incentive Plan Units | 9 Months Ended | |||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ' | |||||||||||||||||
Long-Term Incentive Plan Units | ' | |||||||||||||||||
Long-Term Incentive Plan Units | ||||||||||||||||||
In 2007, the Company established the Manager LTIP and the Individual LTIP. Pursuant to the terms of the Manager LTIP, the Company issued 375,000 long-term incentive plan units to its Manager, which as of August 17, 2010 have been fully vested and expensed. 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 or partially dedicated personnel. | ||||||||||||||||||
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. Total expense associated with Individual LTIPs for the three month periods ended September 30, 2014 and 2013 was $0.07 million and $0.04 million, respectively. Total expense associated with Individual LTIPs for the nine month periods ended September 30, 2014 and 2013 was $0.19 million and $0.13 million, respectively. | ||||||||||||||||||
Detailed below is a roll-forward of the Company's LTIP units outstanding for the three month periods ended September 30, 2014 and 2013: | ||||||||||||||||||
Three Month Period Ended | Three Month Period Ended | |||||||||||||||||
30-Sep-14 | 30-Sep-13 | |||||||||||||||||
Manager | Director/ | Total | Manager | Director/ | Total | |||||||||||||
Employee | Employee | |||||||||||||||||
LTIP Units Outstanding (6/30/2014 and 6/30/2013, respectively) | 375,000 | 36,052 | 411,052 | 375,000 | 22,096 | 397,096 | ||||||||||||
Granted | — | 5,841 | 5,841 | — | 5,466 | 5,466 | ||||||||||||
Exercised | — | (1,822 | ) | (1,822 | ) | — | (1,782 | ) | (1,782 | ) | ||||||||
LTIP Units Outstanding (9/30/2014 and 9/30/2013, respectively) | 375,000 | 40,071 | 415,071 | 375,000 | 25,780 | 400,780 | ||||||||||||
LTIP Units Vested and Outstanding (9/30/2014 and 9/30/2013, respectively) | 375,000 | 23,958 | 398,958 | 375,000 | 17,814 | 392,814 | ||||||||||||
Detailed below is a roll-forward of the Company's LTIP units outstanding for the nine month periods ended September 30, 2014 and 2013: | ||||||||||||||||||
Nine Month Period Ended | Nine Month Period Ended | |||||||||||||||||
30-Sep-14 | 30-Sep-13 | |||||||||||||||||
Manager | Director/ | Total | Manager | Director/ | Total | |||||||||||||
Employee | Employee | |||||||||||||||||
LTIP Units Outstanding (12/31/2013 and 12/31/2012, respectively) | 375,000 | 36,052 | 411,052 | 375,000 | 22,096 | 397,096 | ||||||||||||
Granted | — | 5,841 | 5,841 | — | 5,466 | 5,466 | ||||||||||||
Exercised | — | (1,822 | ) | (1,822 | ) | — | (1,782 | ) | (1,782 | ) | ||||||||
LTIP Units Outstanding (9/30/2014 and 9/30/2013, respectively) | 375,000 | 40,071 | 415,071 | 375,000 | 25,780 | 400,780 | ||||||||||||
LTIP Units Vested and Outstanding (9/30/2014 and 9/30/2013, respectively) | 375,000 | 23,958 | 398,958 | 375,000 | 17,814 | 392,814 | ||||||||||||
Noncontrolling_Interests
Non-controlling Interests | 9 Months Ended |
Sep. 30, 2014 | |
Noncontrolling Interest [Abstract] | ' |
Noncontrolling Interest Disclosure [Text Block] | ' |
Non-controlling Interests | |
Operating Partnership | |
Non-controlling interests include 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, 2014, non-controlling interest related to the outstanding 212,000 OP Units represented an interest of approximately 0.6% in the Operating Partnership. | |
EF SBC 2013-1 LLC | |
Non-controlling interests also include the interest of a joint venture partner in a consolidated subsidiary of the Company, EF SBC 2013-1 LLC, or "EF SBC." EF SBC holds the Company's investments in certain distressed commercial mortgage loans. The joint venture partner participates in EF SBC on a pari passu basis with the Company at a predetermined percentage, and therefore participates proportionally in all income, expense, gains and losses of EF SBC. The joint venture partner makes capital contributions to EF SBC as new approved investments are purchased by EF SBC, and is generally entitled to distributions when investments are sold or otherwise disposed of. As of September 30, 2014 the joint venture partner's interest in EF SBC was $1.7 million, representing an approximately 5% interest in EF SBC. | |
The joint venture partner's interest in EF SBC is not convertible into common shares of the Company or OP Units, nor is the joint venture partner entitled to receive distributions that holders of common shares of the Company receive. |
Common_Share_Capitalization
Common Share Capitalization | 9 Months Ended | |||||
Sep. 30, 2014 | ||||||
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, 2014 and 2013 the Board of Directors authorized second quarter dividends of $0.77 per share. During the nine month periods ended September 30, 2014 and 2013, the Board of Directors authorized three dividends totaling $2.31 per share and $3.06 per share, respectively. Total dividends paid during the three month periods ended September 30, 2014 and 2013 were $20.1 million and $20.0 million, respectively. Total dividends paid during the nine month periods ended September 30, 2014 and 2013 were $60.2 million and $72.0 million, respectively. | ||||||
On September 8, 2014 the Company completed a follow-on offering of eight million of its common shares. The offering generated net proceeds, after underwriters' discounts and offering costs, in the amount of $188.2 million. | ||||||
Detailed below is a roll-forward of the Company's common shares outstanding for the three month periods ended September 30, 2014 and 2013: | ||||||
Three Month | Three Month | |||||
Period Ended | Period Ended | |||||
30-Sep-14 | 30-Sep-13 | |||||
Common Shares Outstanding | 25,441,750 | 25,412,011 | ||||
(6/30/2014 and 6/30/2013, respectively) | ||||||
Share Activity: | ||||||
Shares issued | 8,000,000 | — | ||||
Shares issued in connection with incentive fee payment | — | 5,144 | ||||
Director LTIP units exercised | 1,822 | 1,782 | ||||
Common Shares Outstanding | 33,443,572 | 25,418,937 | ||||
(9/30/2014 and 9/30/2013, respectively) | ||||||
Detailed below is a roll-forward of the Company's common shares outstanding for the nine month periods ended September 30, 2014 and 2013: | ||||||
Nine Month | Nine Month | |||||
Period Ended | Period Ended | |||||
30-Sep-14 | 30-Sep-13 | |||||
Common Shares Outstanding | 25,428,186 | 20,370,469 | ||||
(12/31/2013 and 12/31/2012, respectively) | ||||||
Share Activity: | ||||||
Shares issued | 8,000,000 | 5,000,000 | ||||
Shares issued in connection with incentive fee payment | 13,564 | 46,686 | ||||
Director LTIP units exercised | 1,822 | 1,782 | ||||
Common Shares Outstanding | 33,443,572 | 25,418,937 | ||||
(9/30/2014 and 9/30/2013, 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, 2014 and 2013, the Company's issued and outstanding common shares would increase to 34,070,643 and 26,031,717 shares, respectively, resulting in equity per share of $23.79 and $24.19, respectively, as of September 30, 2014 and 2013. | ||||||
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, 2014, 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, 2014 | |||||||||||||||||
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, | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(In thousands except share amounts) | |||||||||||||||||
Net increase in shareholders' equity resulting from operations | $ | 12,948 | $ | 11,727 | $ | 56,530 | $ | 63,662 | |||||||||
Add: Net increase in equity resulting from operations attributable to the participating non-controlling interest(1) | 98 | 96 | 456 | 612 | |||||||||||||
Net increase in equity resulting from operations related to common shares, LTIP unit holders, and participating non-controlling interest | 13,046 | 11,823 | 56,986 | 64,274 | |||||||||||||
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 | 12,756 | 11,546 | 55,653 | 62,579 | |||||||||||||
Net increase in shareholders' equity resulting from operations– LTIP units | 192 | 181 | 877 | 1,083 | |||||||||||||
Dividends Paid(2): | |||||||||||||||||
Common shareholders | (19,590 | ) | (19,571 | ) | (58,934 | ) | (70,152 | ) | |||||||||
LTIP unit holders | (317 | ) | (306 | ) | (950 | ) | (1,216 | ) | |||||||||
Non-controlling interest | (163 | ) | (163 | ) | (326 | ) | (648 | ) | |||||||||
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | (20,070 | ) | (20,040 | ) | (60,210 | ) | (72,016 | ) | |||||||||
Undistributed (Distributed in excess of) earnings: | |||||||||||||||||
Common shareholders | (6,834 | ) | (8,025 | ) | (3,281 | ) | (7,573 | ) | |||||||||
LTIP unit holders | (125 | ) | (125 | ) | (73 | ) | (133 | ) | |||||||||
Non-controlling interest | (65 | ) | (67 | ) | 130 | (36 | ) | ||||||||||
Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | $ | (7,024 | ) | $ | (8,217 | ) | $ | (3,224 | ) | $ | (7,742 | ) | |||||
Weighted average shares outstanding (basic and diluted): | |||||||||||||||||
Weighted average common shares outstanding | 27,442,146 | 25,415,809 | 26,113,839 | 22,968,604 | |||||||||||||
Weighted average participating LTIP units | 411,926 | 397,897 | 411,346 | 397,366 | |||||||||||||
Weighted average non-controlling interest units | 212,000 | 212,000 | 212,000 | 212,000 | |||||||||||||
Basic earnings per common share: | |||||||||||||||||
Distributed | $ | 0.77 | $ | 0.77 | $ | 2.31 | $ | 3.06 | |||||||||
Undistributed (Distributed in excess of) | (0.31 | ) | (0.32 | ) | (0.18 | ) | (0.33 | ) | |||||||||
$ | 0.46 | $ | 0.45 | $ | 2.13 | $ | 2.73 | ||||||||||
Diluted earnings per common share: | |||||||||||||||||
Distributed | $ | 0.77 | $ | 0.77 | $ | 2.31 | $ | 3.06 | |||||||||
Undistributed (Distributed in excess of) | (0.31 | ) | (0.32 | ) | (0.18 | ) | (0.33 | ) | |||||||||
$ | 0.46 | $ | 0.45 | $ | 2.13 | $ | 2.73 | ||||||||||
-1 | For the three and nine month periods ended September 30, 2014, excludes net increase in equity resulting from operations of $0.1 million and $0.2 million, respectively attributable to the joint venture partner, which has a non-participating interest as described in Note 9. | ||||||||||||||||
-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. |
Counterparty_Risk
Counterparty Risk | 9 Months Ended | ||||
Sep. 30, 2014 | |||||
Risks and Uncertainties [Abstract] | ' | ||||
Counterparty Risk | ' | ||||
Counterparty Risk | |||||
As of September 30, 2014, investments with an aggregate value of approximately $1.56 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $27.0 million that were sold prior to period end but for which such sale had not yet settled as of September 30, 2014. | |||||
The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.56 billion in collateral for various reverse repurchase agreements as of September 30, 2014. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $332.2 million were held in custody at the Bank of New York Mellon Corporation. | |||||
Dealer | % of Total | ||||
Collateral on | |||||
Reverse Repurchase | |||||
Agreements | |||||
Royal Bank of Canada | 19% | ||||
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, 2014: | |||||
Dealer | % of Total Due | ||||
from Brokers | |||||
Morgan Stanley | 50% | ||||
J.P. Morgan Securities Inc. | 24% | ||||
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, 2014: | |||||
Dealer | % of Total Receivable | ||||
for Securities Sold | |||||
CS First Boston | 26% | ||||
Citigroup | 21% | ||||
In addition the Company held cash and cash equivalents of $129.1 million and $183.5 million as of September 30, 2014 and December 31, 2013, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty: | |||||
As of | |||||
Counterparty | September 30, 2014 | 31-Dec-13 | |||
Bank of New York Mellon Corporation | 100% | 73% | |||
JP Morgan Prime Money Market Premier Fund | —% | 27% |
Offsetting_of_Assets_and_Liabi
Offsetting of Assets and Liabilities | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
Offsetting of Assets and Liabilities [Abstract] | ' | ||||||||||||||||||||
Offsetting of Assets and Liabilities [Text Block] | ' | ||||||||||||||||||||
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, 2014 and December 31, 2013. The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. | |||||||||||||||||||||
September 30, 2014: | |||||||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | ||||||||||||||||
(In thousands) | |||||||||||||||||||||
Assets | |||||||||||||||||||||
Financial derivatives–assets | $ | 56,366 | $ | (22,108 | ) | $ | — | $ | (11,773 | ) | $ | 22,484 | |||||||||
Repurchase agreements | 47,039 | (47,039 | ) | — | — | — | |||||||||||||||
Liabilities | |||||||||||||||||||||
Financial derivatives–liabilities | (47,331 | ) | 22,108 | — | 25,223 | — | |||||||||||||||
Reverse repurchase agreements | (1,395,132 | ) | 47,039 | 1,333,817 | 14,276 | — | |||||||||||||||
December 31, 2013: | |||||||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | ||||||||||||||||
(In thousands) | |||||||||||||||||||||
Assets | |||||||||||||||||||||
Financial derivatives–assets | $ | 59,664 | $ | (24,162 | ) | $ | — | $ | (17,273 | ) | $ | 18,229 | |||||||||
Repurchase agreements | 27,962 | (27,962 | ) | — | — | — | |||||||||||||||
Liabilities | |||||||||||||||||||||
Financial derivatives–liabilities | (44,791 | ) | 24,162 | — | 20,629 | — | |||||||||||||||
Reverse repurchase agreements | (1,236,166 | ) | 27,962 | 1,205,278 | 2,926 | — | |||||||||||||||
-1 | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. | ||||||||||||||||||||
-2 | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, we have reduced the amount of financial instruments transferred or pledged as collateral related to our reverse repurchase agreements and cash collateral pledged on our financial derivative liabilities. Total financial instruments transferred or pledged as collateral on our reverse repurchase agreements as of September 30, 2014 and December 31, 2013 were $1.58 billion and $1.48 billion, respectively. As of September 30, 2014 and December 31, 2013, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $24.4 million and $3.2 million, respectively. As of September 30, 2014 and December 31, 2013, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $27.7 million and $36.4 million, respectively. | ||||||||||||||||||||
-3 | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Contingencies_And_Commitments
Contingencies And Commitments | 9 Months Ended |
Sep. 30, 2014 | |
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, 2014 and December 31, 2013. |
Financial_Highlights
Financial Highlights | 9 Months Ended | |||||||||||||||
Sep. 30, 2014 | ||||||||||||||||
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-14 | 30-Sep-13 | 30-Sep-14 | 30-Sep-13 | |||||||||||||
Beginning Shareholders' Equity Per Share (6/30/2014, 6/30/2013, 12/31/2013, and 12/31/2012, respectively) | $ | 24.53 | $ | 24.92 | $ | 24.4 | $ | 24.86 | ||||||||
Net Investment Income | 0.46 | 0.57 | 1.52 | 1.62 | ||||||||||||
Net Realized/Unrealized Gains (Losses) | 0.02 | (0.10 | ) | 0.67 | 1.18 | |||||||||||
Results of Operations Attributable to Equity | 0.48 | 0.47 | 2.19 | 2.8 | ||||||||||||
Less: Results of Operations Attributable to Non-controlling Interests | (0.01 | ) | — | (0.03 | ) | (0.03 | ) | |||||||||
Results of Operations Attributable to Shareholders' Equity(1) | 0.47 | 0.47 | 2.16 | 2.77 | ||||||||||||
Dividends Paid to Common Shareholders | (0.77 | ) | (0.77 | ) | (2.31 | ) | (3.06 | ) | ||||||||
Weighted Average Share Impact on Dividends Paid (2) | 0.03 | (0.02 | ) | — | (0.08 | ) | ||||||||||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest | (0.18 | ) | (0.01 | ) | (0.17 | ) | 0.1 | |||||||||
Ending Shareholders' Equity Per Share (9/30/2014, 9/30/2013, 9/30/2014, and 9/30/2013, respectively)(3) | $ | 24.08 | $ | 24.59 | $ | 24.08 | $ | 24.59 | ||||||||
Shares Outstanding, end of period | 33,443,572 | 25,418,937 | 33,443,572 | 25,418,937 | ||||||||||||
-1 | Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 11). | |||||||||||||||
-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 previously issued were vested and exchanged for common shares as of September 30, 2014 and 2013, shareholders' equity per share would be $23.79 and $24.19, 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 Value Based Total Return for a Shareholder: (1) | ||||||||||||||||
Three Month Period Ended | Three Month Period Ended | Nine Month Period Ended | Nine Month Period Ended | |||||||||||||
30-Sep-14 | 30-Sep-13 | 30-Sep-14 | 30-Sep-13 | |||||||||||||
Total Return | 1.32% | 1.82% | 8.44% | 11.57% | ||||||||||||
-1 | Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period. | |||||||||||||||
Supplemental Information—Net Asset Value 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-14 | 30-Sep-14 | |||||||||||||||
Total Return | 0.08% | 7.11% | ||||||||||||||
-1 | Total return is calculated assuming all LTIP and OP Units had been converted into common shares at September 30, 2014. LTIP and OP Units outstanding at September 30, 2014 totaled 627,071 and represent 1.84% 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, 2014 and 2013, the Company's market based total return based on the closing price as reported by the New York Stock Exchange was (4.54)% and 1.97%, respectively. For the nine month periods ended September 30, 2014 and 2013, the Company's market based total return based on the closing price as reported by the New York Stock Exchange was 7.65% 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 Period Ended | Three Month Period Ended | Nine Month Period Ended | Nine Month Period Ended | |||||||||||||
30-Sep-14 | 30-Sep-13 | 30-Sep-14 | 30-Sep-13 | |||||||||||||
Net Investment Income (2)(3) | 8.02% | 9.99% | 8.27% | 8.89% | ||||||||||||
-1 | Average equity is calculated using month end values. | |||||||||||||||
-2 | Includes incentive fee in calculation which can vary substantially over periods. | |||||||||||||||
-3 | Includes all items of income and expense on an annualized basis except for incentive fee expense which is included on a non-annualized basis. | |||||||||||||||
Expense Ratios to Average Equity: (1)(2) | ||||||||||||||||
Three Month Period Ended | Three Month Period Ended | Nine Month Period Ended | Nine Month Period Ended | |||||||||||||
30-Sep-14 | 30-Sep-13 | 30-Sep-14 | 30-Sep-13 | |||||||||||||
Operating expenses before incentive fee, interest expense, and other investment related expenses | -3.03% | -2.67% | -2.86% | -2.77% | ||||||||||||
Incentive fee | -0.21% | -0.32% | -0.22% | -0.91% | ||||||||||||
Interest expense and other investment related expenses | -1.98% | -2.11% | -2.08% | -1.94% | ||||||||||||
Total Expenses | -5.22% | -5.10% | -5.16% | -5.62% | ||||||||||||
-1 | Average equity is calculated using month end values. | |||||||||||||||
-2 | Ratios are annualized except for the incentive fee which is not annualized. |
Subsequent_Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2014 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
Subsequent Events | |
On November 4, 2014, the Company's Board of Directors approved a dividend for the third quarter of 2014 in the amount of $0.77 per share payable on December 15, 2014 to shareholders of record as of December 1, 2014. |
Significant_Accounting_Policie1
Significant Accounting Policies (Policy) | 9 Months Ended | |
Sep. 30, 2014 | ||
Accounting Policies [Abstract] | ' | |
Basis of Presentation | ' | |
Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," for investment companies, ASC 946, Financial Services—Investment Companies ("ASC 946"). 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, 2013. | ||
Valuation | ' | |
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 | ' | |
Securities Transactions and Investment Income: Purchases and sales of investments 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 and residential mortgage loans, U.S. Treasury securities, sovereign debt, 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. The Company uses the cost recovery method for certain non-performing commercial and residential mortgage loans that have principal and/or interest payments that are more than 90 days past due and for which future cash flows are not estimable. | ||
Cash and Cash Equivalents | ' | |
Cash and Cash Equivalents: Cash and cash equivalents include amounts held in an interest bearing overnight account and money market funds. | ||
Financial Derivatives | ' | |
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 a futures commission merchant, or "FCM," acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is reflected on the Consolidated Statement of Assets, Liabilities, and Equity as "Due to Brokers." Conversely, cash collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Statement of Assets, Liabilities, and Equity. The major types of derivatives utilized by the Company are swaps, futures, options and swaptions, and forwards. | ||
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. Primarily 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 to buy or sell an asset 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 to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. 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, credit, 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. | ||
Forward Currency Contracts: A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, 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. | ||
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, credit default swaps on corporate bonds, interest rate swaps, total return swaps, futures, foreign currency forwards, and options contracts. | ||
Financial derivative assets are included in Financial derivatives—assets, at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. In addition, financial derivative contracts are summarized by type on the Consolidated Condensed Schedule of Investments. | ||
Investments Sold Short | ' | |
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 | ' | |
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. The Company also 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. The Company accounts for reverse repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the reverse repurchase agreement, on the amount borrowed over the term of the reverse repurchase agreement. The interest rate on a reverse repurchase agreement or a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. 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. 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 approximate fair value as the debt is short-term in nature. | ||
Securitized Debt | ' | |
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 825-10, the Company has elected to carry securitized debt at fair value. | ||
When-Issued/Delayed Delivery Securities | ' | |
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. | ||
Investments in Operating Entities | ' | |
Investments in Operating Entities: The Company may make non-controlling investments in operating entities such as mortgage originators. Investments in such operating entities may be in the form of preferred and/or common equity, or debt. The Company carries its investments in such entities at fair value. | ||
Offering Costs/Underwriters' Discount | ' | |
Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are charged against shareholders' equity. | ||
LTIP Units | ' | |
LTIP Units: Long term incentive plan units ("LTIP units") have been issued to the Company's dedicated or partially dedicated personnel and independent directors as well as the Manager. Costs associated with LTIP units issued to dedicated or 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 periods for units issued under the Ellington Incentive Plan for Individuals (the "Individual LTIP") to dedicated or partially dedicated personnel are typically one year and can be up to two years. The vesting periods of Individual LTIP units are typically one year for independent directors. 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 | ' | |
Non-controlling interests: Non-controlling interests include the interest in the Operating Partnership owned by an affiliate of the Manager and certain related parties and consist of units convertible into the Company's common shares. Non-controlling interests also include the interest of a joint venture partner in a consolidated subsidiary. The joint venture partner's interest does not consist of units convertible into the Company's common shares. The Company adjusts the non-controlling interests owned by an affiliate of the Manager and certain related parties to align their carrying value with the share of total outstanding operating partnership units ("OP Units") issued by the Operating Partnership to the non-controlling interest. Any such adjustments are reflected in "Adjustment to non-controlling interest" on the Consolidated Statement of Changes in Equity. See Note 9 for further discussion of non-controlling interests. | ||
Dividends | ' | |
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 | ' | |
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") | ' | |
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 LTIP units deemed to be participating securities, by the weighted average number of common shares outstanding calculated including LTIP units. Because the Company's LTIP units are deemed to be participating securities, they are included in the calculation of basic and diluted EPS. OP Units relating to a non-controlling interest are also considered participating securities and, accordingly, are included in the calculation of both basic and diluted EPS. | ||
Foreign Currency | ' | |
Foreign Currency: Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Foreign currency transactions and Foreign currency translation, respectively, on the Consolidated Statement of Operations. | ||
Income Taxes | ' | |
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 December 31, 2013, a subsidiary of the Company has elected to be treated as a corporation for U.S. federal income tax purposes. To date, this subsidiary has recognized a small 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 unrecognized tax benefits resulting from tax positions related either to the current period or to 2013, 2012, 2011, or 2010 (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 or reductions 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 of 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, or "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. | ||
Recent Accounting Pronouncements | ' | |
Recent Accounting Pronouncements: 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 AICPA 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 has determined that the Company still meets the definition of an investment company under ASC 946 and, as a result, the presentation of its financial statements has not changed as a result of this ASU. | ||
In January 2014, the FASB issued ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). This update modifies the guidance for ASC 310-40, Receivables-Troubled Debt Restructurings by Creditors. ASU 2014-04 clarifies when an in-substance repossession or foreclosure occurs that would require a transfer of a mortgage loan to real estate owned. Under ASU 2014-04, repossession or foreclosure is deemed to have occurred, and the creditor is considered to have received physical possession of residential real estate property collateralizing a mortgage loan when the creditor obtains legal title to the property upon completion of a foreclosure or the borrower conveys all interest in the property to the creditor through a deed in lieu of foreclosure or a similar legal agreement. ASU 2014-04 will become effective for annual and interim periods beginning after December 15, 2014 with early adoption permitted. ASU 2014-04 can be adopted using either a modified retrospective method or a prospective transition method with the cumulative effect being recognized in the beginning retained earnings of the earliest annual period for which ASU 2014-04 is adopted. The Company elected to adopt ASU 2014-04 effective January 1, 2014; such adoption did not have a material impact on the financial statements. | ||
In June 2014, the FASB issued ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures ("ASU 2014-11"). This amends ASC 860, Transfers and Servicing ("ASC 860"), to require disclosure of repurchase-to maturity transactions to be accounted for as secured borrowings rather than sales of an asset, and transfers of financial assets with a contemporaneous repo will no longer be evaluated to determine whether they should be accounted for on a combined basis as forward contracts. The new guidance also prescribes additional disclosures particularly on the nature of collateral pledged under repurchase agreements accounted for as secured borrowings. ASU 2014-11 is effective for interim and annual periods beginning after December 15, 2014. The adoption of ASC 860, as amended by ASU 2014-11 is not expected to have a material impact on the Company's consolidated financial statements. |
Valuation_Tables
Valuation (Tables) | 9 Months Ended | |||||||||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||||||||
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 September 30, 2014: | ||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||
Assets: | (In thousands) | |||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 129,124 | $ | — | $ | — | $ | 129,124 | ||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities and U.S. Treasury securities | $ | — | $ | 1,682,568 | $ | 38,572 | $ | 1,721,140 | ||||||||||||||||||||||||
Private label residential mortgage-backed securities | — | — | 502,070 | 502,070 | ||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | — | — | 46,317 | 46,317 | ||||||||||||||||||||||||||||
Commercial mortgage loans | — | — | 29,852 | 29,852 | ||||||||||||||||||||||||||||
Residential mortgage loans | — | — | 17,147 | 17,147 | ||||||||||||||||||||||||||||
Other asset-backed securities and loans | — | — | 109,152 | 109,152 | ||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||
Investments, at fair value- (continued): | (In thousands) | |||||||||||||||||||||||||||||||
Real estate owned | $ | — | $ | — | $ | 7,464 | $ | 7,464 | ||||||||||||||||||||||||
Private corporate investments | — | — | 7,686 | 7,686 | ||||||||||||||||||||||||||||
Total investments, at fair value | — | 1,682,568 | 758,260 | 2,440,828 | ||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 12,788 | 12,788 | ||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | 20,044 | — | 20,044 | ||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | 2,304 | — | 2,304 | ||||||||||||||||||||||||||||
Interest rate swaps | — | 19,964 | — | 19,964 | ||||||||||||||||||||||||||||
Total return swaps | — | 29 | — | 29 | ||||||||||||||||||||||||||||
Swaptions | — | 261 | — | 261 | ||||||||||||||||||||||||||||
Options | — | 31 | — | 31 | ||||||||||||||||||||||||||||
Futures | 549 | — | — | 549 | ||||||||||||||||||||||||||||
Forwards | — | 396 | — | 396 | ||||||||||||||||||||||||||||
Total financial derivatives–assets, at fair value | 549 | 43,029 | 12,788 | 56,366 | ||||||||||||||||||||||||||||
Repurchase agreements | — | 47,039 | — | 47,039 | ||||||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | $ | 549 | $ | 1,772,636 | $ | 771,048 | $ | 2,544,233 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Investments sold short, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | (1,158,892 | ) | $ | — | $ | (1,158,892 | ) | ||||||||||||||||||||||
Government debt | — | (43,646 | ) | — | (43,646 | ) | ||||||||||||||||||||||||||
Common stock | (19,356 | ) | — | — | (19,356 | ) | ||||||||||||||||||||||||||
Total investments sold short, at fair value | (19,356 | ) | (1,202,538 | ) | — | (1,221,894 | ) | |||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | (23,629 | ) | — | (23,629 | ) | ||||||||||||||||||||||||||
Credit default swaps on corporate bonds | — | (2,695 | ) | — | (2,695 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | (4,385 | ) | — | (4,385 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | (378 | ) | (378 | ) | ||||||||||||||||||||||||||
Interest rate swaps | — | (15,766 | ) | — | (15,766 | ) | ||||||||||||||||||||||||||
Total return swaps | — | (40 | ) | — | (40 | ) | ||||||||||||||||||||||||||
Options | — | (164 | ) | — | (164 | ) | ||||||||||||||||||||||||||
Swaptions | — | (213 | ) | — | (213 | ) | ||||||||||||||||||||||||||
Futures | (61 | ) | — | — | (61 | ) | ||||||||||||||||||||||||||
Forwards | — | — | — | — | ||||||||||||||||||||||||||||
Total financial derivatives–liabilities, at fair value | (61 | ) | (46,892 | ) | (378 | ) | (47,331 | ) | ||||||||||||||||||||||||
Securitized debt(1) | — | — | (870 | ) | (870 | ) | ||||||||||||||||||||||||||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | $ | (19,417 | ) | $ | (1,249,430 | ) | $ | (1,248 | ) | $ | (1,270,095 | ) | ||||||||||||||||||||
-1 | The asset subject to the resecuritization had a fair value of $2.3 million as of September 30, 2014, which is included on the Consolidated Schedule of Investments under Principal and Interest Private – Label Securities. | |||||||||||||||||||||||||||||||
The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2013: | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 183,489 | $ | — | $ | — | $ | 183,489 | ||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 989,842 | $ | 40,504 | $ | 1,030,346 | ||||||||||||||||||||||||
Private label residential mortgage-backed securities | — | — | 580,772 | 580,772 | ||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | — | — | 32,994 | 32,994 | ||||||||||||||||||||||||||||
Commercial mortgage loans | — | — | 23,887 | 23,887 | ||||||||||||||||||||||||||||
Residential mortgage loans | — | — | 24,062 | 24,062 | ||||||||||||||||||||||||||||
Other asset-backed securities | — | — | 38,069 | 38,069 | ||||||||||||||||||||||||||||
Total investments, at fair value | — | 989,842 | 740,288 | 1,730,130 | ||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 16,646 | 16,646 | ||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | 14,273 | — | 14,273 | ||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | 4,937 | — | 4,937 | ||||||||||||||||||||||||||||
Interest rate swaps | — | 23,553 | — | 23,553 | ||||||||||||||||||||||||||||
Total return swaps | — | 4 | — | 4 | ||||||||||||||||||||||||||||
Options | — | 251 | — | 251 | ||||||||||||||||||||||||||||
Total financial derivatives–assets, at fair value | — | 43,018 | 16,646 | 59,664 | ||||||||||||||||||||||||||||
Repurchase agreements | — | 27,962 | — | 27,962 | ||||||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | $ | — | $ | 1,060,822 | $ | 756,934 | $ | 1,817,756 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Investments sold short, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | (811,957 | ) | $ | — | $ | (811,957 | ) | ||||||||||||||||||||||
Government debt | — | (27,288 | ) | — | (27,288 | ) | ||||||||||||||||||||||||||
Common stock | (6,369 | ) | — | — | (6,369 | ) | ||||||||||||||||||||||||||
Total investments sold short, at fair value | (6,369 | ) | (839,245 | ) | — | (845,614 | ) | |||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | (24,949 | ) | — | (24,949 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | (11,866 | ) | — | (11,866 | ) | ||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | (350 | ) | (350 | ) | ||||||||||||||||||||||||||
Interest rate swaps | — | (5,064 | ) | — | (5,064 | ) | ||||||||||||||||||||||||||
Total return swaps | — | (67 | ) | — | (67 | ) | ||||||||||||||||||||||||||
Options | — | (84 | ) | — | (84 | ) | ||||||||||||||||||||||||||
Futures | (2,373 | ) | — | — | (2,373 | ) | ||||||||||||||||||||||||||
Forwards | — | (38 | ) | — | (38 | ) | ||||||||||||||||||||||||||
Total financial derivatives–liabilities, at fair value | (2,373 | ) | (42,068 | ) | (350 | ) | (44,791 | ) | ||||||||||||||||||||||||
Securitized debt(1) | — | — | (983 | ) | (983 | ) | ||||||||||||||||||||||||||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | $ | (8,742 | ) | $ | (881,313 | ) | $ | (1,333 | ) | $ | (891,388 | ) | ||||||||||||||||||||
-1 | The asset subject to the resecuritization had a fair value of $2.3 million as of December 31, 2013, which is included on the Consolidated Schedule of Investments under Principal and Interest Private – Label Securities. | |||||||||||||||||||||||||||||||
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 September 30, 2014: | ||||||||||||||||||||||||||||||||
Fair Value | Valuation | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||
Description | Technique | Min | Max | Average | ||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities (1) | $ | 422,033 | Market Quotes | Non Binding Indicative Price | $ | 1.96 | $ | 109.91 | $ | 76.65 | ||||||||||||||||||||||
Other asset-backed securities and loans | 102,804 | Market Quotes | Non Binding Indicative Price | 48 | 162 | 102.08 | ||||||||||||||||||||||||||
Private label residential mortgage-backed securities | 79,167 | Discounted Cash Flows | Yield | 3.6 | % | 16.1 | % | 7.3 | % | |||||||||||||||||||||||
Projected Collateral Prepayments | 7.6 | % | 83.6 | % | 40.1 | % | ||||||||||||||||||||||||||
Projected Collateral Losses | 3 | % | 45.2 | % | 13.1 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 0 | % | 25.5 | % | 8.3 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 79.5 | % | 38.5 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 12,950 | Discounted Cash Flows | Yield | 14.5 | % | 28.4 | % | 22.7 | % | |||||||||||||||||||||||
Projected Collateral Losses | 0.2 | % | 1.1 | % | 0.8 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 2.8 | % | 14.1 | % | 8.4 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 84.9 | % | 97 | % | 90.8 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Other asset-backed securities and loans | 6,348 | Discounted Cash Flows | Yield | 5.9 | % | 13.9 | % | 9.2 | % | |||||||||||||||||||||||
Projected Collateral Prepayments | — | % | 73.8 | % | 9.5 | % | ||||||||||||||||||||||||||
Projected Collateral Losses | 1.1 | % | 94.6 | % | 75.6 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | — | % | 92.8 | % | 7.3 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | — | % | 28 | % | 7.6 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 33,367 | Market Quotes | Non Binding Indicative Price | $ | 10.02 | $ | 97.09 | $ | 57.28 | |||||||||||||||||||||||
Performing commercial mortgage loans | 19,108 | Discounted Cash Flows | Yield | 10 | % | 19.7 | % | 17.5 | % | |||||||||||||||||||||||
Non-performing commercial mortgage loans | 10,744 | Discounted Cash Flows | Yield | 10.3 | % | 15 | % | 13.9 | % | |||||||||||||||||||||||
Months to Resolution | 3 | 28 | 7.9 | |||||||||||||||||||||||||||||
Non-performing residential mortgage loan pools and real estate owned | 24,611 | Discounted Cash Flows | Yield | 6.5 | % | 12 | % | 7.4 | % | |||||||||||||||||||||||
Months to Resolution | 4 | 26 | 12.7 | |||||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 35,069 | Market Quotes | Non Binding Indicative Price | $ | 3.76 | $ | 30.14 | $ | 13.65 | |||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 3,503 | Option Adjusted Spread ("OAS") | LIBOR OAS(2) | (44 | ) | 1,401 | 671 | |||||||||||||||||||||||||
Projected Collateral Prepayments | 57.2 | % | 100 | % | 77 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 42.8 | % | 23 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
(continued) | ||||||||||||||||||||||||||||||||
Fair Value | Valuation | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||
Description | Technique | Min | Max | Average | ||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 12,410 | Net Discounted Cash Flows | Projected Collateral Prepayments | 18.7 | % | 56.9 | % | 32.2 | % | |||||||||||||||||||||||
Projected Collateral Losses | 15.8 | % | 46.4 | % | 31 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 7.6 | % | 16.9 | % | 12.5 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 15.9 | % | 42.1 | % | 24.3 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Preferred equity investment in commercial mortgage-related private partnership | 5,000 | Discounted Cash Flows | Yield | 10.7 | % | 10.7 | % | 10.7 | % | |||||||||||||||||||||||
Expected Holding Period (Months) | 47.9 | 47.9 | 47.9 | |||||||||||||||||||||||||||||
Equity investment in mortgage originator | 2,686 | Recent Transactions | Transaction Price | N/A | N/A | N/A | ||||||||||||||||||||||||||
-1 | Includes securitized debt with a fair value of $0.9 million as of September 30, 2014. | |||||||||||||||||||||||||||||||
-2 | Shown in basis points. | |||||||||||||||||||||||||||||||
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, 2013: | ||||||||||||||||||||||||||||||||
Fair Value | Valuation | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||
Description | Technique | Min | Max | Average | ||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities and Other asset-backed securities(1) | $ | 550,701 | Market Quotes | Non Binding Indicative Price | $ | 1.8 | $ | 110.35 | $ | 78.09 | ||||||||||||||||||||||
Private label residential mortgage-backed securities | 67,158 | Discounted Cash Flows | Yield | 3.8 | % | 20.5 | % | 8 | % | |||||||||||||||||||||||
Projected Collateral Prepayments | 6.9 | % | 64.5 | % | 29.7 | % | ||||||||||||||||||||||||||
Projected Collateral Losses | 4.3 | % | 35.2 | % | 17.4 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 0.3 | % | 17.1 | % | 9.1 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 14.1 | % | 87.3 | % | 43.8 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 3,480 | Discounted Cash Flows | Yield | 9.2 | % | 18.2 | % | 13.5 | % | |||||||||||||||||||||||
Projected Collateral Losses | 0.2 | % | 0.2 | % | 0.2 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 15.4 | % | 15.4 | % | 15.4 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 84.4 | % | 84.4 | % | 84.4 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities and commercial mortgage loans | 34,489 | Market Quotes | Non Binding Indicative Price | $ | 14.25 | $ | 102.89 | $ | 74.24 | |||||||||||||||||||||||
Performing commercial mortgage loans | 8,788 | Discounted Cash Flows | Yield | 12.7 | % | 12.8 | % | 12.7 | % | |||||||||||||||||||||||
Non-performing commercial mortgage loans | 10,123 | Discounted Cash Flows | Yield | 15 | % | 15 | % | 15 | % | |||||||||||||||||||||||
Months to Resolution | 5 | 7 | 6 | |||||||||||||||||||||||||||||
Non-performing residential mortgage loan pools | 24,062 | Discounted Cash Flows | Yield | 7.4 | % | 7.4 | % | 7.4 | % | |||||||||||||||||||||||
Months to Resolution | 16.3 | 16.3 | 16.3 | |||||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 38,783 | Market Quotes | Non Binding Indicative Price | $ | 6.26 | $ | 33.77 | $ | 14.53 | |||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 1,721 | Option Adjusted Spread ("OAS") | LIBOR OAS(2) | 349 | 645 | 422 | ||||||||||||||||||||||||||
Projected Collateral Prepayments | 49 | % | 58.1 | % | 51.2 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 41.9 | % | 51 | % | 48.8 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 16,296 | Net Discounted Cash Flows | Projected Collateral Prepayments | 19.3 | % | 59 | % | 29.9 | % | |||||||||||||||||||||||
Projected Collateral Losses | 15.5 | % | 47.8 | % | 34.8 | % | ||||||||||||||||||||||||||
Projected Collateral Recoveries | 8.2 | % | 15.2 | % | 13.1 | % | ||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 15.7 | % | 41.2 | % | 22.2 | % | ||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||
-1 | Includes securitized debt with a fair value of $1.0 million as of December 31, 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 | |||||||||||||||||||||||||
June 30, | (Amortized | (Loss) | Gain/(Loss) | of Level 3 | 30-Sep-13 | |||||||||||||||||||||||||||
2013 | 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 and securitized debt, at fair value | $ | (1,709 | ) | $ | (10 | ) | $ | (2 | ) | $ | 252 | $ | 110 | $ | 2 | $ | — | $ | (1,357 | ) | ||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||
Nine Month Period Ended September 30, 2014 | ||||||||||||||||||||||||||||||||
(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-14 | |||||||||||||||||||||||||||
2013 | Premiums) | |||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 40,504 | $ | (6,523 | ) | $ | 457 | $ | 515 | $ | 7,249 | $ | (3,630 | ) | $ | — | $ | 38,572 | ||||||||||||||
Private label residential mortgage-backed securities | 580,772 | 15,359 | 34,862 | (14,366 | ) | 233,654 | (348,211 | ) | — | 502,070 | ||||||||||||||||||||||
Private label commercial mortgage-backed securities | 32,994 | 497 | 5,479 | (842 | ) | 95,665 | (87,476 | ) | — | 46,317 | ||||||||||||||||||||||
Commercial mortgage loans | 23,887 | 1,916 | 1,901 | (673 | ) | 32,117 | (29,296 | ) | — | 29,852 | ||||||||||||||||||||||
Residential mortgage loans | 24,062 | 878 | 878 | 823 | 1,148 | (10,642 | ) | — | 17,147 | |||||||||||||||||||||||
Other asset-backed securities and loans | 38,069 | (3,444 | ) | 184 | (581 | ) | 97,539 | (22,615 | ) | — | 109,152 | |||||||||||||||||||||
Real estate owned | — | — | 7 | 212 | 7,792 | (547 | ) | — | 7,464 | |||||||||||||||||||||||
Private corporate investments | — | — | — | (239 | ) | 7,925 | — | — | 7,686 | |||||||||||||||||||||||
Total investments, at fair value | 740,288 | 8,683 | 43,768 | (15,151 | ) | 483,089 | (502,417 | ) | — | 758,260 | ||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 16,646 | — | (2,135 | ) | 2,379 | 530 | (4,632 | ) | — | 12,788 | ||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 16,646 | — | (2,135 | ) | 2,379 | 530 | (4,632 | ) | — | 12,788 | ||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 756,934 | $ | 8,683 | $ | 41,633 | $ | (12,772 | ) | $ | 483,619 | $ | (507,049 | ) | $ | — | $ | 771,048 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (350 | ) | $ | — | $ | (59 | ) | $ | (28 | ) | $ | — | $ | 59 | $ | — | $ | (378 | ) | ||||||||||||
Total financial derivatives– liabilities, at fair value | (350 | ) | — | (59 | ) | (28 | ) | — | 59 | — | (378 | ) | ||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||
Securitized debt | (983 | ) | (14 | ) | — | (17 | ) | 144 | — | — | (870 | ) | ||||||||||||||||||||
Total securitized debt | (983 | ) | (14 | ) | — | (17 | ) | 144 | — | — | (870 | ) | ||||||||||||||||||||
Total financial derivatives– liabilities and securitized debt, at fair value | $ | (1,333 | ) | $ | (14 | ) | $ | (59 | ) | $ | (45 | ) | $ | 144 | $ | 59 | $ | — | $ | (1,248 | ) | |||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||
Nine Month Period Ended September 30, 2013 | ||||||||||||||||||||||||||||||||
(In thousands) | Ending | Accreted | Net Realized | Change in | Purchases/ | Sales/ | Transfers In | Ending | ||||||||||||||||||||||||
Balance as of December 31, 2012 | Discounts / | Gain/ | Net | Payments | Issuances | and/or Out | Balance as of September 30, 2013 | |||||||||||||||||||||||||
(Amortized | (Loss) | Unrealized | of Level 3 | |||||||||||||||||||||||||||||
Premiums) | Gain/(Loss) | |||||||||||||||||||||||||||||||
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 and securitized debt, at fair value | $ | (1,336 | ) | $ | (31 | ) | $ | (59 | ) | $ | (282 | ) | $ | 292 | $ | 59 | $ | — | $ | (1,357 | ) | |||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||
Three Month Period Ended September 30, 2014 | ||||||||||||||||||||||||||||||||
(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 | |||||||||||||||||||||||||
30-Jun-14 | (Amortized | (Loss) | Gain/(Loss) | of Level 3 | 30-Sep-14 | |||||||||||||||||||||||||||
Premiums) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 36,240 | $ | (2,188 | ) | $ | 286 | $ | 492 | $ | 4,695 | $ | (953 | ) | $ | — | $ | 38,572 | ||||||||||||||
Private label residential mortgage-backed securities | 485,902 | 4,770 | 3,684 | (5,030 | ) | 79,431 | (66,687 | ) | — | 502,070 | ||||||||||||||||||||||
Private label commercial mortgage-backed securities | 28,047 | 145 | 1,089 | (378 | ) | 29,496 | (12,082 | ) | — | 46,317 | ||||||||||||||||||||||
Commercial mortgage loans | 37,415 | 832 | 1,029 | (382 | ) | 8,113 | (17,155 | ) | — | 29,852 | ||||||||||||||||||||||
Residential mortgage loans | 23,371 | 878 | 501 | (131 | ) | (547 | ) | (6,925 | ) | — | 17,147 | |||||||||||||||||||||
Other asset-backed securities and loans | 81,315 | (2,791 | ) | (170 | ) | (637 | ) | 43,353 | (11,918 | ) | — | 109,152 | ||||||||||||||||||||
Real estate owned | 1,641 | — | 18 | 229 | 6,033 | (457 | ) | — | 7,464 | |||||||||||||||||||||||
Private corporate investments | — | — | — | (239 | ) | 7,925 | — | — | 7,686 | |||||||||||||||||||||||
Total investments, at fair value | 693,931 | 1,646 | 6,437 | (6,076 | ) | 178,499 | (116,177 | ) | — | 758,260 | ||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 14,162 | — | (2,860 | ) | 3,004 | 75 | (1,593 | ) | — | 12,788 | ||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 14,162 | — | (2,860 | ) | 3,004 | 75 | (1,593 | ) | — | 12,788 | ||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 708,093 | $ | 1,646 | $ | 3,577 | $ | (3,072 | ) | $ | 178,574 | $ | (117,770 | ) | $ | — | $ | 771,048 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (350 | ) | $ | — | $ | (20 | ) | $ | (28 | ) | $ | — | $ | 20 | $ | — | $ | (378 | ) | ||||||||||||
Total financial derivatives– liabilities, at fair value | (350 | ) | — | (20 | ) | (28 | ) | — | 20 | — | (378 | ) | ||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||
Securitized debt | (925 | ) | (1 | ) | — | (2 | ) | 58 | — | — | (870 | ) | ||||||||||||||||||||
Total securitized debt | (925 | ) | (1 | ) | — | (2 | ) | 58 | — | — | (870 | ) | ||||||||||||||||||||
Total financial derivatives– liabilities and securitized debt, at fair value | $ | (1,275 | ) | $ | (1 | ) | $ | (20 | ) | $ | (30 | ) | $ | 58 | $ | 20 | $ | — | $ | (1,248 | ) | |||||||||||
To_Be_Announced_RMBS_Tables
To Be Announced RMBS (Tables) | 9 Months Ended | ||||||||
Sep. 30, 2014 | |||||||||
To Be Announced RMBS [Abstract] | ' | ||||||||
To Be Announced RMBS [Table Text Block] | ' | ||||||||
The below table details TBA assets, liabilities, and the respective related payables and receivables as of September 30, 2014 and December 31, 2013: | |||||||||
As of | |||||||||
September 30, 2014 | 31-Dec-13 | ||||||||
Assets: | (In thousands) | ||||||||
TBA securities, at fair value (Current principal: $112,448 and $101,150, respectively) | $ | 111,624 | $ | 96,856 | |||||
Receivable for securities sold relating to unsettled TBA sales | 1,158,168 | 813,933 | |||||||
Liabilities: | |||||||||
TBA securities sold short, at fair value (Current principal: -$1,101,218 and -$784,888, respectively) | $ | (1,158,892 | ) | $ | (811,957 | ) | |||
Payable for securities purchased relating to unsettled TBA purchases | (112,286 | ) | (96,762 | ) | |||||
Net short TBA securities, at fair value | (1,047,268 | ) | (715,101 | ) |
Financial_Derivatives_Tables
Financial Derivatives (Tables) | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||
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, 2014 and 2013 are summarized in the tables below: | |||||||||||||||||||
September 30, 2014: | |||||||||||||||||||
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-14 | the Three Month Period Ended | 30-Sep-14 | the Nine Month Period Ended | ||||||||||||||||
30-Sep-14 | 30-Sep-14 | ||||||||||||||||||
(In thousands) | |||||||||||||||||||
Financial derivatives–assets | |||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (2,860 | ) | $ | 3,004 | $ | (2,135 | ) | $ | 2,379 | ||||||||
Credit default swaps on asset-backed indices | Credit | (2,145 | ) | 2,327 | (4,261 | ) | 2,367 | ||||||||||||
Credit default swaps on corporate bond indices | Credit | (1,459 | ) | 414 | 653 | (361 | ) | ||||||||||||
Total return swaps | Equity Market | 1,079 | 4 | 8,846 | 24 | ||||||||||||||
Interest rate swaps | Interest Rates | 1,953 | 191 | 1,904 | (3,940 | ) | |||||||||||||
Futures | Interest Rates | 299 | (2,023 | ) | 1,266 | 550 | |||||||||||||
Forwards | Currency | 2,218 | 345 | 2,722 | 396 | ||||||||||||||
Other | Credit/ | (60 | ) | (97 | ) | 48 | 504 | ||||||||||||
Interest Rates | |||||||||||||||||||
(975 | ) | 4,165 | 9,043 | 1,919 | |||||||||||||||
Financial derivatives–liabilities | |||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | (20 | ) | (28 | ) | (59 | ) | (28 | ) | ||||||||||
Credit default swaps on asset-backed indices | Credit | 166 | (55 | ) | 2,608 | (1,180 | ) | ||||||||||||
Credit default swaps on corporate bond indices | Credit | (1,878 | ) | 5,034 | (7,639 | ) | 8,948 | ||||||||||||
Credit default swaps on corporate bonds | Credit | 369 | (395 | ) | 510 | (620 | ) | ||||||||||||
Total return swaps | Equity Market | (4,067 | ) | 3 | (5,041 | ) | 27 | ||||||||||||
Interest rate swaps | Interest Rates | (2,218 | ) | 174 | (6,075 | ) | (7,539 | ) | |||||||||||
Futures | Interest Rates | 39 | 2,650 | 14 | 2,315 | ||||||||||||||
Forwards | Currency | (997 | ) | 314 | (1,926 | ) | 38 | ||||||||||||
Other | Credit/ | 104 | 194 | (510 | ) | (35 | ) | ||||||||||||
Interest Rates/Equity Market | |||||||||||||||||||
(8,502 | ) | 7,891 | (18,118 | ) | 1,926 | ||||||||||||||
Total | $ | (9,477 | ) | $ | 12,056 | $ | (9,075 | ) | $ | 3,845 | |||||||||
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 | ||||||||
Schedule of Credit Derivatives | ' | ||||||||||||||||||
Written credit derivatives held by the Company at September 30, 2014 and December 31, 2013, are summarized below: | |||||||||||||||||||
Credit Derivatives | Amount at | Amount at | |||||||||||||||||
30-Sep-14 | December 31, 2013 | ||||||||||||||||||
(In thousands) | |||||||||||||||||||
Fair Value of Written Credit Derivatives, Net | $ | 12,041 | $ | 1,421 | |||||||||||||||
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | 334 | $ | 57 | |||||||||||||||
Notional Amount of Written Credit Derivatives (2) | $ | (140,013 | ) | $ | (120,497 | ) | |||||||||||||
Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | 1,910 | $ | 249 | |||||||||||||||
-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. |
Borrowings_under_Reverse_Repur1
Borrowings under Reverse Repurchase Agreements (Tables) | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||
Borrowings under Reverse Repurchase Agreements [Abstract] | ' | |||||||||||||||||||
Schedule of Repurchase Agreements [Table Text Block] | ' | |||||||||||||||||||
The following table details the Company's outstanding borrowings under reverse repurchase agreements by remaining maturity as of September 30, 2014 and December 31, 2013: | ||||||||||||||||||||
(In thousands) | 30-Sep-14 | 31-Dec-13 | ||||||||||||||||||
Weighted Average | Weighted Average | |||||||||||||||||||
Remaining Maturity | Outstanding | Interest Rate | Remaining Days to Maturity | Outstanding | Interest Rate | Remaining Days to Maturity | ||||||||||||||
Borrowings | Borrowings | |||||||||||||||||||
30 Days or Less | $ | 609,777 | 0.35 | % | 11 | $ | 369,861 | 0.53 | % | 14 | ||||||||||
31-60 Days | 331,753 | 0.69 | % | 46 | 402,206 | 1.12 | % | 45 | ||||||||||||
61-90 Days | 284,665 | 0.42 | % | 72 | 320,161 | 0.78 | % | 72 | ||||||||||||
91-120 Days | 36,338 | 0.4 | % | 106 | 8,233 | 1.4 | % | 100 | ||||||||||||
121-150 Days | 7,053 | 0.9 | % | 134 | 38,856 | 0.49 | % | 135 | ||||||||||||
151-180 Days | 67,134 | 1.71 | % | 166 | 96,849 | 1.9 | % | 179 | ||||||||||||
>360 Days | 58,412 | 2.41 | % | 723 | — | — | % | — | ||||||||||||
$ | 1,395,132 | 0.61 | % | 72 | $ | 1,236,166 | 0.9 | % | 56 | |||||||||||
LongTerm_Incentive_Plan_Units_
Long-Term Incentive Plan Units (Tables) | 9 Months Ended | |||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||
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, 2014 and 2013: | ||||||||||||||||||
Three Month Period Ended | Three Month Period Ended | |||||||||||||||||
30-Sep-14 | 30-Sep-13 | |||||||||||||||||
Manager | Director/ | Total | Manager | Director/ | Total | |||||||||||||
Employee | Employee | |||||||||||||||||
LTIP Units Outstanding (6/30/2014 and 6/30/2013, respectively) | 375,000 | 36,052 | 411,052 | 375,000 | 22,096 | 397,096 | ||||||||||||
Granted | — | 5,841 | 5,841 | — | 5,466 | 5,466 | ||||||||||||
Exercised | — | (1,822 | ) | (1,822 | ) | — | (1,782 | ) | (1,782 | ) | ||||||||
LTIP Units Outstanding (9/30/2014 and 9/30/2013, respectively) | 375,000 | 40,071 | 415,071 | 375,000 | 25,780 | 400,780 | ||||||||||||
LTIP Units Vested and Outstanding (9/30/2014 and 9/30/2013, respectively) | 375,000 | 23,958 | 398,958 | 375,000 | 17,814 | 392,814 | ||||||||||||
Detailed below is a roll-forward of the Company's LTIP units outstanding for the nine month periods ended September 30, 2014 and 2013: | ||||||||||||||||||
Nine Month Period Ended | Nine Month Period Ended | |||||||||||||||||
30-Sep-14 | 30-Sep-13 | |||||||||||||||||
Manager | Director/ | Total | Manager | Director/ | Total | |||||||||||||
Employee | Employee | |||||||||||||||||
LTIP Units Outstanding (12/31/2013 and 12/31/2012, respectively) | 375,000 | 36,052 | 411,052 | 375,000 | 22,096 | 397,096 | ||||||||||||
Granted | — | 5,841 | 5,841 | — | 5,466 | 5,466 | ||||||||||||
Exercised | — | (1,822 | ) | (1,822 | ) | — | (1,782 | ) | (1,782 | ) | ||||||||
LTIP Units Outstanding (9/30/2014 and 9/30/2013, respectively) | 375,000 | 40,071 | 415,071 | 375,000 | 25,780 | 400,780 | ||||||||||||
LTIP Units Vested and Outstanding (9/30/2014 and 9/30/2013, respectively) | 375,000 | 23,958 | 398,958 | 375,000 | 17,814 | 392,814 | ||||||||||||
Common_Share_Capitalization_Ta
Common Share Capitalization (Tables) | 9 Months Ended | |||||
Sep. 30, 2014 | ||||||
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, 2014 and 2013: | ||||||
Three Month | Three Month | |||||
Period Ended | Period Ended | |||||
30-Sep-14 | 30-Sep-13 | |||||
Common Shares Outstanding | 25,441,750 | 25,412,011 | ||||
(6/30/2014 and 6/30/2013, respectively) | ||||||
Share Activity: | ||||||
Shares issued | 8,000,000 | — | ||||
Shares issued in connection with incentive fee payment | — | 5,144 | ||||
Director LTIP units exercised | 1,822 | 1,782 | ||||
Common Shares Outstanding | 33,443,572 | 25,418,937 | ||||
(9/30/2014 and 9/30/2013, respectively) | ||||||
Detailed below is a roll-forward of the Company's common shares outstanding for the nine month periods ended September 30, 2014 and 2013: | ||||||
Nine Month | Nine Month | |||||
Period Ended | Period Ended | |||||
30-Sep-14 | 30-Sep-13 | |||||
Common Shares Outstanding | 25,428,186 | 20,370,469 | ||||
(12/31/2013 and 12/31/2012, respectively) | ||||||
Share Activity: | ||||||
Shares issued | 8,000,000 | 5,000,000 | ||||
Shares issued in connection with incentive fee payment | 13,564 | 46,686 | ||||
Director LTIP units exercised | 1,822 | 1,782 | ||||
Common Shares Outstanding | 33,443,572 | 25,418,937 | ||||
(9/30/2014 and 9/30/2013, respectively) | ||||||
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
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, | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(In thousands except share amounts) | |||||||||||||||||
Net increase in shareholders' equity resulting from operations | $ | 12,948 | $ | 11,727 | $ | 56,530 | $ | 63,662 | |||||||||
Add: Net increase in equity resulting from operations attributable to the participating non-controlling interest(1) | 98 | 96 | 456 | 612 | |||||||||||||
Net increase in equity resulting from operations related to common shares, LTIP unit holders, and participating non-controlling interest | 13,046 | 11,823 | 56,986 | 64,274 | |||||||||||||
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 | 12,756 | 11,546 | 55,653 | 62,579 | |||||||||||||
Net increase in shareholders' equity resulting from operations– LTIP units | 192 | 181 | 877 | 1,083 | |||||||||||||
Dividends Paid(2): | |||||||||||||||||
Common shareholders | (19,590 | ) | (19,571 | ) | (58,934 | ) | (70,152 | ) | |||||||||
LTIP unit holders | (317 | ) | (306 | ) | (950 | ) | (1,216 | ) | |||||||||
Non-controlling interest | (163 | ) | (163 | ) | (326 | ) | (648 | ) | |||||||||
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | (20,070 | ) | (20,040 | ) | (60,210 | ) | (72,016 | ) | |||||||||
Undistributed (Distributed in excess of) earnings: | |||||||||||||||||
Common shareholders | (6,834 | ) | (8,025 | ) | (3,281 | ) | (7,573 | ) | |||||||||
LTIP unit holders | (125 | ) | (125 | ) | (73 | ) | (133 | ) | |||||||||
Non-controlling interest | (65 | ) | (67 | ) | 130 | (36 | ) | ||||||||||
Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | $ | (7,024 | ) | $ | (8,217 | ) | $ | (3,224 | ) | $ | (7,742 | ) | |||||
Weighted average shares outstanding (basic and diluted): | |||||||||||||||||
Weighted average common shares outstanding | 27,442,146 | 25,415,809 | 26,113,839 | 22,968,604 | |||||||||||||
Weighted average participating LTIP units | 411,926 | 397,897 | 411,346 | 397,366 | |||||||||||||
Weighted average non-controlling interest units | 212,000 | 212,000 | 212,000 | 212,000 | |||||||||||||
Basic earnings per common share: | |||||||||||||||||
Distributed | $ | 0.77 | $ | 0.77 | $ | 2.31 | $ | 3.06 | |||||||||
Undistributed (Distributed in excess of) | (0.31 | ) | (0.32 | ) | (0.18 | ) | (0.33 | ) | |||||||||
$ | 0.46 | $ | 0.45 | $ | 2.13 | $ | 2.73 | ||||||||||
Diluted earnings per common share: | |||||||||||||||||
Distributed | $ | 0.77 | $ | 0.77 | $ | 2.31 | $ | 3.06 | |||||||||
Undistributed (Distributed in excess of) | (0.31 | ) | (0.32 | ) | (0.18 | ) | (0.33 | ) | |||||||||
$ | 0.46 | $ | 0.45 | $ | 2.13 | $ | 2.73 | ||||||||||
-1 | For the three and nine month periods ended September 30, 2014, excludes net increase in equity resulting from operations of $0.1 million and $0.2 million, respectively attributable to the joint venture partner, which has a non-participating interest as described in Note 9. | ||||||||||||||||
-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. |
Counterparty_Risk_Tables
Counterparty Risk (Tables) | 9 Months Ended | ||||
Sep. 30, 2014 | |||||
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 $1.56 billion in collateral for various reverse repurchase agreements as of September 30, 2014. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $332.2 million were held in custody at the Bank of New York Mellon Corporation. | |||||
Dealer | % of Total | ||||
Collateral on | |||||
Reverse Repurchase | |||||
Agreements | |||||
Royal Bank of Canada | 19% | ||||
% 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, 2014: | |||||
Dealer | % of Total Due | ||||
from Brokers | |||||
Morgan Stanley | 50% | ||||
J.P. Morgan Securities Inc. | 24% | ||||
% 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, 2014: | |||||
Dealer | % of Total Receivable | ||||
for Securities Sold | |||||
CS First Boston | 26% | ||||
Citigroup | 21% | ||||
Schedule of Cash and Cash Equivalents [Table Text Block] | ' | ||||
In addition the Company held cash and cash equivalents of $129.1 million and $183.5 million as of September 30, 2014 and December 31, 2013, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty: | |||||
As of | |||||
Counterparty | September 30, 2014 | 31-Dec-13 | |||
Bank of New York Mellon Corporation | 100% | 73% | |||
JP Morgan Prime Money Market Premier Fund | —% | 27% |
Offsetting_of_Assets_and_Liabi1
Offsetting of Assets and Liabilities (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
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, 2014 and December 31, 2013. The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. | |||||||||||||||||||||
September 30, 2014: | |||||||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | ||||||||||||||||
(In thousands) | |||||||||||||||||||||
Assets | |||||||||||||||||||||
Financial derivatives–assets | $ | 56,366 | $ | (22,108 | ) | $ | — | $ | (11,773 | ) | $ | 22,484 | |||||||||
Repurchase agreements | 47,039 | (47,039 | ) | — | — | — | |||||||||||||||
Liabilities | |||||||||||||||||||||
Financial derivatives–liabilities | (47,331 | ) | 22,108 | — | 25,223 | — | |||||||||||||||
Reverse repurchase agreements | (1,395,132 | ) | 47,039 | 1,333,817 | 14,276 | — | |||||||||||||||
December 31, 2013: | |||||||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | ||||||||||||||||
(In thousands) | |||||||||||||||||||||
Assets | |||||||||||||||||||||
Financial derivatives–assets | $ | 59,664 | $ | (24,162 | ) | $ | — | $ | (17,273 | ) | $ | 18,229 | |||||||||
Repurchase agreements | 27,962 | (27,962 | ) | — | — | — | |||||||||||||||
Liabilities | |||||||||||||||||||||
Financial derivatives–liabilities | (44,791 | ) | 24,162 | — | 20,629 | — | |||||||||||||||
Reverse repurchase agreements | (1,236,166 | ) | 27,962 | 1,205,278 | 2,926 | — | |||||||||||||||
-1 | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. | ||||||||||||||||||||
-2 | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, we have reduced the amount of financial instruments transferred or pledged as collateral related to our reverse repurchase agreements and cash collateral pledged on our financial derivative liabilities. Total financial instruments transferred or pledged as collateral on our reverse repurchase agreements as of September 30, 2014 and December 31, 2013 were $1.58 billion and $1.48 billion, respectively. As of September 30, 2014 and December 31, 2013, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $24.4 million and $3.2 million, respectively. As of September 30, 2014 and December 31, 2013, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $27.7 million and $36.4 million, respectively. | ||||||||||||||||||||
-3 | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Financial_Highlights_Tables
Financial Highlights (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2014 | ||||||||||||||||
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-14 | 30-Sep-13 | 30-Sep-14 | 30-Sep-13 | |||||||||||||
Beginning Shareholders' Equity Per Share (6/30/2014, 6/30/2013, 12/31/2013, and 12/31/2012, respectively) | $ | 24.53 | $ | 24.92 | $ | 24.4 | $ | 24.86 | ||||||||
Net Investment Income | 0.46 | 0.57 | 1.52 | 1.62 | ||||||||||||
Net Realized/Unrealized Gains (Losses) | 0.02 | (0.10 | ) | 0.67 | 1.18 | |||||||||||
Results of Operations Attributable to Equity | 0.48 | 0.47 | 2.19 | 2.8 | ||||||||||||
Less: Results of Operations Attributable to Non-controlling Interests | (0.01 | ) | — | (0.03 | ) | (0.03 | ) | |||||||||
Results of Operations Attributable to Shareholders' Equity(1) | 0.47 | 0.47 | 2.16 | 2.77 | ||||||||||||
Dividends Paid to Common Shareholders | (0.77 | ) | (0.77 | ) | (2.31 | ) | (3.06 | ) | ||||||||
Weighted Average Share Impact on Dividends Paid (2) | 0.03 | (0.02 | ) | — | (0.08 | ) | ||||||||||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest | (0.18 | ) | (0.01 | ) | (0.17 | ) | 0.1 | |||||||||
Ending Shareholders' Equity Per Share (9/30/2014, 9/30/2013, 9/30/2014, and 9/30/2013, respectively)(3) | $ | 24.08 | $ | 24.59 | $ | 24.08 | $ | 24.59 | ||||||||
Shares Outstanding, end of period | 33,443,572 | 25,418,937 | 33,443,572 | 25,418,937 | ||||||||||||
-1 | Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 11). | |||||||||||||||
-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 previously issued were vested and exchanged for common shares as of September 30, 2014 and 2013, shareholders' equity per share would be $23.79 and $24.19, respectively. | |||||||||||||||
Net Asset Value 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 Value Based Total Return for a Shareholder: (1) | ||||||||||||||||
Three Month Period Ended | Three Month Period Ended | Nine Month Period Ended | Nine Month Period Ended | |||||||||||||
30-Sep-14 | 30-Sep-13 | 30-Sep-14 | 30-Sep-13 | |||||||||||||
Total Return | 1.32% | 1.82% | 8.44% | 11.57% | ||||||||||||
-1 | Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period. | |||||||||||||||
Net Asset Value Based Total Return For a Shareholder Assuming Conversion of All LTIP and OP Units | ' | |||||||||||||||
Supplemental Information—Net Asset Value 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-14 | 30-Sep-14 | |||||||||||||||
Total Return | 0.08% | 7.11% | ||||||||||||||
-1 | Total return is calculated assuming all LTIP and OP Units had been converted into common shares at September 30, 2014. LTIP and OP Units outstanding at September 30, 2014 totaled 627,071 and represent 1.84% 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 Period Ended | Three Month Period Ended | Nine Month Period Ended | Nine Month Period Ended | |||||||||||||
30-Sep-14 | 30-Sep-13 | 30-Sep-14 | 30-Sep-13 | |||||||||||||
Net Investment Income (2)(3) | 8.02% | 9.99% | 8.27% | 8.89% | ||||||||||||
-1 | Average equity is calculated using month end values. | |||||||||||||||
-2 | Includes incentive fee in calculation which can vary substantially over periods. | |||||||||||||||
-3 | Includes all items of income and expense on an annualized basis except for incentive fee expense which is included on a non-annualized basis. | |||||||||||||||
Expense Ratios to Average Equity | ' | |||||||||||||||
Expense Ratios to Average Equity: (1)(2) | ||||||||||||||||
Three Month Period Ended | Three Month Period Ended | Nine Month Period Ended | Nine Month Period Ended | |||||||||||||
30-Sep-14 | 30-Sep-13 | 30-Sep-14 | 30-Sep-13 | |||||||||||||
Operating expenses before incentive fee, interest expense, and other investment related expenses | -3.03% | -2.67% | -2.86% | -2.77% | ||||||||||||
Incentive fee | -0.21% | -0.32% | -0.22% | -0.91% | ||||||||||||
Interest expense and other investment related expenses | -1.98% | -2.11% | -2.08% | -1.94% | ||||||||||||
Total Expenses | -5.22% | -5.10% | -5.16% | -5.62% | ||||||||||||
-1 | Average equity is calculated using month end values. | |||||||||||||||
-2 | Ratios are annualized except for the incentive fee which is not annualized. |
Organization_and_Investment_Ob1
Organization and Investment Objective Narrative (Details) (Parent [Member]) | Sep. 30, 2014 |
Parent [Member] | ' |
Organization, Consolidation and Presentation of Financial Statements [Line Items] | ' |
Ownership Percentage | 99.40% |
Significant_Accounting_Policie2
Significant Accounting Policies (Details) | 9 Months Ended |
Sep. 30, 2014 | |
Significant Accounting Policies [Line Items] | ' |
Number of days to determine non-performance of loan | '90 days |
Long-Term Incentive Plan Units [Member] | Director [Member] | ' |
Significant Accounting Policies [Line Items] | ' |
Vesting period | '1 year |
Long-Term Incentive Plan Units [Member] | Manager [Member] | ' |
Significant Accounting Policies [Line Items] | ' |
LTIP vesting period | '3 years |
Minimum [Member] | Long-Term Incentive Plan Units [Member] | Dedicated or partially dedicated personnel [Member] | ' |
Significant Accounting Policies [Line Items] | ' |
Vesting period | '1 year |
Maximum [Member] | Long-Term Incentive Plan Units [Member] | Dedicated or partially dedicated personnel [Member] | ' |
Significant Accounting Policies [Line Items] | ' |
Vesting period | '2 years |
Valuation_Schedule_Of_Financia
Valuation (Schedule Of Financial Instruments) (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2014 | Dec. 31, 2013 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value- | $56,366,000 | [1] | $59,664,000 | [1] |
Fair value repurchase agreements | 47,039,000 | [1] | 27,962,000 | [1] |
Investments sold short, at fair value- | -1,221,894,000 | -845,614,000 | ||
Financial derivatives–liabilities, at fair value- | -47,331,000 | [1] | -44,791,000 | [1] |
Securitized Debt [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Security Owned and Pledged as Collateral, Fair Value | 2,300,000 | 2,300,000 | ||
Level 1 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Cash and cash equivalents | 129,124,000 | 183,489,000 | ||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 549,000 | 0 | ||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | -19,417,000 | -8,742,000 | ||
Level 1 [Member] | Investments Sold Short [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short, at fair value- | -19,356,000 | -6,369,000 | ||
Level 1 [Member] | Investments Sold Short [Member] | 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] | Investments Sold Short [Member] | Government debt sold short [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] | Investments Sold Short [Member] | Common Stock Sold Short [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short, at fair value- | -19,356,000 | -6,369,000 | ||
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- | -61,000 | -2,373,000 | ||
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] | Credit Default Swaps On Corporate Bond 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 Corporate Bonds [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] | 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] | Swaption [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] | Put Option [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] | Futures [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–liabilities, at fair value- | -61,000 | -2,373,000 | ||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Forwards [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] | Securitized Debt [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Securitized debt(1) | 0 | [2] | 0 | [3] |
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] | Agency residential mortgage-backed securities and U.S. Treasury securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 0 | ' | ||
Level 1 [Member] | Investments [Member] | Agency residential mortgage-backed securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | ' | 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] | Residential 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] | Other 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] | Investments [Member] | Other sset-backed securities and loans [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 0 | ' | ||
Level 1 [Member] | Investments [Member] | Real Estate Owned [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 0 | ' | ||
Level 1 [Member] | Investments [Member] | Private Corporate Investments [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- | 549,000 | 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] | Credit Default Swaps On Corporate Bond 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] | 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 | 0 | ||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Swaption [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 | 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- | 549,000 | ' | ||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Forwards [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value- | 0 | ' | ||
Level 1 [Member] | Repurchase Agreements [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Fair value repurchase agreements | 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 and financial derivatives–assets, at fair value and repurchase agreements | 1,772,636,000 | 1,060,822,000 | ||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | -1,249,430,000 | -881,313,000 | ||
Level 2 [Member] | Investments Sold Short [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short, at fair value- | -1,202,538,000 | -839,245,000 | ||
Level 2 [Member] | Investments Sold Short [Member] | 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- | -1,158,892,000 | -811,957,000 | ||
Level 2 [Member] | Investments Sold Short [Member] | Government debt sold short [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short, at fair value- | -43,646,000 | -27,288,000 | ||
Level 2 [Member] | Investments Sold Short [Member] | Common Stock Sold Short [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short, at fair value- | 0 | 0 | ||
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- | -46,892,000 | -42,068,000 | ||
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- | -4,385,000 | -11,866,000 | ||
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] | Credit Default Swaps On Corporate Bond Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–liabilities, at fair value- | -23,629,000 | -24,949,000 | ||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–liabilities, at fair value- | -2,695,000 | ' | ||
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- | -15,766,000 | -5,064,000 | ||
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- | -40,000 | -67,000 | ||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Swaption [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–liabilities, at fair value- | -213,000 | ' | ||
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- | -164,000 | -84,000 | ||
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] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–liabilities, at fair value- | 0 | -38,000 | ||
Level 2 [Member] | Securitized Debt [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Securitized debt(1) | 0 | [2] | 0 | [3] |
Level 2 [Member] | Investments [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 1,682,568,000 | 989,842,000 | ||
Level 2 [Member] | Investments [Member] | Agency residential mortgage-backed securities and U.S. Treasury securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 1,682,568,000 | ' | ||
Level 2 [Member] | Investments [Member] | Agency residential mortgage-backed securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | ' | 989,842,000 | ||
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] | Residential 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] | Other 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] | Investments [Member] | Other sset-backed securities and loans [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 0 | ' | ||
Level 2 [Member] | Investments [Member] | Real Estate Owned [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 0 | ' | ||
Level 2 [Member] | Investments [Member] | Private Corporate Investments [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- | 43,029,000 | 43,018,000 | ||
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- | 2,304,000 | 4,937,000 | ||
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] | Credit Default Swaps On Corporate Bond Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value- | 20,044,000 | 14,273,000 | ||
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- | 19,964,000 | 23,553,000 | ||
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- | 29,000 | 4,000 | ||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Swaption [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value- | 261,000 | ' | ||
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- | 31,000 | 251,000 | ||
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] | Financial Derivatives - Assets [Member] | Forwards [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value- | 396,000 | ' | ||
Level 2 [Member] | Repurchase Agreements [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Fair value repurchase agreements | 47,039,000 | 27,962,000 | ||
Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Cash and cash equivalents | 0 | 0 | ||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 771,048,000 | 756,934,000 | ||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | -1,248,000 | -1,333,000 | ||
Level 3 [Member] | Investments Sold Short [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] | Investments Sold Short [Member] | 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] | Investments Sold Short [Member] | Government debt sold short [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] | Investments Sold Short [Member] | Common Stock Sold Short [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- | -378,000 | -350,000 | ||
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- | -378,000 | -350,000 | ||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond 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 Corporate Bonds [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] | 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] | Swaption [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] | Put Option [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] | 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] | Financial Derivatives - Liabilities [Member] | Forwards [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) | -870,000 | [2] | -983,000 | [3] |
Level 3 [Member] | Investments [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 758,260,000 | 740,288,000 | ||
Level 3 [Member] | Investments [Member] | Agency residential mortgage-backed securities and U.S. Treasury securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 38,572,000 | ' | ||
Level 3 [Member] | Investments [Member] | Agency residential mortgage-backed securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | ' | 40,504,000 | ||
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- | 502,070,000 | 580,772,000 | ||
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- | 46,317,000 | 32,994,000 | ||
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- | 29,852,000 | 23,887,000 | ||
Level 3 [Member] | Investments [Member] | Residential Mortgage Loans [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 17,147,000 | 24,062,000 | ||
Level 3 [Member] | Investments [Member] | Other Asset-backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | ' | 38,069,000 | ||
Level 3 [Member] | Investments [Member] | Other sset-backed securities and loans [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 109,152,000 | ' | ||
Level 3 [Member] | Investments [Member] | Real Estate Owned [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 7,464,000 | ' | ||
Level 3 [Member] | Investments [Member] | Private Corporate Investments [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 7,686,000 | ' | ||
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- | 12,788,000 | 16,646,000 | ||
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- | 12,788,000 | 16,646,000 | ||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond 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] | 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 | 0 | ||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Swaption [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 | 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] | Financial Derivatives - Assets [Member] | Forwards [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 repurchase agreements | 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 | 129,124,000 | 183,489,000 | ||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 2,544,233,000 | 1,817,756,000 | ||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | -1,270,095,000 | -891,388,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments Sold Short [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short, at fair value- | -1,221,894,000 | -845,614,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments Sold Short [Member] | 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- | -1,158,892,000 | -811,957,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments Sold Short [Member] | Government debt sold short [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short, at fair value- | -43,646,000 | -27,288,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments Sold Short [Member] | Common Stock Sold Short [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments sold short, at fair value- | -19,356,000 | -6,369,000 | ||
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- | -47,331,000 | -44,791,000 | ||
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- | -4,385,000 | -11,866,000 | ||
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- | -378,000 | -350,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–liabilities, at fair value- | -23,629,000 | -24,949,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–liabilities, at fair value- | -2,695,000 | ' | ||
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- | -15,766,000 | -5,064,000 | ||
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- | -40,000 | -67,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Swaption [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–liabilities, at fair value- | -213,000 | ' | ||
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- | -164,000 | -84,000 | ||
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- | -61,000 | -2,373,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–liabilities, at fair value- | 0 | -38,000 | ||
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) | -870,000 | [2] | -983,000 | [3] |
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- | 2,440,828,000 | 1,730,130,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Agency residential mortgage-backed securities and U.S. Treasury securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 1,721,140,000 | ' | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Agency residential mortgage-backed securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | ' | 1,030,346,000 | ||
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- | 502,070,000 | 580,772,000 | ||
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- | 46,317,000 | 32,994,000 | ||
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- | 29,852,000 | 23,887,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Residential Mortgage Loans [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 17,147,000 | 24,062,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Other Asset-backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | ' | 38,069,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Other sset-backed securities and loans [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 109,152,000 | ' | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Real Estate Owned [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 7,464,000 | ' | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Private Corporate Investments [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Investments, at fair value- | 7,686,000 | ' | ||
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- | 56,366,000 | 59,664,000 | ||
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- | 2,304,000 | 4,937,000 | ||
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- | 12,788,000 | 16,646,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value- | 20,044,000 | 14,273,000 | ||
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- | 19,964,000 | 23,553,000 | ||
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- | 29,000 | 4,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Swaption [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value- | 261,000 | ' | ||
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- | 31,000 | 251,000 | ||
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- | 549,000 | ' | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Forwards [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value- | 396,000 | ' | ||
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 repurchase agreements | 47,039,000 | 27,962,000 | ||
Fair Value, Measurements, Recurring [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Fair Value, Level 1 To Level 2 To Level 3 Transfers Amount | $0 | $0 | ||
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. | |||
[2] | The asset subject to the resecuritization had a fair value of $2.3 million as of September 30, 2014, which is included on the Consolidated Schedule of Investments under Principal and Interest Private – Label Securities. | |||
[3] | The asset subject to the resecuritization had a fair value of $2.3 million as of December 31, 2013, which is included on the Consolidated Schedule of Investments under Principal and Interest Private – Label Securities. |
Valuation_Schedule_Of_Signific
Valuation (Schedule Of Significant Unobservable Inputs, Qualitative Information) (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2014 | Dec. 31, 2013 | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Securitized debt | 870,000 | 983,000 | ||
Level 3 [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 771,048,000 | 756,934,000 | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities and Securitized Debt [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 422,033,000 | [1] | ' | |
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities and Securitized Debt [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 1.96 | [1] | ' | |
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities and Securitized Debt [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 109.91 | [1] | ' | |
Level 3 [Member] | Market 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] | ' | ' | ||
Non Binding Indicative Price | 76.65 | [1] | ' | |
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 | ' | 550,701,000 | [2] | |
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 | [2] | |
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 | ' | 110.35 | [2] | |
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 | ' | 78.09 | [2] | |
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 | ' | 34,489,000 | ||
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 | ' | 14.25 | ||
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 | ' | 102.89 | ||
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 | ' | 74.24 | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 33,367,000 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 10.02 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 97.09 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 57.28 | ' | ||
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 | 35,069,000 | 38,783,000 | ||
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 | 3.76 | 6.26 | ||
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 | 30.14 | 33.77 | ||
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 | 13.65 | 14.53 | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Other sset-backed securities and loans [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 102,804,000 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Other sset-backed securities and loans [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 48 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Other sset-backed securities and loans [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 162 | ' | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Other sset-backed securities and loans [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | 102.08 | ' | ||
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 | 79,167,000 | 67,158,000 | ||
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 | 3.60% | 3.80% | ||
Projected Collateral Prepayments | 7.60% | 6.90% | ||
Projected Collateral Losses | 3.00% | 4.30% | ||
Projected Collateral Recoveries | 0.00% | 0.30% | ||
Projected Collateral Scheduled Amortization | 0.00% | 14.10% | ||
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 | 16.10% | 20.50% | ||
Projected Collateral Prepayments | 83.60% | 64.50% | ||
Projected Collateral Losses | 45.20% | 35.20% | ||
Projected Collateral Recoveries | 25.50% | 17.10% | ||
Projected Collateral Scheduled Amortization | 79.50% | 87.30% | ||
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 | 7.30% | 8.00% | ||
Projected Collateral Prepayments | 40.10% | 29.70% | ||
Projected Collateral Losses | 13.10% | 17.40% | ||
Projected Collateral Recoveries | 8.30% | 9.10% | ||
Projected Collateral Scheduled Amortization | 38.50% | 43.80% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 12,950,000 | 3,480,000 | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 14.50% | 9.20% | ||
Projected Collateral Losses | 0.20% | 0.20% | ||
Projected Collateral Recoveries | 2.80% | 15.40% | ||
Projected Collateral Scheduled Amortization | 84.90% | 84.40% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 28.40% | 18.20% | ||
Projected Collateral Losses | 1.10% | 0.20% | ||
Projected Collateral Recoveries | 14.10% | 15.40% | ||
Projected Collateral Scheduled Amortization | 97.00% | 84.40% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 22.70% | 13.50% | ||
Projected Collateral Losses | 0.80% | 0.20% | ||
Projected Collateral Recoveries | 8.40% | 15.40% | ||
Projected Collateral Scheduled Amortization | 90.80% | 84.40% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 19,108,000 | 8,788,000 | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 10.00% | 12.70% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 19.70% | 12.80% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 17.50% | 12.70% | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 10,744,000 | 10,123,000 | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 10.30% | 15.00% | ||
Months to Resolution | '3 months | '5 months | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 15.00% | 15.00% | ||
Months to Resolution | '28 months | '7 months | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 13.90% | 15.00% | ||
Months to Resolution | '7 months 26 days | '6 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 | 3,503,000 | 1,721,000 | ||
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 | 57.20% | 49.00% | ||
Projected Collateral Scheduled Amortization | 0.00% | 41.90% | ||
LIBOR OAS | -0.44% | [3] | 3.49% | [3] |
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% | 58.10% | ||
Projected Collateral Scheduled Amortization | 42.80% | 51.00% | ||
LIBOR OAS | 14.01% | [3] | 6.45% | [3] |
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 | 77.00% | 51.20% | ||
Projected Collateral Scheduled Amortization | 23.00% | 48.80% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
LIBOR OAS | 6.71% | [3] | 4.22% | [3] |
Level 3 [Member] | Income Approach Valuation Technique [Member] | Residential Mortgage Loans and Real Estate Owned Properties [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 24,611,000 | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Residential Mortgage Loans and Real Estate Owned Properties [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 6.50% | ' | ||
Months to Resolution | '4 months | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Residential Mortgage Loans and Real Estate Owned Properties [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 12.00% | ' | ||
Months to Resolution | '26 months | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Residential Mortgage Loans and Real Estate Owned Properties [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 7.40% | ' | ||
Months to Resolution | '12 months 21 days | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Residential Mortgage Loans [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | ' | 24,062,000 | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Residential Mortgage Loans [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | ' | 7.40% | ||
Months to Resolution | ' | '16 months 9 days | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Residential Mortgage Loans [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | ' | 7.40% | ||
Months to Resolution | ' | '16 months 9 days | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Residential Mortgage Loans [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | ' | 7.40% | ||
Months to Resolution | ' | '16 months 9 days | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Other sset-backed securities and loans [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 6,348,000 | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Other sset-backed securities and loans [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 5.90% | ' | ||
Projected Collateral Prepayments | 0.00% | ' | ||
Projected Collateral Losses | 1.10% | ' | ||
Projected Collateral Recoveries | 0.00% | ' | ||
Projected Collateral Scheduled Amortization | 0.00% | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Other sset-backed securities and loans [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 13.90% | ' | ||
Projected Collateral Prepayments | 73.80% | ' | ||
Projected Collateral Losses | 94.60% | ' | ||
Projected Collateral Recoveries | 92.80% | ' | ||
Projected Collateral Scheduled Amortization | 28.00% | ' | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Other sset-backed securities and loans [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 9.20% | ' | ||
Projected Collateral Prepayments | 9.50% | ' | ||
Projected Collateral Losses | 75.60% | ' | ||
Projected Collateral Recoveries | 7.30% | ' | ||
Projected Collateral Scheduled Amortization | 7.60% | ' | ||
Total Outstanding Collateral | 100.00% | ' | ||
Credit Default Swaps On Asset Backed Securities [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 12,410,000 | 16,296,000 | ||
Credit Default Swaps On Asset Backed Securities [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Projected Collateral Prepayments | 18.70% | 19.30% | ||
Projected Collateral Losses | 15.80% | 15.50% | ||
Projected Collateral Recoveries | 7.60% | 8.20% | ||
Projected Collateral Scheduled Amortization | 15.90% | 15.70% | ||
Credit Default Swaps On Asset Backed Securities [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Projected Collateral Prepayments | 56.90% | 59.00% | ||
Projected Collateral Losses | 46.40% | 47.80% | ||
Projected Collateral Recoveries | 16.90% | 15.20% | ||
Projected Collateral Scheduled Amortization | 42.10% | 41.20% | ||
Credit Default Swaps On Asset Backed Securities [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Projected Collateral Prepayments | 32.20% | 29.90% | ||
Projected Collateral Losses | 31.00% | 34.80% | ||
Projected Collateral Recoveries | 12.50% | 13.10% | ||
Projected Collateral Scheduled Amortization | 24.30% | 22.20% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
Private Corporate Investments [Member] | Preferred Stock [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 5,000,000 | ' | ||
Private Corporate Investments [Member] | Preferred Stock [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 10.70% | ' | ||
Expected Holding Period (Months) | '47 months 27 days | ' | ||
Private Corporate Investments [Member] | Preferred Stock [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 10.70% | ' | ||
Expected Holding Period (Months) | '47 months 27 days | ' | ||
Private Corporate Investments [Member] | Preferred Stock [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 10.70% | ' | ||
Expected Holding Period (Months) | '47 months 27 days | ' | ||
Private Corporate Investments [Member] | Equity in Mortgage Originator [Member] | Level 3 [Member] | Recent Transactions [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair value | 2,686,000 | ' | ||
[1] | Includes securitized debt with a fair value of $0.9 million as of September 30, 2014. | |||
[2] | Includes securitized debt with a fair value of $1.0 million as of December 31, 2013. | |||
[3] | 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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | $708,093,000 | $814,350,000 | $756,934,000 | $599,914,000 |
Assets, Accreted Discounts/Amortized Premiums | 1,646,000 | 4,979,000 | 8,683,000 | 16,096,000 |
Assets, Realized Gain (Loss) | 3,577,000 | 8,759,000 | 41,633,000 | 31,147,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -3,072,000 | -1,385,000 | -12,772,000 | 13,444,000 |
Assets, Purchases | 178,574,000 | 153,882,000 | 483,619,000 | 521,104,000 |
Assets, Sales | -117,770,000 | -180,493,000 | -507,049,000 | -381,613,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 771,048,000 | 800,092,000 | 771,048,000 | 800,092,000 |
Liabilities, Begining Balance | -1,275,000 | -1,709,000 | -1,333,000 | -1,336,000 |
Liabilities, Accreted Discounts/Amortized Premiums | -1,000 | -10,000 | -14,000 | -31,000 |
Liabilities, Realized Gain/(Loss) | -20,000 | -2,000 | -59,000 | -59,000 |
Liabilities, Change In Net Unrealized Gain/(Loss) | -30,000 | 252,000 | -45,000 | -282,000 |
Liabilities Purchases/Payments | 58,000 | 110,000 | 144,000 | 292,000 |
Liabilities, Sales/Issuance | 20,000 | 2,000 | 59,000 | 59,000 |
Liabilities, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | -1,248,000 | -1,357,000 | -1,248,000 | -1,357,000 |
Change in net unrealized gain (loss) on investments | -2,900,000 | 4,300,000 | 2,300,000 | 19,600,000 |
Change in net unrealized gain (loss) in financial derivative assets | -700,000 | 1,000,000 | -1,900,000 | -8,800,000 |
Change in net unrealized Gain (Loss) on financial derivative liabilities | -28,600 | 2,200,000 | -28,400 | -300,000 |
Change in net unrealized gain (loss) in securitized debt | -2,000 | 30,000 | -17,000 | 36,000 |
Securitized Debt [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Liabilities, Begining Balance | -925,000 | -1,168,000 | -983,000 | -1,335,000 |
Liabilities, Accreted Discounts/Amortized Premiums | -1,000 | -10,000 | -14,000 | -31,000 |
Liabilities, Realized Gain/(Loss) | 0 | 0 | 0 | 0 |
Liabilities, Change In Net Unrealized Gain/(Loss) | -2,000 | 30,000 | -17,000 | 36,000 |
Liabilities, Payments | 58,000 | 110,000 | 144,000 | 292,000 |
Liabilities, Issuances | 0 | 0 | 0 | 0 |
Liabilities, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | -870,000 | -1,038,000 | -870,000 | -1,038,000 |
Investments [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 693,931,000 | 793,216,000 | 740,288,000 | 563,883,000 |
Assets, Accreted Discounts/Amortized Premiums | 1,646,000 | 4,979,000 | 8,683,000 | 16,096,000 |
Assets, Realized Gain (Loss) | 6,437,000 | 11,872,000 | 43,768,000 | 31,551,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -6,076,000 | -4,380,000 | -15,151,000 | 14,941,000 |
Assets, Purchases | 178,499,000 | 153,824,000 | 483,089,000 | 520,955,000 |
Assets, Sales | -116,177,000 | -177,034,000 | -502,417,000 | -364,949,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 758,260,000 | 782,477,000 | 758,260,000 | 782,477,000 |
Investments [Member] | Agency residential mortgage-backed securities [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 36,240,000 | 27,397,000 | 40,504,000 | 6,644,000 |
Assets, Accreted Discounts/Amortized Premiums | -2,188,000 | -1,844,000 | -6,523,000 | -3,846,000 |
Assets, Realized Gain (Loss) | 286,000 | 0 | 457,000 | 0 |
Assets, Change In Net Unrealized Gain/(Loss) | 492,000 | 875,000 | 515,000 | 1,180,000 |
Assets, Purchases | 4,695,000 | 10,605,000 | 7,249,000 | 33,055,000 |
Assets, Sales | -953,000 | 0 | -3,630,000 | 0 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 38,572,000 | 37,033,000 | 38,572,000 | 37,033,000 |
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 | 485,902,000 | 694,510,000 | 580,772,000 | 528,366,000 |
Assets, Accreted Discounts/Amortized Premiums | 4,770,000 | 7,289,000 | 15,359,000 | 20,401,000 |
Assets, Realized Gain (Loss) | 3,684,000 | 11,187,000 | 34,862,000 | 30,977,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -5,030,000 | -5,865,000 | -14,366,000 | 11,518,000 |
Assets, Purchases | 79,431,000 | 106,194,000 | 233,654,000 | 363,056,000 |
Assets, Sales | -66,687,000 | -161,333,000 | -348,211,000 | -302,336,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 502,070,000 | 651,982,000 | 502,070,000 | 651,982,000 |
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 | 28,047,000 | 23,906,000 | 32,994,000 | 19,327,000 |
Assets, Accreted Discounts/Amortized Premiums | 145,000 | 161,000 | 497,000 | 258,000 |
Assets, Realized Gain (Loss) | 1,089,000 | 647,000 | 5,479,000 | -477,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -378,000 | 139,000 | -842,000 | 2,612,000 |
Assets, Purchases | 29,496,000 | 21,760,000 | 95,665,000 | 58,928,000 |
Assets, Sales | -12,082,000 | -13,342,000 | -87,476,000 | -47,377,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 46,317,000 | 33,271,000 | 46,317,000 | 33,271,000 |
Investments [Member] | Commercial Mortgage Loans [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 37,415,000 | 7,563,000 | 23,887,000 | 9,546,000 |
Assets, Accreted Discounts/Amortized Premiums | 832,000 | 31,000 | 1,916,000 | 58,000 |
Assets, Realized Gain (Loss) | 1,029,000 | 0 | 1,901,000 | 482,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -382,000 | 411,000 | -673,000 | 497,000 |
Assets, Purchases | 8,113,000 | 6,931,000 | 32,117,000 | 9,481,000 |
Assets, Sales | -17,155,000 | 0 | -29,296,000 | -5,128,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 29,852,000 | 14,936,000 | 29,852,000 | 14,936,000 |
Investments [Member] | Residential Mortgage Loans [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 23,371,000 | ' | 24,062,000 | ' |
Assets, Accreted Discounts/Amortized Premiums | 878,000 | ' | 878,000 | ' |
Assets, Realized Gain (Loss) | 501,000 | ' | 878,000 | ' |
Assets, Change In Net Unrealized Gain/(Loss) | -131,000 | ' | 823,000 | ' |
Assets, Purchases | -547,000 | ' | 1,148,000 | ' |
Assets, Sales | -6,925,000 | ' | -10,642,000 | ' |
Assets, Transfers In and/or Out of Level 3 | 0 | ' | 0 | ' |
Assets, Ending Balance | 17,147,000 | ' | 17,147,000 | ' |
Investments [Member] | Other sset-backed securities and loans [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 81,315,000 | ' | 38,069,000 | ' |
Assets, Accreted Discounts/Amortized Premiums | -2,791,000 | ' | -3,444,000 | ' |
Assets, Realized Gain (Loss) | -170,000 | ' | 184,000 | ' |
Assets, Change In Net Unrealized Gain/(Loss) | -637,000 | ' | -581,000 | ' |
Assets, Purchases | 43,353,000 | ' | 97,539,000 | ' |
Assets, Sales | -11,918,000 | ' | -22,615,000 | ' |
Assets, Transfers In and/or Out of Level 3 | 0 | ' | 0 | ' |
Assets, Ending Balance | 109,152,000 | ' | 109,152,000 | ' |
Investments [Member] | Real Estate Owned [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 1,641,000 | ' | 0 | ' |
Assets, Accreted Discounts/Amortized Premiums | 0 | ' | 0 | ' |
Assets, Realized Gain (Loss) | 18,000 | ' | 7,000 | ' |
Assets, Change In Net Unrealized Gain/(Loss) | 229,000 | ' | 212,000 | ' |
Assets, Purchases | 6,033,000 | ' | 7,792,000 | ' |
Assets, Sales | -457,000 | ' | -547,000 | ' |
Assets, Transfers In and/or Out of Level 3 | 0 | ' | 0 | ' |
Assets, Ending Balance | 7,464,000 | ' | 7,464,000 | ' |
Investments [Member] | Other 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 |
Investments [Member] | Private Corporate Investments [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 0 | ' | 0 | ' |
Assets, Accreted Discounts/Amortized Premiums | 0 | ' | 0 | ' |
Assets, Realized Gain (Loss) | 0 | ' | 0 | ' |
Assets, Change In Net Unrealized Gain/(Loss) | -239,000 | ' | -239,000 | ' |
Assets, Purchases | 7,925,000 | ' | 7,925,000 | ' |
Assets, Sales | 0 | ' | 0 | ' |
Assets, Transfers In and/or Out of Level 3 | 0 | ' | 0 | ' |
Assets, Ending Balance | 7,686,000 | ' | 7,686,000 | ' |
Financial Derivatives - Assets [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Assets, Beginning Balance | 14,162,000 | 21,134,000 | 16,646,000 | 36,031,000 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | -2,860,000 | -3,113,000 | -2,135,000 | -404,000 |
Assets, Change In Net Unrealized Gain/(Loss) | 3,004,000 | 2,995,000 | 2,379,000 | -1,497,000 |
Assets, Purchases | 75,000 | 58,000 | 530,000 | 149,000 |
Assets, Sales | -1,593,000 | -3,459,000 | -4,632,000 | -16,664,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 12,788,000 | 17,615,000 | 12,788,000 | 17,615,000 |
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 | 14,162,000 | 21,134,000 | 16,646,000 | 36,031,000 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | -2,860,000 | -3,113,000 | -2,135,000 | -404,000 |
Assets, Change In Net Unrealized Gain/(Loss) | 3,004,000 | 2,995,000 | 2,379,000 | -1,497,000 |
Assets, Purchases | 75,000 | 58,000 | 530,000 | 149,000 |
Assets, Sales | -1,593,000 | -3,459,000 | -4,632,000 | -16,664,000 |
Assets, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 12,788,000 | 17,615,000 | 12,788,000 | 17,615,000 |
Financial Derivatives - Liabilities [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Liabilities, Begining Balance | -350,000 | -541,000 | -350,000 | -1,000 |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Liabilities, Realized Gain/(Loss) | -20,000 | -2,000 | -59,000 | -59,000 |
Liabilities, Change In Net Unrealized Gain/(Loss) | -28,000 | 222,000 | -28,000 | -318,000 |
Liabilities, Purchases | 0 | 0 | 0 | 0 |
Liabilities, Sales | 20,000 | 2,000 | 59,000 | 59,000 |
Liabilities, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | -378,000 | -319,000 | -378,000 | -319,000 |
Financial Derivatives - 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 | -350,000 | -541,000 | -350,000 | -1,000 |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Liabilities, Realized Gain/(Loss) | -20,000 | -2,000 | -59,000 | -59,000 |
Liabilities, Change In Net Unrealized Gain/(Loss) | -28,000 | 222,000 | -28,000 | -318,000 |
Liabilities, Purchases | 0 | 0 | 0 | 0 |
Liabilities, Sales | 20,000 | 2,000 | 59,000 | 59,000 |
Liabilities, Transfers In and/or Out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | ($378,000) | ($319,000) | ($378,000) | ($319,000) |
To_Be_Announced_RMBS_Details
To Be Announced RMBS (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
To Be Announced Securities [Line Items] | ' | ' | ||
Fair Value | $2,440,828,000 | $1,730,130,000 | ||
Receivable for securities sold | 1,246,205,000 | 883,005,000 | ||
Financial Instruments Sold, Not yet Purchased, at Fair Value | -1,221,894,000 | -845,614,000 | ||
Payable for securities purchased | 576,455,000 | 193,047,000 | ||
To Be Announced Fixed Rate Agency Securities [Member] | ' | ' | ||
To Be Announced Securities [Line Items] | ' | ' | ||
Fair Value | 111,624,000 | [1],[2],[3],[4] | 96,856,000 | [1],[5],[6],[7] |
Investment Owned, Balance, Principal Amount | 112,448,000 | 101,150,000 | ||
Receivable for securities sold | 1,158,168,000 | 813,933,000 | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | ' | ' | ||
To Be Announced Securities [Line Items] | ' | ' | ||
Financial Instruments Sold, Not yet Purchased, at Fair Value | -1,158,892,000 | [1],[4],[8] | -811,957,000 | [1],[5],[9] |
Investment Sold, Not yet Purchased, Balance, Principal Amount | -1,101,218,000 | -784,888,000 | ||
Payable for securities purchased | -112,286,000 | -96,762,000 | ||
Investment Owned At Fair Value, Net | ($1,047,268,000) | ($715,101,000) | ||
[1] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[2] | 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 guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. 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 of EquityUnrated but Agency-Guaranteed 144.78%A/A/A 0.64%Baa/BBB/BBB 4.59%Ba/BB/BB or below 66.71%Unrated 83.84% | |||
[3] | At September 30, 2014, 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 92.40%, 44.08%, and 8.30% of equity, respectively. | |||
[4] | The following table details the breakout by geographical region of long investments, investments sold short, repurchase agreements, financial derivatives–assets, and financial derivatives–liabilities.Region Current Principal/Notional Value/Number of Properties/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 3,161,385 $2,342,001 $2,393,715 294.75 %Europe 43,235 41,351 39,427 4.85 %North America (Common Stock) 13,225 7,924 7,686 0.95 %Total $2,391,276 $2,440,828 300.56 %Investments Sold Short: North America (TBAs and Government Debt) (1,121,387) $(1,178,095) $(1,178,831) (145.16)%Europe (Government Debt) (21,367) (24,110) (23,707) (2.92)%North America (Common Stock) (2,113) (20,838) (19,356) (2.38)%Total $(1,223,043) $(1,221,894) (150.46)%Repurchase Agreements: North America 20,046 $20,045 $20,045 2.47 %Europe 26,994 27,147 26,994 3.32 %Total 47,040 $47,192 $47,039 5.79 %Financial Derivatives–Assets: North America 634,538 $45,074 $56,365 6.94 %Europe (8,733) — 1 — %Total 625,805 $45,074 $56,366 6.94 %Financial Derivatives–Liabilities: North America (617,900) $(32,133) $(45,569) (5.61)%Europe (16,675) (1,817) (1,762) (0.22)%Total (634,575) $(33,950) $(47,331) (5.83)% | |||
[5] | The following table details the breakout by geographical region of long investments, investments sold short, and repurchase agreements. All financial derivatives were concentrated in North America.Region Current Principal/Notional Value/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 2,470,650 $1,682,533 $1,724,370 275.44 %Europe 7,641 5,724 5,760 0.92 %Total 2,478,291 $1,688,257 $1,730,130 276.36 %Investments Sold Short: North America (TBAs and Government Debt) (804,888) $(833,656) $(831,564) (132.82)%Europe (Government Debt) (7,337) (7,633) (7,681) (1.23)%North America (Common Stock) (763) (6,313) (6,369) (1.02)%Total $(847,602) $(845,614) (135.07)%Repurchase Agreements: North America 19,675 $19,675 $19,675 3.15 %Europe 8,287 8,268 8,287 1.32 %Total 27,962 $27,943 $27,962 4.47 % | |||
[6] | At December 31, 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 100.85%, 51.37%, and 12.36% of equity, respectively. | |||
[7] | 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 guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. 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 164.58%A/A/A 0.34%Baa/BBB/BBB 2.97%Ba/BB/BB or below 97.95%Unrated 10.52% | |||
[8] | At September 30, 2014, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 116.36%, 24.40%, and 1.94% of equity, respectively. | |||
[9] | At December 31, 2013, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 111.89% and 17.80% of equity, respectively. |
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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Derivative [Line Items] | ' | ' | ' | ' |
Net Realized Gain/Loss on Financial Derivatives | ($9,477) | ($6,442) | ($9,075) | ($12,774) |
Unrealized Gain (Loss) on Financial Derivatives | 12,056 | -2,005 | 3,845 | 14,578 |
Financial Derivatives - Assets [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Net Realized Gain/Loss on Financial Derivatives | -975 | -2,661 | 9,043 | -3,857 |
Unrealized Gain (Loss) on Financial Derivatives | 4,165 | 2,650 | 1,919 | 17,723 |
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 | -2,860 | -3,113 | -2,135 | -404 |
Unrealized Gain (Loss) on Financial Derivatives | 3,004 | 2,995 | 2,379 | -1,497 |
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 | -2,145 | -181 | -4,261 | -4,302 |
Unrealized Gain (Loss) on Financial Derivatives | 2,327 | -1,011 | 2,367 | 2,503 |
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 | -1,459 | -84 | 653 | -3 |
Unrealized Gain (Loss) on Financial Derivatives | 414 | 44 | -361 | 0 |
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 | 1,079 | 907 | 8,846 | 911 |
Unrealized Gain (Loss) on Financial Derivatives | 4 | -112 | 24 | 15 |
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 | 1,953 | -512 | 1,904 | -229 |
Unrealized Gain (Loss) on Financial Derivatives | 191 | -195 | -3,940 | 15,768 |
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 | 299 | 255 | 1,266 | 103 |
Unrealized Gain (Loss) on Financial Derivatives | -2,023 | 970 | 550 | 975 |
Financial Derivatives - Assets [Member] | Forwards [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Currency | ' | 'Currency | ' |
Net Realized Gain/Loss on Financial Derivatives | 2,218 | ' | 2,722 | ' |
Unrealized Gain (Loss) on Financial Derivatives | 345 | ' | 396 | ' |
Financial Derivatives - Assets [Member] | Other Derivatives [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Credit/ Interest Rates | 'Interest Rates | 'Credit/ Interest Rates | 'Interest Rates |
Net Realized Gain/Loss on Financial Derivatives | -60 | 67 | 48 | 67 |
Unrealized Gain (Loss) on Financial Derivatives | -97 | -41 | 504 | -41 |
Financial Derivatives - Liabilities [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Net Realized Gain/Loss on Financial Derivatives | -8,502 | -3,781 | -18,118 | -8,917 |
Unrealized Gain (Loss) on Financial Derivatives | 7,891 | -4,655 | 1,926 | -3,145 |
Financial Derivatives - Liabilities [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 | -20 | -2 | -59 | -59 |
Unrealized Gain (Loss) on Financial Derivatives | -28 | 222 | -28 | -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 | 166 | 339 | 2,608 | 539 |
Unrealized Gain (Loss) on Financial Derivatives | -55 | 959 | -1,180 | 1,772 |
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 | -1,878 | -2,985 | -7,639 | -7,517 |
Unrealized Gain (Loss) on Financial Derivatives | 5,034 | -1,959 | 8,948 | -1,759 |
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Credit | ' | 'Credit | ' |
Net Realized Gain/Loss on Financial Derivatives | 369 | ' | 510 | ' |
Unrealized Gain (Loss) on Financial Derivatives | -395 | ' | -620 | ' |
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 | -4,067 | -53 | -5,041 | -448 |
Unrealized Gain (Loss) on Financial Derivatives | 3 | 96 | 27 | 43 |
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 | -2,218 | -10 | -6,075 | 282 |
Unrealized Gain (Loss) on Financial Derivatives | 174 | -4,099 | -7,539 | -2,997 |
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 | 39 | -1,029 | 14 | -1,673 |
Unrealized Gain (Loss) on Financial Derivatives | 2,650 | 82 | 2,315 | 70 |
Financial Derivatives - Liabilities [Member] | Forwards [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Currency | ' | 'Currency | ' |
Net Realized Gain/Loss on Financial Derivatives | -997 | ' | -1,926 | ' |
Unrealized Gain (Loss) on Financial Derivatives | 314 | ' | 38 | ' |
Financial Derivatives - Liabilities [Member] | Other Derivatives [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Primary risk exposure | 'Credit/ Interest Rates/Equity Market | 'Interest Rates/Equity Market | 'Credit/ Interest Rates/Equity Market | 'Interest Rates/ Equity Market |
Net Realized Gain/Loss on Financial Derivatives | 104 | -41 | -510 | -41 |
Unrealized Gain (Loss) on Financial Derivatives | $194 | $44 | ($35) | $44 |
Financial_Derivatives_Schedule1
Financial Derivatives (Schedule Of Credit Derivatives) (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Credit Default Swap, Selling Protection [Member] | ' | ' | ||
Credit Derivatives [Line Items] | ' | ' | ||
Fair Value of Written Credit Derivatives, Net | $12,041 | $1,421 | ||
Notional value | -140,013 | [1] | -120,497 | [1] |
Credit Default Swap, Buying Protection [Member] | ' | ' | ||
Credit Derivatives [Line Items] | ' | ' | ||
Fair Value of Written Credit Derivatives, Net | 334 | [2] | 57 | [2] |
Notional value | $1,910 | [2] | $249 | [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 $) | 9 Months Ended | 12 Months Ended |
In Millions, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 |
Credit Default Swap, Selling Protection [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Total net up-front payments received | $10.60 | $2.50 |
Forwards [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Average Monthly Notional Amount | 56.00% | ' |
Option [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Average Monthly Notional Amount | 263.00% | 387.00% |
Futures [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Average Monthly Notional Amount | 96.00% | 179.00% |
Credit Default Swaps [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Average Monthly Notional Amount | 105.00% | 174.00% |
Interest Rate Swaps [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Average Monthly Notional Amount | 165.00% | 187.00% |
Total Return Swaps [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Average Monthly Notional Amount | 164.00% | 210.00% |
Schedule_of_Reverse_Repurchase
Schedule of Reverse Repurchase Agreements by Maturity (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse repurchase agreements | $1,395,132 | [1] | $1,236,166 | [1] |
Debt, Weighted Average Interest Rate | 0.61% | 0.90% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | '72 days | '56 days | ||
Maturity up to 30 days [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse repurchase agreements | 609,777 | 369,861 | ||
Debt, Weighted Average Interest Rate | 0.35% | 0.53% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | '11 days | '14 days | ||
Maturity 31 to 60 days [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse repurchase agreements | 331,753 | 402,206 | ||
Debt, Weighted Average Interest Rate | 0.69% | 1.12% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | '46 days | '45 days | ||
Maturity 61 to 90 days [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse repurchase agreements | 284,665 | 320,161 | ||
Debt, Weighted Average Interest Rate | 0.42% | 0.78% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | '72 days | '72 days | ||
Maturity 91 to 120 days [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse repurchase agreements | 36,338 | 8,233 | ||
Debt, Weighted Average Interest Rate | 0.40% | 1.40% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | '106 days | '100 days | ||
Maturity 121 to 150 days [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse repurchase agreements | 7,053 | 38,856 | ||
Debt, Weighted Average Interest Rate | 0.90% | 0.49% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | '134 days | '135 days | ||
Maturity 151 to 180 days [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse repurchase agreements | 67,134 | 96,849 | ||
Debt, Weighted Average Interest Rate | 1.71% | 1.90% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | '166 days | '179 days | ||
Maturity greater than 360 days [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse repurchase agreements | $58,412 | $0 | ||
Debt, Weighted Average Interest Rate | 2.41% | 0.00% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | '723 days | '0 days | ||
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. |
Borrowings_under_Repurchase_Ag
Borrowings under Repurchase Agreements (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2014 | Dec. 31, 2013 | |||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Non Mark-to-Market Reverse Repurchase Agreement Facility | 150,000,000 | ' | ||
Initial Period of Non-Mark-to-Market Financing Facility | '18 months | ' | ||
Cancellation Notice Period Under Non-Mark-to-Market Financing Facility | '6 months | ' | ||
Reverse repurchase agreements | 1,395,132,000 | [1] | 1,236,166,000 | [1] |
Number of Counterparties with Outstanding Reverse Repurchase Agreements | 17 | 14 | ||
Concentration Risk, Reverse Repurchase Agreements | 20.00% | 39.00% | ||
Number Counterparties With Concentration Risk, Reverse Repurchase Agreements | 1 | 2 | ||
Investments held with dealers as collateral | 1,560,000,000 | 1,460,000,000 | ||
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | 27,000,000 | 13,300,000 | ||
Minimum [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse Repurchase Agreements Maturity | '30 days | ' | ||
Financing term under non-mark-to-market facility | '2 years | ' | ||
Reverse Repurchase Agreements Remaining Terms | '1 day | '2 days | ||
Reverse Repurchase Agreements Interest Rate | -0.10% | 0.32% | ||
Maximum [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse Repurchase Agreements Maturity | '180 days | ' | ||
Reverse Repurchase Agreements Remaining Terms | '723 days | '180 days | ||
Reverse Repurchase Agreements Interest Rate | 2.41% | 2.27% | ||
Reverse Repurchase Agreements [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Cash Collateral (Received) Pledged | 14,276,000 | [2],[3] | 2,926,000 | [2],[3] |
Security Owned and Pledged as Collateral, Fair Value | 11,400,000 | 20,600,000 | ||
US Treasury Securities [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse repurchase agreements | 224,400,000 | ' | ||
Non-Mark-to-Market Financing Facility [Member] | ' | ' | ||
Reverse Repurchase Agreements [Line Items] | ' | ' | ||
Reverse repurchase agreements | 58,400,000 | ' | ||
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. | |||
[2] | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, we have reduced the amount of financial instruments transferred or pledged as collateral related to our reverse repurchase agreements and cash collateral pledged on our financial derivative liabilities. Total financial instruments transferred or pledged as collateral on our reverse repurchase agreements as of September 30, 2014 and December 31, 2013 were $1.58 billion and $1.48 billion, respectively. As of September 30, 2014 and December 31, 2013, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $24.4 million and $3.2 million, respectively. As of September 30, 2014 and December 31, 2013, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $27.7 million and $36.4 million, respectively. | |||
[3] | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Base_Management_Fee_And_Incent1
Base Management Fee And Incentive Fee (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 |
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. |
Management Fee Expense | $3,056 | $2,378 | $7,789 | $6,751 | ' |
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) 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) the Company's 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, 2014 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. |
Incentive fee hurdle rate fixed | ' | ' | 9.00% | ' | ' |
Incentive fee hurdle rate floating | ' | ' | 3.00% | ' | ' |
Incentive Fee Expense | $1,400 | $2,038 | $1,400 | $5,275 | ' |
Minimum percentage of incentive fee to be paid in share | ' | ' | 10.00% | ' | ' |
LongTerm_Incentive_Plan_Units_1
Long-Term Incentive Plan Units (Narrative) (Details) (USD $) | 3 Months Ended | 9 Months Ended | 4 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2007 |
Manager [Member] | |||||
Long-Term Incentive Plan Units [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' | ' |
LTIP units granted | ' | ' | ' | ' | 375,000 |
Allocated Share-based Compensation Expense | $65 | $43 | $191 | $129 | ' |
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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ' | ' | ' | ' |
Exercised | -1,822 | -1,782 | -1,822 | -1,782 |
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 | 411,052 | 397,096 | 411,052 | 397,096 |
Granted | 5,841 | 5,466 | 5,841 | 5,466 |
Exercised | -1,822 | -1,782 | -1,822 | -1,782 |
LTIP Units Outstanding | 415,071 | 400,780 | 415,071 | 400,780 |
LTIP Units Vested and Outstanding | 398,958 | 392,814 | 398,958 | 392,814 |
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 | 36,052 | 22,096 | 36,052 | 22,096 |
Granted | 5,841 | 5,466 | 5,841 | 5,466 |
Exercised | -1,822 | -1,782 | -1,822 | -1,782 |
LTIP Units Outstanding | 40,071 | 25,780 | 40,071 | 25,780 |
LTIP Units Vested and Outstanding | 23,958 | 17,814 | 23,958 | 17,814 |
Noncontrolling_Interests_Detai
Non-controlling Interests (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Jan. 02, 2013 | Sep. 30, 2014 | Sep. 30, 2014 |
In Thousands, except Share data, unless otherwise specified | Noncontrolling Interest [Member] | Noncontrolling Interest [Member] | Noncontrolling Interest [Member] | Noncontrolling Interest [Member] | Non-controlling interest in Operating Partnership [Member] | Non-controlling interest in Operating Partnership [Member] | Non-controlling interest of joint venture partner [Member] | ||
Noncontrolling Interest [Member] | Noncontrolling Interest [Member] | 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 | ' |
Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | ' | ' | ' | ' | ' | ' | ' | 0.60% | 5.00% |
Stockholders' Equity Attributable to Noncontrolling Interest | $6,730 | $5,648 | $6,730 | $5,648 | $4,629 | $0 | ' | ' | $1,700 |
Common_Share_Capitalization_Na
Common Share Capitalization (Narrative) (Details) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended | 38 Months Ended | |||
Sep. 08, 2014 | Aug. 04, 2011 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | |
Dividend | Dividend | ||||||
Common Stock Capitalization [Line Items] | ' | ' | ' | ' | ' | ' | ' |
Number of Dividends Authorized | ' | ' | ' | ' | 3 | 3 | ' |
Common Shares Issued And Outstanding Upon Conversion of All Convertible Securities | ' | ' | 34,070,643 | 26,031,717 | 34,070,643 | 26,031,717 | 34,070,643 |
Shareholders Equity Per Share Upon Conversion Of All Convertible Units (in usd per share) | ' | ' | $23.79 | $24.19 | $23.79 | $24.19 | $23.79 |
Dividends (in usd per share) | ' | ' | $0.77 | $0.77 | $2.31 | $3.06 | ' |
Payments of Dividends | ' | ' | ($20,100,000) | ($20,000,000) | ($60,210,000) | ($72,016,000) | ' |
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 |
Stock Issued During Period, Shares, New Issues | 8,000,000 | ' | 8,000,000 | 0 | 8,000,000 | 5,000,000 | ' |
Net proceeds from share issuance | $188,200,000 | ' | ' | ' | ' | ' | ' |
Common_Share_Capitalization_Su
Common Share Capitalization (Summary Of Common Shares Outstanding) (Details) | 0 Months Ended | 3 Months Ended | 9 Months Ended | ||
Sep. 08, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' |
Common Shares Outstanding, period begin | ' | 25,441,750 | 25,412,011 | 25,428,186 | 20,370,469 |
Stock Issued During Period, Shares, New Issues | 8,000,000 | 8,000,000 | 0 | 8,000,000 | 5,000,000 |
Shares issued in connection with incentive fee payment | ' | 0 | 5,144 | 13,564 | 46,686 |
LTIP Units Exercised | ' | 1,822 | 1,782 | 1,822 | 1,782 |
Common Shares Outstanding, period end | ' | 33,443,572 | 25,418,937 | 33,443,572 | 25,418,937 |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
Net increase (decrease) in shareholders' equity resulting from operations | ' | ' | ' | ' | ||||
Net Income (Loss) Attributable to Parent | $12,948 | $11,727 | $56,530 | $63,662 | ||||
Net Income (Loss) Attributable to Participating Non-controlling Interest | 98 | [1] | 96 | [1] | 456 | [1] | 612 | [1] |
Net income (loss) attributable to parent and participating non-controlling interest | 13,046 | 11,823 | 56,986 | 64,274 | ||||
Net increase in shareholders' equity resulting from operations– common shares | 12,756 | 11,546 | 55,653 | 62,579 | ||||
Net increase in shareholders' equity resulting from operations– LTIP units | 192 | 181 | 877 | 1,083 | ||||
Dividends Paid(2): | ' | ' | ' | ' | ||||
Common shareholders | -19,590 | [2] | -19,571 | [2] | -58,934 | [2] | -70,152 | [2] |
LTIP unit holders | -317 | [2] | -306 | [2] | -950 | [2] | -1,216 | [2] |
Non-controlling Interest | -163 | [2] | -163 | [2] | -326 | [2] | -648 | [2] |
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | -20,070 | [2] | -20,040 | [2] | -60,210 | [2],[3] | -72,016 | [2],[3] |
Undistributed (Distributed in excess of) earnings: | ' | ' | ' | ' | ||||
Common shareholders | -6,834 | -8,025 | -3,281 | -7,573 | ||||
LTIP Unit holders | -125 | -125 | -73 | -133 | ||||
Non-controlling interest | -65 | -67 | 130 | -36 | ||||
Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | -7,024 | -8,217 | -3,224 | -7,742 | ||||
Weighted average shares outstanding (basic and diluted): | ' | ' | ' | ' | ||||
Weighted average common shares outstanding | 27,442,146 | 25,415,809 | 26,113,839 | 22,968,604 | ||||
Weighted average participating LTIP units | 411,926 | 397,897 | 411,346 | 397,366 | ||||
Weighted average non-controlling interest units | 212,000 | 212,000 | 212,000 | 212,000 | ||||
Basic earnings per common share: | ' | ' | ' | ' | ||||
Distributed (in usd per share) | $0.77 | $0.77 | $2.31 | $3.06 | ||||
Undistributed (in usd per share) | ($0.31) | ($0.32) | ($0.18) | ($0.33) | ||||
Basic earnings per common share (in usd per share) | $0.46 | $0.45 | $2.13 | $2.73 | ||||
Diluted earnings per common share: | ' | ' | ' | ' | ||||
Distributed (in usd per share) | $0.77 | $0.77 | $2.31 | $3.06 | ||||
Undistributed (in usd per share) | ($0.31) | ($0.32) | ($0.18) | ($0.33) | ||||
Diluted earnings per common share (in usd per share) | $0.46 | $0.45 | $2.13 | $2.73 | ||||
Net Income (Loss) Attributable to Non-Participating Non-controlling Interest | $100 | ' | $200 | ' | ||||
[1] | For the three and nine month periods ended September 30, 2014, excludes net increase in equity resulting from operations of $0.1 million and $0.2 million, respectively attributable to the joint venture partner, which has a non-participating interest as described in Note 9. | |||||||
[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. | |||||||
[3] | For the nine month periods ended September 30, 2014 and 2013, dividends totaling $2.31 and $3.06, 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, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | |
Risks and Uncertainties [Abstract] | ' | ' | ' | ' |
Cash and Cash Equivalents, at Carrying Value | $129,124,000 | $183,489,000 | $186,737,000 | $59,084,000 |
Investments held with dealers as collateral | 1,560,000,000 | 1,460,000,000 | ' | ' |
Unencumbered investments held in custody | 332,200,000 | ' | ' | ' |
Concentration risk threshold | 15.00% | ' | ' | ' |
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | $27,000,000 | $13,300,000 | ' | ' |
Counterparty_Risk_Of_Total_Col
Counterparty Risk (% Of Total Collateral On Reverse Repurchase Agreements) (Details) (Royal Bank of Canada [Member]) | Sep. 30, 2014 |
Royal Bank of Canada [Member] | ' |
Concentration Risk [Line Items] | ' |
% of Total Collateral on Reverse Repurchase Agreements | 19.00% |
Counterparty_Risk_Of_Due_from_
Counterparty Risk (% Of Due from Brokers) (Details) | Sep. 30, 2014 |
Morgan Stanley [Member] | ' |
Concentration Risk [Line Items] | ' |
% of Total Due from Brokers | 50.00% |
JP Morgan Securities Inc [Member] | ' |
Concentration Risk [Line Items] | ' |
% of Total Due from Brokers | 24.00% |
Counterparty_Risk_Of_Total_Rec
Counterparty Risk (% Of Total Receivable For Securities Sold) (Details) | Sep. 30, 2014 |
CS First Boston [Member] | ' |
Concentration Risk [Line Items] | ' |
% of Total Receivable for Securities Sold | 26.00% |
Citigroup [Member] | ' |
Concentration Risk [Line Items] | ' |
% of Total Receivable for Securities Sold | 21.00% |
Counterparty_Risk_Cash_and_Cas
Counterparty Risk (Cash and Cash Equivalents) (Details) | Sep. 30, 2014 | Dec. 31, 2013 |
Bank of New York Mellon Corporation [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Concentration risk percentage, cash and cash equivalents | 100.00% | 73.00% |
JP Morgan Prime Money Market Premier Fund [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Concentration risk percentage, cash and cash equivalents | 0.00% | 27.00% |
Offsetting_of_Assets_and_Liabi2
Offsetting of Assets and Liabilities (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
Offsetting of Assets and Liabilities [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value- | $56,366,000 | [1] | $59,664,000 | [1] |
Fair value repurchase agreements | 47,039,000 | [1] | 27,962,000 | [1] |
Financial derivatives–liabilities, at fair value- | -47,331,000 | [1] | -44,791,000 | [1] |
Reverse Repurchase Agreements | -1,395,132,000 | [1] | -1,236,166,000 | [1] |
Derivative Liability Instruments available for offset | -22,108,000 | -24,162,000 | ||
Reverse Repurchase Agreements Available for Offset | -47,039,000 | -27,962,000 | ||
Derivative Asset Instruments available for offset | 22,108,000 | 24,162,000 | ||
Repurchase Agreements Available for Offset | 47,039,000 | 27,962,000 | ||
Repurchase Agreements and Related Collateral Net | 0 | 0 | ||
Reverse Repurchase Agreements and Related Collateral Net | 0 | 0 | ||
Securities Collateral realting to Repurchase and Reverse Repurchase Agreements | 1,580,000,000 | 1,480,000,000 | ||
Financial Derivatives - Assets [Member] | ' | ' | ||
Offsetting of Assets and Liabilities [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value- | 56,366,000 | [2],[3] | 59,664,000 | [2],[4] |
Financial Instruments Pledged as Collateral | 0 | [5],[6] | 0 | [5],[6] |
Cash Collateral (Received) Pledged | -11,773,000 | [5],[6] | -17,273,000 | [5],[6] |
Derivatives and Related Collateral Net | 22,484,000 | 18,229,000 | ||
Excess cash collateral | 24,400,000 | 3,200,000 | ||
Securities Purchased under Agreements to Resell [Member] | ' | ' | ||
Offsetting of Assets and Liabilities [Line Items] | ' | ' | ||
Financial Instruments Pledged as Collateral | 0 | [5],[6] | 0 | [5],[6] |
Cash Collateral (Received) Pledged | 0 | [5],[6] | 0 | [5],[6] |
Reverse Repurchase Agreements [Member] | ' | ' | ||
Offsetting of Assets and Liabilities [Line Items] | ' | ' | ||
Financial Instruments Pledged as Collateral | 1,333,817,000 | [5],[6] | 1,205,278,000 | [5],[6] |
Cash Collateral (Received) Pledged | 14,276,000 | [5],[6] | 2,926,000 | [5],[6] |
Financial Derivatives - Liabilities [Member] | ' | ' | ||
Offsetting of Assets and Liabilities [Line Items] | ' | ' | ||
Financial derivatives–liabilities, at fair value- | -47,331,000 | [2],[3] | -44,791,000 | [2],[4] |
Financial Instruments Pledged as Collateral | 0 | [5],[6] | 0 | [5],[6] |
Cash Collateral (Received) Pledged | 25,223,000 | [5],[6] | 20,629,000 | [5],[6] |
Derivatives and Related Collateral Net | 0 | 0 | ||
Excess cash collateral | $27,700,000 | $36,400,000 | ||
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. | |||
[2] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[3] | The following table details the breakout by geographical region of long investments, investments sold short, repurchase agreements, financial derivatives–assets, and financial derivatives–liabilities.Region Current Principal/Notional Value/Number of Properties/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 3,161,385 $2,342,001 $2,393,715 294.75 %Europe 43,235 41,351 39,427 4.85 %North America (Common Stock) 13,225 7,924 7,686 0.95 %Total $2,391,276 $2,440,828 300.56 %Investments Sold Short: North America (TBAs and Government Debt) (1,121,387) $(1,178,095) $(1,178,831) (145.16)%Europe (Government Debt) (21,367) (24,110) (23,707) (2.92)%North America (Common Stock) (2,113) (20,838) (19,356) (2.38)%Total $(1,223,043) $(1,221,894) (150.46)%Repurchase Agreements: North America 20,046 $20,045 $20,045 2.47 %Europe 26,994 27,147 26,994 3.32 %Total 47,040 $47,192 $47,039 5.79 %Financial Derivatives–Assets: North America 634,538 $45,074 $56,365 6.94 %Europe (8,733) — 1 — %Total 625,805 $45,074 $56,366 6.94 %Financial Derivatives–Liabilities: North America (617,900) $(32,133) $(45,569) (5.61)%Europe (16,675) (1,817) (1,762) (0.22)%Total (634,575) $(33,950) $(47,331) (5.83)% | |||
[4] | The following table details the breakout by geographical region of long investments, investments sold short, and repurchase agreements. All financial derivatives were concentrated in North America.Region Current Principal/Notional Value/Number of Shares Cost/(Proceeds) Fair Value Percent ofEquityLong Investments: (In thousands, Expressed in U.S. Dollars) North America 2,470,650 $1,682,533 $1,724,370 275.44 %Europe 7,641 5,724 5,760 0.92 %Total 2,478,291 $1,688,257 $1,730,130 276.36 %Investments Sold Short: North America (TBAs and Government Debt) (804,888) $(833,656) $(831,564) (132.82)%Europe (Government Debt) (7,337) (7,633) (7,681) (1.23)%North America (Common Stock) (763) (6,313) (6,369) (1.02)%Total $(847,602) $(845,614) (135.07)%Repurchase Agreements: North America 19,675 $19,675 $19,675 3.15 %Europe 8,287 8,268 8,287 1.32 %Total 27,962 $27,943 $27,962 4.47 % | |||
[5] | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, we have reduced the amount of financial instruments transferred or pledged as collateral related to our reverse repurchase agreements and cash collateral pledged on our financial derivative liabilities. Total financial instruments transferred or pledged as collateral on our reverse repurchase agreements as of September 30, 2014 and December 31, 2013 were $1.58 billion and $1.48 billion, respectively. As of September 30, 2014 and December 31, 2013, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $24.4 million and $3.2 million, respectively. As of September 30, 2014 and December 31, 2013, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $27.7 million and $36.4 million, respectively. | |||
[6] | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Financial_Highlights_Narrative
Financial Highlights (Narrative) (Details) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | |
Financial Highlights [Abstract] | ' | ' | ' | ' |
Market based total return | -4.54% | 1.97% | 7.65% | 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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | |||||
Increase (Decrease) Equity Per Share [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Beginning Shareholders' Equity Per Share (6/30/2014, 6/30/2013, 12/31/2013, and 12/31/2012, respectively) | $24.53 | $24.92 | $24.40 | $24.86 | ' | ' | ' | ' | ||||
Net Investment Income | $0.46 | $0.57 | $1.52 | $1.62 | ' | ' | ' | ' | ||||
Net Realized/Unrealized Gains (Losses) | $0.02 | ($0.10) | $0.67 | $1.18 | ' | ' | ' | ' | ||||
Results of Operations Attributable to Equity | $0.48 | $0.47 | $2.19 | $2.80 | ' | ' | ' | ' | ||||
Less: Results of Operations Attributable to Non-controlling Interests | ($0.01) | $0 | ($0.03) | ($0.03) | ' | ' | ' | ' | ||||
Results of Operations Attributable to Shareholders' Equity | $0.47 | [1] | $0.47 | [1] | $2.16 | [1] | $2.77 | [1] | ' | ' | ' | ' |
Dividends Paid Per Common Share | ($0.77) | ($0.77) | ($2.31) | ($3.06) | ' | ' | ' | ' | ||||
Weighted Average Share Impact on Dividends Paid (2) | $0.03 | [2] | ($0.02) | [2] | $0 | [2] | ($0.08) | [2] | ' | ' | ' | ' |
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest | ($0.18) | ($0.01) | ($0.17) | $0.10 | ' | ' | ' | ' | ||||
Ending Shareholders' Equity Per Share (9/30/2014, 9/30/2013, 9/30/2014, and 9/30/2013, respectively)(3) | $24.08 | [3] | $24.59 | [3] | $24.08 | [3] | $24.59 | [3] | ' | ' | ' | ' |
Shares Outstanding, end of period | 33,443,572 | 25,418,937 | 33,443,572 | 25,418,937 | 25,441,750 | 25,428,186 | 25,412,011 | 20,370,469 | ||||
Shareholders Equity Per Share Upon Conversion Of All Convertible Units (in usd per share) | $23.79 | $24.19 | $23.79 | $24.19 | ' | ' | ' | ' | ||||
[1] | Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 11). | |||||||||||
[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 previously issued were vested and exchanged for common shares as of September 30, 2014 and 2013, shareholders' equity per share would be $23.79 and $24.19, respectively. |
Financial_Highlights_Net_Asset
Financial Highlights (Net Asset Value Based Total Return For A Shareholder) (Details) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |||||
Financial Highlights [Abstract] | ' | ' | ' | ' | ||||
Total Return | 1.32% | [1] | 1.82% | [1] | 8.44% | [1] | 11.57% | [1] |
[1] | Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period. |
Financial_Highlights_Net_Asset1
Financial Highlights (Net Asset Value Based Total Return For A Shareholder Assuming Conversion Of All LTIP and OP Units) (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2014 | Sep. 30, 2014 | |||
Financial Highlights [Line Items] | ' | ' | ||
Total LTIP and OP Units Outstanding | 627,071 | 627,071 | ||
Total Return | 0.08% | [1] | 7.11% | [1] |
Percentage of LTIP and OP units outstanding | 1.84% | 1.84% | ||
[1] | Total return is calculated assuming all LTIP and OP Units had been converted into common shares at September 30, 2014. LTIP and OP Units outstanding at September 30, 2014 totaled 627,071 and represent 1.84% 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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |||||
Financial Highlights [Abstract] | ' | ' | ' | ' | ||||
Net Investment Income | 8.02% | [1],[2],[3] | 9.99% | [1],[2],[3] | 8.27% | [1],[2],[3] | 8.89% | [1],[2],[3] |
[1] | Includes all items of income and expense on an annualized basis except for incentive fee expense which is included on a non-annualized basis. | |||||||
[2] | Average equity is calculated using month end values. | |||||||
[3] | Includes incentive fee in calculation which can vary substantially over periods. |
Financial_Highlights_Expense_R
Financial Highlights (Expense Ratios To Average Equity) (Details) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |||||
Financial Highlights [Abstract] | ' | ' | ' | ' | ||||
Operating expenses before incentive fee, interest expense, and other investment related expenses | -3.03% | [1],[2] | -2.67% | [1],[2] | -2.86% | [1],[2] | -2.77% | [1],[2] |
Ratio Of Incentive Fee To Average Equity | -0.21% | [1],[2] | -0.32% | [1],[2] | -0.22% | [1],[2] | -0.91% | [1],[2] |
Interest expense and other investment related expenses | -1.98% | [1],[2] | -2.11% | [1],[2] | -2.08% | [1],[2] | -1.94% | [1],[2] |
Total Expenses | -5.22% | [1],[2] | -5.10% | [1],[2] | -5.16% | [1],[2] | -5.62% | [1],[2] |
[1] | Average equity is calculated using month end values. | |||||||
[2] | Ratios are annualized except for the incentive fee which is not annualized. |
Subsequent_Events_Details
Subsequent Events (Details) (Subsequent Event [Member], USD $) | 0 Months Ended |
Nov. 04, 2014 | |
Subsequent Event [Member] | ' |
Subsequent Event [Line Items] | ' |
Dividend Per Share | $0.77 |
Declared date | 4-Nov-14 |
Payment Date | 15-Dec-14 |
Record Date | 1-Dec-14 |