Document_And_Entity_Informatio
Document And Entity Information (USD $) | 12 Months Ended | ||
Dec. 31, 2014 | Mar. 06, 2015 | Jun. 30, 2014 | |
Document and Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | FALSE | ||
Document Period End Date | 31-Dec-14 | ||
Document Fiscal Year Focus | 2014 | ||
Document Fiscal Period Focus | FY | ||
Entity Registrant Name | Ellington Financial LLC | ||
Entity Central Index Key | 1411342 | ||
Current Fiscal Year End Date | -19 | ||
Entity Filer Category | Accelerated Filer | ||
Entity Common Stock, Shares Outstanding | 33,449,678 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $536,859,744 |
Consolidated_Statement_Of_Asse
Consolidated Statement Of Assets, Liabilities And Equity (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, except Per Share data, unless otherwise specified | ||||
ASSETS | ||||
Cash and cash equivalents | $114,140 | $183,489 | ||
Investments, financial derivatives, and repurchase agreements: | ||||
Investments, at fair value (Cost – $2,122,326 and $1,688,257) | 2,172,082 | 1,730,130 | ||
Financial derivatives–assets, at fair value (Net cost – $61,560 and $50,533) | 80,029 | [1] | 59,664 | [1] |
Repurchase agreements (Cost – $172,001 and $27,943) | 172,001 | [1] | 27,962 | [1] |
Total investments, financial derivatives, and repurchase agreements | 2,424,112 | 1,817,756 | ||
Due from brokers | 146,965 | 82,571 | ||
Receivable for securities sold | 1,237,592 | 883,005 | ||
Interest and principal receivable | 20,611 | 6,831 | ||
Other assets | 1,935 | 1,546 | ||
Total Assets | 3,945,355 | 2,975,198 | ||
Investments and financial derivatives: | ||||
Investments sold short, at fair value (Proceeds – $1,290,091 and $847,602) | 1,291,370 | 845,614 | ||
Financial derivatives–liabilities, at fair value (Net proceeds – $33,555 and $29,746) | 66,116 | [1] | 44,791 | [1] |
Total investments and financial derivatives | 1,357,486 | 890,405 | ||
Reverse repurchase agreements | 1,669,433 | [1] | 1,236,166 | [1] |
Due to brokers | 22,224 | 19,762 | ||
Payable for securities purchased | 98,747 | 193,047 | ||
Securitized debt (Proceeds – $749 and $980) | 774 | 983 | ||
Accounts payable and accrued expenses | 2,798 | 1,810 | ||
Base management fee payable | 2,963 | 2,364 | ||
Incentive fee payable | 0 | 3,091 | ||
Interest and dividends payable | 2,386 | 1,521 | ||
Total Liabilities | 3,156,811 | 2,349,149 | ||
Total Equity | 788,544 | 626,049 | ||
TOTAL LIABILITIES AND EQUITY | 3,945,355 | 2,975,198 | ||
ANALYSIS OF EQUITY: | ||||
Common shares, no par value, 100,000,000 shares authorized; (33,449,678 and 25,428,186 shares issued and outstanding) | 772,811 | 611,282 | ||
Additional paid-in capital – LTIP units | 9,344 | 9,119 | ||
Total Shareholders' Equity | 782,155 | 620,401 | ||
Non-controlling interests | 6,389 | 5,648 | ||
Total Equity | $788,544 | $626,049 | ||
PER SHARE INFORMATION: | ||||
Common shares (in usd per share) | $23.38 | [2] | $24.40 | [2] |
[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 December 31, 2014, 2013, and 2012, shareholders' equity per share would be $23.09, $23.99, and $24.38, respectively. |
Consolidated_Statement_Of_Asse1
Consolidated Statement Of Assets, Liabilities And Equity (Parenthetical) (USD $) | 12 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Statement of Financial Position [Abstract] | ||
Investments at value, cost | $2,122,326 | $1,688,257 |
Financial derivatives–assets, at fair value Net cost | 61,560 | 50,533 |
Repurchase agreements, cost | 172,001 | 27,943 |
Investments sold short at value, proceeds | -1,290,091 | -847,602 |
Financial derivatives-liabilities, at fair value Net proceeds | -33,555 | -29,746 |
Securitized debt proceeds | ($749) | ($980) |
Common stock, par value | ||
Common stock, shares authorized | 100,000,000 | 100,000,000 |
Common stock, shares issued | 33,449,678 | 25,428,186 |
Common stock, shares outstanding | 33,449,678 | 25,428,186 |
Consolidated_Condensed_Schedul
Consolidated Condensed Schedule Of Investments (Long Investments) (USD $) | 12 Months Ended | |||
Share data in Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | ||
Schedule of Investments [Line Items] | ||||
Fair Value | $2,172,082,000 | $1,730,130,000 | ||
Investment Owned, at Cost | 2,122,326,000 | 1,688,257,000 | ||
Percentage collaterallized by GNRCMO certificates | 100.00% | 100.00% | ||
Non-performing loans, maturity date not applicable | 11,300,000 | |||
Unrated But Agency-Guaranteed [Member] | ||||
Schedule of Investments [Line Items] | ||||
Long investment holdings as a percentage of stockholders' equity | 163.60% | 164.58% | ||
Long Investment A Rating [Member] | ||||
Schedule of Investments [Line Items] | ||||
Long investment holdings as a percentage of stockholders' equity | 0.98% | 0.34% | ||
Long Investment BBB Rating [Member] | ||||
Schedule of Investments [Line Items] | ||||
Long investment holdings as a percentage of stockholders' equity | 5.62% | 2.97% | ||
Long Investment BB Rating [Member] | ||||
Schedule of Investments [Line Items] | ||||
Long investment holdings as a percentage of stockholders' equity | 80.65% | 97.95% | ||
Long Investment Unrated Rating [Member] | ||||
Schedule of Investments [Line Items] | ||||
Long investment holdings as a percentage of stockholders' equity | 24.61% | 10.52% | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 147.82% | [1],[2],[3],[4],[5] | 137.75% | [1],[2],[6],[7],[8] |
Fair Value | 1,165,642,000 | [1],[3],[4],[5] | 862,368,000 | [1],[6],[7],[8] |
Principal And Interest - Fixed Rate Agency Securities [Member] | 25,298 Federal National Mortgage Association Pool 3.50% 2042-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 25,298,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2042-10 | [1],[3],[4],[5] | ||
Fair Value | 26,448,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 16,987 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 16,987,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-10 | [1],[3],[4],[5] | ||
Fair Value | 18,242,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 16,831 Federal National Mortgage Association Pool 4.00% 2043-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 16,831,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2043-11 | [1],[3],[4],[5] | ||
Fair Value | 18,129,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 15,372 Federal National Mortgage Association Pool 4.00% 2043-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 15,372,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2043-11 | [1],[3],[4],[5] | ||
Fair Value | 16,540,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 14,026 Federal National Mortgage Association Pool 5.00% 2041-08 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 14,026,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.00% | [1],[3],[4],[5] | ||
Maturity | 2041-08 | [1],[3],[4],[5] | ||
Fair Value | 15,542,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,953 Federal Home Loan Mortgage Corporation Pool 4.50% 2044-01 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 11,953,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2044-01 | [1],[3],[4],[5] | ||
Fair Value | 13,171,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 12,043 Federal Home Loan Mortgage Corporation Pool 4.00% 2043-08 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 12,043,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2043-08 | [1],[3],[4],[5] | ||
Fair Value | 12,971,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 10,661 Federal National Mortgage Association Pool 5.00% 2041-03 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 10,661,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.00% | [1],[3],[4],[5] | ||
Maturity | 2041-03 | [1],[3],[4],[5] | ||
Fair Value | 11,902,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,098 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-09 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 11,098,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-09 | [1],[3],[4],[5] | ||
Fair Value | 11,855,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,186 Federal National Mortgage Association Pool 3.50% 2029-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 9,186,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2029-11 | [1],[3],[4],[5] | ||
Fair Value | 9,749,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,317 Federal Home Loan Mortgage Corporation Pool 3.50% 2044-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 9,317,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2044-11 | [1],[3],[4],[5] | ||
Fair Value | 9,721,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 8,999 Federal Home Loan Mortgage Corporation Pool 4.00% 2043-07 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 8,999,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2043-07 | [1],[3],[4],[5] | ||
Fair Value | 9,639,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 8,269 Federal National Mortgage Association Pool 4.00% 2043-08 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 8,269,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2043-08 | [1],[3],[4],[5] | ||
Fair Value | 8,859,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,982 Federal National Mortgage Association Pool 3.50% 2029-12 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 7,982,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2029-12 | [1],[3],[4],[5] | ||
Fair Value | 8,467,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,951 Federal Home Loan Mortgage Corporation Pool 3.50% 2044-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 7,951,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2044-11 | [1],[3],[4],[5] | ||
Fair Value | 8,319,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,051 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 7,051,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-10 | [1],[3],[4],[5] | ||
Fair Value | 7,572,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,232 Federal Home Loan Mortgage Corporation Pool 3.50% 2044-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 7,232,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2044-11 | [1],[3],[4],[5] | ||
Fair Value | 7,549,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,983 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 6,983,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-11 | [1],[3],[4],[5] | ||
Fair Value | 7,514,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,999 Federal Home Loan Mortgage Corporation Pool 3.50% 2044-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 6,999,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2044-11 | [1],[3],[4],[5] | ||
Fair Value | 7,305,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,933 Federal National Mortgage Association Pool 3.50% 2042-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 6,933,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2042-11 | [1],[3],[4],[5] | ||
Fair Value | 7,274,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,436 Federal Home Loan Mortgage Corporation Pool 4.50% 2044-02 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 6,436,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2044-02 | [1],[3],[4],[5] | ||
Fair Value | 7,094,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,564 Federal National Mortgage Association Pool 3.50% 2028-03 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 6,564,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2028-03 | [1],[3],[4],[5] | ||
Fair Value | 6,979,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,148 Federal National Mortgage Association Pool 5.00% 2044-03 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 6,148,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.00% | [1],[3],[4],[5] | ||
Maturity | 2044-03 | [1],[3],[4],[5] | ||
Fair Value | 6,863,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,945 Government National Mortgage Association Pool 4.59% 2064-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,945,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.59% | [1],[3],[4],[5] | ||
Maturity | 2064-11 | [1],[3],[4],[5] | ||
Fair Value | 6,695,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,046 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-09 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 6,046,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-09 | [1],[3],[4],[5] | ||
Fair Value | 6,459,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,782 Federal National Mortgage Association Pool 4.50% 2043-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,782,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2043-10 | [1],[3],[4],[5] | ||
Fair Value | 6,296,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,916 Federal National Mortgage Association Pool 4.50% 2026-04 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,916,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2026-04 | [1],[3],[4],[5] | ||
Fair Value | 6,232,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,526 Federal National Mortgage Association Pool 4.50% 2044-02 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,526,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2044-02 | [1],[3],[4],[5] | ||
Fair Value | 6,108,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,557 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,557,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-11 | [1],[3],[4],[5] | ||
Fair Value | 5,973,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,220 Federal National Mortgage Association Pool 5.00% 2044-03 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,220,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.00% | [1],[3],[4],[5] | ||
Maturity | 2044-03 | [1],[3],[4],[5] | ||
Fair Value | 5,839,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,431 Federal National Mortgage Association Pool 4.00% 2043-08 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,431,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2043-08 | [1],[3],[4],[5] | ||
Fair Value | 5,822,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,410 Federal National Mortgage Association Pool 4.00% 2044-05 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,410,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-05 | [1],[3],[4],[5] | ||
Fair Value | 5,819,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,708 Federal Home Loan Mortgage Corporation Pool 3.00% 2043-01 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,708,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 3.00% | [1],[3],[4],[5] | ||
Maturity | 2043-01 | [1],[3],[4],[5] | ||
Fair Value | 5,788,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,402 Federal Home Loan Mortgage Corporation Pool 4.00% 2043-08 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,402,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2043-08 | [1],[3],[4],[5] | ||
Fair Value | 5,786,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,131 Federal National Mortgage Association Pool 5.50% 2039-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,131,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.50% | [1],[3],[4],[5] | ||
Maturity | 2039-10 | [1],[3],[4],[5] | ||
Fair Value | 5,741,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,407 Federal National Mortgage Association Pool, 3.50% 2044-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,407,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2044-11 | [1],[3],[4],[5] | ||
Fair Value | 5,668,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,130 Federal National Mortgage Association Pool 4.00% 2044-06 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,130,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-06 | [1],[3],[4],[5] | ||
Fair Value | 5,502,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,414 Federal National Mortgage Association Pool 3.00% 2043-04 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,414,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.00% | [1],[3],[4],[5] | ||
Maturity | 2043-04 | [1],[3],[4],[5] | ||
Fair Value | 5,489,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,058 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-07 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,058,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-07 | [1],[3],[4],[5] | ||
Fair Value | 5,450,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,897 Federal National Mortgage Association Pool 4.50% 2043-12 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,897,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2043-12 | [1],[3],[4],[5] | ||
Fair Value | 5,402,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,036 Federal National Mortgage Association Pool 3.50% 2029-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,036,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2029-11 | [1],[3],[4],[5] | ||
Fair Value | 5,353,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,942 Federal National Mortgage Association Pool 4.00% 2044-05 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,942,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-05 | [1],[3],[4],[5] | ||
Fair Value | 5,322,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,922 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,922,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-10 | [1],[3],[4],[5] | ||
Fair Value | 5,304,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,981 Federal National Mortgage Association Pool 3.50% 2028-12 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,981,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2028-12 | [1],[3],[4],[5] | ||
Fair Value | 5,290,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,662 Federal National Mortgage Association Pool 4.50% 2044-01 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,662,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2044-01 | [1],[3],[4],[5] | ||
Fair Value | 5,146,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,708 Federal National Mortgage Association Pool 4.50% 2044-12 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,708,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2044-12 | [1],[3],[4],[5] | ||
Fair Value | 5,120,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,585 Federal National Mortgage Association Pool 3.50% 2029-12 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,585,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2029-12 | [1],[3],[4],[5] | ||
Fair Value | 4,864,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,413 Federal Home Loan Mortgage Corporation Pool 4.50% 2043-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,413,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2043-10 | [1],[3],[4],[5] | ||
Fair Value | 4,861,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,487 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-02 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,487,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-02 | [1],[3],[4],[5] | ||
Fair Value | 4,835,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,491 Federal Home Loan Mortgage Corporation Pool 4.00% 2043-08 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,491,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2043-08 | [1],[3],[4],[5] | ||
Fair Value | 4,810,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,468 Federal National Mortgage Association Pool 4.00% 2043-01 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,468,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2043-01 | [1],[3],[4],[5] | ||
Fair Value | 4,783,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,443 Federal National Mortgage Association Pool 4.00% 2044-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,443,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-10 | [1],[3],[4],[5] | ||
Fair Value | 4,750,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,358 Federal Home Loan Mortgage Corporation Pool 4.00% 2044-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,358,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-11 | [1],[3],[4],[5] | ||
Fair Value | 4,689,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,246 Federal National Mortgage Association Pool 4.50% 2044-02 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,246,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2044-02 | [1],[3],[4],[5] | ||
Fair Value | 4,666,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,131 Government National Mortgage Association Pool 4.68% 2064-09 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,131,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.68% | [1],[3],[4],[5] | ||
Maturity | 2064-09 | [1],[3],[4],[5] | ||
Fair Value | 4,647,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,108 Federal National Mortgage Association Pool 4.50% 2043-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,108,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2043-10 | [1],[3],[4],[5] | ||
Fair Value | 4,499,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,072 Federal National Mortgage Association Pool 4.50% 2044-03 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,072,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2044-03 | [1],[3],[4],[5] | ||
Fair Value | 4,475,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,211 Federal National Mortgage Association Pool 3.50% 2029-05 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,211,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2029-05 | [1],[3],[4],[5] | ||
Fair Value | 4,467,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,181 Government National Mortgage Association Pool 4.75% 2061-01 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,181,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.75% | [1],[3],[4],[5] | ||
Maturity | 2061-01 | [1],[3],[4],[5] | ||
Fair Value | 4,457,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,000 Federal National Mortgage Association Pool 5.00% 2043-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,000,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.00% | [1],[3],[4],[5] | ||
Maturity | 2043-10 | [1],[3],[4],[5] | ||
Fair Value | 4,444,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,838 Government National Mortgage Association Pool 4.61% 2064-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,838,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.61% | [1],[3],[4],[5] | ||
Maturity | 2064-11 | [1],[3],[4],[5] | ||
Fair Value | 4,322,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,962 Federal National Mortgage Association Pool 4.50% 2043-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,962,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2043-11 | [1],[3],[4],[5] | ||
Fair Value | 4,308,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,141 Federal Home Loan Mortgage Corporation Pool 3.50% 2043-06 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,141,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2043-06 | [1],[3],[4],[5] | ||
Fair Value | 4,298,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,809 Government National Mortgage Association Pool 4.63% 2064-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,809,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.63% | [1],[3],[4],[5] | ||
Maturity | 2064-10 | [1],[3],[4],[5] | ||
Fair Value | 4,295,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,943 Federal Home Loan Mortgage Corporation Pool 4.50% 2043-12 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,943,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2043-12 | [1],[3],[4],[5] | ||
Fair Value | 4,294,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,997 Federal National Mortgage Association Pool 4.00% 2044-06 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,997,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-06 | [1],[3],[4],[5] | ||
Fair Value | 4,289,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,809 Federal National Mortgage Association Pool 5.00% 2043-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,809,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.00% | [1],[3],[4],[5] | ||
Maturity | 2043-10 | [1],[3],[4],[5] | ||
Fair Value | 4,259,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,784 Federal National Mortgage Association Pool 5.00% 2044-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,784,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.00% | [1],[3],[4],[5] | ||
Maturity | 2044-11 | [1],[3],[4],[5] | ||
Fair Value | 4,195,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,896 Federal National Mortgage Association Pool 4.00% 2044-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,896,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-10 | [1],[3],[4],[5] | ||
Fair Value | 4,193,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,843 Federal National Mortgage Association Pool 4.50% 2044-03 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,843,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2044-03 | [1],[3],[4],[5] | ||
Fair Value | 4,190,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,884 Federal National Mortgage Association Pool 4.00% 2043-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,884,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2043-11 | [1],[3],[4],[5] | ||
Fair Value | 4,180,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,922 Federal National Mortgage Association Pool 3.50% 2029-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,922,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.50% | [1],[3],[4],[5] | ||
Maturity | 2029-11 | [1],[3],[4],[5] | ||
Fair Value | 4,170,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,807 Federal National Mortgage Corporation Pool 4.00% 2033-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,807,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2033-11 | [1],[3],[4],[5] | ||
Fair Value | 4,123,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,656 Federal National Mortgage Association Pool 5.00% 2044-01 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,656,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.00% | [1],[3],[4],[5] | ||
Maturity | 2044-01 | [1],[3],[4],[5] | ||
Fair Value | 4,121,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,816 Federal National Mortgage Association Pool 4.00% 2042-04 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,816,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2042-04 | [1],[3],[4],[5] | ||
Fair Value | 4,098,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,683 Federal National Mortgage Association Pool 5.00% 2043-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,683,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.00% | [1],[3],[4],[5] | ||
Maturity | 2043-11 | [1],[3],[4],[5] | ||
Fair Value | 4,086,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,661 Federal National Mortgage Association Pool 5.00% 2043-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,661,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.00% | [1],[3],[4],[5] | ||
Maturity | 2043-10 | [1],[3],[4],[5] | ||
Fair Value | 4,085,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,744 Federal National Mortgage Association Pool 4.50% 2044-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,744,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2044-11 | [1],[3],[4],[5] | ||
Fair Value | 4,079,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,692 Federal National Mortgage Association Pool 4.50% 2044-12 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,692,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.50% | [1],[3],[4],[5] | ||
Maturity | 2044-12 | [1],[3],[4],[5] | ||
Fair Value | 4,045,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,706 Federal National Mortgage Association Pool 4.00% 2044-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,706,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 4.00% | [1],[3],[4],[5] | ||
Maturity | 2044-10 | [1],[3],[4],[5] | ||
Fair Value | 3,989,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,921 Federal National Mortgage Association Pool 3.00% 2043-01 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,921,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 3.00% | [1],[3],[4],[5] | ||
Maturity | 2043-01 | [1],[3],[4],[5] | ||
Fair Value | 3,978,000 | [1],[3],[4],[5] | ||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,597 Federal National Mortgage Association Pool 5.00% 2043-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,597,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 5.00% | [1],[3],[4],[5] | ||
Maturity | 2043-10 | [1],[3],[4],[5] | ||
Fair Value | 3,973,000 | [1],[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 | 360,009,000 | [1],[3],[4],[5] | 111,228,000 | [1],[6],[7],[8] |
Investment Owned Description | Other Federal National Mortgage Association Pools | [1],[3],[4],[5] | Other Federal National Mortgage Association Pools | [1],[6],[7],[8] |
Fair Value | 389,510,000 | [1],[3],[4],[5] | 115,792,000 | [1],[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% | [1],[3],[4],[5] | 3.00% | [1],[6],[7],[8] |
Maturity | 2026-06 | [1],[3],[4],[5] | 2028-06 | [1],[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% | [1],[3],[4],[5] | 6.00% | [1],[6],[7],[8] |
Maturity | 2045-01 | [1],[3],[4],[5] | 2044-01 | [1],[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 | 187,073,000 | [1],[3],[4],[5] | 80,675,000 | [1],[6],[7],[8] |
Investment Owned Description | Other Federal Home Loan Mortgage Corporation Pools | [1],[3],[4],[5] | Other Federal Home Loan Mortgage Corporation Pools | [1],[6],[7],[8] |
Fair Value | 200,541,000 | [1],[3],[4],[5] | 81,716,000 | [1],[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% | [1],[3],[4],[5] | 2.50% | [1],[6],[7],[8] |
Maturity | 2028-03 | [1],[3],[4],[5] | 2028-09 | [1],[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% | [1],[3],[4],[5] | 6.00% | [1],[6],[7],[8] |
Maturity | 2045-01 | [1],[3],[4],[5] | 2043-12 | [1],[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 | 26,938,000 | [1],[3],[4],[5] | 8,191,000 | [1],[6],[7],[8] |
Investment Owned Description | Other Government National Mortgage Association Pools | [1],[3],[4],[5] | Other Government National Mortgage Association Pools | [1],[6],[7],[8] |
Fair Value | 29,466,000 | [1],[3],[4],[5] | 8,949,000 | [1],[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% | [1],[3],[4],[5] | 4.49% | [1],[6],[7],[8] |
Maturity | 2060-02 | [1],[3],[4],[5] | 2061-11 | [1],[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% | [1],[3],[4],[5] | 4.68% | [1],[6],[7],[8] |
Maturity | 2064-11 | [1],[3],[4],[5] | 2062-11 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.50% | [1],[6],[7],[8] | ||
Maturity | 2043-01 | [1],[6],[7],[8] | ||
Fair Value | 37,742,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.50% | [1],[6],[7],[8] | ||
Maturity | 2042-10 | [1],[6],[7],[8] | ||
Fair Value | 27,407,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-11 | [1],[6],[7],[8] | ||
Fair Value | 18,327,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2043-04 | [1],[6],[7],[8] | ||
Fair Value | 17,322,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2041-08 | [1],[6],[7],[8] | ||
Fair Value | 16,910,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2028-06 | [1],[6],[7],[8] | ||
Fair Value | 16,729,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-11 | [1],[6],[7],[8] | ||
Fair Value | 16,279,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2041-10 | [1],[6],[7],[8] | ||
Fair Value | 15,958,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2041-09 | [1],[6],[7],[8] | ||
Fair Value | 15,743,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 13,783,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2041-07 | [1],[6],[7],[8] | ||
Fair Value | 13,692,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2041-03 | [1],[6],[7],[8] | ||
Fair Value | 13,444,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 12,005,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 11,861,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2042-08 | [1],[6],[7],[8] | ||
Fair Value | 11,263,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-07 | [1],[6],[7],[8] | ||
Fair Value | 9,979,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 9,409,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2041-10 | [1],[6],[7],[8] | ||
Fair Value | 9,378,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-12 | [1],[6],[7],[8] | ||
Fair Value | 9,326,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2043-02 | [1],[6],[7],[8] | ||
Fair Value | 9,251,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-11 | [1],[6],[7],[8] | ||
Fair Value | 9,013,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2026-04 | [1],[6],[7],[8] | ||
Fair Value | 7,898,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 7,326,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.50% | [1],[6],[7],[8] | ||
Maturity | 2042-11 | [1],[6],[7],[8] | ||
Fair Value | 7,299,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 7,005,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.50% | [1],[6],[7],[8] | ||
Maturity | 2039-10 | [1],[6],[7],[8] | ||
Fair Value | 6,946,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-09 | [1],[6],[7],[8] | ||
Fair Value | 6,865,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-12 | [1],[6],[7],[8] | ||
Fair Value | 6,418,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 6,228,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 6,218,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.46% | [1],[6],[7],[8] | ||
Maturity | 2063-02 | [1],[6],[7],[8] | ||
Fair Value | 6,136,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 6,083,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2042-04 | [1],[6],[7],[8] | ||
Fair Value | 6,035,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2043-01 | [1],[6],[7],[8] | ||
Fair Value | 5,967,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 5,925,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 5,867,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.54% | [1],[6],[7],[8] | ||
Maturity | 2062-11 | [1],[6],[7],[8] | ||
Fair Value | 5,859,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.58% | [1],[6],[7],[8] | ||
Maturity | 2062-10 | [1],[6],[7],[8] | ||
Fair Value | 5,733,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.63% | [1],[6],[7],[8] | ||
Maturity | 2061-06 | [1],[6],[7],[8] | ||
Fair Value | 5,688,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2043-04 | [1],[6],[7],[8] | ||
Fair Value | 5,676,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.60% | [1],[6],[7],[8] | ||
Maturity | 2062-06 | [1],[6],[7],[8] | ||
Fair Value | 5,672,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-11 | [1],[6],[7],[8] | ||
Fair Value | 5,668,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2026-07 | [1],[6],[7],[8] | ||
Fair Value | 5,593,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 5,460,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 5,442,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-01 | [1],[6],[7],[8] | ||
Fair Value | 5,063,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 4,897,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2042-04 | [1],[6],[7],[8] | ||
Fair Value | 4,873,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2043-06 | [1],[6],[7],[8] | ||
Fair Value | 4,776,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 4,768,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-11 | [1],[6],[7],[8] | ||
Fair Value | 4,758,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 4,754,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 4,715,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-09 | [1],[6],[7],[8] | ||
Fair Value | 4,625,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.50% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 4,586,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2043-02 | [1],[6],[7],[8] | ||
Fair Value | 4,435,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 4,423,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 4,387,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-11 | [1],[6],[7],[8] | ||
Fair Value | 4,372,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.69% | [1],[6],[7],[8] | ||
Maturity | 2061-07 | [1],[6],[7],[8] | ||
Fair Value | 4,288,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.75% | [1],[6],[7],[8] | ||
Maturity | 2061-01 | [1],[6],[7],[8] | ||
Fair Value | 4,213,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2040-11 | [1],[6],[7],[8] | ||
Fair Value | 4,203,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2044-01 | [1],[6],[7],[8] | ||
Fair Value | 4,169,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.80% | [1],[6],[7],[8] | ||
Maturity | 2061-02 | [1],[6],[7],[8] | ||
Fair Value | 4,157,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 3.50% | [1],[6],[7],[8] | ||
Maturity | 2043-06 | [1],[6],[7],[8] | ||
Fair Value | 4,137,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 4,043,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-11 | [1],[6],[7],[8] | ||
Fair Value | 3,885,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-12 | [1],[6],[7],[8] | ||
Fair Value | 3,837,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2028-03 | [1],[6],[7],[8] | ||
Fair Value | 3,810,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.66% | [1],[6],[7],[8] | ||
Maturity | 2063-01 | [1],[6],[7],[8] | ||
Fair Value | 3,772,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2040-12 | [1],[6],[7],[8] | ||
Fair Value | 3,759,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 3,715,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 3,710,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 3,683,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 3,613,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 3,608,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 3,479,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 3.50% | [1],[6],[7],[8] | ||
Maturity | 2043-06 | [1],[6],[7],[8] | ||
Fair Value | 3,454,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2035-10 | [1],[6],[7],[8] | ||
Fair Value | 3,429,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.68% | [1],[6],[7],[8] | ||
Maturity | 2061-10 | [1],[6],[7],[8] | ||
Fair Value | 3,421,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Government National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.54% | [1],[6],[7],[8] | ||
Maturity | 2060-02 | [1],[6],[7],[8] | ||
Fair Value | 3,420,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.50% | [1],[6],[7],[8] | ||
Maturity | 2042-06 | [1],[6],[7],[8] | ||
Fair Value | 3,419,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2028-06 | [1],[6],[7],[8] | ||
Fair Value | 3,412,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.50% | [1],[6],[7],[8] | ||
Maturity | 2043-01 | [1],[6],[7],[8] | ||
Fair Value | 3,407,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2026-06 | [1],[6],[7],[8] | ||
Fair Value | 3,362,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.50% | [1],[6],[7],[8] | ||
Maturity | 2028-11 | [1],[6],[7],[8] | ||
Fair Value | 3,355,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-08 | [1],[6],[7],[8] | ||
Fair Value | 3,294,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2028-06 | [1],[6],[7],[8] | ||
Fair Value | 3,274,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2043-11 | [1],[6],[7],[8] | ||
Fair Value | 3,261,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2028-03 | [1],[6],[7],[8] | ||
Fair Value | 3,249,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.00% | [1],[6],[7],[8] | ||
Maturity | 2043-10 | [1],[6],[7],[8] | ||
Fair Value | 3,247,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2028-07 | [1],[6],[7],[8] | ||
Fair Value | 3,193,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2043-09 | [1],[6],[7],[8] | ||
Fair Value | 3,191,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.50% | [1],[6],[7],[8] | ||
Maturity | 2042-04 | [1],[6],[7],[8] | ||
Fair Value | 3,182,000 | [1],[6],[7],[8] | ||
Interest Only - Fixed Rate Agency Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 1.20% | [1],[2],[3],[4],[5] | 3.06% | [1],[2],[6],[7],[8] |
Fair Value | 9,441,000 | [1],[3],[4],[5] | 19,132,000 | [1],[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 | 56,737,000 | [1],[3],[4],[5] | 97,796,000 | [1],[6],[7],[8] |
Investment Owned Description | Other Federal National Mortgage Association | [1],[3],[4],[5] | Other Federal National Mortgage Association | [1],[6],[7],[8] |
Fair Value | 6,971,000 | [1],[3],[4],[5] | 13,821,000 | [1],[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% | [1],[3],[4],[5] | 3.00% | [1],[6],[7],[8] |
Maturity | 2020-12 | [1],[3],[4],[5] | 2020-12 | [1],[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% | [1],[3],[4],[5] | 5.50% | [1],[6],[7],[8] |
Maturity | 2043-06 | [1],[3],[4],[5] | 2043-06 | [1],[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 | 16,165,000 | [1],[3],[4],[5] | 21,959,000 | [1],[6],[7],[8] |
Investment Owned Description | Other Federal Home Loan Mortgage Corporation | [1],[3],[4],[5] | Other Federal Home Loan Mortgage Corporation | [1],[6],[7],[8] |
Fair Value | 2,009,000 | [1],[3],[4],[5] | 3,577,000 | [1],[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 | 3.50% | [1],[3],[4],[5] | 3.00% | [1],[6],[7],[8] |
Maturity | 2032-12 | [1],[3],[4],[5] | 2032-12 | [1],[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% | [1],[3],[4],[5] | 5.50% | [1],[6],[7],[8] |
Maturity | 2040-03 | [1],[3],[4],[5] | 2043-01 | [1],[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 | 2,142,000 | [1],[3],[4],[5] | 10,460,000 | [1],[6],[7],[8] |
Investment Owned Description | Other Government National Mortgage Association | [1],[3],[4],[5] | Other Government National Mortgage Association | [1],[6],[7],[8] |
Rate | 4.75% | [1],[3],[4],[5] | ||
Maturity | 2040-07 | [1],[3],[4],[5] | ||
Fair Value | 461,000 | [1],[3],[4],[5] | 1,734,000 | [1],[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% | [1],[6],[7],[8] | ||
Maturity | 2036-03 | [1],[6],[7],[8] | ||
Interest Only - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Maximum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 5.50% | [1],[6],[7],[8] | ||
Maturity | 2042-11 | [1],[6],[7],[8] | ||
TBA - Fixed Rate Agency Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 9.18% | [1],[2],[3],[4],[5] | 15.47% | [1],[2],[6],[7],[8] |
Current Principal/Notional Amount | 71,598,000 | 101,150,000 | ||
Fair Value | 72,410,000 | [1],[3],[4],[5] | 96,856,000 | [1],[6],[7],[8] |
TBA - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association (30 Year) [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 44,478,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal National Mortgage Association (30 Year) | [1],[3],[4],[5] | ||
Rate | 3.00% | [1],[3],[4],[5] | ||
Maturity | 2015-01 | [1],[3],[4],[5] | ||
Fair Value | 45,015,000 | [1],[3],[4],[5] | ||
TBA - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation (30 Year) [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 27,120,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation (30 Year) | [1],[3],[4],[5] | ||
Rate | 3.00% | [1],[3],[4],[5] | ||
Maturity | 2015-01 | [1],[3],[4],[5] | ||
Fair Value | 27,395,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation (30 Year) | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2014-01 | [1],[6],[7],[8] | ||
Fair Value | 60,016,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association (30 Year) | [1],[6],[7],[8] | ||
Rate | 3.00% | [1],[6],[7],[8] | ||
Maturity | 2014-01 | [1],[6],[7],[8] | ||
Fair Value | 29,612,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation (30 Year) | [1],[6],[7],[8] | ||
Rate | 5.00% | [1],[6],[7],[8] | ||
Maturity | 2014-01 | [1],[6],[7],[8] | ||
Fair Value | 7,228,000 | [1],[6],[7],[8] | ||
Fixed Rate Agency Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 158.20% | [1],[2],[3],[4],[5] | 156.28% | [1],[2],[6],[7],[8] |
Fair Value | 1,247,493,000 | [1],[3],[4],[5] | 978,356,000 | [1],[6],[7],[8] |
Investment Owned, at Cost | 1,230,414,000 | [1],[3],[4],[5] | 992,207,000 | [1],[6],[7],[8] |
Principal And Interest - Floating Rate Agency Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 2.62% | [1],[2],[3],[4],[5] | 4.89% | [1],[2],[6],[7],[8] |
Fair Value | 20,647,000 | [1],[3],[4],[5] | 30,618,000 | [1],[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 | 6,265,000 | [1],[3],[4],[5] | 3,667,000 | [1],[6],[7],[8] |
Investment Owned Description | Other Federal National Mortgage Association Pools | [1],[3],[4],[5] | Other Federal National Mortgage Association Pools | [1],[6],[7],[8] |
Fair Value | 6,692,000 | [1],[3],[4],[5] | 3,900,000 | [1],[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% | [1],[3],[4],[5] | 2.64% | [1],[6],[7],[8] |
Maturity | 2035-09 | [1],[3],[4],[5] | 2036-04 | [1],[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% | [1],[3],[4],[5] | 6.05% | [1],[6],[7],[8] |
Maturity | 2037-09 | [1],[3],[4],[5] | 2037-09 | [1],[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 | 4,653,000 | [1],[3],[4],[5] | 3,148,000 | [1],[6],[7],[8] |
Investment Owned Description | Other Federal Home Loan Mortgage Corporation Pools | [1],[3],[4],[5] | Other Federal Home Loan Mortgage Corporation Pools | [1],[6],[7],[8] |
Fair Value | 4,876,000 | [1],[3],[4],[5] | 3,341,000 | [1],[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% | [1],[3],[4],[5] | 5.83% | [1],[6],[7],[8] |
Maturity | 2037-06 | [1],[3],[4],[5] | 2037-06 | [1],[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% | [1],[3],[4],[5] | 5.89% | [1],[6],[7],[8] |
Maturity | 2044-05 | [1],[3],[4],[5] | 2037-07 | [1],[6],[7],[8] |
Principal And Interest - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association Pools [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,404,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Other Government National Mortgage Association Pool | [1],[3],[4],[5] | ||
Rate | 2.47% | [1],[3],[4],[5] | ||
Maturity | 2064-11 | [1],[3],[4],[5] | ||
Fair Value | 3,673,000 | [1],[3],[4],[5] | ||
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 | 5,084,000 | [1],[3],[4],[5] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[3],[4],[5] | ||
Rate | 4.92% | [1],[3],[4],[5] | ||
Maturity | 2038-04 | [1],[3],[4],[5] | ||
Fair Value | 5,406,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal Home Loan Mortgage Corporation Pool | [1],[6],[7],[8] | ||
Rate | 4.92% | [1],[6],[7],[8] | ||
Maturity | 2038-04 | [1],[6],[7],[8] | ||
Fair Value | 6,709,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 4.27% | [1],[6],[7],[8] | ||
Maturity | 2040-04 | [1],[6],[7],[8] | ||
Fair Value | 5,256,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 5.73% | [1],[6],[7],[8] | ||
Maturity | 2037-07 | [1],[6],[7],[8] | ||
Fair Value | 3,937,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 2.53% | [1],[6],[7],[8] | ||
Maturity | 2038-05 | [1],[6],[7],[8] | ||
Fair Value | 3,878,000 | [1],[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 | [1],[6],[7],[8] | ||
Investment Owned Description | Federal National Mortgage Association Pool | [1],[6],[7],[8] | ||
Rate | 6.10% | [1],[6],[7],[8] | ||
Maturity | 2037-08 | [1],[6],[7],[8] | ||
Fair Value | 3,597,000 | [1],[6],[7],[8] | ||
Interest Only - Floating Rate Agency Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 2.78% | [1],[2],[3],[4],[5] | 3.41% | [1],[2],[6],[7],[8] |
Fair Value | 21,944,000 | [1],[3],[4],[5] | 21,372,000 | [1],[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 | 28,251,000 | [1],[3],[4],[5] | 25,322,000 | [1],[6],[7],[8] |
Investment Owned Description | Other Federal National Mortgage Association | [1],[3],[4],[5] | Other Federal National Mortgage Association | [1],[6],[7],[8] |
Fair Value | 4,508,000 | [1],[3],[4],[5] | 4,600,000 | [1],[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% | [1],[3],[4],[5] | 5.50% | [1],[6],[7],[8] |
Maturity | 2035-04 | [1],[3],[4],[5] | 2036-08 | [1],[6],[7],[8] |
Interest Only - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | Maximum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 6.58% | [1],[3],[4],[5] | 6.59% | [1],[6],[7],[8] |
Maturity | 2043-07 | [1],[3],[4],[5] | 2043-07 | [1],[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 | 13,048,000 | [1],[3],[4],[5] | 18,180,000 | [1],[6],[7],[8] |
Investment Owned Description | Other Federal Home Loan Mortgage Corporation | [1],[3],[4],[5] | Other Federal Home Loan Mortgage Corporation | [1],[6],[7],[8] |
Fair Value | 1,872,000 | [1],[3],[4],[5] | 2,433,000 | [1],[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 | 5.84% | [1],[3],[4],[5] | 5.83% | [1],[6],[7],[8] |
Maturity | 2036-03 | [1],[3],[4],[5] | 2038-11 | [1],[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 | 6.47% | [1],[3],[4],[5] | 6.53% | [1],[6],[7],[8] |
Maturity | 2039-08 | [1],[3],[4],[5] | 2039-08 | [1],[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 | 183,794,000 | [1],[3],[4],[5] | 108,194,000 | [1],[6],[7],[8] |
Investment Owned Description | Other Government National Mortgage Association | [1],[3],[4],[5] | Other Government National Mortgage Association | [1],[6],[7],[8] |
Fair Value | 13,591,000 | [1],[3],[4],[5] | 11,987,000 | [1],[6],[7],[8] |
Interest Only - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Minimum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 0.40% | [1],[3],[4],[5] | 1.64% | [1],[6],[7],[8] |
Maturity | 2042-11 | [1],[3],[4],[5] | 2042-11 | [1],[6],[7],[8] |
Interest Only - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Maximum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 6.58% | [1],[3],[4],[5] | 6.58% | [1],[6],[7],[8] |
Maturity | 2063-10 | [1],[3],[4],[5] | 2063-08 | [1],[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 | 21,145,000 | [1],[3],[4],[5],[9] | 22,796,000 | [1],[6],[7],[8],[9] |
Investment Owned Description | Resecuritization of Government National Mortgage Association (w) | [1],[3],[4],[5],[9] | Resecuritization of Government National Mortgage Association (t) | [1],[6],[7],[8],[9] |
Rate | 4.34% | [1],[3],[4],[5],[9] | 4.34% | [1],[6],[7],[8],[9] |
Maturity | 2060-08 | [1],[3],[4],[5],[9] | 2060-08 | [1],[6],[7],[8],[9] |
Fair Value | 1,973,000 | [1],[3],[4],[5],[9] | 2,352,000 | [1],[6],[7],[8],[9] |
Floating Rate Agency Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 5.40% | [1],[2],[3],[4],[5] | 8.30% | [1],[2],[6],[7],[8] |
Fair Value | 42,591,000 | [1],[3],[4],[5] | 51,990,000 | [1],[6],[7],[8] |
Investment Owned, at Cost | 41,787,000 | [1],[3],[4],[5] | 50,969,000 | [1],[6],[7],[8] |
Agency Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 163.60% | [1],[2],[3],[4],[5] | 164.58% | [1],[2],[6],[7],[8] |
Fair Value | 1,290,084,000 | [1],[3],[4],[5] | 1,030,346,000 | [1],[6],[7],[8] |
Investment Owned, at Cost | 1,272,201,000 | [1],[3],[4],[5] | 1,043,176,000 | [1],[6],[7],[8] |
Principal And Interest - Private Label Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 76.95% | [1],[2],[3],[4] | 97.40% | [1],[2],[6],[7] |
Fair Value | 606,757,000 | [1],[3],[4] | 609,766,000 | [1],[6],[7] |
Investment Owned, at Cost | 571,834,000 | [1],[3],[4] | 555,708,000 | [1],[6],[7] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 963,038,000 | [1],[3],[4] | 920,032,000 | [1],[6],[7] |
Investment Owned Description | Various | [1],[3],[4] | Various | [1],[6],[7] |
Fair Value | 606,757,000 | [1],[3],[4] | 609,766,000 | [1],[6],[7] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 0.00% | [1],[3],[4] | 0.24% | [1],[6],[7] |
Maturity | 2015-07 | [1],[3],[4] | 2019-05 | [1],[6],[7] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 12.25% | [1],[3],[4] | 9.35% | [1],[6],[7] |
Maturity | 2061-01 | [1],[3],[4] | 2050-06 | [1],[6],[7] |
Principal Only - Private Label Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 0.41% | [1],[2],[3],[4] | 0.45% | [1],[2],[6],[7] |
Fair Value | 3,248,000 | [1],[3],[4] | 2,784,000 | [1],[6],[7] |
Investment Owned, at Cost | 2,737,000 | [1],[3],[4] | 2,477,000 | [1],[6],[7] |
Principal Only - Private Label Securities [Member] | Various Issuer [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 5,800,000 | [1],[3],[4] | 5,800,000 | [1],[6],[7] |
Investment Owned Description | Various | [1],[3],[4] | Various | [1],[6],[7] |
Rate | 0.00% | [1],[3],[4] | 0.00% | [1],[6],[7] |
Maturity | 2030-08 | [1],[3],[4] | 2030-08 | [1],[6],[7] |
Fair Value | 3,248,000 | [1],[3],[4] | 2,784,000 | [1],[6],[7] |
Interest Only - Private Label Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 0.31% | [1],[2],[3],[4] | 0.19% | [1],[2],[6],[7] |
Fair Value | 2,423,000 | [1],[3],[4] | 1,216,000 | [1],[6],[7] |
Investment Owned, at Cost | 1,602,000 | [1],[3],[4] | 519,000 | [1],[6],[7] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 65,223,000 | [1],[3],[4] | 50,649,000 | [1],[6],[7] |
Investment Owned Description | Various | [1],[3],[4] | Various | [1],[6],[7] |
Fair Value | 2,423,000 | [1],[3],[4] | 1,216,000 | [1],[6],[7] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 0.50% | [1],[3],[4] | 0.50% | [1],[6],[7] |
Maturity | 2044-06 | [1],[3],[4] | 2044-06 | [1],[6],[7] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 2.00% | [1],[3],[4] | 2.00% | [1],[6],[7] |
Maturity | 2047-12 | [1],[3],[4] | 2047-09 | [1],[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 | [1],[3],[4] | 0 | [1],[6],[7] |
Investment Owned, at Cost | 302,000 | [1],[3],[4] | 345,000 | [1],[6],[7] |
Other Private Label Securities [Member] | Various Issuer [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 111,629,000 | [1],[3],[4] | 127,491,000 | [1],[6],[7] |
Investment Owned Description | Various | [1],[3],[4] | Various | [1],[6],[7] |
Rate | 0.00% | [1],[3],[4] | 0.00% | [1],[6],[7] |
Fair Value | 0 | [1],[3],[4] | 0 | [1],[6],[7] |
Other Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Maturity | 2037-06 | [1],[3],[4] | 2037-06 | [1],[6],[7] |
Other Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Maturity | 2047-10 | [1],[3],[4] | 2045-07 | [1],[6],[7] |
Private Label Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 77.67% | [1],[2],[3],[4] | 98.04% | [1],[2],[6],[7] |
Fair Value | 612,428,000 | [1],[3],[4] | 613,766,000 | [1],[6],[7] |
Investment Owned, at Cost | 576,475,000 | [1],[3],[4] | 559,049,000 | [1],[6],[7] |
Mortgage-Backed Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 241.27% | [1],[2],[3],[4] | 262.62% | [1],[2],[6],[7] |
Fair Value | 1,902,512,000 | [1],[3],[4] | 1,644,112,000 | [1],[6],[7] |
Investment Owned, at Cost | 1,848,676,000 | [1],[3],[4] | 1,602,225,000 | [1],[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 | [1],[6],[7] | ||
Investment Owned, at Cost | 38,758,000 | [1],[6],[7] | ||
Other Asset-backed Securities [Member] | Various Issuer [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 42,822,000 | [1],[6],[7] | ||
Investment Owned Description | Various | [1],[6],[7] | ||
Fair Value | 38,069,000 | [1],[6],[7] | ||
Other Asset-backed Securities [Member] | Various Issuer [Member] | Minimum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 0.00% | [1],[6],[7] | ||
Maturity | 2017-06 | [1],[6],[7] | ||
Other Asset-backed Securities [Member] | Various Issuer [Member] | Maximum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 9.74% | [1],[6],[7] | ||
Maturity | 2040-12 | [1],[6],[7] | ||
Other asset-backed securities and loans [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 18.55% | [1],[2],[3],[4] | ||
Fair Value | 146,288,000 | [1],[3],[4] | ||
Investment Owned, at Cost | 149,386,000 | [1],[3],[4] | ||
Other asset-backed securities and loans [Member] | Various Issuer [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 169,458,000 | [1],[3],[4] | ||
Investment Owned Description | Various | [1],[3],[4] | ||
Fair Value | 146,288,000 | [1],[3],[4] | ||
Other asset-backed securities and loans [Member] | Various Issuer [Member] | Minimum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 0.00% | [1],[3],[4] | ||
Maturity | 2015-06 | [1],[3],[4] | ||
Other asset-backed securities and loans [Member] | Various Issuer [Member] | Maximum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 49.00% | [1],[3],[4] | ||
Maturity | 2068-09 | [1],[3],[4] | ||
Corporate Debt [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 5.41% | [1],[2],[3],[4] | ||
Fair Value | 42,708,000 | [1],[3],[4] | ||
Investment Owned, at Cost | 43,585,000 | [1],[3],[4] | ||
Corporate Debt [Member] | Various Issuer [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 46,006,000 | [1],[3],[4] | ||
Investment Owned Description | Various | [1],[3],[4] | ||
Fair Value | 42,708,000 | [1],[3],[4] | ||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 5.25% | [1],[3],[4] | ||
Maturity | 2016-06 | [1],[3],[4] | ||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 15.00% | [1],[3],[4] | ||
Maturity | 2021-09 | [1],[3],[4] | ||
Commercial Mortgage Loans [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 3.59% | [1],[10],[2],[3],[4] | 3.82% | [1],[11],[2],[6],[7] |
Fair Value | 28,309,000 | [1],[10],[3],[4] | 23,887,000 | [1],[11],[6],[7] |
Investment Owned, at Cost | 28,266,000 | [1],[10],[3],[4] | 23,212,000 | [1],[11],[6],[7] |
Commercial Mortgage Loans [Member] | Various Issuer [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 32,519,000 | [1],[10],[3],[4] | 26,227,000 | [1],[11],[6],[7] |
Investment Owned Description | Various | [1],[10],[3],[4] | Various | [1],[11],[6],[7] |
Fair Value | 28,309,000 | [1],[10],[3],[4] | 23,887,000 | [1],[11],[6],[7] |
Commercial Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 0.00% | [1],[10],[3],[4] | 0.00% | [1],[11],[6],[7] |
Maturity | 2015-01 | [1],[10],[3],[4] | 2014-06 | [1],[11],[6],[7] |
Commercial Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Rate | 10.00% | [1],[10],[3],[4] | 7.25% | [1],[11],[6],[7] |
Maturity | 2017-11 | [1],[10],[3],[4] | 2016-12 | [1],[11],[6],[7] |
Residential Mortgage Loans [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 3.49% | [1],[2],[3],[4] | 3.84% | [1],[2],[6],[7] |
Fair Value | 27,482,000 | [1],[3],[4] | 24,062,000 | [1],[6],[7] |
Investment Owned, at Cost | 27,398,000 | [1],[3],[4] | 24,062,000 | [1],[6],[7] |
Residential Mortgage Loans [Member] | Various Issuer [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 44,336,000 | [1],[3],[4] | 36,218,000 | [1],[6],[7] |
Investment Owned Description | Various | [1],[3],[4] | Various | [1],[6],[7] |
Rate | 0.00% | [1],[3],[4] | 0.00% | [1],[6],[7] |
Fair Value | 27,482,000 | [1],[3],[4] | 24,062,000 | [1],[6],[7] |
Residential Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Maturity | 2018-02 | [1],[3],[4] | 2024-08 | [1],[6],[7] |
Residential Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member] | ||||
Schedule of Investments [Line Items] | ||||
Maturity | 2054-10 | [1],[3],[4] | 2042-10 | [1],[6],[7] |
Real Estate Owned [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 1.10% | [1],[12],[2],[3],[4] | ||
Fair Value | 8,635,000 | [1],[12],[3],[4] | ||
Investment Owned, at Cost | 8,748,000 | [1],[12],[3],[4] | ||
Real Estate Owned [Member] | Single-Family Houses [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 50 | [1],[12],[3],[4] | ||
Investment Owned Description | Single-Family Houses | [1],[12],[3],[4] | ||
Fair Value | 6,591,000 | [1],[12],[3],[4] | ||
Real Estate Owned [Member] | Commercial Property [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 1 | [1],[12],[3],[4] | ||
Investment Owned Description | Commercial Property | [1],[12],[3],[4] | ||
Fair Value | 2,044,000 | [1],[12],[3],[4] | ||
Private Corporate Investments [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 1.84% | [1],[2],[3],[4] | ||
Fair Value | 14,512,000 | [1],[3],[4] | ||
Investment Owned, at Cost | 14,717,000 | [1],[3],[4] | ||
Private Corporate Investments [Member] | North America [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 1.84% | |||
Fair Value | 14,512,000 | |||
Investment Owned, at Cost | 14,717,000 | |||
Private Corporate Investments [Member] | Non-Exchange Traded Preferred Equity Investment in Commercial Mortgage-related Private Partnership | ||||
Schedule of Investments [Line Items] | ||||
Investment Owned Description | Non-Exchange Traded Preferred Equity Investment in Commercial Mortgage-Related Private Partnership | [1],[3],[4] | ||
Fair Value | 6,241,000 | [1],[3],[4] | ||
Investment Owned, Balance, Shares | 6,241 | [1],[3],[4] | ||
Private Corporate Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment Owned Description | Non-Exchange Traded Corporate Equity | [1],[3],[4] | ||
Fair Value | 2,860,000 | [1],[3],[4] | ||
Investment Owned, Balance, Shares | 88 | [1],[3],[4] | ||
Private Corporate Investments [Member] | Non-controlling Interest in Mortgage-related Private Partnership [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment Owned Description | Non-Controlling Interest in Mortgage-Related Private Partnership | [1],[3],[4] | ||
Fair Value | 2,673,000 | [1],[3],[4] | ||
Private Corporate Investments [Member] | Non-Exchange Traded Preferred Equity Investment in Mortgage Originators [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment Owned Description | Non-Exchange Traded Preferred Equity Investment in Mortgage Originators | [1],[3],[4] | ||
Fair Value | 2,500,000 | [1],[3],[4] | ||
Investment Owned, Balance, Shares | 7,657 | [1],[3],[4] | ||
Private Corporate Investments [Member] | Non-Exchange Traded Equity Investment in Mortgage Originator | ||||
Schedule of Investments [Line Items] | ||||
Investment Owned Description | Non-Exchange Traded Equity Investment in Mortgage Originators | [1],[3],[4] | ||
Fair Value | 238,000 | [1],[3],[4] | ||
Investment Owned, Balance, Shares | 728 | [1],[3],[4] | ||
US Treasury Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 0.21% | [1],[2],[3],[4] | ||
Fair Value | 1,636,000 | [1],[3],[4] | ||
Investment Owned, at Cost | 1,550,000 | [1],[3],[4] | ||
US Treasury Securities [Member] | US Treasury Bond [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 1,560,000 | [1],[3],[4] | ||
Investment Owned Description | U.S. Treasury Bond | [1],[3],[4] | ||
Rate | 3.00% | [1],[3],[4] | ||
Maturity | 2044-11 | [1],[3],[4] | ||
Fair Value | 1,636,000 | [1],[3],[4] | ||
Long Investments [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 275.46% | [1],[2],[3],[4] | 276.36% | [1],[2],[6],[7] |
Current Principal/Notional Amount | 2,478,291,000 | |||
Fair Value | 2,172,082,000 | [1],[3],[4] | 1,730,130,000 | [1],[6],[7] |
Investment Owned, at Cost | 2,122,326,000 | [1],[3],[4] | 1,688,257,000 | [1],[6],[7] |
Long Investments [Member] | North America [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 264.46% | 275.44% | ||
Current Principal/Notional Amount | 2,863,057,000 | 2,470,650,000 | ||
Fair Value | 2,092,959,000 | 1,724,370,000 | ||
Investment Owned, at Cost | 2,038,249,000 | 1,682,533,000 | ||
Long Investments [Member] | Europe [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 9.16% | 0.92% | ||
Current Principal/Notional Amount | 69,724,000 | 7,641,000 | ||
Fair Value | 64,611,000 | 5,760,000 | ||
Investment Owned, at Cost | 69,360,000 | 5,724,000 | ||
Long Investments [Member] | Federal National Mortgage Association [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 100.30% | 100.85% | ||
Long Investments [Member] | Federal Home Loan Mortgage Corporation [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 53.97% | 51.37% | ||
Long Investments [Member] | Government National Mortgage Association [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment owned as a percentage of equity | 9.33% | 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] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[2] | Classification percentages are based on Total Equity. | |||
[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 2,863,057 $2,038,249 $2,092,959 264.46 %Europe 69,724 69,360 64,611 9.16 %North America (Private Corporate Investments) n/a 14,717 14,512 1.84 %Total $2,122,326 $2,172,082 275.46 %Investments Sold Short: North America (TBAs and Government Debt) (1,159,703) $(1,230,478) $(1,234,248) (156.53)%Europe (Government Debt) (28,118) (32,008) (30,606) (3.88)%North America (Common Stock) (2,986) (27,605) (26,516) (3.36)%Total $(1,290,091) $(1,291,370) (163.77)%Repurchase Agreements: North America 140,248 $140,248 $140,248 17.78 %Europe 31,753 31,753 31,753 4.03 %Total 172,001 $172,001 $172,001 21.81 %Financial Derivatives–Assets: North America 1,401,261 $61,560 $80,029 10.15 %Europe — — — — %Total 1,401,261 $61,560 $80,029 10.15 %Financial Derivatives–Liabilities: North America (936,799) $(30,598) $(63,084) (8.00)%Europe (37,199) (2,957) (3,032) (0.39)%Total (973,998) $(33,555) $(66,116) (8.39)% | |||
[4] | 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 163.60%A/A/A 0.98%Baa/BBB/BBB 5.62%Ba/BB/BB or below 80.65%Unrated 24.61% | |||
[5] | At December 31, 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 100.30%, 53.97%, and 9.33% of equity, respectively. | |||
[6] | 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% | |||
[7] | 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 % | |||
[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 $11.3 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) (USD $) | 12 Months Ended | |||
Dec. 31, 2014 | Dec. 31, 2013 | |||
Schedule of Investments [Line Items] | ||||
Fair value repurchase agreements | $172,001,000 | [1] | $27,962,000 | [1] |
Repurchase agreements, cost | 172,001,000 | 27,943,000 | ||
Repurchase Agreements [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 172,001,000 | 27,962,000 | ||
Fair value repurchase agreements | 172,001,000 | [2],[3],[4] | 27,962,000 | [2],[3],[5] |
Investment owned as a percentage of equity | 21.81% | [2],[3],[4],[6] | 4.47% | [2],[3],[5],[6] |
Repurchase agreements, cost | 172,001,000 | [2],[3],[4] | 27,943,000 | [2],[3],[5] |
Repurchase Agreements [Member] | Deutsche Bank Securities Collateralized By Par Value $122,870 U.S. Treasury Note, Coupon 1.50% Maturity Date 2019-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 122,256,000 | [2],[3],[4] | ||
Securities collateralized by par value | 122,870,000 | [2],[3],[4] | ||
U.S. treasury note, coupon | 1.50% | [2],[3],[4] | ||
Maturity date of securities | 2019-11 | [2],[3],[4] | ||
Description | Deutsche Bank Securities Collateralized by Par Value $122,870 U.S. Treasury Note, Coupon 1.50%, Maturity Date 11/19 | [2],[3],[4] | ||
Rate | -0.22% | [2],[3],[4] | ||
Investments maturity date | 2015-01 | [2],[3],[4] | ||
Fair value repurchase agreements | 122,256,000 | [2],[3],[4] | ||
Repurchase Agreements [Member] | Barclays Capital Inc. Collateralized By Par Value $11,508 Sovereign Government Bond, Coupon 2.75% Maturity Date 2019-04 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 13,090,000 | [2],[3],[4] | ||
Securities collateralized by par value | 11,508,000 | [2],[3],[4] | ||
U.S. treasury note, coupon | 2.75% | [2],[3],[4] | ||
Maturity date of securities | 2019-04 | [2],[3],[4] | ||
Description | Barclays Capital Inc. Collateralized by Par Value $11,508 Sovereign Government Bond, Coupon 2.75%, Maturity Date 4/19 | [2],[3],[4] | ||
Rate | -0.10% | [2],[3],[4] | ||
Investments maturity date | 2015-01 | [2],[3],[4] | ||
Fair value repurchase agreements | 13,090,000 | [2],[3],[4] | ||
Repurchase Agreements [Member] | Barclays Capital Inc. Collateralized By Par Value $8,390 Sovereign Government Bond, Coupon 3.75% Maturity Date 2018-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 9,712,000 | [2],[3],[4] | ||
Securities collateralized by par value | 8,390,000 | [2],[3],[4] | ||
U.S. treasury note, coupon | 3.75% | [2],[3],[4] | ||
Maturity date of securities | 2018-10 | [2],[3],[4] | ||
Description | Barclays Capital Inc. Collateralized by Par Value $8,390 Sovereign Government Bond, Coupon 3.75%, Maturity Date 10/18 | [2],[3],[4] | ||
Rate | -0.10% | [2],[3],[4] | ||
Investments maturity date | 2015-01 | [2],[3],[4] | ||
Fair value repurchase agreements | 9,712,000 | [2],[3],[4] | ||
Repurchase Agreements [Member] | Bank of America Collateralized By Par Value $7,410 U.S. Treasury Note Coupon, 2.25% Maturity Date 2024-11[Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 7,465,000 | [2],[3],[4] | ||
Securities collateralized by par value | 7,410,000 | [2],[3],[4] | ||
U.S. treasury note, coupon | 2.25% | [2],[3],[4] | ||
Maturity date of securities | 2024-11 | [2],[3],[4] | ||
Description | Bank of America Collateralized by Par Value $7,410 U.S. Treasury Note, Coupon 2.25%, Maturity Date 11/24 | [2],[3],[4] | ||
Rate | -0.22% | [2],[3],[4] | ||
Investments maturity date | 2015-01 | [2],[3],[4] | ||
Fair value repurchase agreements | 7,465,000 | [2],[3],[4] | ||
Repurchase Agreements [Member] | Barclays Capital Inc. Collateralized By Par Value $6,393 Sovereign Government Bond, Coupon 4.00% Maturity Date 2016-09 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 6,888,000 | [2],[3],[4] | ||
Securities collateralized by par value | 6,393,000 | [2],[3],[4] | ||
U.S. treasury note, coupon | 4.00% | [2],[3],[4] | ||
Maturity date of securities | 2016-09 | [2],[3],[4] | ||
Description | Barclays Capital Inc. Collateralized by Par Value $6,393 Sovereign Government Bond, Coupon 4.00%, Maturity Date 9/16 | [2],[3],[4] | ||
Rate | 0.15% | [2],[3],[4] | ||
Investments maturity date | 2015-01 | [2],[3],[4] | ||
Fair value repurchase agreements | 6,888,000 | [2],[3],[4] | ||
Repurchase Agreements [Member] | Pierpont Securities LLC Collateralized By Par Value $5000 US Treasury Note Coupon, 1.25% Maturity Date 2018-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 4,975,000 | [2],[3],[4] | ||
Securities collateralized by par value | 5,000,000 | [2],[3],[4] | ||
U.S. treasury note, coupon | 1.25% | [2],[3],[4] | ||
Maturity date of securities | 2018-10 | [2],[3],[4] | ||
Description | Pierpont Securities LLC Collateralized by Par Value $5,000 U.S. Treasury Note, Coupon 1.25%, Maturity Date 10/18 | [2],[3],[4] | ||
Rate | -0.10% | [2],[3],[4] | ||
Investments maturity date | 2015-01 | [2],[3],[4] | ||
Fair value repurchase agreements | 4,975,000 | [2],[3],[4] | ||
Repurchase Agreements [Member] | Bank of America Collateralized By Par Value $3,354 US Treasury Note Coupon 2.25% Maturity Date 2024-11 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 3,379,000 | [2],[3],[4] | ||
Securities collateralized by par value | 3,354,000 | [2],[3],[4] | ||
U.S. treasury note, coupon | 2.25% | [2],[3],[4] | ||
Maturity date of securities | 2024-11 | [2],[3],[4] | ||
Description | Bank of America Collateralized by Par Value $3,354 U.S. Treasury Note, Coupon 2.25%, Maturity Date 11/24 | [2],[3],[4] | ||
Rate | -0.25% | [2],[3],[4] | ||
Investments maturity date | 2015-01 | [2],[3],[4] | ||
Fair value repurchase agreements | 3,379,000 | [2],[3],[4] | ||
Repurchase Agreements [Member] | Pierpont Securities LLC Collateralized By Par Value $2,000 US Treasury Bond Coupon 3.13% Maturity Date 2044-08 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 2,173,000 | [2],[3],[4] | ||
Securities collateralized by par value | 2,000,000 | [2],[3],[4] | ||
U.S. treasury note, coupon | 3.13% | [2],[3],[4] | ||
Maturity date of securities | 2044-08 | [2],[3],[4] | ||
Description | Pierpont Securities LLC Collateralized by Par Value $2,000 U.S. Treasury Bond, Coupon 3.13%, Maturity Date 8/44 | [2],[3],[4] | ||
Rate | -0.30% | [2],[3],[4] | ||
Investments maturity date | 2015-01 | [2],[3],[4] | ||
Fair value repurchase agreements | 2,173,000 | [2],[3],[4] | ||
Repurchase Agreements [Member] | Deutsche Bank Securities Collateralized By Par Value $1,827 Sovereign Government Bond Coupon 2.75% Maturity Date 2019-04 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 2,063,000 | [2],[3],[4] | ||
Securities collateralized by par value | 1,827,000 | [2],[3],[4] | ||
U.S. treasury note, coupon | 2.75% | [2],[3],[4] | ||
Maturity date of securities | 2019-04 | [2],[3],[4] | ||
Description | Deutsche Bank Securities Collateralized by Par Value $1,827 Sovereign Government Bond, Coupon 2.75%, Maturity Date 4/19 | [2],[3],[4] | ||
Rate | -0.10% | [2],[3],[4] | ||
Investments maturity date | 2015-01 | [2],[3],[4] | ||
Fair value repurchase agreements | 2,063,000 | [2],[3],[4] | ||
Repurchase Agreements [Member] | JP Morgan Securities Inc Collateralized by Par Value $20,000 U.S. Treasury Note Coupon 1.25% Maturity Date 2018-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 19,675,000 | [2],[3],[5] | ||
Securities collateralized by par value | 20,000,000 | [2],[3],[5] | ||
U.S. treasury note, coupon | 1.25% | [2],[3],[5] | ||
Maturity date of securities | 2018-10 | [2],[3],[5] | ||
Description | J.P. Morgan Securities Inc. Collateralized by Par Value $20,000 U.S. Treasury Note, Coupon 1.25%, Maturity Date 10/18 | [2],[3],[5] | ||
Rate | -0.05% | [2],[3],[5] | ||
Investments maturity date | 2014-01 | [2],[3],[5] | ||
Fair value repurchase agreements | 19,675,000 | [2],[3],[5] | ||
Repurchase Agreements [Member] | Deutsche Bank Securities Collateralized by Par Value $5,625 Sovereign Bond Coupon 3.75% Maturity Date 2018-10 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 8,287,000 | [2],[3],[5] | ||
Securities collateralized by par value | 7,751,000 | [2],[3],[5] | ||
U.S. treasury note, coupon | 3.75% | [2],[3],[5] | ||
Maturity date of securities | 2018-10 | [2],[3],[5] | ||
Description | Deutsche Bank Securities Collateralized by Par Value $7,751 European Sovereign Bond, Coupon 3.75%, Maturity Date 10/18 | [2],[3],[5] | ||
Rate | 0.00% | [2],[3],[5] | ||
Investments maturity date | 2014-01 | [2],[3],[5] | ||
Fair value repurchase agreements | 8,287,000 | [2],[3],[5] | ||
North America [Member] | Repurchase Agreements [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 140,248,000 | 19,675,000 | ||
Fair value repurchase agreements | 140,248,000 | 19,675,000 | ||
Investment owned as a percentage of equity | 17.78% | 3.15% | ||
Repurchase agreements, cost | 140,248,000 | 19,675,000 | ||
Europe [Member] | Repurchase Agreements [Member] | ||||
Schedule of Investments [Line Items] | ||||
Current Principal/Notional Amount | 31,753,000 | 8,287,000 | ||
Fair value repurchase agreements | 31,753,000 | 8,287,000 | ||
Investment owned as a percentage of equity | 4.03% | 1.32% | ||
Repurchase agreements, cost | $31,753,000 | $8,268,000 | ||
[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] | In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. | |||
[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 2,863,057 $2,038,249 $2,092,959 264.46 %Europe 69,724 69,360 64,611 9.16 %North America (Private Corporate Investments) n/a 14,717 14,512 1.84 %Total $2,122,326 $2,172,082 275.46 %Investments Sold Short: North America (TBAs and Government Debt) (1,159,703) $(1,230,478) $(1,234,248) (156.53)%Europe (Government Debt) (28,118) (32,008) (30,606) (3.88)%North America (Common Stock) (2,986) (27,605) (26,516) (3.36)%Total $(1,290,091) $(1,291,370) (163.77)%Repurchase Agreements: North America 140,248 $140,248 $140,248 17.78 %Europe 31,753 31,753 31,753 4.03 %Total 172,001 $172,001 $172,001 21.81 %Financial Derivatives–Assets: North America 1,401,261 $61,560 $80,029 10.15 %Europe — — — — %Total 1,401,261 $61,560 $80,029 10.15 %Financial Derivatives–Liabilities: North America (936,799) $(30,598) $(63,084) (8.00)%Europe (37,199) (2,957) (3,032) (0.39)%Total (973,998) $(33,555) $(66,116) (8.39)% | |||
[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] | Classification percentages are based on Total Equity. |
Consolidated_Condensed_Schedul2
Consolidated Condensed Schedule Of Investments (Investments Sold Short) (USD $) | 12 Months Ended | |||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | ||
Investments Sold, Not yet Purchased [Line Items] | ||||
Investments sold short, at fair value- | ($1,291,370) | ($845,614) | ||
Proceeds from investments sold short | -1,290,091 | -847,602 | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Investment Sold, Not yet Purchased, Percent of Equity | -153.39% | [1],[2],[3],[4] | -129.69% | [1],[2],[5],[6] |
Current Principal/Notional Amount | -1,135,218 | -784,888 | ||
Investments sold short, at fair value- | -1,209,539 | [1],[3],[4] | -811,957 | [1],[5],[6] |
Proceeds from investments sold short | -1,205,876 | [1],[3],[4] | -813,757 | [1],[5],[6] |
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 | -213,928 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (30 year) | [1],[3],[4] | ||
Rate | 4.00% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -228,376 | [1],[3],[4] | ||
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 | -205,082 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (30 year) | [1],[3],[4] | ||
Rate | 3.50% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -213,870 | [1],[3],[4] | ||
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 | -146,580 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (15 year) | [1],[3],[4] | ||
Rate | 3.50% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -154,837 | [1],[3],[4] | ||
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 | -123,117 | [1],[3],[4] | ||
Description | Federal Home Loan Mortgage Corporation (30 year) | [1],[3],[4] | ||
Rate | 4.00% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -131,254 | [1],[3],[4] | ||
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 | -92,080 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (30 year) | [1],[3],[4] | ||
Rate | 4.50% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -99,968 | [1],[3],[4] | ||
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 | -54,100 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (30 year) | [1],[3],[4] | ||
Rate | 5.00% | [1],[3],[4] | ||
Investments maturity date | 2015-02 | [1],[3],[4] | ||
Investments sold short, at fair value- | -59,698 | [1],[3],[4] | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.00% 2015-01 [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Current Principal/Notional Amount | -48,150 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (30 year) | [1],[3],[4] | ||
Rate | 5.00% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -53,193 | [1],[3],[4] | ||
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 | -48,800 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (30 year) | [1],[3],[4] | ||
Rate | 4.50% | [1],[3],[4] | ||
Investments maturity date | 2015-02 | [1],[3],[4] | ||
Investments sold short, at fair value- | -52,889 | [1],[3],[4] | ||
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 | -38,360 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (15 year) | [1],[3],[4] | ||
Rate | 3.00% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -39,870 | [1],[3],[4] | ||
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 | -36,081 | [1],[3],[4] | ||
Description | Federal Home Loan Mortgage Corporation (30 year) | [1],[3],[4] | ||
Rate | 4.50% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -39,111 | [1],[3],[4] | ||
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 | -26,400 | [1],[3],[4] | ||
Description | Federal Home Loan Mortgage Corporation (30 year) | [1],[3],[4] | ||
Rate | 4.00% | [1],[3],[4] | ||
Investments maturity date | 2015-02 | [1],[3],[4] | ||
Investments sold short, at fair value- | -28,071 | [1],[3],[4] | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.00% 2015-02 [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Current Principal/Notional Amount | -21,840 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (30 year) | [1],[3],[4] | ||
Rate | 4.00% | [1],[3],[4] | ||
Investments maturity date | 2015-02 | [1],[3],[4] | ||
Investments sold short, at fair value- | -23,255 | [1],[3],[4] | ||
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 | -20,300 | [1],[3],[4] | ||
Description | Federal Home Loan Mortgage Corporation (15 year) | [1],[3],[4] | ||
Rate | 3.50% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -21,429 | [1],[3],[4] | ||
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 | -15,850 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (15 year) | [1],[3],[4] | ||
Rate | 2.50% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -16,140 | [1],[3],[4] | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3.50% [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Current Principal/Notional Amount | -14,020 | [1],[3],[4] | ||
Description | Federal Home Loan Mortgage Corporation (30 year) | [1],[3],[4] | ||
Rate | 3.50% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -14,579 | [1],[3],[4] | ||
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 | -7,900 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (15 year) | [1],[3],[4] | ||
Rate | 4.00% | [1],[3],[4] | ||
Investments maturity date | 2015-02 | [1],[3],[4] | ||
Investments sold short, at fair value- | -8,365 | [1],[3],[4] | ||
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 | -6,860 | [1],[3],[4] | ||
Description | Federal National Mortgage Association (30 year) | [1],[3],[4] | ||
Rate | 5.50% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -7,673 | [1],[3],[4] | ||
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 | [1],[3],[4] | -23,200 | [1],[5],[6] |
Description | Federal Home Loan Mortgage Corporation (30 year) | [1],[3],[4] | Federal Home Loan Mortgage Corporation (30 year) | [1],[5],[6] |
Rate | 5.00% | [1],[3],[4] | 5.00% | [1],[5],[6] |
Investments maturity date | 2015-01 | [1],[3],[4] | 2014-02 | [1],[5],[6] |
Investments sold short, at fair value- | -6,622 | [1],[3],[4] | -24,996 | [1],[5],[6] |
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 | [1],[3],[4] | ||
Description | Federal Home Loan Mortgage Corporation (15 year) | [1],[3],[4] | ||
Rate | 3.00% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -4,256 | [1],[3],[4] | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal National Mortgage Association (15 Year) [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Current Principal/Notional Amount | -3,270 | [1],[3],[4] | ||
Description | Other Federal National Mortgage Association (15 year) | [1],[3],[4] | ||
Rate | 4.00% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -3,465 | [1],[3],[4] | ||
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 | [1],[3],[4] | ||
Description | Other Federal Home Loan Mortgage Corporation (30 year) | |||
Rate | 5.50% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -1,453 | [1],[3],[4] | ||
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 | [1],[3],[4] | ||
Description | Other Federal Home Loan Mortgage Corporation (15 year) | [1],[3],[4] | ||
Rate | 4.00% | [1],[3],[4] | ||
Investments maturity date | 2015-01 | [1],[3],[4] | ||
Investments sold short, at fair value- | -1,165 | [1],[3],[4] | ||
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 | [1],[5],[6] | ||
Description | Federal National Mortgage Association (30 year) | [1],[5],[6] | ||
Rate | 4.00% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -161,689 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal National Mortgage Association (30 year) | [1],[5],[6] | ||
Rate | 3.50% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -135,427 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal National Mortgage Association (30 year) | [1],[5],[6] | ||
Rate | 4.50% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -102,559 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal National Mortgage Association (15 year) | [1],[5],[6] | ||
Rate | 3.50% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -93,716 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal National Mortgage Association (30 year) | [1],[5],[6] | ||
Rate | 5.00% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -62,617 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal National Mortgage Association (15 year) | [1],[5],[6] | ||
Rate | 3.00% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -60,158 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal Home Loan Mortgage Corporation (30 year) | [1],[5],[6] | ||
Rate | 4.00% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -59,409 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal National Mortgage Association (15 year) | [1],[5],[6] | ||
Rate | 2.50% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -30,816 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal National Mortgage Association (30 year) | [1],[5],[6] | ||
Rate | 4.50% | [1],[5],[6] | ||
Investments maturity date | 2014-02 | [1],[5],[6] | ||
Investments sold short, at fair value- | -25,798 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal National Mortgage Association (15 year) | [1],[5],[6] | ||
Rate | 4.00% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -17,589 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal Home Loan Mortgage Corporation (15 year) | [1],[5],[6] | ||
Rate | 3.50% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -8,550 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal National Mortgage Association (30 year) | [1],[5],[6] | ||
Rate | 5.50% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -7,373 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal Home Loan Mortgage Corporation (30 year) | [1],[5],[6] | ||
Rate | 3.50% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -6,495 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal Home Loan Mortgage Corporation (15 year) | [1],[5],[6] | ||
Rate | 3.00% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -4,175 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Federal Home Loan Mortgage Corporation (30 year) | [1],[5],[6] | ||
Rate | 4.50% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -4,129 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Other Federal National Mortgage Association (30 Year) | [1],[5],[6] | ||
Rate | 6.00% | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -2,776 | [1],[5],[6] | ||
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 | [1],[5],[6] | ||
Description | Other Federal Home Loan Mortgage Corporation (30 Year) | [1],[5],[6] | ||
Investments maturity date | 2014-01 | [1],[5],[6] | ||
Investments sold short, at fair value- | -3,685 | [1],[5],[6] | ||
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 | -121.95% | -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 | -31.44% | -17.80% | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Minimum [Member] | Other Federal Home Loan Mortgage Corporation (30 year) 2014-01 [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Rate | 2.50% | [1],[5],[6] | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Maximum [Member] | Other Federal Home Loan Mortgage Corporation (30 year) 2014-01 [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Rate | 5.50% | [1],[5],[6] | ||
Government debt sold short [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Investment Sold, Not yet Purchased, Percent of Equity | -7.02% | [1],[2],[3] | -4.36% | [1],[2],[5] |
Investments sold short, at fair value- | -55,315 | [1],[3] | -27,288 | [1],[5] |
Proceeds from investments sold short | -56,610 | [1],[3] | -27,532 | [1],[5] |
Government debt sold short [Member] | Sovereign Debt Securities [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Current Principal/Notional Amount | -28,118 | [1],[3] | -7,337 | [1],[5] |
Description | European Sovereign Bonds | [1],[3] | European Sovereign Bond | [1],[5] |
Rate | 3.75% | [1],[5] | ||
Investments maturity date | 2018-10 | [1],[5] | ||
Investments sold short, at fair value- | -30,606 | [1],[3] | -7,681 | [1],[5] |
Government debt sold short [Member] | US Treasury Notes Securities [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Current Principal/Notional Amount | -22,485 | [1],[3] | -20,000 | [1],[5] |
Description | U.S. Treasury Note | [1],[3] | U.S. Treasury Note | [1],[5] |
Rate | 1.25% | [1],[5] | ||
Investments maturity date | 2018-10 | [1],[5] | ||
Investments sold short, at fair value- | -22,560 | [1],[3] | -19,607 | [1],[5] |
Government debt sold short [Member] | US Treasury Bond [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Current Principal/Notional Amount | -2,000 | [1],[3] | ||
Description | U.S. Treasury Bond | [1],[3] | ||
Rate | 3.13% | [1],[3] | ||
Investments maturity date | 2044-08 | [1],[3] | ||
Investments sold short, at fair value- | -2,149 | [1],[3] | ||
Government debt sold short [Member] | Minimum [Member] | Sovereign Debt Securities [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Rate | 2.75% | [1],[3] | ||
Investments maturity date | 2016-09 | [1],[3] | ||
Government debt sold short [Member] | Minimum [Member] | US Treasury Notes Securities [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Rate | 1.25% | [1],[3] | ||
Investments maturity date | 2018-10 | [1],[3] | ||
Government debt sold short [Member] | Maximum [Member] | Sovereign Debt Securities [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Rate | 4.00% | [1],[3] | ||
Investments maturity date | 2019-04 | [1],[3] | ||
Government debt sold short [Member] | Maximum [Member] | US Treasury Notes Securities [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Rate | 2.25% | [1],[3] | ||
Investments maturity date | 2024-11 | [1],[3] | ||
Common Stock Sold Short [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Investment Sold, Not yet Purchased, Percent of Equity | -3.36% | [1],[2],[3] | -1.02% | [1],[2],[5] |
Investments sold short, at fair value- | -26,516 | [1],[3] | -6,369 | [1],[5] |
Proceeds from investments sold short | -27,605 | [1],[3] | -6,313 | [1],[5] |
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 | [1],[3] | Publicly Traded Real Estate Investment Trusts | [1],[5] |
Investments sold short, at fair value- | -26,516 | [1],[3] | -6,369 | [1],[5] |
Investment Sold, Not yet Purchased, Balance, Shares | -2,986 | [1],[3] | -763 | [1],[5] |
Securities Sold Short - Securities Sold, Not Yet Purchased [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Investment Sold, Not yet Purchased, Percent of Equity | -163.77% | [1],[2],[3] | -135.07% | [1],[2],[5] |
Investments sold short, at fair value- | -1,291,370 | [1],[3] | -845,614 | [1],[5] |
Proceeds from investments sold short | -1,290,091 | [1],[3] | -847,602 | [1],[5] |
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 | -3.88% | |||
Current Principal/Notional Amount | -28,118 | |||
Investments sold short, at fair value- | -30,606 | |||
Proceeds from investments sold short | -32,008 | |||
North America [Member] | Common Stock Sold Short [Member] | ||||
Investments Sold, Not yet Purchased [Line Items] | ||||
Investment Sold, Not yet Purchased, Percent of Equity | -3.36% | -1.02% | ||
Investments sold short, at fair value- | -26,516 | -6,369 | ||
Investment Sold, Not yet Purchased, Balance, Shares | -2,986 | -763 | ||
Proceeds from investments sold short | -27,605 | -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 | -156.53% | |||
Current Principal/Notional Amount | -1,159,703 | |||
Investments sold short, at fair value- | -1,234,248 | |||
Proceeds from investments sold short | ($1,230,478) | |||
[1] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[2] | Classification percentages are based on Total Equity. | |||
[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 2,863,057 $2,038,249 $2,092,959 264.46 %Europe 69,724 69,360 64,611 9.16 %North America (Private Corporate Investments) n/a 14,717 14,512 1.84 %Total $2,122,326 $2,172,082 275.46 %Investments Sold Short: North America (TBAs and Government Debt) (1,159,703) $(1,230,478) $(1,234,248) (156.53)%Europe (Government Debt) (28,118) (32,008) (30,606) (3.88)%North America (Common Stock) (2,986) (27,605) (26,516) (3.36)%Total $(1,290,091) $(1,291,370) (163.77)%Repurchase Agreements: North America 140,248 $140,248 $140,248 17.78 %Europe 31,753 31,753 31,753 4.03 %Total 172,001 $172,001 $172,001 21.81 %Financial Derivatives–Assets: North America 1,401,261 $61,560 $80,029 10.15 %Europe — — — — %Total 1,401,261 $61,560 $80,029 10.15 %Financial Derivatives–Liabilities: North America (936,799) $(30,598) $(63,084) (8.00)%Europe (37,199) (2,957) (3,032) (0.39)%Total (973,998) $(33,555) $(66,116) (8.39)% | |||
[4] | At December 31, 2014, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation, represented 121.95% and 31.44% of equity, respectively. | |||
[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 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 $) | 12 Months Ended | |||
Dec. 31, 2014 | Dec. 31, 2013 | |||
contracts | contracts | |||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Asset | $80,029,000 | [1] | $59,664,000 | [1] |
Derivative Liabilities | -66,116,000 | [1] | -44,791,000 | [1] |
Net cost | 61,560,000 | 50,533,000 | ||
Net proceeds | -33,555,000 | -29,746,000 | ||
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 | 1,346 | 1,847 | ||
Purchased Options on U.S. Treasury Futures [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Number of contracts | 110 | |||
Financial Derivatives - Assets [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Asset, Notional Amount | 1,401,261,000 | |||
Derivative Asset | 80,029,000 | [2],[3] | 59,664,000 | [2],[4] |
Investment owned as a percentage of equity | 10.15% | [2],[3],[5] | 9.53% | [2],[4],[5] |
Net cost | 61,560,000 | [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 | 3,734,000 | [2],[3],[6] | 1,990,000 | [2],[4],[7] |
Range of expiration dates | 2037-12 | [2],[4],[7] | ||
Derivative Asset | 61,000 | [2],[3],[6] | 61,000 | [2],[4],[7] |
Net proceeds | -249,000 | [2],[3],[6] | -217,000 | [2],[4],[7] |
Financial Derivatives - Assets [Member] | Long Credit Default Swap On Asset Backed Indices [Member] | Minimum [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Range of expiration dates | 2037-12 | [2],[3],[6] | ||
Financial Derivatives - Assets [Member] | Long Credit Default Swap On Asset Backed Indices [Member] | Maximum [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Range of expiration dates | 2063-05 | [2],[3],[6] | ||
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 | 311,983,000 | [2],[3],[6] | 70,425,000 | [2],[4],[8] |
Range of expiration dates | 2018-12 | [2],[4],[8] | ||
Derivative Asset | 35,865,000 | [2],[3],[6] | 14,273,000 | [2],[4],[8] |
Net cost | 37,428,000 | [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 | 2017-12 | [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 | 2019-12 | [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 | 1,017,067,000 | [2],[3],[9] | 153,100,000 | [2],[4],[9] |
Derivative Asset | 23,243,000 | [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 | 2016-07 | [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 | 2044-12 | [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],[3] | Equity Market | [10],[2],[4] |
Derivative Asset, Notional Amount | 875,000 | [10],[2],[3] | 3,044,000 | [10],[2],[4] |
Range of expiration dates | 2015-06 | [10],[2],[3] | ||
Derivative Asset | 8,000 | [10],[2],[3] | 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 | -17,691,000 | [11],[2],[3] | -23,426,000 | [12],[2],[4] |
Derivative Asset | 11,387,000 | [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 | -50,981,000 | [11],[2],[3] | -72,422,000 | [13],[2],[4] |
Derivative Asset | 1,820,000 | [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 | 2052-10 | [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 | -627,931,000 | [14],[2],[3] | -840,600,000 | [14],[2],[4] |
Derivative Asset | 5,411,000 | [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 | 2016-10 | [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 | 2044-12 | [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],[4] | ||
Derivative Asset, Notional Amount | -23,000 | [10],[2],[4] | ||
Range of expiration dates | 2015-09 | [10],[2],[4] | ||
Derivative Asset | 0 | [10],[2],[4] | ||
Financial Derivatives - Assets [Member] | Swap [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Asset | 77,795,000 | [2],[3] | 59,413,000 | [2],[4] |
Investment owned as a percentage of equity | 9.87% | [2],[3],[5] | 9.49% | [2],[4],[5] |
Net cost | 59,299,000 | [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 | 109,300,000 | [15],[2],[3] | ||
Range of expiration dates | 2015-03 | [15],[2],[3] | ||
Derivative Asset | 162,000 | [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 | 11,000,000 | [16],[2],[3] | ||
Range of expiration dates | 2017-06 | [16],[2],[3] | ||
Derivative Asset | 7,000 | [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 | -520,000,000 | [16],[2],[3] | ||
Derivative Asset | 92,000 | [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 | 2017-09 | [16],[2],[3] | ||
Financial Derivatives - Assets [Member] | Futures [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Asset | 261,000 | [2],[3] | ||
Investment owned as a percentage of equity | 0.03% | [2],[3],[5] | ||
Financial Derivatives - Assets [Member] | Purchased Payer Swaption [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Interest Rates | [17],[2],[3] | ||
Derivative Asset, Notional Amount | 822,800,000 | [17],[2],[3] | ||
Derivative Asset | 344,000 | [17],[2],[3] | ||
Financial Derivatives - Assets [Member] | Purchased Payer Swaption [Member] | Minimum [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Range of expiration dates | 2015-01 | [17],[2],[3] | ||
Financial Derivatives - Assets [Member] | Purchased Payer Swaption [Member] | Maximum [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Range of expiration dates | 2015-06 | [17],[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 | [18],[2],[3] | Credit | [18],[2],[4] |
Derivative Asset, Notional Amount | 364,400,000 | [18],[2],[3] | 22,588,000 | [18],[2],[4] |
Range of expiration dates | 2014-06 | [18],[2],[4] | ||
Derivative Asset | 625,000 | [18],[2],[3] | 190,000 | [18],[2],[4] |
Financial Derivatives - Assets [Member] | Option on CDS on Corporate Bond Indices [Member] | Minimum [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Range of expiration dates | 2015-01 | [18],[2],[3] | ||
Financial Derivatives - Assets [Member] | Option on CDS on Corporate Bond Indices [Member] | Maximum [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Range of expiration dates | 2015-03 | [18],[2],[3] | ||
Financial Derivatives - Assets [Member] | Purchased Options on U.S. Treasury Futures [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Interest Rates | [19],[2],[3] | ||
Derivative Asset, Notional Amount | 11,000,000 | [19],[2],[3] | ||
Derivative Asset | 20,000 | [19],[2],[3] | ||
Financial Derivatives - Assets [Member] | Purchased Options on U.S. Treasury Futures [Member] | Minimum [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Range of expiration dates | 2015-02 | [19],[2],[3] | ||
Financial Derivatives - Assets [Member] | Purchased Options on U.S. Treasury Futures [Member] | Maximum [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Range of expiration dates | 2015-03 | [19],[2],[3] | ||
Financial Derivatives - Assets [Member] | Options [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Asset | 989,000 | [2],[3] | 251,000 | [2],[4] |
Investment owned as a percentage of equity | 0.13% | [2],[3],[5] | 0.04% | [2],[4],[5] |
Net cost | 2,161,000 | [2],[3] | 494,000 | [2],[4] |
Financial Derivatives - Assets [Member] | Short Currency Forward [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Currency | [2],[20],[3] | ||
Derivative Asset, Notional Amount | -35,849,000 | [2],[20],[3] | ||
Range of expiration dates | 2015-03 | [2],[20],[3] | ||
Derivative Asset | 884,000 | [2],[20],[3] | ||
Financial Derivatives - Assets [Member] | Forwards [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Asset | 884,000 | [2],[3] | ||
Investment owned as a percentage of equity | 0.11% | [2],[3],[5] | ||
Financial Derivatives - Assets [Member] | Interest Rate Swaption [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Interest Rates | [17],[2],[4] | ||
Derivative Asset, Notional Amount | 15,000,000 | [17],[2],[4] | ||
Range of expiration dates | 2014-04 | [17],[2],[4] | ||
Derivative Asset | 61,000 | [17],[2],[4] | ||
Financial Derivatives - Assets [Member] | Warrant [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Equity Market | [2],[20],[21] | ||
Derivative Asset, Notional Amount | 1,554,000 | [2],[21],[3] | ||
Derivative Asset | 100,000 | [2],[21],[3] | ||
Investment owned as a percentage of equity | 0.01% | [2],[3],[5] | ||
Net cost | 100,000 | [2],[3] | ||
Financial Derivatives - Liabilities [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Liability, Notional Amount | -973,998,000 | |||
Derivative Liabilities | -66,116,000 | [2],[22],[3] | -44,791,000 | [2],[4] |
Investment owned as a percentage of equity | -8.39% | [2],[22],[3],[5] | -7.16% | [2],[4],[5] |
Net proceeds | -33,555,000 | [2],[22],[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],[22],[3],[6] | Credit | [2],[4],[7] |
Derivative Liability, Notional Amount | 17,113,000 | [2],[22],[3],[6] | 44,082,000 | [2],[4],[7] |
Derivative Liabilities | -4,248,000 | [2],[22],[3],[6] | -11,866,000 | [2],[4],[7] |
Net proceeds | -5,160,000 | [2],[22],[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 | 2049-03 | [2],[22],[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],[22],[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],[22],[3],[6] | Credit | [2],[4],[8] |
Derivative Liability, Notional Amount | 3,756,000 | [2],[22],[3],[6] | 4,000,000 | [2],[4],[8] |
Range of expiration dates | 2017-12 | [2],[22],[3],[6] | 2017-12 | [2],[4],[8] |
Derivative Liabilities | -1,231,000 | [2],[22],[3],[6] | -1,047,000 | [2],[4],[8] |
Net proceeds | -1,200,000 | [2],[22],[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],[22],[3],[6] | ||
Derivative Liability, Notional Amount | 4,428,000 | [2],[22],[3],[6] | ||
Derivative Liabilities | -2,706,000 | [2],[22],[3],[6] | ||
Net proceeds | -1,951,000 | [2],[22],[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],[22],[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],[22],[3],[6] | ||
Financial Derivatives - Liabilities [Member] | Long Interest Rate Swaps [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Interest Rates | [2],[22],[3],[9] | Interest Rates | [2],[4],[9] |
Derivative Liability, Notional Amount | 230,410,000 | [2],[22],[3],[9] | 234,600,000 | [2],[4],[9] |
Derivative Liabilities | -678,000 | [2],[22],[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 | 2016-10 | [2],[22],[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 | 2044-12 | [2],[22],[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],[22],[3] | Equity Market | [10],[2],[4] |
Derivative Liability, Notional Amount | 72,075,000 | [10],[2],[22],[3] | 47,974,000 | [10],[2],[4] |
Range of expiration dates | 2015-06 | [10],[2],[4] | ||
Derivative Liabilities | -21,000 | [10],[2],[22],[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 | 2015-01 | [10],[2],[22],[3] | ||
Financial Derivatives - Liabilities [Member] | Long Total Return Swaps [Member] | Maximum [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Range of expiration dates | 2016-11 | [10],[2],[22],[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],[22],[3] | Credit | [12],[2],[4] |
Derivative Liability, Notional Amount | -3,000,000 | [11],[2],[22],[3] | -3,000,000 | [12],[2],[4] |
Range of expiration dates | 2035-03 | [11],[2],[22],[3] | 2035-03 | [12],[2],[4] |
Derivative Liabilities | -239,000 | [11],[2],[22],[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],[22],[3] | ||
Derivative Liability, Notional Amount | -20,050,000 | [11],[2],[22],[3] | ||
Range of expiration dates | 2063-05 | [11],[2],[22],[3] | ||
Derivative Liabilities | -162,000 | [11],[2],[22],[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],[22],[3] | Credit | [2],[23],[4] |
Derivative Liability, Notional Amount | -352,945,000 | [11],[2],[22],[3] | -337,815,000 | [2],[23],[4] |
Derivative Liabilities | -27,357,000 | [11],[2],[22],[3] | -23,902,000 | [2],[23],[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],[22],[3] | 2016-12 | [2],[23],[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 | 2019-12 | [11],[2],[22],[3] | 2018-12 | [2],[23],[4] |
Financial Derivatives - Liabilities [Member] | Short Interest Rate Swaps [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Interest Rates | [14],[2],[22],[3] | Interest Rates | [14],[2],[4] |
Derivative Liability, Notional Amount | -1,024,716,000 | [14],[2],[22],[3] | -323,800,000 | [14],[2],[4] |
Derivative Liabilities | -28,727,000 | [14],[2],[22],[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],[22],[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 | 2044-11 | [14],[2],[22],[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],[4] | ||
Derivative Liability, Notional Amount | -10,374,000 | [10],[2],[4] | ||
Derivative Liabilities | -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],[22],[3] | ||
Derivative Liability, Notional Amount | -5,970,000 | [11],[2],[22],[3] | ||
Derivative Liabilities | -247,000 | [11],[2],[22],[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 | 2019-09 | [11],[2],[22],[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 | 2019-12 | [11],[2],[22],[3] | ||
Financial Derivatives - Liabilities [Member] | Swap [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Liabilities | -65,616,000 | [2],[22],[3] | -42,296,000 | [2],[4] |
Investment owned as a percentage of equity | -8.32% | [2],[22],[3],[5] | -6.76% | [2],[4],[5] |
Net proceeds | -33,400,000 | [2],[22],[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 | [15],[2],[22],[3] | Interest Rates | [2],[24],[4] |
Derivative Liability, Notional Amount | 50,600,000 | [15],[2],[22],[3] | 227,200,000 | [2],[24],[4] |
Range of expiration dates | 2015-03 | [15],[2],[22],[3] | 2014-03 | [2],[24],[4] |
Derivative Liabilities | -13,000 | [15],[2],[22],[3] | -2,370,000 | [2],[24],[4] |
Financial Derivatives - Liabilities [Member] | Short Eurodollar Future [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Interest Rates | [16],[2],[22],[3] | Interest Rates | [16],[2],[4] |
Derivative Liability, Notional Amount | -179,000,000 | [16],[2],[22],[3] | -14,000,000 | [16],[2],[4] |
Derivative Liabilities | -68,000 | [16],[2],[22],[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],[22],[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],[22],[3] | 2015-09 | [16],[2],[4] |
Financial Derivatives - Liabilities [Member] | Futures [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Liabilities | -81,000 | [2],[22],[3] | -2,373,000 | [2],[4] |
Investment owned as a percentage of equity | -0.01% | [2],[22],[3],[5] | -0.38% | [2],[4],[5] |
Financial Derivatives - Liabilities [Member] | Purchased Payer Swaption [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Interest Rates | [17],[2],[22],[3] | ||
Derivative Liability, Notional Amount | 260,000,000 | [17],[2],[22],[3] | ||
Range of expiration dates | 2015-03 | [17],[2],[22],[3] | ||
Derivative Liabilities | -137,000 | [17],[2],[22],[3] | ||
Financial Derivatives - Liabilities [Member] | Option on CDS on Corporate Bond Indices [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Credit | [2],[22],[25],[3] | ||
Derivative Liability, Notional Amount | -25,900,000 | [2],[22],[25],[3] | ||
Range of expiration dates | 2018-03 | [2],[22],[25],[3] | ||
Derivative Liabilities | -146,000 | [2],[22],[25],[3] | ||
Financial Derivatives - Liabilities [Member] | Written Payer Swaption [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Interest Rates | [2],[22],[26],[3] | ||
Derivative Liability, Notional Amount | -10,200,000 | [2],[22],[26],[3] | ||
Range of expiration dates | 2015-01 | [2],[22],[26],[3] | ||
Derivative Liabilities | 0 | [2],[22],[26],[3] | ||
Financial Derivatives - Liabilities [Member] | Options [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Liabilities | -283,000 | [2],[22],[3] | -84,000 | [2],[4] |
Investment owned as a percentage of equity | -0.04% | [2],[22],[3],[5] | -0.01% | [2],[4],[5] |
Net proceeds | -155,000 | [2],[22],[3] | ||
Financial Derivatives - Liabilities [Member] | Short Currency Forward [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Currency | [2],[20],[22],[3] | Currency | [2],[4] |
Derivative Liability, Notional Amount | -117,000 | [2],[20],[22],[3] | -6,575,000 | [2],[4] |
Range of expiration dates | 2015-03 | [2],[20],[22],[3] | 2014-03 | [2],[4] |
Derivative Liabilities | 0 | [2],[20],[22],[3] | -38,000 | [2],[4] |
Financial Derivatives - Liabilities [Member] | Forwards [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Liabilities | -136,000 | [2],[22],[3] | -38,000 | [2],[4] |
Investment owned as a percentage of equity | -0.02% | [2],[22],[3],[5] | -0.01% | [2],[4],[5] |
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] | Long Currency Forward [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Primary risk exposure | Currency | [2],[22],[27],[3] | ||
Derivative Liability, Notional Amount | 9,518,000 | [2],[22],[27],[3] | ||
Range of expiration dates | 2015-03 | [2],[22],[27],[3] | ||
Derivative Liabilities | -136,000 | [2],[22],[27],[3] | ||
North America [Member] | Financial Derivatives - Assets [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Asset, Notional Amount | 1,401,261,000 | |||
Derivative Asset | 80,029,000 | |||
Investment owned as a percentage of equity | 10.15% | |||
Net cost | 61,560,000 | |||
North America [Member] | Financial Derivatives - Liabilities [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Liability, Notional Amount | -936,799,000 | |||
Derivative Liabilities | -63,084,000 | |||
Investment owned as a percentage of equity | -8.00% | |||
Net proceeds | -30,598,000 | |||
Europe [Member] | Financial Derivatives - Assets [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Derivative Asset, Notional Amount | 0 | |||
Derivative Asset | 0 | |||
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 | -37,199,000 | |||
Derivative Liabilities | -3,032,000 | |||
Investment owned as a percentage of equity | -0.39% | |||
Net proceeds | ($2,957,000) | |||
Affiliates of JP Morgan [Member] | Financial Derivatives - Liabilities [Member] | ||||
Investment Holdings, Other than Securities [Line Items] | ||||
Investment owned as a percentage of equity | -5.18% | |||
[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 2,863,057 $2,038,249 $2,092,959 264.46 %Europe 69,724 69,360 64,611 9.16 %North America (Private Corporate Investments) n/a 14,717 14,512 1.84 %Total $2,122,326 $2,172,082 275.46 %Investments Sold Short: North America (TBAs and Government Debt) (1,159,703) $(1,230,478) $(1,234,248) (156.53)%Europe (Government Debt) (28,118) (32,008) (30,606) (3.88)%North America (Common Stock) (2,986) (27,605) (26,516) (3.36)%Total $(1,290,091) $(1,291,370) (163.77)%Repurchase Agreements: North America 140,248 $140,248 $140,248 17.78 %Europe 31,753 31,753 31,753 4.03 %Total 172,001 $172,001 $172,001 21.81 %Financial Derivatives–Assets: North America 1,401,261 $61,560 $80,029 10.15 %Europe — — — — %Total 1,401,261 $61,560 $80,029 10.15 %Financial Derivatives–Liabilities: North America (936,799) $(30,598) $(63,084) (8.00)%Europe (37,199) (2,957) (3,032) (0.39)%Total (973,998) $(33,555) $(66,116) (8.39)% | |||
[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 December 31, 2014, 1,346 contracts were held. | |||
[16] | Every $1,000,000 in notional value represents one contract. | |||
[17] | 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. | |||
[18] | 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. | |||
[19] | Represents the option on the part of the Company to enter into a futures contract with a counterparty; as of December 31, 2014, 110 contracts were held. | |||
[20] | Notional amount represents U.S. Dollars to be received by the Company at the maturity of the forward contract. | |||
[21] | Notional amount represents number of warrants. | |||
[22] | The following table shows the Company's swap liabilities by dealer as a percentage of Total Equity:Dealer/Parent Company Percent of EquityAffiliates of JP Morgan (5.18)% | |||
[23] | For short credit default swaps on corporate bond indices, the Company purchased protection. | |||
[24] | 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. | |||
[25] | 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. | |||
[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] | Notional amount represents U.S. Dollars to be paid by the Company at the maturity of the forward contract. |
Consolidated_Statement_Of_Oper
Consolidated Statement Of Operations (USD $) | 12 Months Ended | ||
In Thousands, except Per Share data, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
INVESTMENT INCOME | |||
Interest income | $93,533 | $85,740 | $63,857 |
Other investment income | 318 | 0 | 0 |
Total investment income | 93,851 | 85,740 | 63,857 |
EXPENSES | |||
Base management fee | 10,751 | 9,115 | 6,835 |
Incentive fee | 1,400 | 8,366 | 19,145 |
Interest expense | 9,927 | 11,025 | 7,799 |
Other investment related expenses | 4,689 | 496 | 0 |
Compensation expense | 1,182 | 1,721 | 1,308 |
Custody and other fees | 1,853 | 1,308 | 1,154 |
Professional fees | 2,795 | 1,783 | 1,386 |
Agency and administration fees | 1,231 | 1,133 | 923 |
Insurance expense | 734 | 706 | 720 |
Directors' fees and expenses | 271 | 253 | 265 |
Share-based LTIP expense | 267 | 179 | 135 |
Total expenses | 35,100 | 36,085 | 39,670 |
NET INVESTMENT INCOME | 58,751 | 49,655 | 24,187 |
Net realized gain (loss) on: | |||
Investments | 16,859 | 39,485 | 23,550 |
Financial derivatives | -11,211 | -21,479 | -34,797 |
Foreign currency transactions | -1,486 | -4 | 0 |
Total net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 4,162 | 18,002 | -11,247 |
Change in net unrealized gain (loss) on: | |||
Investments | 6,258 | -1,819 | 70,789 |
Financial derivatives | -8,272 | 13,482 | 13,417 |
Foreign currency translation | -950 | 42 | 0 |
Total Change in Net Unrealized Gain Loss On Investments, Financial derivatives, and Foreign currency translation | -2,964 | 11,705 | 84,206 |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION | 1,198 | 29,707 | 72,959 |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 59,949 | 79,362 | 97,146 |
Net Income (Loss) Attributable to Noncontrolling Interest | 782 | 838 | 0 |
Net Income (Loss) Attributable to Parent | $59,167 | $78,524 | $97,146 |
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | |||
Basic and Diluted (in usd per share) | $2.09 | $3.28 | $5.31 |
Consolidated_Statement_Of_Chan
Consolidated Statement Of Changes In Equity (USD $) | Total | Parent [Member] | Noncontrolling Interest [Member] | ||
In Thousands, unless otherwise specified | |||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2011 | $370,916 | ||||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2011 | 0 | ||||
Stockholders' Equity Attributable to Parent at Dec. 31, 2011 | 370,916 | ||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||
Net investment income | 24,187 | ||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | -11,247 | ||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | 84,206 | ||||
Net Income (Loss) Attributable to Parent | 97,146 | 97,146 | |||
Net Income (Loss) Attributable to Noncontrolling Interest | 0 | 0 | |||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 97,146 | ||||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | |||||
Proceeds from the issuance of shares | [1] | 88,142 | 88,142 | ||
Shares issued in connection with incentive fee payment | 1,180 | 1,180 | |||
Contribution from non-controlling interests | 0 | 0 | |||
Dividends | [2] | -47,412 | [3] | -47,412 | 0 |
Distributions to non-controlling interest | 0 | 0 | |||
Adjustment to non-controlling interest | 0 | 0 | 0 | ||
Shares repurchased | -3,430 | -3,430 | |||
Offering costs | -322 | -322 | |||
Share-based LTIP awards | 135 | 135 | 0 | ||
Net increase (decrease) in equity from transactions | 38,293 | 38,293 | 0 | ||
Net increase in equity | 135,439 | 135,439 | 0 | ||
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 | 49,655 | ||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 18,002 | ||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | 11,705 | ||||
Net Income (Loss) Attributable to Parent | 78,524 | 78,524 | |||
Net Income (Loss) Attributable to Noncontrolling Interest | 838 | 838 | |||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 79,362 | ||||
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 | 1,262 | 1,262 | |||
Contribution from non-controlling interests | 5,880 | 5,880 | |||
Dividends | [2] | -92,067 | [3] | -91,256 | -811 |
Distributions to non-controlling interest | -260 | -260 | |||
Adjustment to non-controlling interest | 0 | 0 | 0 | ||
Shares repurchased | 0 | 0 | |||
Offering costs | -262 | -262 | |||
Share-based LTIP awards | 179 | 178 | 1 | ||
Net increase (decrease) in equity from transactions | 40,332 | 35,522 | 4,810 | ||
Net increase in equity | 119,694 | 114,046 | 5,648 | ||
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 | 58,751 | ||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 4,162 | ||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | -2,964 | ||||
Net Income (Loss) Attributable to Parent | 59,167 | 59,167 | |||
Net Income (Loss) Attributable to Noncontrolling Interest | 782 | 782 | |||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 59,949 | ||||
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 | 449 | 449 | |||
Contribution from non-controlling interests | 1,793 | 1,793 | |||
Dividends | [2] | -86,449 | [3] | -85,796 | -653 |
Distributions to non-controlling interest | -1,667 | -1,667 | |||
Adjustment to non-controlling interest | 0 | -484 | 484 | ||
Shares repurchased | 0 | 0 | |||
Offering costs | -247 | -247 | |||
Share-based LTIP awards | 267 | 265 | 2 | ||
Net increase (decrease) in equity from transactions | 102,546 | 102,587 | -41 | ||
Net increase in equity | 162,495 | 161,754 | 741 | ||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2014 | 788,544 | ||||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2014 | 6,389 | 6,389 | |||
Stockholders' Equity Attributable to Parent at Dec. 31, 2014 | $782,155 | $782,155 | |||
[1] | Proceeds from the issuance of shares is net of an underwriters' discount of $3.0 million and $1.9 million for the years ended December 31, 2014 and 2012, respectively. | ||||
[2] | For the years ended December 31, 2014, 2013, and 2012, dividends totaling $3.08, $3.83, and $2.50, 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 $) | 12 Months Ended | ||
In Millions, except Per Share data, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Statement of Stockholders' Equity [Abstract] | |||
Underwriting discount | $3 | $1.90 | |
Dividends (in usd per share) | $3.08 | $3.83 | $2.50 |
Consolidated_Statement_Of_Cash
Consolidated Statement Of Cash Flows (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS: | |||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $59,949 | $79,362 | $97,146 |
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 | 3,564 | -11,663 | -84,206 |
Net realized (gain) loss on investments, financial derivatives, and foreign currency transactions | -6,008 | -18,002 | 11,247 |
Amortization of premiums and accretion of discounts (net) | -9,131 | -18,619 | -13,010 |
Purchase of investments | -5,298,446 | -2,224,370 | -2,345,880 |
Proceeds from disposition of investments | 4,755,862 | 1,713,538 | 2,166,238 |
Proceeds from principal payments of investments | 186,094 | 190,720 | 142,617 |
Proceeds from investments sold short | 1,606,561 | 947,556 | 938,699 |
Repurchase of investments sold short | -1,215,239 | -702,846 | -796,974 |
Payments made to open financial derivatives | -61,080 | -25,624 | -91,019 |
Proceeds received to close financial derivatives | 85,572 | 42,643 | 126,207 |
Proceeds received to open financial derivatives | 87,441 | 39,822 | 42,920 |
Payments made to close financial derivatives | -130,389 | -46,419 | -56,948 |
Shares issued in connection with incentive fee payment | 449 | 1,262 | 1,180 |
Share-based LTIP expense | 267 | 179 | 135 |
(Increase) decrease in assets: | |||
Repurchase agreements | -144,039 | -14,312 | 2,100 |
Receivable for securities sold | -354,587 | -256,086 | -93,211 |
Due from brokers | -64,394 | -59,827 | 11,419 |
Interest and principal receivable | -13,780 | -1,112 | 408 |
Other assets | -565 | -1,095 | -111 |
Increase (decrease) in liabilities: | |||
Due to brokers | 2,462 | -11,192 | -48,781 |
Payable for securities purchased | -94,300 | 135,714 | -70,184 |
Accounts payable and accrued expenses | 1,205 | -75 | 98 |
Incentive fee payable | -3,091 | -4,252 | 7,343 |
Other payables | 0 | -903 | 903 |
Interest and dividends payable | 865 | 789 | -270 |
Base management fee payable | 599 | 430 | 538 |
Net cash used in operating activities | -604,159 | -244,382 | -51,396 |
Cash flows provided by (used in) financing activities: | |||
Proceeds from the issuance of shares | 188,400 | 125,600 | 88,142 |
Contribution from non-controlling interests | 1,793 | 5,880 | 0 |
Share Repurchased | 0 | 0 | -3,430 |
Offering costs paid | -288 | -444 | -323 |
Dividends paid | -86,449 | -92,067 | -47,412 |
Distributions to non-controlling Interest | -1,667 | -260 | 0 |
Proceeds from issuance of securitized debt | 0 | 0 | 1,522 |
Principal payments on securitized debt | -246 | -370 | -264 |
Reverse repurchase agreements, net of repayments | 433,267 | 330,448 | 9,508 |
Net cash provided by financing activities | 534,810 | 368,787 | 47,743 |
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | -69,349 | 124,405 | -3,653 |
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 183,489 | 59,084 | 62,737 |
CASH AND CASH EQUIVALENTS, END OF PERIOD | 114,140 | 183,489 | 59,084 |
Supplemental disclosure of cash flow information: | |||
Interest paid | 9,544 | 10,389 | 8,040 |
Shares issued in connection with incentive fee payment (non-cash) | 449 | 1,262 | 1,180 |
Share-based LTIP awards (non-cash) | 267 | 179 | 135 |
Aggregate TBA trade activity (buys sells) (non-cash) | $30,136,820 | $24,946,079 | $16,365,027 |
Organization_and_Investment_Ob
Organization and Investment Objective | 12 Months Ended |
Dec. 31, 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, consumer loans and asset-backed securities backed by consumer and commercial assets, or "ABS," non-mortgage-related derivatives and other financial assets, including private debt and equity investments in mortgage related entities. | |
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 | 12 Months Ended | |
Dec. 31, 2014 | ||
Accounting Policies [Abstract] | ||
Significant Accounting Policies | Significant Accounting Policies | |
(A) Basis of Presentation: The Company's 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"). The Company has determined that it still meets the definition of an investment company under ASC 946 after adoption of ASU 2013-08. 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. | ||
(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 observability 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. Currently, the types of financial instruments the Company generally includes in this category are listed equities, exchange-traded derivatives, and cash and cash equivalents, | |
• | 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. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, non-Agency mortgage-backed securities determined to have sufficiently observable market data, U.S. Treasury securities and certain sovereign debt, commonly traded derivatives, such as interest rate swaps, foreign currency forwards, and certain other over-the-counter derivatives, and | |
• | Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are RMBS, CMBS, ABS, and credit default swaps, or "CDS," on individual ABS, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, distressed corporate debt, non-listed equities, and private corporate investments. | |
For certain financial instruments, the various inputs that management uses to measure fair value for such financial instrument may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for such financial instrument is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. | ||
Summary Valuation Techniques | ||
For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a good faith fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. | ||
For MBS, including TBAs, and other ABS, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management 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, and while management generally does not adjust the valuations it receives, management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Valuations for fixed rate MBS pass-throughs issued by a U.S. government agency or government-sponsored enterprise are typically based on observable pay-up data (pay-ups are price premiums for specified categories of fixed rate pools relative to their TBA counterparts) or models that use observable market data, such as interest rates and historical prepayment speeds, and are validated against third-party valuations. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically designated as Level 2 assets, although Agency interest only and inverse interest only RMBS are currently designated as Level 3 assets since they generally have less price transparency. Non-Agency MBS and other ABS are generally classified as either Level 2 or Level 3 based on analysis of available market data such as recent trades, executable bids, and reported "market color." Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. | ||
For residential and commercial mortgage loans, consumer loans, and real estate owned properties, or "REO," management determines fair value by taking into account both external pricing data and internal pricing models. Non-performing mortgage loans and REO are typically valued based on management's estimates of the value of the underlying real estate, using various information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. Performing mortgage loans and consumer loans are typically valued using discounted cash flows based on market assumptions. These assumptions typically include projected default and prepayment rates, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans and REO properties are classified as Level 3 assets. | ||
For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly-traded equities, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally designated as Level 2 instruments. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally designated as Level 2 instruments. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are typically designated as Level 3 instruments. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. | ||
Investments in distressed corporate debt are typically valued based on prices received from third-party pricing services. In determining the fair value of a distressed corporate debt investment, management may adjust the third-party prices received based on its good faith assessment of various factors relating to the debtor, such as the debtor's leverage ratio, an assessment of the debtor's ability to generate cash flow to service its debt, and the outlook for the debtor's overall industry, among other factors. These investments are designated as Level 3 assets. Investments in private operating entities, such as mortgage originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results, and in certain cases, where sufficient relevant data is not otherwise available, the original transaction price. These investments are also designated as Level 3 assets. | ||
The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. | ||
The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee. The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. | ||
Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments 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. | ||
(C) Purchase and Sales of Investments and Investment Income: Purchases and sales of investments are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. The Company amortizes premiums and accretes discounts on its debt investments. Coupon interest income on fixed income investments is generally accrued based on the outstanding principal balance and the current coupon interest rate. | ||
For Agency RMBS and debt securities that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized into interest income over the life of such securities using the effective interest method. For securities subject to prepayment risk, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment is made to amortization to reflect the cumulative impact of the change in effective yield. | ||
For debt securities (including non-Agency MBS) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on 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. Principal write-offs are generally treated as realized losses. Changes in projected cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities. | ||
For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, on at least a quarterly basis based on current information and events, the Company re-assesses the collectability of interest and principal, and designates a loan as impaired either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as impaired, as long as principal is still expected to be collectable in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectable in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). | ||
For each loan purchased with evidence of credit deterioration since origination and the expectation that either principal or interest will not be paid in full, interest income is generally recognized using the effective interest method for as long as the cash flows can be reasonably estimated. Here, instead of amortizing the purchase discount (i.e., the excess of the unpaid principal balance over the purchase price) over the life of the loan, the Company effectively amortizes the accretable yield (i.e., the excess of the Company's estimate of the total cash flows to be collected over the life of the loan over the purchase price). Not less than quarterly, the Company updates its estimate of the cash flows expected to be collected over the life of the loan, and revised yields are prospectively applied. To the extent that cash flows cannot be reasonably estimated, these loans are generally accounted for under the cost recovery method. | ||
For certain groups of consumer loans that the Company considers as having sufficiently homogeneous characteristics, the Company aggregates such loans into pools, and accounts for each such pool as a single asset. The pool is then treated analogously to a debt security deemed not be of high credit quality, in that (i) the aggregate premium or discount for the pool is amortized or accreted into interest income based on the pool's effective interest rate; (ii) the effective interest rate is determined based on the net expected cash flows of the pool, taking into account estimates of prepayments, defaults, and loss severities; and (iii) estimates are updated not less than quarterly and revised yields are prospectively applied. | ||
In estimating future cash flows on the Company's debt investments, there are a number of assumptions that will be subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. | ||
The Company receives dividend income on certain of its equity investments and rental income on certain of its REO properties. These items of income are included on the Statement of Operations under the heading, "Other investment income." | ||
(D) Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash equivalents are recorded at cost plus accrued interest, which approximates fair value. Cash and cash equivalents typically include amounts held in an interest bearing overnight account and amounts held in money market funds, and these balances generally exceed insured limits. | ||
(E) Financial Derivatives: The Company enters into various types of financial derivatives. The Company's financial 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, 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 interest rate on a notional principal amount and receives a fixed rate payment 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 may vary 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 security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including stock index futures. 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 contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, 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 contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract 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 options contract, 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 contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract 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 contracts 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, options contracts, and warrants. | ||
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/or 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) REO: In the event that the Company obtains possession of real property in connection with a foreclosure or similar action, the Company will de-recognize the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company holds all REO at fair value. | ||
(K) Investments in Operating Entities: The Company has made and may in the future 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. | ||
(L) Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are charged against shareholders' equity. | ||
(M) 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 LTIP 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 LTIP 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. | ||
(N) 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 interests of a joint venture partner in a consolidated subsidiary. The joint venture partner's interests do 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. | ||
(O) Dividends: Dividends payable by the Company are recorded on the ex-dividend date. Dividends are typically declared and paid on a quarterly basis in arrears. | ||
(P) Shares Repurchased: Common shares that are repurchased by the Company subsequent to issuance decrease the total number of shares outstanding and issued. | ||
(Q) 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. | ||
(R) 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. | ||
(S) 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, 2014, a subsidiary of the Company has elected to be treated as a corporation for U.S. federal income tax purposes. | ||
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, or 2011 (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. | ||
(T) Recent Accounting Pronouncements: In June 2013, the FASB issued ASU 2013-08, Financial Services—Investment Companies ("ASC 946"). This update modified 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 was effective for interim and annual reporting periods in fiscal years that began after December 15, 2013, with retrospective application; earlier application was prohibited. The Company has determined that it 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 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. | ||
In August 2014, the FASB issued ASU 2014-15, Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern ("ASU 2014-15"). ASU 2014-15 requires management to perform interim and annual assessments of an entity's ability to continue as a going concern and to provide disclosure if events or conditions arise that would place substantial doubt on the entity's ability to continue as a going concern. ASU 2014-15 is effective for the annual period ending after December 15, 2016, and subsequent interim and annual periods with early adoption permitted. The adoption of ASU 2014-15 is not expected to have a material impact on the Company's consolidated financial statements. | ||
In February 2015, the FASB issued ASU 2015-02, Amendments to the Consolidation Analysis ("ASU 2015-02"). This amends ASC 810, Consolidation (ASC "810"), to improve targeted areas of consolidation guidance by simplifying the requirements of consolidation and placing more emphasis on risk of loss when determining a controlling financial interest. ASU 2015-02 is effective for the annual period ending after December 15, 2015, and subsequent interim and annual periods with early adoption permitted. The adoption of ASU 2015-02 is not expected to have a material impact on the Company's consolidated financial statements. |
Valuation
Valuation | 12 Months Ended | |||||||||||||||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||||||||||||||||||||||||||
Valuation | Valuation | |||||||||||||||||||||||||||||||||||
The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2014: | ||||||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||
Assets: | (In thousands) | |||||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 114,140 | $ | — | $ | — | $ | 114,140 | ||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 1,258,699 | $ | 31,385 | $ | 1,290,084 | ||||||||||||||||||||||||||||
U.S. Treasury securities | — | 1,636 | — | 1,636 | ||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities | — | 284,748 | 274,369 | 559,117 | ||||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | — | — | 53,311 | 53,311 | ||||||||||||||||||||||||||||||||
Commercial mortgage loans | — | — | 28,309 | 28,309 | ||||||||||||||||||||||||||||||||
Residential mortgage loans | — | — | 27,482 | 27,482 | ||||||||||||||||||||||||||||||||
Other asset-backed securities and loans | — | — | 146,288 | 146,288 | ||||||||||||||||||||||||||||||||
Corporate debt | — | — | 42,708 | 42,708 | ||||||||||||||||||||||||||||||||
Real estate owned | — | — | 8,635 | 8,635 | ||||||||||||||||||||||||||||||||
Private corporate investments | — | — | 14,512 | 14,512 | ||||||||||||||||||||||||||||||||
Total investments, at fair value | — | 1,545,083 | 626,999 | 2,172,082 | ||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 11,387 | 11,387 | ||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | 35,865 | — | 35,865 | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | 1,881 | — | 1,881 | ||||||||||||||||||||||||||||||||
Interest rate swaps | — | 28,654 | — | 28,654 | ||||||||||||||||||||||||||||||||
Total return swaps | — | 8 | — | 8 | ||||||||||||||||||||||||||||||||
Swaptions | — | 344 | — | 344 | ||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||
Liabilities: | (In thousands) | |||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- (continued) | ||||||||||||||||||||||||||||||||||||
Options | — | 645 | — | 645 | ||||||||||||||||||||||||||||||||
Futures | 261 | — | — | 261 | ||||||||||||||||||||||||||||||||
Forwards | — | 884 | — | 884 | ||||||||||||||||||||||||||||||||
Warrants | — | — | 100 | 100 | ||||||||||||||||||||||||||||||||
Total financial derivatives–assets, at fair value | 261 | 68,281 | 11,487 | 80,029 | ||||||||||||||||||||||||||||||||
Repurchase agreements | — | 172,001 | — | 172,001 | ||||||||||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | $ | 261 | $ | 1,785,365 | $ | 638,486 | $ | 2,424,112 | ||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||
Investments sold short, at fair value- | ||||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | (1,209,539 | ) | $ | — | $ | (1,209,539 | ) | ||||||||||||||||||||||||||
Government debt | — | (55,315 | ) | — | (55,315 | ) | ||||||||||||||||||||||||||||||
Common stock | (26,516 | ) | — | — | (26,516 | ) | ||||||||||||||||||||||||||||||
Total investments sold short, at fair value | (26,516 | ) | (1,264,854 | ) | — | (1,291,370 | ) | |||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | (28,588 | ) | — | (28,588 | ) | ||||||||||||||||||||||||||||||
Credit default swaps on corporate bonds | — | (2,953 | ) | — | (2,953 | ) | ||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | (4,410 | ) | — | (4,410 | ) | ||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | (239 | ) | (239 | ) | ||||||||||||||||||||||||||||||
Interest rate swaps | — | (29,405 | ) | — | (29,405 | ) | ||||||||||||||||||||||||||||||
Total return swaps | — | (21 | ) | — | (21 | ) | ||||||||||||||||||||||||||||||
Options | — | (146 | ) | — | (146 | ) | ||||||||||||||||||||||||||||||
Swaptions | — | (137 | ) | — | (137 | ) | ||||||||||||||||||||||||||||||
Futures | (81 | ) | — | — | (81 | ) | ||||||||||||||||||||||||||||||
Forwards | — | (136 | ) | — | (136 | ) | ||||||||||||||||||||||||||||||
Total financial derivatives–liabilities, at fair value | (81 | ) | (65,796 | ) | (239 | ) | (66,116 | ) | ||||||||||||||||||||||||||||
Securitized debt(1) | — | — | (774 | ) | (774 | ) | ||||||||||||||||||||||||||||||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | $ | (26,597 | ) | $ | (1,330,650 | ) | $ | (1,013 | ) | $ | (1,358,260 | ) | ||||||||||||||||||||||||
-1 | The asset subject to the resecuritization had a fair value of $2.2 million as of December 31, 2014, which is included on the Consolidated Schedule of Investments under Principal and Interest – Private Label Securities. | |||||||||||||||||||||||||||||||||||
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. | ||||||||||||||||||||||||||||||||||||
There were no transfers of financial instruments between Level 1 and Level 2 during the year ended December 31, 2014. | ||||||||||||||||||||||||||||||||||||
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, 2014: | ||||||||||||||||||||||||||||||||||||
Fair Value | Valuation | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||||||
Description | Technique | Min | Max | Average | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities (1) | $ | 201,373 | Market Quotes | Non Binding Third-Party Valuation | $ | 1.83 | $ | 119.58 | $ | 73.58 | ||||||||||||||||||||||||||
Other asset-backed securities | 123,029 | Market Quotes | Non Binding Third-Party Valuation | $ | 21.5 | $ | 137 | $ | 94.91 | |||||||||||||||||||||||||||
Private label residential mortgage-backed securities | 72,222 | Discounted Cash Flows | Yield | 3 | % | 13.6 | % | 7 | % | |||||||||||||||||||||||||||
Projected Collateral Prepayments | 6.7 | % | 100 | % | 45.6 | % | ||||||||||||||||||||||||||||||
Projected Collateral Losses | 0 | % | 44.5 | % | 11.3 | % | ||||||||||||||||||||||||||||||
Projected Collateral Recoveries | 0 | % | 22.4 | % | 8 | % | ||||||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 86.4 | % | 35.1 | % | ||||||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 12,392 | Discounted Cash Flows | Yield | 12 | % | 51.1 | % | 23.7 | % | |||||||||||||||||||||||||||
Projected Collateral Losses | 0.1 | % | 2.5 | % | 0.7 | % | ||||||||||||||||||||||||||||||
Projected Collateral Recoveries | 0.9 | % | 13.5 | % | 6.2 | % | ||||||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 85.3 | % | 99 | % | 93.1 | % | ||||||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||||||
Corporate debt, non-exchange traded corporate equity, and warrants | 45,668 | Discounted Cash Flows | Yield | 7.5 | % | 24.3 | % | 13.3 | % | |||||||||||||||||||||||||||
Non Binding Third-Party Valuation | $ | 73 | $ | 108 | $ | 95.08 | ||||||||||||||||||||||||||||||
Other asset-backed securities and loans | 23,259 | Discounted Cash Flows | Yield | — | % | 14.4 | % | 9.1 | % | |||||||||||||||||||||||||||
Projected Collateral Prepayments | 62.7 | % | 62.7 | % | 62.7 | % | ||||||||||||||||||||||||||||||
Projected Collateral Losses | 4 | % | 4 | % | 4 | % | ||||||||||||||||||||||||||||||
Projected Collateral Recoveries | 1.7 | % | 1.7 | % | 1.7 | % | ||||||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 31.6 | % | 31.6 | % | 31.6 | % | ||||||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 40,919 | Market Quotes | Non Binding Third-Party Valuation | $ | 5.62 | $ | 103.25 | $ | 66.56 | |||||||||||||||||||||||||||
Performing commercial mortgage loans | 21,328 | Discounted Cash Flows | Yield | 9.2 | % | 13.1 | % | 10.3 | % | |||||||||||||||||||||||||||
Non-performing commercial mortgage loans | 6,981 | Discounted Cash Flows | Yield | 15.3 | % | 20.1 | % | 16.4 | % | |||||||||||||||||||||||||||
Months to Resolution | 0.5 | 10.5 | 8.2 | |||||||||||||||||||||||||||||||||
Non-performing residential mortgage loan pools and real estate owned | 36,117 | Discounted Cash Flows | Yield | 6.1 | % | 12 | % | 7.3 | % | |||||||||||||||||||||||||||
Months to Resolution | 4.1 | 79.1 | 24.6 | |||||||||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 22,928 | Market Quotes | Non Binding Third-Party Valuation | $ | 3.62 | $ | 24.86 | $ | 11.38 | |||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 8,457 | Option Adjusted Spread ("OAS") | LIBOR OAS(2) | (154 | ) | 1,796 | 359 | |||||||||||||||||||||||||||||
Projected Collateral Prepayments | 50.2 | % | 100 | % | 75.5 | % | ||||||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 49.8 | % | 24.5 | % | ||||||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||||||
(continued) | Fair Value | Valuation | Unobservable Input | Range | Weighted | |||||||||||||||||||||||||||||||
Description | Technique | Min | Max | Average | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 11,148 | Net Discounted Cash Flows | Projected Collateral Prepayments | 17.8 | % | 55.8 | % | 32.5 | % | |||||||||||||||||||||||||||
Projected Collateral Losses | 16.5 | % | 37.7 | % | 29.7 | % | ||||||||||||||||||||||||||||||
Projected Collateral Recoveries | 7.7 | % | 18.5 | % | 12.8 | % | ||||||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 15.9 | % | 43.4 | % | 25 | % | ||||||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||||||
Non-exchange traded preferred equity investment in commercial mortgage-related private partnership | 6,241 | Discounted Cash Flows | Yield | 10 | % | 10 | % | 10 | % | |||||||||||||||||||||||||||
Expected Holding Period (Months) | 17 | 17 | 17 | |||||||||||||||||||||||||||||||||
Non-exchange traded preferred and common equity investment in mortgage-related entities | 5,411 | Recent Transactions | Transaction Price | N/A | N/A | N/A | ||||||||||||||||||||||||||||||
-1 | Includes securitized debt with a fair value of $0.8 million as of December 31, 2014. | |||||||||||||||||||||||||||||||||||
-2 | Shown in basis points. | |||||||||||||||||||||||||||||||||||
Third-party non-binding valuations are validated by comparing such valuations 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, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, 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 credit 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. | |||||||||||||||||||||||||||||||||||
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. | ||||||||||||||||||||||||||||||||||||
There were no transfers of financial instruments between Level 1, Level 2, or Level 3 during the year ended December 31, 2013. | ||||||||||||||||||||||||||||||||||||
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 Third-Party Valuation | $ | 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 Third-Party Valuation | $ | 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 Third-Party Valuation | $ | 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 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 years ended December 31, 2014, 2013, and 2012 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. | ||||||||||||||||||||||||||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2014 | ||||||||||||||||||||||||||||||||||||
(In thousands) | Beginning | Accreted | Net Realized | Change in Net | Purchases/ | Sales/ | Transfers Into Level 3 | Transfers Out of Level 3 | Ending | |||||||||||||||||||||||||||
Balance | Discounts / | Gain/ | Unrealized | Payments | Issuances | Balance as of | ||||||||||||||||||||||||||||||
as of | (Amortized | (Loss) | Gain/(Loss) | 31-Dec-14 | ||||||||||||||||||||||||||||||||
31-Dec-13 | Premiums) | |||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 40,504 | $ | (8,738 | ) | $ | 1,404 | $ | (2,078 | ) | $ | 8,448 | $ | (8,155 | ) | $ | — | $ | — | $ | 31,385 | |||||||||||||||
Private label residential mortgage-backed securities | 580,772 | 20,544 | 38,600 | (18,406 | ) | 382,956 | (445,349 | ) | — | (284,748 | ) | 274,369 | ||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 32,994 | 1,328 | 7,055 | (357 | ) | 116,128 | (103,837 | ) | — | — | 53,311 | |||||||||||||||||||||||||
Commercial mortgage loans | 23,887 | 2,739 | 3,156 | (632 | ) | 41,856 | (42,697 | ) | — | — | 28,309 | |||||||||||||||||||||||||
Residential mortgage loans | 24,062 | 1,267 | 1,424 | 84 | 14,863 | (14,218 | ) | — | — | 27,482 | ||||||||||||||||||||||||||
Other asset-backed securities and loans | 38,069 | (3,761 | ) | 342 | (2,409 | ) | 148,009 | (33,962 | ) | — | — | 146,288 | ||||||||||||||||||||||||
Corporate debt | — | (70 | ) | — | (877 | ) | 43,808 | (153 | ) | — | — | 42,708 | ||||||||||||||||||||||||
Real estate owned | — | — | 172 | (113 | ) | 11,247 | (2,671 | ) | — | — | 8,635 | |||||||||||||||||||||||||
Private corporate investments | — | — | — | (205 | ) | 14,717 | — | — | — | 14,512 | ||||||||||||||||||||||||||
Total investments, at fair value | 740,288 | 13,309 | 52,153 | (24,993 | ) | 782,032 | (651,042 | ) | — | (284,748 | ) | 626,999 | ||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 16,646 | — | (4,596 | ) | 4,547 | 464 | (5,674 | ) | — | — | 11,387 | |||||||||||||||||||||||||
Warrants | — | — | — | — | 100 | — | — | — | 100 | |||||||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 16,646 | — | (4,596 | ) | 4,547 | 564 | (5,674 | ) | — | — | 11,487 | |||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 756,934 | $ | 13,309 | $ | 47,557 | $ | (20,446 | ) | $ | 782,596 | $ | (656,716 | ) | $ | — | $ | (284,748 | ) | $ | 638,486 | |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (350 | ) | $ | — | $ | (78 | ) | $ | 111 | $ | — | $ | 78 | $ | — | $ | — | $ | (239 | ) | |||||||||||||||
Total financial derivatives– liabilities, at fair value | (350 | ) | — | (78 | ) | 111 | — | 78 | — | — | (239 | ) | ||||||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||||||
Securitized debt | (983 | ) | (15 | ) | — | (22 | ) | 246 | — | — | — | (774 | ) | |||||||||||||||||||||||
Total securitized debt | (983 | ) | (15 | ) | — | (22 | ) | 246 | — | — | — | (774 | ) | |||||||||||||||||||||||
Total financial derivatives– liabilities and securitized debt, at fair value | $ | (1,333 | ) | $ | (15 | ) | $ | (78 | ) | $ | 89 | $ | 246 | $ | 78 | $ | — | $ | — | $ | (1,013 | ) | ||||||||||||||
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 December 31, 2014, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2014. For Level 3 financial instruments held by the Company at December 31, 2014, change in net unrealized gain (loss) of $6.3 million, $(1.6) million, $(0.1) million and $(22.0) thousand, for the year ended December 31, 2014 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively. | ||||||||||||||||||||||||||||||||||||
As of December 31, 2014, the Company transferred $284.7 million of non-Agency RMBS from Level 3 to Level 2. The decision to transfer these assets from Level 3 to Level 2 was based on observed market developments, including an increased volume of buying and selling of these and similar assets, greater consensus among market participants on price based on market quotes, and generally tighter credit spreads driven by improved performance in the underlying collateral as well as increased demand from investors seeking higher yielding assets. These factors have led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in observed market developments could impact future price transparency, and thereby cause a change in the level designation in subsequent periods. | ||||||||||||||||||||||||||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||||||||||||||||||||
(In thousands) | Ending | Accreted | Net Realized | Change in | Purchases/ | Sales/ | Transfers Into Level 3 | Transfers Out of Level 3 | Ending | |||||||||||||||||||||||||||
Balance as of December 31, 2012 | Discounts / | Gain/ | Net | Payments | Issuances | Balance as of December 31, 2013 | ||||||||||||||||||||||||||||||
(Amortized | (Loss) | Unrealized | ||||||||||||||||||||||||||||||||||
Premiums) | Gain/(Loss) | |||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 6,644 | $ | (5,929 | ) | $ | 833 | $ | 3,323 | $ | 42,051 | $ | (6,418 | ) | $ | — | $ | — | $ | 40,504 | ||||||||||||||||
Private label residential mortgage-backed securities | 528,366 | 26,119 | 43,823 | 12,643 | 524,864 | (456,043 | ) | — | — | 580,772 | ||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 19,327 | 402 | 1,030 | 3,069 | 92,929 | (83,763 | ) | — | — | 32,994 | ||||||||||||||||||||||||||
Commercial mortgage loans | 9,546 | 171 | 844 | 652 | 19,587 | (6,913 | ) | — | — | 23,887 | ||||||||||||||||||||||||||
Residential mortgage loans | — | — | — | — | 24,062 | — | — | — | 24,062 | |||||||||||||||||||||||||||
Other asset-backed securities | — | (641 | ) | 647 | (690 | ) | 56,436 | (17,683 | ) | — | — | 38,069 | ||||||||||||||||||||||||
Total investments, at fair value | 563,883 | 20,122 | 47,177 | 18,997 | 660,929 | (570,820 | ) | — | — | 740,288 | ||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 36,031 | — | (2,826 | ) | 1,070 | 204 | (17,833 | ) | — | — | 16,646 | |||||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 36,031 | — | (2,826 | ) | 1,070 | 204 | (17,833 | ) | — | — | 16,646 | |||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 599,914 | $ | 20,122 | $ | 44,351 | $ | 20,067 | $ | 661,133 | $ | (588,653 | ) | $ | — | $ | — | $ | 756,934 | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||
Financial derivatives– liabilities, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (1 | ) | $ | — | $ | (78 | ) | $ | (349 | ) | $ | — | $ | 78 | $ | — | $ | — | $ | (350 | ) | ||||||||||||||
Total financial derivatives– liabilities, at fair value | (1 | ) | — | (78 | ) | (349 | ) | — | 78 | — | — | (350 | ) | |||||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||||||
Securitized debt | (1,335 | ) | (38 | ) | — | 20 | 370 | — | — | — | (983 | ) | ||||||||||||||||||||||||
Total securitized debt | (1,335 | ) | (38 | ) | — | 20 | 370 | — | — | — | (983 | ) | ||||||||||||||||||||||||
Total financial derivatives– liabilities and securitized debt, at fair value | $ | (1,336 | ) | $ | (38 | ) | $ | (78 | ) | $ | (329 | ) | $ | 370 | $ | 78 | $ | — | $ | — | $ | (1,333 | ) | |||||||||||||
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 December 31, 2013, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2013. For Level 3 financial instruments held by the Company at December 31, 2013, change in net unrealized gain (loss) of $27.0 million, $(8.4) million, $(0.3) million, and $20.0 thousand for the year ended December 31, 2013 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively. | ||||||||||||||||||||||||||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2012 | ||||||||||||||||||||||||||||||||||||
(In thousands) | Ending | Accreted | Net Realized | Change in | Purchases/ | Sales/ | Transfers Into Level 3 | Transfers Out of Level 3 | Ending | |||||||||||||||||||||||||||
Balance as of December 31, 2011 | Discounts / | Gain/ | Net | Payments | Issuances | Balance as of December 31, 2012 | ||||||||||||||||||||||||||||||
(Amortized | (Loss) | Unrealized | ||||||||||||||||||||||||||||||||||
Premiums) | Gain/(Loss) | |||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 5,337 | $ | (2,277 | ) | $ | 111 | $ | (568 | ) | $ | 5,201 | $ | (1,160 | ) | $ | — | $ | — | $ | 6,644 | |||||||||||||||
Private label residential mortgage-backed securities | 417,533 | 21,896 | 15,657 | 69,286 | 323,554 | (319,560 | ) | — | — | 528,366 | ||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 16,093 | 570 | 7,619 | (255 | ) | 110,752 | (115,452 | ) | — | — | 19,327 | |||||||||||||||||||||||||
Commercial mortgage loans | 4,400 | 87 | — | 413 | 4,646 | — | — | — | 9,546 | |||||||||||||||||||||||||||
Total investments, at fair value | 443,363 | 20,276 | 23,387 | 68,876 | 444,153 | (436,172 | ) | — | — | 563,883 | ||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 61,498 | — | (1,164 | ) | 3,218 | 10,840 | (38,361 | ) | — | — | 36,031 | |||||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 61,498 | — | (1,164 | ) | 3,218 | 10,840 | (38,361 | ) | — | — | 36,031 | |||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 504,861 | $ | 20,276 | $ | 22,223 | $ | 72,094 | $ | 454,993 | $ | (474,533 | ) | $ | — | $ | — | $ | 599,914 | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||
Financial derivatives– liabilities, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | — | $ | — | $ | (79 | ) | $ | (1 | ) | $ | — | $ | 79 | $ | — | $ | — | $ | (1 | ) | |||||||||||||||
Total financial derivatives– liabilities, at fair value | — | — | (79 | ) | (1 | ) | — | 79 | — | — | (1 | ) | ||||||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||||||
Securitized debt | — | (55 | ) | — | (23 | ) | 265 | (1,522 | ) | — | — | (1,335 | ) | |||||||||||||||||||||||
Total securitized debt | — | (55 | ) | — | (23 | ) | 265 | (1,522 | ) | — | — | (1,335 | ) | |||||||||||||||||||||||
Total financial derivatives– liabilities and securitized debt, at fair value | $ | — | $ | (55 | ) | $ | (79 | ) | $ | (24 | ) | $ | 265 | $ | (1,443 | ) | $ | — | $ | — | $ | (1,336 | ) | |||||||||||||
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 December 31, 2012, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2012. For Level 3 financial instruments held by the Company at December 31, 2012, change in net unrealized gain (loss) of $52.4 million, $(10.8) million, $(1.0) thousand, and $(23.0) thousand for the year ended December 31, 2012 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively. |
To_Be_Announced_RMBS
To Be Announced RMBS | 12 Months Ended | ||||||||
Dec. 31, 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 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 accounts for its TBAs as purchase and sales and 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 December 31, 2014 and December 31, 2013: | |||||||||
As of | |||||||||
December 31, 2014 | 31-Dec-13 | ||||||||
Assets: | (In thousands) | ||||||||
TBA securities, at fair value (Current principal: $71,598 and $101,150, respectively) | $ | 72,410 | $ | 96,856 | |||||
Receivable for securities sold relating to unsettled TBA sales | 1,205,779 | 813,933 | |||||||
Liabilities: | |||||||||
TBA securities sold short, at fair value (Current principal: -$1,135,218 and -$784,888, respectively) | $ | (1,209,539 | ) | $ | (811,957 | ) | |||
Payable for securities purchased relating to unsettled TBA purchases | (71,832 | ) | (96,762 | ) | |||||
Net short TBA securities, at fair value | (1,137,129 | ) | (715,101 | ) |
Financial_Derivatives
Financial Derivatives | 12 Months Ended | ||||||||||
Dec. 31, 2014 | |||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||
Financial Derivatives | Financial Derivatives | ||||||||||
Gains and losses on the Company's derivative contracts for the years ended December 31, 2014, 2013, and 2012 are summarized in the tables below: | |||||||||||
December 31, 2014: | |||||||||||
Derivative Type | Primary Risk | Net Realized Gain/(Loss) | Change in Net Unrealized Gain/(Loss) for the Year Ended December 31, 2014 | ||||||||
Exposure | for the Year Ended | ||||||||||
31-Dec-14 | |||||||||||
(In thousands) | |||||||||||
Financial derivatives–assets | |||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (4,596 | ) | $ | 4,547 | |||||
Credit default swaps on asset-backed indices | Credit | (4,662 | ) | 2,059 | |||||||
Credit default swaps on corporate bond indices | Credit | 1,938 | (2,589 | ) | |||||||
Total return swaps | Equity Market | 12,975 | 3 | ||||||||
Interest rate swaps | Interest Rates | 10,610 | 5,101 | ||||||||
Futures | Interest Rates/Equity Market | 4,841 | 261 | ||||||||
Forwards | Currency | 3,845 | 884 | ||||||||
Other | Credit/ | 1,147 | (928 | ) | |||||||
Interest Rates | |||||||||||
26,098 | 9,338 | ||||||||||
Financial derivatives–liabilities | |||||||||||
Credit default swaps on asset-backed securities | Credit | (78 | ) | 111 | |||||||
Credit default swaps on asset-backed indices | Credit | 3,111 | (1,743 | ) | |||||||
Credit default swaps on corporate bond indices | Credit | (6,242 | ) | 6,926 | |||||||
Credit default swaps on corporate bonds | Credit | 270 | (782 | ) | |||||||
Total return swaps | Equity Market | (5,671 | ) | 46 | |||||||
Interest rate swaps | Interest Rates | (23,939 | ) | (24,318 | ) | ||||||
Futures | Interest Rates/Equity Market | (252 | ) | 2,291 | |||||||
Forwards | Currency | (2,215 | ) | (98 | ) | ||||||
Other | Credit/ | (2,293 | ) | (43 | ) | ||||||
Interest Rates/Equity Market | |||||||||||
(37,309 | ) | (17,610 | ) | ||||||||
Total | $ | (11,211 | ) | $ | (8,272 | ) | |||||
December 31, 2013: | |||||||||||
Derivative Type | Primary Risk | Net Realized Gain/(Loss) | Change in Net Unrealized Gain/(Loss) for the Year Ended December 31, 2013 | ||||||||
Exposure | for the Year Ended | ||||||||||
31-Dec-13 | |||||||||||
(In thousands) | |||||||||||
Financial derivatives–assets | |||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (2,826 | ) | $ | 1,070 | |||||
Credit default swaps on asset-backed indices | Credit | (5,954 | ) | 1,082 | |||||||
Credit default swaps on corporate bond indices | Credit | 626 | 1,026 | ||||||||
Total return swaps | Equity Market | 2,992 | 4 | ||||||||
Interest rate swaps | Interest Rates | (2,829 | ) | 23,548 | |||||||
Other | Credit/ | 115 | (244 | ) | |||||||
Interest Rates | |||||||||||
(7,876 | ) | 26,486 | |||||||||
Financial derivatives–liabilities | |||||||||||
Credit default swaps on asset-backed securities | Credit | (78 | ) | (349 | ) | ||||||
Credit default swaps on asset-backed indices | Credit | 1,870 | 2,869 | ||||||||
Credit default swaps on corporate bond indices | Credit | (9,573 | ) | (9,157 | ) | ||||||
Total return swaps | Equity Market | (5,260 | ) | (3 | ) | ||||||
Interest rate swaps | Interest Rates | 319 | (3,940 | ) | |||||||
Futures | Interest Rates | (795 | ) | (2,302 | ) | ||||||
Forwards | Currency | — | (38 | ) | |||||||
Other | Interest Rates/ Equity Market | (86 | ) | (84 | ) | ||||||
(13,603 | ) | (13,004 | ) | ||||||||
Total | $ | (21,479 | ) | $ | 13,482 | ||||||
December 31, 2012: | |||||||||||
Derivative Type | Primary Risk | Net Realized Gain/(Loss) | Change in Net Unrealized Gain/(Loss) for the Year Ended December 31, 2012 | ||||||||
Exposure | for the Year Ended | ||||||||||
31-Dec-12 | |||||||||||
(In thousands) | |||||||||||
Financial derivatives–assets | |||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (1,164 | ) | $ | 3,218 | |||||
Credit default swaps on asset-backed indices | Credit | (14,870 | ) | (5,887 | ) | ||||||
Credit default swaps on corporate bond indices | Credit | (1,548 | ) | 570 | |||||||
Interest rate swaps | Interest Rates | 169 | (91 | ) | |||||||
Futures | Interest Rates | (51 | ) | (11 | ) | ||||||
(17,464 | ) | (2,201 | ) | ||||||||
Financial derivatives–liabilities | |||||||||||
Credit default swaps on asset-backed securities | Credit | (79 | ) | (1 | ) | ||||||
Credit default swaps on asset-backed indices | Credit | 9,665 | (491 | ) | |||||||
Credit default swaps on corporate bond indices | Credit | (579 | ) | (122 | ) | ||||||
Total return swaps | Equity Market | (3,563 | ) | 209 | |||||||
Interest rate swaps | Interest Rates | (22,777 | ) | 16,094 | |||||||
Futures | Interest Rates | — | (71 | ) | |||||||
(17,333 | ) | 15,618 | |||||||||
Total | $ | (34,797 | ) | $ | 13,417 | ||||||
The tables below detail the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the years ended December 31, 2014 and 2013: | |||||||||||
Derivative Type | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||
(In thousands) | |||||||||||
Interest rate swaps | $ | 2,227,315 | $ | 828,442 | |||||||
Credit default swaps | 552,411 | 319,603 | |||||||||
Total return swaps | 55,108 | 29,212 | |||||||||
Futures | 738,830 | 134,831 | |||||||||
Options | 926,369 | 10,736 | |||||||||
Forwards | 42,143 | 369 | |||||||||
Warrants | 120 | — | |||||||||
From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of December 31, 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) or 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 December 31, 2014 and 2013, are summarized below: | |||||||||||
Credit Derivatives | Amount at | Amount at | |||||||||
31-Dec-14 | December 31, 2013 | ||||||||||
(In thousands) | |||||||||||
Fair Value of Written Credit Derivatives, Net | $ | 27,741 | $ | 1,421 | |||||||
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | (3,287 | ) | $ | 57 | ||||||
Notional Amount of Written Credit Derivatives (2) | $ | (341,014 | ) | $ | (120,497 | ) | |||||
Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | 54,874 | $ | 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. For the Company's written credit derivatives that were outstanding at December 31, 2014, periodic payment rates ranged between 15 and 500 basis points. For the Company's written credit derivatives that were outstanding at December 31, 2013, periodic payment rates ranged between 25 and 500 basis points. Total net up-front payments received relating to written credit derivatives outstanding at December 31, 2014 and 2013 were $28.9 million and $2.5 million, respectively. |
Borrowings_under_Reverse_Repur
Borrowings under Reverse Repurchase Agreements | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 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. 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. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the reverse repurchase agreement the Company must return to the counterparty the same security that had been posted. 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 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 December 31, 2014, the Company had utilized substantially all of the available capacity under the facility. | |||||||||||||||||||||
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 sixteen counterparties and fourteen counterparties, as of December 31, 2014 and December 31, 2013, respectively. | |||||||||||||||||||||
At December 31, 2014, approximately 23% 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 December 31, 2014 remaining days to maturity on the Company's open reverse repurchase agreements ranged from 2 to 631 days and from 2 to 180 days as of December 31, 2013. Interest rates on the Company's open reverse repurchase agreements ranged from (1.50)% to 2.42% as of December 31, 2014 and from 0.32% to 2.27% as of December 31, 2013. The negative interest rate at December 31, 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 December 31, 2014 and December 31, 2013: | |||||||||||||||||||||
(In thousands) | 31-Dec-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 | $ | 715,194 | 0.22 | % | 14 | $ | 369,861 | 0.53 | % | 14 | |||||||||||
31-60 Days | 322,874 | 0.52 | % | 44 | 402,206 | 1.12 | % | 45 | |||||||||||||
61-90 Days | 289,276 | 0.52 | % | 71 | 320,161 | 0.78 | % | 72 | |||||||||||||
91-120 Days | — | — | % | — | 8,233 | 1.4 | % | 100 | |||||||||||||
121-150 Days | 21,236 | 2.03 | % | 139 | 38,856 | 0.49 | % | 135 | |||||||||||||
151-180 Days | 123,484 | 1.25 | % | 162 | 96,849 | 1.9 | % | 179 | |||||||||||||
181-360 Days | 47,768 | 0.85 | % | 274 | — | — | % | — | |||||||||||||
>360 Days | 149,601 | 2.41 | % | 631 | — | — | % | — | |||||||||||||
$ | 1,669,433 | 0.65 | % | 105 | $ | 1,236,166 | 0.9 | % | 56 | ||||||||||||
Reverse repurchase agreements involving underlying investments that the Company 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 the Company may have entered into prior to period end for which delivery of the borrowed funds is not scheduled until after period end of $50.1 million and $48.7 million as of December 31, 2014 and 2013, respectively. | |||||||||||||||||||||
As of December 31, 2014 and December 31, 2013, the fair value of investments transferred as collateral under outstanding borrowings under reverse repurchase agreements was $1.93 billion and $1.46 billion, respectively. Collateral transferred under outstanding borrowings as of December 31, 2014 include investments in the amount of $145.5 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 $14.2 million and additional securities with a fair value of $12.5 million as of December 31, 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. |
Base_Management_Fee_And_Incent
Base Management Fee And Incentive Fee | 12 Months Ended |
Dec. 31, 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 | |
Periods after January 1, 2013 - The Operating Partnership pays the Manager 1.50% per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. | |
Periods prior to January 1, 2013 - Under the previous management agreement, the Company paid the Manager a base management fee quarterly in arrears in an amount equal to 1.50% per annum of shareholders' equity calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that shareholders' equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the independent directors, and approval by a majority of the independent directors in the case of non-cash charges. | |
Summary information—For the years ended December 31, 2014, 2013, and 2012, the total base management fee incurred was $10.8 million, $9.1 million, and $6.8 million respectively. | |
Incentive Fees | |
Periods after January 1, 2013 - The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. | |
For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. | |
For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) 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 December 31, 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. | |
Periods prior to January 1, 2013 - The Manager was entitled to receive a quarterly incentive fee calculated in accordance with the above described calculation except (a) For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in shareholders' equity from operations of the Company, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period; (b) For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in shareholders' equity from operations (expressed as a positive number) or net decrease in shareholders' equity from operations (expressed as a negative number) for such fiscal quarter; and (c) For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all of the Company's common share issuances up to the end of such fiscal quarter, with each issuance weighted by both the number of shares issued in such issuance and the number of days that such issued shares were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to the Company's common shares at the beginning of such fiscal quarter by (II) the average number of the Company's common shares outstanding for each day during such fiscal quarter, and (iii) the average number of the Company's common shares and LTIP Units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares (A) as equity incentive awards, (B) to the Manager as part of its base management fee or incentive fee and (C) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. | |
Summary information— Total incentive fee incurred for the years ended December 31, 2014, 2013, and 2012 was $1.4 million, $8.4 million, and $19.1 million, respectively. |
LongTerm_Incentive_Plan_Units
Long-Term Incentive Plan Units | 12 Months Ended | ||||||||||||||||||||||||||
Dec. 31, 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 years ended December 31, 2014, 2013, and 2012 was $0.3 million, $0.2 million, and $0.1 million, respectively. | |||||||||||||||||||||||||||
Detailed below is a roll-forward of the Company's LTIP units outstanding for the years ended December 31, 2014, 2013, and 2012: | |||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | |||||||||||||||||||||||||
Manager | Director/ | Total | Manager | Director/ | Total | Manager | Director/ | Total | |||||||||||||||||||
Employee | Employee | Employee | |||||||||||||||||||||||||
LTIP Units Outstanding (12/31/2013, 12/31/2012, and 12/31/2011, respectively) | 375,000 | 36,052 | 411,052 | 375,000 | 22,096 | 397,096 | 375,000 | 15,500 | 390,500 | ||||||||||||||||||
Granted | — | 20,084 | 20,084 | — | 15,738 | 15,738 | — | 7,846 | 7,846 | ||||||||||||||||||
Exercised | — | (1,822 | ) | (1,822 | ) | — | (1,782 | ) | (1,782 | ) | — | (1,250 | ) | (1,250 | ) | ||||||||||||
LTIP Units Outstanding (12/31/2014, 12/31/2013, and 12/31/2012, respectively) | 375,000 | 54,314 | 429,314 | 375,000 | 36,052 | 411,052 | 375,000 | 22,096 | 397,096 | ||||||||||||||||||
LTIP Units Vested and Outstanding (12/31/2014, 12/31/2013, and 12/31/2012, respectively) | 375,000 | 29,859 | 404,859 | 375,000 | 20,314 | 395,314 | 375,000 | 14,250 | 389,250 | ||||||||||||||||||
Noncontrolling_Interests
Non-controlling Interests | 12 Months Ended |
Dec. 31, 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, subject to specified limitations. OP Units are non-voting with respect to matters as to which common shareholders are entitled to vote. As of December 31, 2014, non-controlling interest related to the outstanding 212,000 OP Units represented an interest of approximately 0.6% in the Operating Partnership. | |
Joint Venture Interests | |
Non-controlling interests also include the interests of a joint venture partner in various consolidated subsidiaries of the Company. These subsidiaries hold the Company's investments in certain distressed commercial mortgage loans and REO. The joint venture partner participates in these subsidiaries on a pari passu basis with the Company at a predetermined percentage, and therefore participates proportionally in all income, expense, gains and losses of such subsidiaries. The joint venture partner makes capital contributions to the subsidiaries as new approved investments are purchased by the subsidiaries, and is generally entitled to distributions when investments are sold or otherwise disposed of. As of December 31, 2014 the joint venture partner's interests in subsidiaries of the Company were $1.5 million, representing an approximately 5% interest in such subsidiaries. | |
The joint venture partner's interests are 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 | 12 Months Ended | ||||||||
Dec. 31, 2014 | |||||||||
Stockholders' Equity Note [Abstract] | |||||||||
Common Share Capitalization | Common Share Capitalization | ||||||||
During the years ended December 31, 2014, 2013, and 2012, the Board of Directors authorized dividends totaling $3.08 per share, $3.83 per share, and $2.50 per share respectively. Total dividends paid during the years ended December 31, 2014, 2013, and 2012 were $86.4 million, $92.1 million, and $47.4 million, respectively. | |||||||||
On September 8, 2014 the Company completed a follow-on offering of 8.0 million of its common shares. The offering generated net proceeds, after underwriters' discount and offering costs, in the amount of $188.2 million. | |||||||||
On May 14, 2013 the Company completed a follow-on public offering of 5.0 million of its common shares. The offering generated net proceeds to the Company of $125.3 million, after offering costs. | |||||||||
On August 20, 2012 the Company completed a follow-on public offering of 3.5 million of its common shares. The offering generated net proceeds to the Company of $76.7 million. On September 12, 2012 the Company issued an additional 525,000 of its common shares in connection with the exercise of the 15% overallotment option by underwriters as a part of the Company's follow-on public offering which closed on August 20, 2012. The exercise of the overallotment resulted in net proceeds to the Company of an additional $11.1 million. Net proceeds are after underwriters' discount and offering costs. | |||||||||
Detailed below is a roll-forward of the Company's common shares outstanding for the years ended December 31, 2014, 2013, and 2012: | |||||||||
Year Ended | Year Ended | Year Ended | |||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | |||||||
Common Shares Outstanding | 25,428,186 | 20,370,469 | 16,447,651 | ||||||
(12/31/2013, 12/31/2012, and 12/31/2011, respectively) | |||||||||
Share Activity: | |||||||||
Shares issued | 8,000,000 | 5,000,000 | 4,025,000 | ||||||
Shares issued in connection with incentive fee payment | 19,670 | 55,935 | 53,207 | ||||||
Share repurchased | — | — | (156,639 | ) | |||||
Director LTIP units exercised | 1,822 | 1,782 | 1,250 | ||||||
Common Shares Outstanding | 33,449,678 | 25,428,186 | 20,370,469 | ||||||
(12/31/2014, 12/31/2013, and 12/31/2012, respectively) | |||||||||
If all LTIP and OP Units that have been previously issued were to become fully vested and exchanged for common shares as of December 31, 2014 and 2013, the Company's issued and outstanding common shares would increase to 34,090,992 and 26,051,238 shares, respectively. If all of the LTIP units that have previously been issued were to become fully vested and exchanged for common shares as of December 31, 2012, the Company's issued and outstanding common shares would increase to 20,767,565. | |||||||||
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 December 31, 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 | 12 Months Ended | ||||||||||||
Dec. 31, 2014 | |||||||||||||
Earnings Per Share [Abstract] | |||||||||||||
Earnings Per Share | Earnings Per Share | ||||||||||||
The components of the computation of basic and diluted EPS were as follows: | |||||||||||||
Year Ended December 31, | |||||||||||||
2014 | 2013 | 2012 | |||||||||||
(In thousands except share amounts) | |||||||||||||
Net increase in shareholders' equity resulting from operations | $ | 59,167 | $ | 78,524 | $ | 97,146 | |||||||
Add: Net increase in equity resulting from operations attributable to the participating non-controlling interest(1) | 472 | 735 | — | ||||||||||
Net increase in equity resulting from operations related to common shares, LTIP unit holders, and participating non-controlling interest | 59,639 | 79,259 | 97,146 | ||||||||||
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 | 58,306 | 77,219 | 95,064 | ||||||||||
Net increase in shareholders' equity resulting from operations– LTIP units | 861 | 1,305 | 2,082 | ||||||||||
Dividends Paid(2): | |||||||||||||
Common shareholders | (84,527 | ) | (89,732 | ) | (46,433 | ) | |||||||
LTIP unit holders | (1,269 | ) | (1,524 | ) | (979 | ) | |||||||
Non-controlling interest | (653 | ) | (811 | ) | — | ||||||||
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | (86,449 | ) | (92,067 | ) | (47,412 | ) | |||||||
Undistributed (Distributed in excess of) earnings: | |||||||||||||
Common shareholders | (26,221 | ) | (12,513 | ) | 48,631 | ||||||||
LTIP unit holders | (408 | ) | (219 | ) | 1,103 | ||||||||
Non-controlling interest | (181 | ) | (76 | ) | — | ||||||||
Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | $ | (26,810 | ) | $ | (12,808 | ) | $ | 49,734 | |||||
Weighted average shares outstanding (basic and diluted): | |||||||||||||
Weighted average common shares outstanding | 27,962,304 | 23,587,692 | 17,897,996 | ||||||||||
Weighted average participating LTIP units | 413,105 | 398,789 | 391,944 | ||||||||||
Weighted average non-controlling interest units | 212,000 | 212,000 | — | ||||||||||
Basic earnings per common share: | |||||||||||||
Distributed | $ | 3.08 | $ | 3.83 | $ | 2.5 | |||||||
Undistributed (Distributed in excess of) | (0.99 | ) | (0.55 | ) | 2.81 | ||||||||
$ | 2.09 | $ | 3.28 | $ | 5.31 | ||||||||
Diluted earnings per common share: | |||||||||||||
Distributed | $ | 3.08 | $ | 3.83 | $ | 2.5 | |||||||
Undistributed (Distributed in excess of) | (0.99 | ) | (0.55 | ) | 2.81 | ||||||||
$ | 2.09 | $ | 3.28 | $ | 5.31 | ||||||||
-1 | For the years ended December 31, 2014 and 2013, excludes net increase in equity resulting from operations of $0.3 million and $0.1 million, respectively attributable to the joint venture partner, which has non-participating interests 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 | 12 Months Ended | ||||
Dec. 31, 2014 | |||||
Risks and Uncertainties [Abstract] | |||||
Counterparty Risk | Counterparty Risk | ||||
As of December 31, 2014, investments with an aggregate value of approximately $1.94 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $145.5 million that were sold prior to period end but for which such sale had not yet settled as of December 31, 2014. | |||||
The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.94 billion in collateral for various reverse repurchase agreements as of December 31, 2014. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $158.7 million were held in custody at the Bank of New York Mellon Corporation. | |||||
Dealer | % of Total | ||||
Collateral on | |||||
Reverse Repurchase | |||||
Agreements | |||||
Deutsche Bank | 22% | ||||
Royal Bank of Canada | 17% | ||||
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 December 31, 2014: | |||||
Dealer | % of Total Due | ||||
from Brokers | |||||
Morgan Stanley | 57% | ||||
J.P. Morgan Securities Inc. | 20% | ||||
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 December 31, 2014: | |||||
Dealer | % of Total Receivable | ||||
for Securities Sold | |||||
CS First Boston | 25% | ||||
Morgan Stanley | 20% | ||||
Citigroup | 15% | ||||
In addition the Company held cash and cash equivalents of $114.1 million and $183.5 million as of December 31, 2014 and December 31, 2013, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty: | |||||
As of | |||||
Counterparty | December 31, 2014 | 31-Dec-13 | |||
BlackRock Liquidity TempFund | 88% | —% | |||
Bank of New York Mellon Corporation | 11% | 73% | |||
US Bank | 1% | —% | |||
JP Morgan Prime Money Market Premier Fund | —% | 27% |
Offsetting_of_Assets_and_Liabi
Offsetting of Assets and Liabilities | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 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 2. All financial instruments are recorded on a gross basis on the Condensed Statement of Assets, Liabilities, and Equity. In connection with the vast majority of 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 December 31, 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. | |||||||||||||||||||||
December 31, 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 | $ | 80,029 | $ | (40,671 | ) | $ | — | $ | (5,578 | ) | $ | 33,780 | |||||||||
Repurchase agreements | 172,001 | (172,001 | ) | — | — | — | |||||||||||||||
Liabilities | |||||||||||||||||||||
Financial derivatives–liabilities | (66,116 | ) | 26,758 | — | 17,393 | (21,965 | ) | ||||||||||||||
Reverse repurchase agreements | (1,669,433 | ) | 172,001 | 1,483,187 | 14,245 | — | |||||||||||||||
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, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of December 31, 2014 and December 31, 2013 were $1.94 billion and $1.48 billion, respectively. As of December 31, 2014 and December 31, 2013, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $22.7 million and $3.2 million, respectively. As of December 31, 2014 and December 31, 2013, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $23.2 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 | 12 Months Ended |
Dec. 31, 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 December 31, 2014 and December 31, 2013. | |
The Company has a commitment related to a mortgage originator in which the Company owns a subordinated debt interest. The Company has committed to make additional subordinated debt investments, up to $4.0 million subject to the satisfaction of certain requirements by the borrower and to the extent the borrower requests to increase its borrowings. The borrower can request up to $2.0 million on or before December 31, 2015 and the remaining $2.0 million on or before June 12, 2016. | |
The Company has entered into a purchase agreement whereby it has committed to purchase newly issued consumer loans originated by a third party in an amount not to exceed $70 million in loans held by the Company at any time. The commitment expires in November 2015, and the actual volume of loans to be purchased by the Company will depend on the ability of the third party to originate sufficient volume of loans that qualify for purchase under the agreement. As of December 31, 2014 the Company has purchased $11.8 million in loans under the agreement. |
Financial_Highlights
Financial Highlights | 12 Months Ended | |||||||||||
Dec. 31, 2014 | ||||||||||||
Financial Highlights [Abstract] | ||||||||||||
Financial Highlights | Financial Highlights | |||||||||||
Results of Operations for a Share Outstanding Throughout the Periods: | ||||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | ||||||||||
Beginning Shareholders' Equity Per Share (12/31/2013, 12/31/2012, and 12/31/2011, respectively) | $ | 24.4 | $ | 24.86 | $ | 22.55 | ||||||
Net Investment Income | 2.1 | 2.11 | 1.35 | |||||||||
Net Realized/Unrealized Gains (Losses) | 0.04 | 1.26 | 4.08 | |||||||||
Results of Operations Attributable to Equity | 2.14 | 3.37 | 5.43 | |||||||||
Less: Results of Operations Attributable to Non-controlling Interests | (0.03 | ) | (0.04 | ) | — | |||||||
Results of Operations Attributable to Shareholders' Equity(1) | 2.11 | 3.33 | 5.43 | |||||||||
Dividends Paid to Common Shareholders | (3.08 | ) | (3.83 | ) | (2.50 | ) | ||||||
Weighted Average Share Impact on Dividends Paid (2) | (0.01 | ) | (0.08 | ) | (0.15 | ) | ||||||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest | (0.04 | ) | 0.12 | (0.47 | ) | |||||||
Ending Shareholders' Equity Per Share (12/31/2014, 12/31/2013, and 12/31/2012, respectively)(3) | $ | 23.38 | $ | 24.4 | $ | 24.86 | ||||||
Shares Outstanding, end of period | 33,449,678 | 25,428,186 | 20,370,469 | |||||||||
-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 December 31, 2014, 2013, and 2012, shareholders' equity per share would be $23.09, $23.99, and $24.38, 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 years presented based on net asset value: | ||||||||||||
Net Asset Value Based Total Return for a Shareholder: (1) | ||||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | ||||||||||
Total Return | 8.77% | 14.19% | 22.16% | |||||||||
-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) | ||||||||||||
Year Ended | ||||||||||||
31-Dec-14 | ||||||||||||
Total Return | 7.39% | |||||||||||
-1 | Total return is calculated assuming all LTIP and OP Units had been converted into common shares at December 31, 2014. LTIP and OP Units outstanding at December 31, 2014 totaled 641,314 and represent 1.88% of total common shares and LTIP and OP Units outstanding as of that date. | |||||||||||
Market Based Total Return for a Shareholder: | ||||||||||||
For the years ended December 31, 2014, 2013, and 2012, the Company's market based total return based on the closing price as reported by the New York Stock Exchange was 0.15%, 18.11%, and 46.99%, 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) | ||||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | ||||||||||
Net Investment Income (2) | 8.62% | 8.40% | 5.59% | |||||||||
-1 | Average equity is calculated using month end values. | |||||||||||
-2 | Includes incentive fee in calculation which can vary substantially over periods. | |||||||||||
Expense Ratios to Average Equity: (1) | ||||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | ||||||||||
Operating expenses before incentive fee, interest expense, and other investment related expenses | -2.80% | -2.74% | -2.94% | |||||||||
Incentive fee | -0.21% | -1.42% | -4.43% | |||||||||
Interest expense and other investment related expenses | -2.14% | -1.95% | -1.80% | |||||||||
Total Expenses | -5.15% | -6.11% | -9.17% | |||||||||
-1 | Average equity is calculated using month end values. |
Condensed_Quarterly_Financial_
Condensed Quarterly Financial Data (Unaudited) (Notes) | 12 Months Ended | |||||||||||||||
Dec. 31, 2014 | ||||||||||||||||
Condensed Quarterly Financial Data (Unaudited) [Abstract] | ||||||||||||||||
Quarterly Financial Information [Text Block] | Condensed Quarterly Financial Data (Unaudited) | |||||||||||||||
Detailed below is unaudited quarterly financial data for the years ended December 31, 2014 and 2013. | ||||||||||||||||
Three Month Period Ended March 31, 2014 | Three Month Period Ended | Three Month | Three Month Period Ended December 31, 2014 | |||||||||||||
30-Jun-14 | Period Ended | |||||||||||||||
September 30, 2014(1) | ||||||||||||||||
(In thousands except per share amounts) | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Interest income | $ | 21,496 | $ | 20,996 | $ | 22,353 | $ | 28,688 | ||||||||
Other investment income | — | — | 168 | 150 | ||||||||||||
Total investment income | 21,496 | 20,996 | 22,521 | 28,838 | ||||||||||||
EXPENSES | ||||||||||||||||
Base management fee | 2,364 | 2,368 | 3,056 | 2,963 | ||||||||||||
Incentive fee | — | — | 1,400 | — | ||||||||||||
Interest expense | 2,627 | 2,416 | 2,179 | 2,705 | ||||||||||||
Other investment related expenses | 430 | 1,232 | 1,217 | 1,810 | ||||||||||||
Other operating expenses | 1,994 | 1,974 | 2,070 | 2,295 | ||||||||||||
Total expenses | 7,415 | 7,990 | 9,922 | 9,773 | ||||||||||||
NET INVESTMENT INCOME | 14,081 | 13,006 | 12,599 | 19,065 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY | ||||||||||||||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 11,408 | 3,684 | (8,483 | ) | (2,447 | ) | ||||||||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | (2,651 | ) | 4,514 | 9,031 | (13,858 | ) | ||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY | 8,757 | 8,198 | 548 | (16,305 | ) | |||||||||||
NET INCREASE IN EQUITY RESULTING FROM OPERATIONS | 22,838 | 21,204 | 13,147 | 2,760 | ||||||||||||
LESS: NET INCREASE IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTERESTS | 203 | 257 | 199 | 123 | ||||||||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS | $ | 22,635 | $ | 20,947 | $ | 12,948 | $ | 2,637 | ||||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | ||||||||||||||||
Basic and Diluted(2) | $ | 0.88 | $ | 0.81 | $ | 0.46 | $ | 0.08 | ||||||||
-1 | Prior period conformed to current period presentation. | |||||||||||||||
-2 | For the year ended December 31, 2014 the sum of EPS for the four quarters of the year does not equal EPS as calculated for the entire year (see Note 11) as a result of issuances of common shares and LTIP units during the year, as EPS is calculated using average shares outstanding during the period. | |||||||||||||||
Three Month Period Ended March 31, 2013 | Three Month Period Ended | Three Month | Three Month Period Ended December 31, 2013 | |||||||||||||
30-Jun-13 | Period Ended September 30, 2013 | |||||||||||||||
(In thousands except per share amounts) | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Interest income | $ | 18,382 | $ | 20,335 | $ | 24,069 | $ | 22,954 | ||||||||
Other investment income | — | — | — | — | ||||||||||||
Total investment income | 18,382 | 20,335 | 24,069 | 22,954 | ||||||||||||
EXPENSES | ||||||||||||||||
Base management fee | 1,967 | 2,405 | 2,378 | 2,365 | ||||||||||||
Incentive fee | 2,055 | 1,182 | 2,038 | 3,091 | ||||||||||||
Interest expense | 2,142 | 2,582 | 3,277 | 3,024 | ||||||||||||
Other investment related expenses | — | 327 | 85 | 84 | ||||||||||||
Other operating expenses | 1,649 | 1,671 | 1,885 | 1,878 | ||||||||||||
Total expenses | 7,813 | 8,167 | 9,663 | 10,442 | ||||||||||||
NET INVESTMENT INCOME | 10,569 | 12,168 | 14,406 | 12,512 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY | ||||||||||||||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 12,592 | 5,671 | 4,289 | (4,550 | ) | |||||||||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | 17,585 | (6,134 | ) | (6,872 | ) | 7,126 | ||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY | 30,177 | (463 | ) | (2,583 | ) | 2,576 | ||||||||||
NET INCREASE IN EQUITY RESULTING FROM OPERATIONS | 40,746 | 11,705 | 11,823 | 15,088 | ||||||||||||
LESS: NET INCREASE IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTERESTS | 411 | 105 | 96 | 226 | ||||||||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS | $ | 40,335 | $ | 11,600 | $ | 11,727 | $ | 14,862 | ||||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | ||||||||||||||||
Basic and Diluted(1) | $ | 1.94 | $ | 0.49 | $ | 0.45 | $ | 0.58 | ||||||||
-1 | For the year ended December 31, 2013 the sum of EPS for the four quarters of the year does not equal EPS as calculated for the entire year (see Note 11) as a result of issuances of common shares and LTIP units during the year, as EPS is calculated using average shares outstanding during the period. |
Subsequent_Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2014 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events |
On February 10, 2015, the Company's Board of Directors approved a dividend for the fourth quarter of 2014 in the amount of $0.65 per share payable on March 16, 2015 to shareholders of record as of February 27, 2015. |
Significant_Accounting_Policie1
Significant Accounting Policies (Policy) | 12 Months Ended | |
Dec. 31, 2014 | ||
Accounting Policies [Abstract] | ||
Basis of Presentation | Basis of Presentation: The Company's 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"). The Company has determined that it still meets the definition of an investment company under ASC 946 after adoption of ASU 2013-08. 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. | |
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 observability 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. Currently, the types of financial instruments the Company generally includes in this category are listed equities, exchange-traded derivatives, and cash and cash equivalents, | |
• | 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. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, non-Agency mortgage-backed securities determined to have sufficiently observable market data, U.S. Treasury securities and certain sovereign debt, commonly traded derivatives, such as interest rate swaps, foreign currency forwards, and certain other over-the-counter derivatives, and | |
• | Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are RMBS, CMBS, ABS, and credit default swaps, or "CDS," on individual ABS, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, distressed corporate debt, non-listed equities, and private corporate investments. | |
For certain financial instruments, the various inputs that management uses to measure fair value for such financial instrument may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for such financial instrument is based on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. | ||
Summary Valuation Techniques | ||
For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a good faith fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. | ||
For MBS, including TBAs, and other ABS, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management 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, and while management generally does not adjust the valuations it receives, management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Valuations for fixed rate MBS pass-throughs issued by a U.S. government agency or government-sponsored enterprise are typically based on observable pay-up data (pay-ups are price premiums for specified categories of fixed rate pools relative to their TBA counterparts) or models that use observable market data, such as interest rates and historical prepayment speeds, and are validated against third-party valuations. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically designated as Level 2 assets, although Agency interest only and inverse interest only RMBS are currently designated as Level 3 assets since they generally have less price transparency. Non-Agency MBS and other ABS are generally classified as either Level 2 or Level 3 based on analysis of available market data such as recent trades, executable bids, and reported "market color." Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. | ||
For residential and commercial mortgage loans, consumer loans, and real estate owned properties, or "REO," management determines fair value by taking into account both external pricing data and internal pricing models. Non-performing mortgage loans and REO are typically valued based on management's estimates of the value of the underlying real estate, using various information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. Performing mortgage loans and consumer loans are typically valued using discounted cash flows based on market assumptions. These assumptions typically include projected default and prepayment rates, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans and REO properties are classified as Level 3 assets. | ||
For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly-traded equities, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally designated as Level 2 instruments. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally designated as Level 2 instruments. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are typically designated as Level 3 instruments. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. | ||
Investments in distressed corporate debt are typically valued based on prices received from third-party pricing services. In determining the fair value of a distressed corporate debt investment, management may adjust the third-party prices received based on its good faith assessment of various factors relating to the debtor, such as the debtor's leverage ratio, an assessment of the debtor's ability to generate cash flow to service its debt, and the outlook for the debtor's overall industry, among other factors. These investments are designated as Level 3 assets. Investments in private operating entities, such as mortgage originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results, and in certain cases, where sufficient relevant data is not otherwise available, the original transaction price. These investments are also designated as Level 3 assets. | ||
The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. | ||
The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee. The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. | ||
Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments 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. | ||
Purchase and Sales of Investments and Investment Income | Purchase and Sales of Investments and Investment Income: Purchases and sales of investments are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. The Company amortizes premiums and accretes discounts on its debt investments. Coupon interest income on fixed income investments is generally accrued based on the outstanding principal balance and the current coupon interest rate. | |
For Agency RMBS and debt securities that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized into interest income over the life of such securities using the effective interest method. For securities subject to prepayment risk, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment is made to amortization to reflect the cumulative impact of the change in effective yield. | ||
For debt securities (including non-Agency MBS) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on 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. Principal write-offs are generally treated as realized losses. Changes in projected cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities. | ||
For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, on at least a quarterly basis based on current information and events, the Company re-assesses the collectability of interest and principal, and designates a loan as impaired either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as impaired, as long as principal is still expected to be collectable in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectable in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). | ||
For each loan purchased with evidence of credit deterioration since origination and the expectation that either principal or interest will not be paid in full, interest income is generally recognized using the effective interest method for as long as the cash flows can be reasonably estimated. Here, instead of amortizing the purchase discount (i.e., the excess of the unpaid principal balance over the purchase price) over the life of the loan, the Company effectively amortizes the accretable yield (i.e., the excess of the Company's estimate of the total cash flows to be collected over the life of the loan over the purchase price). Not less than quarterly, the Company updates its estimate of the cash flows expected to be collected over the life of the loan, and revised yields are prospectively applied. To the extent that cash flows cannot be reasonably estimated, these loans are generally accounted for under the cost recovery method. | ||
For certain groups of consumer loans that the Company considers as having sufficiently homogeneous characteristics, the Company aggregates such loans into pools, and accounts for each such pool as a single asset. The pool is then treated analogously to a debt security deemed not be of high credit quality, in that (i) the aggregate premium or discount for the pool is amortized or accreted into interest income based on the pool's effective interest rate; (ii) the effective interest rate is determined based on the net expected cash flows of the pool, taking into account estimates of prepayments, defaults, and loss severities; and (iii) estimates are updated not less than quarterly and revised yields are prospectively applied. | ||
In estimating future cash flows on the Company's debt investments, there are a number of assumptions that will be subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. | ||
The Company receives dividend income on certain of its equity investments and rental income on certain of its REO properties. These items of income are included on the Statement of Operations under the heading, "Other investment income." | ||
Cash and Cash Equivalents | Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash equivalents are recorded at cost plus accrued interest, which approximates fair value. Cash and cash equivalents typically include amounts held in an interest bearing overnight account and amounts held in money market funds, and these balances generally exceed insured limits. | |
Financial Derivatives | Financial Derivatives: The Company enters into various types of financial derivatives. The Company's financial 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, 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 interest rate on a notional principal amount and receives a fixed rate payment 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 may vary 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 security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including stock index futures. 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 contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, 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 contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract 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 options contract, 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 contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract 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 contracts 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, options contracts, and warrants. | ||
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/or 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. | ||
REO | REO: In the event that the Company obtains possession of real property in connection with a foreclosure or similar action, the Company will de-recognize the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company holds all REO at fair value. | |
Investments in Operating Entities | Investments in Operating Entities: The Company has made and may in the future 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 LTIP 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 LTIP 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 interests of a joint venture partner in a consolidated subsidiary. The joint venture partner's interests do 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 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 the 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, 2014, a subsidiary of the Company has elected to be treated as a corporation for U.S. federal income tax purposes. | |
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, or 2011 (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 modified 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 was effective for interim and annual reporting periods in fiscal years that began after December 15, 2013, with retrospective application; earlier application was prohibited. The Company has determined that it 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 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. | ||
In August 2014, the FASB issued ASU 2014-15, Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern ("ASU 2014-15"). ASU 2014-15 requires management to perform interim and annual assessments of an entity's ability to continue as a going concern and to provide disclosure if events or conditions arise that would place substantial doubt on the entity's ability to continue as a going concern. ASU 2014-15 is effective for the annual period ending after December 15, 2016, and subsequent interim and annual periods with early adoption permitted. The adoption of ASU 2014-15 is not expected to have a material impact on the Company's consolidated financial statements. | ||
In February 2015, the FASB issued ASU 2015-02, Amendments to the Consolidation Analysis ("ASU 2015-02"). This amends ASC 810, Consolidation (ASC "810"), to improve targeted areas of consolidation guidance by simplifying the requirements of consolidation and placing more emphasis on risk of loss when determining a controlling financial interest. ASU 2015-02 is effective for the annual period ending after December 15, 2015, and subsequent interim and annual periods with early adoption permitted. The adoption of ASU 2015-02 is not expected to have a material impact on the Company's consolidated financial statements. |
Valuation_Tables
Valuation (Tables) | 12 Months Ended | |||||||||||||||||||||||||||||||||||
Dec. 31, 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 December 31, 2014: | |||||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||
Assets: | (In thousands) | |||||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 114,140 | $ | — | $ | — | $ | 114,140 | ||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 1,258,699 | $ | 31,385 | $ | 1,290,084 | ||||||||||||||||||||||||||||
U.S. Treasury securities | — | 1,636 | — | 1,636 | ||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities | — | 284,748 | 274,369 | 559,117 | ||||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | — | — | 53,311 | 53,311 | ||||||||||||||||||||||||||||||||
Commercial mortgage loans | — | — | 28,309 | 28,309 | ||||||||||||||||||||||||||||||||
Residential mortgage loans | — | — | 27,482 | 27,482 | ||||||||||||||||||||||||||||||||
Other asset-backed securities and loans | — | — | 146,288 | 146,288 | ||||||||||||||||||||||||||||||||
Corporate debt | — | — | 42,708 | 42,708 | ||||||||||||||||||||||||||||||||
Real estate owned | — | — | 8,635 | 8,635 | ||||||||||||||||||||||||||||||||
Private corporate investments | — | — | 14,512 | 14,512 | ||||||||||||||||||||||||||||||||
Total investments, at fair value | — | 1,545,083 | 626,999 | 2,172,082 | ||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 11,387 | 11,387 | ||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | 35,865 | — | 35,865 | ||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | 1,881 | — | 1,881 | ||||||||||||||||||||||||||||||||
Interest rate swaps | — | 28,654 | — | 28,654 | ||||||||||||||||||||||||||||||||
Total return swaps | — | 8 | — | 8 | ||||||||||||||||||||||||||||||||
Swaptions | — | 344 | — | 344 | ||||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||
Liabilities: | (In thousands) | |||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- (continued) | ||||||||||||||||||||||||||||||||||||
Options | — | 645 | — | 645 | ||||||||||||||||||||||||||||||||
Futures | 261 | — | — | 261 | ||||||||||||||||||||||||||||||||
Forwards | — | 884 | — | 884 | ||||||||||||||||||||||||||||||||
Warrants | — | — | 100 | 100 | ||||||||||||||||||||||||||||||||
Total financial derivatives–assets, at fair value | 261 | 68,281 | 11,487 | 80,029 | ||||||||||||||||||||||||||||||||
Repurchase agreements | — | 172,001 | — | 172,001 | ||||||||||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | $ | 261 | $ | 1,785,365 | $ | 638,486 | $ | 2,424,112 | ||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||
Investments sold short, at fair value- | ||||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | (1,209,539 | ) | $ | — | $ | (1,209,539 | ) | ||||||||||||||||||||||||||
Government debt | — | (55,315 | ) | — | (55,315 | ) | ||||||||||||||||||||||||||||||
Common stock | (26,516 | ) | — | — | (26,516 | ) | ||||||||||||||||||||||||||||||
Total investments sold short, at fair value | (26,516 | ) | (1,264,854 | ) | — | (1,291,370 | ) | |||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | — | (28,588 | ) | — | (28,588 | ) | ||||||||||||||||||||||||||||||
Credit default swaps on corporate bonds | — | (2,953 | ) | — | (2,953 | ) | ||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | — | (4,410 | ) | — | (4,410 | ) | ||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | — | — | (239 | ) | (239 | ) | ||||||||||||||||||||||||||||||
Interest rate swaps | — | (29,405 | ) | — | (29,405 | ) | ||||||||||||||||||||||||||||||
Total return swaps | — | (21 | ) | — | (21 | ) | ||||||||||||||||||||||||||||||
Options | — | (146 | ) | — | (146 | ) | ||||||||||||||||||||||||||||||
Swaptions | — | (137 | ) | — | (137 | ) | ||||||||||||||||||||||||||||||
Futures | (81 | ) | — | — | (81 | ) | ||||||||||||||||||||||||||||||
Forwards | — | (136 | ) | — | (136 | ) | ||||||||||||||||||||||||||||||
Total financial derivatives–liabilities, at fair value | (81 | ) | (65,796 | ) | (239 | ) | (66,116 | ) | ||||||||||||||||||||||||||||
Securitized debt(1) | — | — | (774 | ) | (774 | ) | ||||||||||||||||||||||||||||||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | $ | (26,597 | ) | $ | (1,330,650 | ) | $ | (1,013 | ) | $ | (1,358,260 | ) | ||||||||||||||||||||||||
-1 | The asset subject to the resecuritization had a fair value of $2.2 million as of December 31, 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 December 31, 2014: | |||||||||||||||||||||||||||||||||||
Fair Value | Valuation | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||||||
Description | Technique | Min | Max | Average | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||
Private label residential mortgage-backed securities (1) | $ | 201,373 | Market Quotes | Non Binding Third-Party Valuation | $ | 1.83 | $ | 119.58 | $ | 73.58 | ||||||||||||||||||||||||||
Other asset-backed securities | 123,029 | Market Quotes | Non Binding Third-Party Valuation | $ | 21.5 | $ | 137 | $ | 94.91 | |||||||||||||||||||||||||||
Private label residential mortgage-backed securities | 72,222 | Discounted Cash Flows | Yield | 3 | % | 13.6 | % | 7 | % | |||||||||||||||||||||||||||
Projected Collateral Prepayments | 6.7 | % | 100 | % | 45.6 | % | ||||||||||||||||||||||||||||||
Projected Collateral Losses | 0 | % | 44.5 | % | 11.3 | % | ||||||||||||||||||||||||||||||
Projected Collateral Recoveries | 0 | % | 22.4 | % | 8 | % | ||||||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 86.4 | % | 35.1 | % | ||||||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 12,392 | Discounted Cash Flows | Yield | 12 | % | 51.1 | % | 23.7 | % | |||||||||||||||||||||||||||
Projected Collateral Losses | 0.1 | % | 2.5 | % | 0.7 | % | ||||||||||||||||||||||||||||||
Projected Collateral Recoveries | 0.9 | % | 13.5 | % | 6.2 | % | ||||||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 85.3 | % | 99 | % | 93.1 | % | ||||||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||||||
Corporate debt, non-exchange traded corporate equity, and warrants | 45,668 | Discounted Cash Flows | Yield | 7.5 | % | 24.3 | % | 13.3 | % | |||||||||||||||||||||||||||
Non Binding Third-Party Valuation | $ | 73 | $ | 108 | $ | 95.08 | ||||||||||||||||||||||||||||||
Other asset-backed securities and loans | 23,259 | Discounted Cash Flows | Yield | — | % | 14.4 | % | 9.1 | % | |||||||||||||||||||||||||||
Projected Collateral Prepayments | 62.7 | % | 62.7 | % | 62.7 | % | ||||||||||||||||||||||||||||||
Projected Collateral Losses | 4 | % | 4 | % | 4 | % | ||||||||||||||||||||||||||||||
Projected Collateral Recoveries | 1.7 | % | 1.7 | % | 1.7 | % | ||||||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 31.6 | % | 31.6 | % | 31.6 | % | ||||||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 40,919 | Market Quotes | Non Binding Third-Party Valuation | $ | 5.62 | $ | 103.25 | $ | 66.56 | |||||||||||||||||||||||||||
Performing commercial mortgage loans | 21,328 | Discounted Cash Flows | Yield | 9.2 | % | 13.1 | % | 10.3 | % | |||||||||||||||||||||||||||
Non-performing commercial mortgage loans | 6,981 | Discounted Cash Flows | Yield | 15.3 | % | 20.1 | % | 16.4 | % | |||||||||||||||||||||||||||
Months to Resolution | 0.5 | 10.5 | 8.2 | |||||||||||||||||||||||||||||||||
Non-performing residential mortgage loan pools and real estate owned | 36,117 | Discounted Cash Flows | Yield | 6.1 | % | 12 | % | 7.3 | % | |||||||||||||||||||||||||||
Months to Resolution | 4.1 | 79.1 | 24.6 | |||||||||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 22,928 | Market Quotes | Non Binding Third-Party Valuation | $ | 3.62 | $ | 24.86 | $ | 11.38 | |||||||||||||||||||||||||||
Agency interest only residential mortgage-backed securities | 8,457 | Option Adjusted Spread ("OAS") | LIBOR OAS(2) | (154 | ) | 1,796 | 359 | |||||||||||||||||||||||||||||
Projected Collateral Prepayments | 50.2 | % | 100 | % | 75.5 | % | ||||||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 0 | % | 49.8 | % | 24.5 | % | ||||||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||||||
(continued) | Fair Value | Valuation | Unobservable Input | Range | Weighted | |||||||||||||||||||||||||||||||
Description | Technique | Min | Max | Average | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 11,148 | Net Discounted Cash Flows | Projected Collateral Prepayments | 17.8 | % | 55.8 | % | 32.5 | % | |||||||||||||||||||||||||||
Projected Collateral Losses | 16.5 | % | 37.7 | % | 29.7 | % | ||||||||||||||||||||||||||||||
Projected Collateral Recoveries | 7.7 | % | 18.5 | % | 12.8 | % | ||||||||||||||||||||||||||||||
Projected Collateral Scheduled Amortization | 15.9 | % | 43.4 | % | 25 | % | ||||||||||||||||||||||||||||||
100 | % | |||||||||||||||||||||||||||||||||||
Non-exchange traded preferred equity investment in commercial mortgage-related private partnership | 6,241 | Discounted Cash Flows | Yield | 10 | % | 10 | % | 10 | % | |||||||||||||||||||||||||||
Expected Holding Period (Months) | 17 | 17 | 17 | |||||||||||||||||||||||||||||||||
Non-exchange traded preferred and common equity investment in mortgage-related entities | 5,411 | Recent Transactions | Transaction Price | N/A | N/A | N/A | ||||||||||||||||||||||||||||||
-1 | Includes securitized debt with a fair value of $0.8 million as of December 31, 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 Third-Party Valuation | $ | 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 Third-Party Valuation | $ | 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 Third-Party Valuation | $ | 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: | |||||||||||||||||||||||||||||||||||
Year Ended December 31, 2014 | ||||||||||||||||||||||||||||||||||||
(In thousands) | Beginning | Accreted | Net Realized | Change in Net | Purchases/ | Sales/ | Transfers Into Level 3 | Transfers Out of Level 3 | Ending | |||||||||||||||||||||||||||
Balance | Discounts / | Gain/ | Unrealized | Payments | Issuances | Balance as of | ||||||||||||||||||||||||||||||
as of | (Amortized | (Loss) | Gain/(Loss) | 31-Dec-14 | ||||||||||||||||||||||||||||||||
31-Dec-13 | Premiums) | |||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 40,504 | $ | (8,738 | ) | $ | 1,404 | $ | (2,078 | ) | $ | 8,448 | $ | (8,155 | ) | $ | — | $ | — | $ | 31,385 | |||||||||||||||
Private label residential mortgage-backed securities | 580,772 | 20,544 | 38,600 | (18,406 | ) | 382,956 | (445,349 | ) | — | (284,748 | ) | 274,369 | ||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 32,994 | 1,328 | 7,055 | (357 | ) | 116,128 | (103,837 | ) | — | — | 53,311 | |||||||||||||||||||||||||
Commercial mortgage loans | 23,887 | 2,739 | 3,156 | (632 | ) | 41,856 | (42,697 | ) | — | — | 28,309 | |||||||||||||||||||||||||
Residential mortgage loans | 24,062 | 1,267 | 1,424 | 84 | 14,863 | (14,218 | ) | — | — | 27,482 | ||||||||||||||||||||||||||
Other asset-backed securities and loans | 38,069 | (3,761 | ) | 342 | (2,409 | ) | 148,009 | (33,962 | ) | — | — | 146,288 | ||||||||||||||||||||||||
Corporate debt | — | (70 | ) | — | (877 | ) | 43,808 | (153 | ) | — | — | 42,708 | ||||||||||||||||||||||||
Real estate owned | — | — | 172 | (113 | ) | 11,247 | (2,671 | ) | — | — | 8,635 | |||||||||||||||||||||||||
Private corporate investments | — | — | — | (205 | ) | 14,717 | — | — | — | 14,512 | ||||||||||||||||||||||||||
Total investments, at fair value | 740,288 | 13,309 | 52,153 | (24,993 | ) | 782,032 | (651,042 | ) | — | (284,748 | ) | 626,999 | ||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 16,646 | — | (4,596 | ) | 4,547 | 464 | (5,674 | ) | — | — | 11,387 | |||||||||||||||||||||||||
Warrants | — | — | — | — | 100 | — | — | — | 100 | |||||||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 16,646 | — | (4,596 | ) | 4,547 | 564 | (5,674 | ) | — | — | 11,487 | |||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 756,934 | $ | 13,309 | $ | 47,557 | $ | (20,446 | ) | $ | 782,596 | $ | (656,716 | ) | $ | — | $ | (284,748 | ) | $ | 638,486 | |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (350 | ) | $ | — | $ | (78 | ) | $ | 111 | $ | — | $ | 78 | $ | — | $ | — | $ | (239 | ) | |||||||||||||||
Total financial derivatives– liabilities, at fair value | (350 | ) | — | (78 | ) | 111 | — | 78 | — | — | (239 | ) | ||||||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||||||
Securitized debt | (983 | ) | (15 | ) | — | (22 | ) | 246 | — | — | — | (774 | ) | |||||||||||||||||||||||
Total securitized debt | (983 | ) | (15 | ) | — | (22 | ) | 246 | — | — | — | (774 | ) | |||||||||||||||||||||||
Total financial derivatives– liabilities and securitized debt, at fair value | $ | (1,333 | ) | $ | (15 | ) | $ | (78 | ) | $ | 89 | $ | 246 | $ | 78 | $ | — | $ | — | $ | (1,013 | ) | ||||||||||||||
Year Ended December 31, 2012 | ||||||||||||||||||||||||||||||||||||
(In thousands) | Ending | Accreted | Net Realized | Change in | Purchases/ | Sales/ | Transfers Into Level 3 | Transfers Out of Level 3 | Ending | |||||||||||||||||||||||||||
Balance as of December 31, 2011 | Discounts / | Gain/ | Net | Payments | Issuances | Balance as of December 31, 2012 | ||||||||||||||||||||||||||||||
(Amortized | (Loss) | Unrealized | ||||||||||||||||||||||||||||||||||
Premiums) | Gain/(Loss) | |||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 5,337 | $ | (2,277 | ) | $ | 111 | $ | (568 | ) | $ | 5,201 | $ | (1,160 | ) | $ | — | $ | — | $ | 6,644 | |||||||||||||||
Private label residential mortgage-backed securities | 417,533 | 21,896 | 15,657 | 69,286 | 323,554 | (319,560 | ) | — | — | 528,366 | ||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 16,093 | 570 | 7,619 | (255 | ) | 110,752 | (115,452 | ) | — | — | 19,327 | |||||||||||||||||||||||||
Commercial mortgage loans | 4,400 | 87 | — | 413 | 4,646 | — | — | — | 9,546 | |||||||||||||||||||||||||||
Total investments, at fair value | 443,363 | 20,276 | 23,387 | 68,876 | 444,153 | (436,172 | ) | — | — | 563,883 | ||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 61,498 | — | (1,164 | ) | 3,218 | 10,840 | (38,361 | ) | — | — | 36,031 | |||||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 61,498 | — | (1,164 | ) | 3,218 | 10,840 | (38,361 | ) | — | — | 36,031 | |||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 504,861 | $ | 20,276 | $ | 22,223 | $ | 72,094 | $ | 454,993 | $ | (474,533 | ) | $ | — | $ | — | $ | 599,914 | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||
Financial derivatives– liabilities, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | — | $ | — | $ | (79 | ) | $ | (1 | ) | $ | — | $ | 79 | $ | — | $ | — | $ | (1 | ) | |||||||||||||||
Total financial derivatives– liabilities, at fair value | — | — | (79 | ) | (1 | ) | — | 79 | — | — | (1 | ) | ||||||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||||||
Securitized debt | — | (55 | ) | — | (23 | ) | 265 | (1,522 | ) | — | — | (1,335 | ) | |||||||||||||||||||||||
Total securitized debt | — | (55 | ) | — | (23 | ) | 265 | (1,522 | ) | — | — | (1,335 | ) | |||||||||||||||||||||||
Total financial derivatives– liabilities and securitized debt, at fair value | $ | — | $ | (55 | ) | $ | (79 | ) | $ | (24 | ) | $ | 265 | $ | (1,443 | ) | $ | — | $ | — | $ | (1,336 | ) | |||||||||||||
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: | ||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||||||||||||||||||||
(In thousands) | Ending | Accreted | Net Realized | Change in | Purchases/ | Sales/ | Transfers Into Level 3 | Transfers Out of Level 3 | Ending | |||||||||||||||||||||||||||
Balance as of December 31, 2012 | Discounts / | Gain/ | Net | Payments | Issuances | Balance as of December 31, 2013 | ||||||||||||||||||||||||||||||
(Amortized | (Loss) | Unrealized | ||||||||||||||||||||||||||||||||||
Premiums) | Gain/(Loss) | |||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Investments, at fair value- | ||||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 6,644 | $ | (5,929 | ) | $ | 833 | $ | 3,323 | $ | 42,051 | $ | (6,418 | ) | $ | — | $ | — | $ | 40,504 | ||||||||||||||||
Private label residential mortgage-backed securities | 528,366 | 26,119 | 43,823 | 12,643 | 524,864 | (456,043 | ) | — | — | 580,772 | ||||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 19,327 | 402 | 1,030 | 3,069 | 92,929 | (83,763 | ) | — | — | 32,994 | ||||||||||||||||||||||||||
Commercial mortgage loans | 9,546 | 171 | 844 | 652 | 19,587 | (6,913 | ) | — | — | 23,887 | ||||||||||||||||||||||||||
Residential mortgage loans | — | — | — | — | 24,062 | — | — | — | 24,062 | |||||||||||||||||||||||||||
Other asset-backed securities | — | (641 | ) | 647 | (690 | ) | 56,436 | (17,683 | ) | — | — | 38,069 | ||||||||||||||||||||||||
Total investments, at fair value | 563,883 | 20,122 | 47,177 | 18,997 | 660,929 | (570,820 | ) | — | — | 740,288 | ||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 36,031 | — | (2,826 | ) | 1,070 | 204 | (17,833 | ) | — | — | 16,646 | |||||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 36,031 | — | (2,826 | ) | 1,070 | 204 | (17,833 | ) | — | — | 16,646 | |||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 599,914 | $ | 20,122 | $ | 44,351 | $ | 20,067 | $ | 661,133 | $ | (588,653 | ) | $ | — | $ | — | $ | 756,934 | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||
Financial derivatives– liabilities, at fair value- | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (1 | ) | $ | — | $ | (78 | ) | $ | (349 | ) | $ | — | $ | 78 | $ | — | $ | — | $ | (350 | ) | ||||||||||||||
Total financial derivatives– liabilities, at fair value | (1 | ) | — | (78 | ) | (349 | ) | — | 78 | — | — | (350 | ) | |||||||||||||||||||||||
Securitized debt: | ||||||||||||||||||||||||||||||||||||
Securitized debt | (1,335 | ) | (38 | ) | — | 20 | 370 | — | — | — | (983 | ) | ||||||||||||||||||||||||
Total securitized debt | (1,335 | ) | (38 | ) | — | 20 | 370 | — | — | — | (983 | ) | ||||||||||||||||||||||||
Total financial derivatives– liabilities and securitized debt, at fair value | $ | (1,336 | ) | $ | (38 | ) | $ | (78 | ) | $ | (329 | ) | $ | 370 | $ | 78 | $ | — | $ | — | $ | (1,333 | ) | |||||||||||||
To_Be_Announced_RMBS_Tables
To Be Announced RMBS (Tables) | 12 Months Ended | ||||||||
Dec. 31, 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 December 31, 2014 and December 31, 2013: | ||||||||
As of | |||||||||
December 31, 2014 | 31-Dec-13 | ||||||||
Assets: | (In thousands) | ||||||||
TBA securities, at fair value (Current principal: $71,598 and $101,150, respectively) | $ | 72,410 | $ | 96,856 | |||||
Receivable for securities sold relating to unsettled TBA sales | 1,205,779 | 813,933 | |||||||
Liabilities: | |||||||||
TBA securities sold short, at fair value (Current principal: -$1,135,218 and -$784,888, respectively) | $ | (1,209,539 | ) | $ | (811,957 | ) | |||
Payable for securities purchased relating to unsettled TBA purchases | (71,832 | ) | (96,762 | ) | |||||
Net short TBA securities, at fair value | (1,137,129 | ) | (715,101 | ) |
Financial_Derivatives_Tables
Financial Derivatives (Tables) | 12 Months Ended | ||||||||||
Dec. 31, 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 years ended December 31, 2014, 2013, and 2012 are summarized in the tables below: | ||||||||||
December 31, 2014: | |||||||||||
Derivative Type | Primary Risk | Net Realized Gain/(Loss) | Change in Net Unrealized Gain/(Loss) for the Year Ended December 31, 2014 | ||||||||
Exposure | for the Year Ended | ||||||||||
31-Dec-14 | |||||||||||
(In thousands) | |||||||||||
Financial derivatives–assets | |||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (4,596 | ) | $ | 4,547 | |||||
Credit default swaps on asset-backed indices | Credit | (4,662 | ) | 2,059 | |||||||
Credit default swaps on corporate bond indices | Credit | 1,938 | (2,589 | ) | |||||||
Total return swaps | Equity Market | 12,975 | 3 | ||||||||
Interest rate swaps | Interest Rates | 10,610 | 5,101 | ||||||||
Futures | Interest Rates/Equity Market | 4,841 | 261 | ||||||||
Forwards | Currency | 3,845 | 884 | ||||||||
Other | Credit/ | 1,147 | (928 | ) | |||||||
Interest Rates | |||||||||||
26,098 | 9,338 | ||||||||||
Financial derivatives–liabilities | |||||||||||
Credit default swaps on asset-backed securities | Credit | (78 | ) | 111 | |||||||
Credit default swaps on asset-backed indices | Credit | 3,111 | (1,743 | ) | |||||||
Credit default swaps on corporate bond indices | Credit | (6,242 | ) | 6,926 | |||||||
Credit default swaps on corporate bonds | Credit | 270 | (782 | ) | |||||||
Total return swaps | Equity Market | (5,671 | ) | 46 | |||||||
Interest rate swaps | Interest Rates | (23,939 | ) | (24,318 | ) | ||||||
Futures | Interest Rates/Equity Market | (252 | ) | 2,291 | |||||||
Forwards | Currency | (2,215 | ) | (98 | ) | ||||||
Other | Credit/ | (2,293 | ) | (43 | ) | ||||||
Interest Rates/Equity Market | |||||||||||
(37,309 | ) | (17,610 | ) | ||||||||
Total | $ | (11,211 | ) | $ | (8,272 | ) | |||||
December 31, 2013: | |||||||||||
Derivative Type | Primary Risk | Net Realized Gain/(Loss) | Change in Net Unrealized Gain/(Loss) for the Year Ended December 31, 2013 | ||||||||
Exposure | for the Year Ended | ||||||||||
31-Dec-13 | |||||||||||
(In thousands) | |||||||||||
Financial derivatives–assets | |||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (2,826 | ) | $ | 1,070 | |||||
Credit default swaps on asset-backed indices | Credit | (5,954 | ) | 1,082 | |||||||
Credit default swaps on corporate bond indices | Credit | 626 | 1,026 | ||||||||
Total return swaps | Equity Market | 2,992 | 4 | ||||||||
Interest rate swaps | Interest Rates | (2,829 | ) | 23,548 | |||||||
Other | Credit/ | 115 | (244 | ) | |||||||
Interest Rates | |||||||||||
(7,876 | ) | 26,486 | |||||||||
Financial derivatives–liabilities | |||||||||||
Credit default swaps on asset-backed securities | Credit | (78 | ) | (349 | ) | ||||||
Credit default swaps on asset-backed indices | Credit | 1,870 | 2,869 | ||||||||
Credit default swaps on corporate bond indices | Credit | (9,573 | ) | (9,157 | ) | ||||||
Total return swaps | Equity Market | (5,260 | ) | (3 | ) | ||||||
Interest rate swaps | Interest Rates | 319 | (3,940 | ) | |||||||
Futures | Interest Rates | (795 | ) | (2,302 | ) | ||||||
Forwards | Currency | — | (38 | ) | |||||||
Other | Interest Rates/ Equity Market | (86 | ) | (84 | ) | ||||||
(13,603 | ) | (13,004 | ) | ||||||||
Total | $ | (21,479 | ) | $ | 13,482 | ||||||
December 31, 2012: | |||||||||||
Derivative Type | Primary Risk | Net Realized Gain/(Loss) | Change in Net Unrealized Gain/(Loss) for the Year Ended December 31, 2012 | ||||||||
Exposure | for the Year Ended | ||||||||||
31-Dec-12 | |||||||||||
(In thousands) | |||||||||||
Financial derivatives–assets | |||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (1,164 | ) | $ | 3,218 | |||||
Credit default swaps on asset-backed indices | Credit | (14,870 | ) | (5,887 | ) | ||||||
Credit default swaps on corporate bond indices | Credit | (1,548 | ) | 570 | |||||||
Interest rate swaps | Interest Rates | 169 | (91 | ) | |||||||
Futures | Interest Rates | (51 | ) | (11 | ) | ||||||
(17,464 | ) | (2,201 | ) | ||||||||
Financial derivatives–liabilities | |||||||||||
Credit default swaps on asset-backed securities | Credit | (79 | ) | (1 | ) | ||||||
Credit default swaps on asset-backed indices | Credit | 9,665 | (491 | ) | |||||||
Credit default swaps on corporate bond indices | Credit | (579 | ) | (122 | ) | ||||||
Total return swaps | Equity Market | (3,563 | ) | 209 | |||||||
Interest rate swaps | Interest Rates | (22,777 | ) | 16,094 | |||||||
Futures | Interest Rates | — | (71 | ) | |||||||
(17,333 | ) | 15,618 | |||||||||
Total | $ | (34,797 | ) | $ | 13,417 | ||||||
Derivative activity, volume | The tables below detail the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the years ended December 31, 2014 and 2013: | ||||||||||
Derivative Type | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||
(In thousands) | |||||||||||
Interest rate swaps | $ | 2,227,315 | $ | 828,442 | |||||||
Credit default swaps | 552,411 | 319,603 | |||||||||
Total return swaps | 55,108 | 29,212 | |||||||||
Futures | 738,830 | 134,831 | |||||||||
Options | 926,369 | 10,736 | |||||||||
Forwards | 42,143 | 369 | |||||||||
Warrants | 120 | — | |||||||||
Schedule of Credit Derivatives | Written credit derivatives held by the Company at December 31, 2014 and 2013, are summarized below: | ||||||||||
Credit Derivatives | Amount at | Amount at | |||||||||
31-Dec-14 | December 31, 2013 | ||||||||||
(In thousands) | |||||||||||
Fair Value of Written Credit Derivatives, Net | $ | 27,741 | $ | 1,421 | |||||||
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | (3,287 | ) | $ | 57 | ||||||
Notional Amount of Written Credit Derivatives (2) | $ | (341,014 | ) | $ | (120,497 | ) | |||||
Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | 54,874 | $ | 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) | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 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 December 31, 2014 and December 31, 2013: | ||||||||||||||||||||
(In thousands) | 31-Dec-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 | $ | 715,194 | 0.22 | % | 14 | $ | 369,861 | 0.53 | % | 14 | |||||||||||
31-60 Days | 322,874 | 0.52 | % | 44 | 402,206 | 1.12 | % | 45 | |||||||||||||
61-90 Days | 289,276 | 0.52 | % | 71 | 320,161 | 0.78 | % | 72 | |||||||||||||
91-120 Days | — | — | % | — | 8,233 | 1.4 | % | 100 | |||||||||||||
121-150 Days | 21,236 | 2.03 | % | 139 | 38,856 | 0.49 | % | 135 | |||||||||||||
151-180 Days | 123,484 | 1.25 | % | 162 | 96,849 | 1.9 | % | 179 | |||||||||||||
181-360 Days | 47,768 | 0.85 | % | 274 | — | — | % | — | |||||||||||||
>360 Days | 149,601 | 2.41 | % | 631 | — | — | % | — | |||||||||||||
$ | 1,669,433 | 0.65 | % | 105 | $ | 1,236,166 | 0.9 | % | 56 | ||||||||||||
LongTerm_Incentive_Plan_Units_
Long-Term Incentive Plan Units (Tables) | 12 Months Ended | ||||||||||||||||||||||||||
Dec. 31, 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 years ended December 31, 2014, 2013, and 2012: | ||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | |||||||||||||||||||||||||
Manager | Director/ | Total | Manager | Director/ | Total | Manager | Director/ | Total | |||||||||||||||||||
Employee | Employee | Employee | |||||||||||||||||||||||||
LTIP Units Outstanding (12/31/2013, 12/31/2012, and 12/31/2011, respectively) | 375,000 | 36,052 | 411,052 | 375,000 | 22,096 | 397,096 | 375,000 | 15,500 | 390,500 | ||||||||||||||||||
Granted | — | 20,084 | 20,084 | — | 15,738 | 15,738 | — | 7,846 | 7,846 | ||||||||||||||||||
Exercised | — | (1,822 | ) | (1,822 | ) | — | (1,782 | ) | (1,782 | ) | — | (1,250 | ) | (1,250 | ) | ||||||||||||
LTIP Units Outstanding (12/31/2014, 12/31/2013, and 12/31/2012, respectively) | 375,000 | 54,314 | 429,314 | 375,000 | 36,052 | 411,052 | 375,000 | 22,096 | 397,096 | ||||||||||||||||||
LTIP Units Vested and Outstanding (12/31/2014, 12/31/2013, and 12/31/2012, respectively) | 375,000 | 29,859 | 404,859 | 375,000 | 20,314 | 395,314 | 375,000 | 14,250 | 389,250 | ||||||||||||||||||
Common_Share_Capitalization_Ta
Common Share Capitalization (Tables) | 12 Months Ended | ||||||||
Dec. 31, 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 years ended December 31, 2014, 2013, and 2012: | ||||||||
Year Ended | Year Ended | Year Ended | |||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | |||||||
Common Shares Outstanding | 25,428,186 | 20,370,469 | 16,447,651 | ||||||
(12/31/2013, 12/31/2012, and 12/31/2011, respectively) | |||||||||
Share Activity: | |||||||||
Shares issued | 8,000,000 | 5,000,000 | 4,025,000 | ||||||
Shares issued in connection with incentive fee payment | 19,670 | 55,935 | 53,207 | ||||||
Share repurchased | — | — | (156,639 | ) | |||||
Director LTIP units exercised | 1,822 | 1,782 | 1,250 | ||||||
Common Shares Outstanding | 33,449,678 | 25,428,186 | 20,370,469 | ||||||
(12/31/2014, 12/31/2013, and 12/31/2012, respectively) | |||||||||
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 12 Months Ended | ||||||||||||
Dec. 31, 2014 | |||||||||||||
Earnings Per Share [Abstract] | |||||||||||||
Computation Of Basic And Diluted EPS | The components of the computation of basic and diluted EPS were as follows: | ||||||||||||
Year Ended December 31, | |||||||||||||
2014 | 2013 | 2012 | |||||||||||
(In thousands except share amounts) | |||||||||||||
Net increase in shareholders' equity resulting from operations | $ | 59,167 | $ | 78,524 | $ | 97,146 | |||||||
Add: Net increase in equity resulting from operations attributable to the participating non-controlling interest(1) | 472 | 735 | — | ||||||||||
Net increase in equity resulting from operations related to common shares, LTIP unit holders, and participating non-controlling interest | 59,639 | 79,259 | 97,146 | ||||||||||
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 | 58,306 | 77,219 | 95,064 | ||||||||||
Net increase in shareholders' equity resulting from operations– LTIP units | 861 | 1,305 | 2,082 | ||||||||||
Dividends Paid(2): | |||||||||||||
Common shareholders | (84,527 | ) | (89,732 | ) | (46,433 | ) | |||||||
LTIP unit holders | (1,269 | ) | (1,524 | ) | (979 | ) | |||||||
Non-controlling interest | (653 | ) | (811 | ) | — | ||||||||
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | (86,449 | ) | (92,067 | ) | (47,412 | ) | |||||||
Undistributed (Distributed in excess of) earnings: | |||||||||||||
Common shareholders | (26,221 | ) | (12,513 | ) | 48,631 | ||||||||
LTIP unit holders | (408 | ) | (219 | ) | 1,103 | ||||||||
Non-controlling interest | (181 | ) | (76 | ) | — | ||||||||
Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | $ | (26,810 | ) | $ | (12,808 | ) | $ | 49,734 | |||||
Weighted average shares outstanding (basic and diluted): | |||||||||||||
Weighted average common shares outstanding | 27,962,304 | 23,587,692 | 17,897,996 | ||||||||||
Weighted average participating LTIP units | 413,105 | 398,789 | 391,944 | ||||||||||
Weighted average non-controlling interest units | 212,000 | 212,000 | — | ||||||||||
Basic earnings per common share: | |||||||||||||
Distributed | $ | 3.08 | $ | 3.83 | $ | 2.5 | |||||||
Undistributed (Distributed in excess of) | (0.99 | ) | (0.55 | ) | 2.81 | ||||||||
$ | 2.09 | $ | 3.28 | $ | 5.31 | ||||||||
Diluted earnings per common share: | |||||||||||||
Distributed | $ | 3.08 | $ | 3.83 | $ | 2.5 | |||||||
Undistributed (Distributed in excess of) | (0.99 | ) | (0.55 | ) | 2.81 | ||||||||
$ | 2.09 | $ | 3.28 | $ | 5.31 | ||||||||
-1 | For the years ended December 31, 2014 and 2013, excludes net increase in equity resulting from operations of $0.3 million and $0.1 million, respectively attributable to the joint venture partner, which has non-participating interests 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) | 12 Months Ended | ||||
Dec. 31, 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 $1.94 billion in collateral for various reverse repurchase agreements as of December 31, 2014. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $158.7 million were held in custody at the Bank of New York Mellon Corporation. | ||||
Dealer | % of Total | ||||
Collateral on | |||||
Reverse Repurchase | |||||
Agreements | |||||
Deutsche Bank | 22% | ||||
Royal Bank of Canada | 17% | ||||
% 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 December 31, 2014: | ||||
Dealer | % of Total Due | ||||
from Brokers | |||||
Morgan Stanley | 57% | ||||
J.P. Morgan Securities Inc. | 20% | ||||
% 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 December 31, 2014: | ||||
Dealer | % of Total Receivable | ||||
for Securities Sold | |||||
CS First Boston | 25% | ||||
Morgan Stanley | 20% | ||||
Citigroup | 15% | ||||
Schedule of Cash and Cash Equivalents [Table Text Block] | In addition the Company held cash and cash equivalents of $114.1 million and $183.5 million as of December 31, 2014 and December 31, 2013, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty: | ||||
As of | |||||
Counterparty | December 31, 2014 | 31-Dec-13 | |||
BlackRock Liquidity TempFund | 88% | —% | |||
Bank of New York Mellon Corporation | 11% | 73% | |||
US Bank | 1% | —% | |||
JP Morgan Prime Money Market Premier Fund | —% | 27% |
Offsetting_of_Assets_and_Liabi1
Offsetting of Assets and Liabilities (Tables) | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 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 December 31, 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. | ||||||||||||||||||||
December 31, 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 | $ | 80,029 | $ | (40,671 | ) | $ | — | $ | (5,578 | ) | $ | 33,780 | |||||||||
Repurchase agreements | 172,001 | (172,001 | ) | — | — | — | |||||||||||||||
Liabilities | |||||||||||||||||||||
Financial derivatives–liabilities | (66,116 | ) | 26,758 | — | 17,393 | (21,965 | ) | ||||||||||||||
Reverse repurchase agreements | (1,669,433 | ) | 172,001 | 1,483,187 | 14,245 | — | |||||||||||||||
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, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of December 31, 2014 and December 31, 2013 were $1.94 billion and $1.48 billion, respectively. As of December 31, 2014 and December 31, 2013, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $22.7 million and $3.2 million, respectively. As of December 31, 2014 and December 31, 2013, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $23.2 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) | 12 Months Ended | |||||||||||
Dec. 31, 2014 | ||||||||||||
Financial Highlights [Abstract] | ||||||||||||
Results of Operations For a Share Outstanding | Results of Operations for a Share Outstanding Throughout the Periods: | |||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | ||||||||||
Beginning Shareholders' Equity Per Share (12/31/2013, 12/31/2012, and 12/31/2011, respectively) | $ | 24.4 | $ | 24.86 | $ | 22.55 | ||||||
Net Investment Income | 2.1 | 2.11 | 1.35 | |||||||||
Net Realized/Unrealized Gains (Losses) | 0.04 | 1.26 | 4.08 | |||||||||
Results of Operations Attributable to Equity | 2.14 | 3.37 | 5.43 | |||||||||
Less: Results of Operations Attributable to Non-controlling Interests | (0.03 | ) | (0.04 | ) | — | |||||||
Results of Operations Attributable to Shareholders' Equity(1) | 2.11 | 3.33 | 5.43 | |||||||||
Dividends Paid to Common Shareholders | (3.08 | ) | (3.83 | ) | (2.50 | ) | ||||||
Weighted Average Share Impact on Dividends Paid (2) | (0.01 | ) | (0.08 | ) | (0.15 | ) | ||||||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest | (0.04 | ) | 0.12 | (0.47 | ) | |||||||
Ending Shareholders' Equity Per Share (12/31/2014, 12/31/2013, and 12/31/2012, respectively)(3) | $ | 23.38 | $ | 24.4 | $ | 24.86 | ||||||
Shares Outstanding, end of period | 33,449,678 | 25,428,186 | 20,370,469 | |||||||||
-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 December 31, 2014, 2013, and 2012, shareholders' equity per share would be $23.09, $23.99, and $24.38, respectively. | |||||||||||
Net Asset Value Based Total Return For a Shareholder | The following table illustrates the Company's total return for the years presented based on net asset value: | |||||||||||
Net Asset Value Based Total Return for a Shareholder: (1) | ||||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | ||||||||||
Total Return | 8.77% | 14.19% | 22.16% | |||||||||
-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) | |||||||||||
Year Ended | ||||||||||||
31-Dec-14 | ||||||||||||
Total Return | 7.39% | |||||||||||
-1 | Total return is calculated assuming all LTIP and OP Units had been converted into common shares at December 31, 2014. LTIP and OP Units outstanding at December 31, 2014 totaled 641,314 and represent 1.88% 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) | |||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | ||||||||||
Net Investment Income (2) | 8.62% | 8.40% | 5.59% | |||||||||
-1 | Average equity is calculated using month end values. | |||||||||||
-2 | Includes incentive fee in calculation which can vary substantially over periods. | |||||||||||
Expense Ratios to Average Equity | Expense Ratios to Average Equity: (1) | |||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||
31-Dec-14 | 31-Dec-13 | 31-Dec-12 | ||||||||||
Operating expenses before incentive fee, interest expense, and other investment related expenses | -2.80% | -2.74% | -2.94% | |||||||||
Incentive fee | -0.21% | -1.42% | -4.43% | |||||||||
Interest expense and other investment related expenses | -2.14% | -1.95% | -1.80% | |||||||||
Total Expenses | -5.15% | -6.11% | -9.17% | |||||||||
-1 | Average equity is calculated using month end values. |
Condensed_Quarterly_Financial_1
Condensed Quarterly Financial Data (Unaudited) (Tables) | 12 Months Ended | |||||||||||||||
Dec. 31, 2014 | ||||||||||||||||
Condensed Quarterly Financial Data (Unaudited) [Abstract] | ||||||||||||||||
Schedule of Quarterly Financial Information [Table Text Block] | Detailed below is unaudited quarterly financial data for the years ended December 31, 2014 and 2013. | |||||||||||||||
Three Month Period Ended March 31, 2014 | Three Month Period Ended | Three Month | Three Month Period Ended December 31, 2014 | |||||||||||||
30-Jun-14 | Period Ended | |||||||||||||||
September 30, 2014(1) | ||||||||||||||||
(In thousands except per share amounts) | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Interest income | $ | 21,496 | $ | 20,996 | $ | 22,353 | $ | 28,688 | ||||||||
Other investment income | — | — | 168 | 150 | ||||||||||||
Total investment income | 21,496 | 20,996 | 22,521 | 28,838 | ||||||||||||
EXPENSES | ||||||||||||||||
Base management fee | 2,364 | 2,368 | 3,056 | 2,963 | ||||||||||||
Incentive fee | — | — | 1,400 | — | ||||||||||||
Interest expense | 2,627 | 2,416 | 2,179 | 2,705 | ||||||||||||
Other investment related expenses | 430 | 1,232 | 1,217 | 1,810 | ||||||||||||
Other operating expenses | 1,994 | 1,974 | 2,070 | 2,295 | ||||||||||||
Total expenses | 7,415 | 7,990 | 9,922 | 9,773 | ||||||||||||
NET INVESTMENT INCOME | 14,081 | 13,006 | 12,599 | 19,065 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY | ||||||||||||||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 11,408 | 3,684 | (8,483 | ) | (2,447 | ) | ||||||||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | (2,651 | ) | 4,514 | 9,031 | (13,858 | ) | ||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY | 8,757 | 8,198 | 548 | (16,305 | ) | |||||||||||
NET INCREASE IN EQUITY RESULTING FROM OPERATIONS | 22,838 | 21,204 | 13,147 | 2,760 | ||||||||||||
LESS: NET INCREASE IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTERESTS | 203 | 257 | 199 | 123 | ||||||||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS | $ | 22,635 | $ | 20,947 | $ | 12,948 | $ | 2,637 | ||||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | ||||||||||||||||
Basic and Diluted(2) | $ | 0.88 | $ | 0.81 | $ | 0.46 | $ | 0.08 | ||||||||
-1 | Prior period conformed to current period presentation. | |||||||||||||||
-2 | For the year ended December 31, 2014 the sum of EPS for the four quarters of the year does not equal EPS as calculated for the entire year (see Note 11) as a result of issuances of common shares and LTIP units during the year, as EPS is calculated using average shares outstanding during the period. | |||||||||||||||
Three Month Period Ended March 31, 2013 | Three Month Period Ended | Three Month | Three Month Period Ended December 31, 2013 | |||||||||||||
30-Jun-13 | Period Ended September 30, 2013 | |||||||||||||||
(In thousands except per share amounts) | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Interest income | $ | 18,382 | $ | 20,335 | $ | 24,069 | $ | 22,954 | ||||||||
Other investment income | — | — | — | — | ||||||||||||
Total investment income | 18,382 | 20,335 | 24,069 | 22,954 | ||||||||||||
EXPENSES | ||||||||||||||||
Base management fee | 1,967 | 2,405 | 2,378 | 2,365 | ||||||||||||
Incentive fee | 2,055 | 1,182 | 2,038 | 3,091 | ||||||||||||
Interest expense | 2,142 | 2,582 | 3,277 | 3,024 | ||||||||||||
Other investment related expenses | — | 327 | 85 | 84 | ||||||||||||
Other operating expenses | 1,649 | 1,671 | 1,885 | 1,878 | ||||||||||||
Total expenses | 7,813 | 8,167 | 9,663 | 10,442 | ||||||||||||
NET INVESTMENT INCOME | 10,569 | 12,168 | 14,406 | 12,512 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY | ||||||||||||||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 12,592 | 5,671 | 4,289 | (4,550 | ) | |||||||||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | 17,585 | (6,134 | ) | (6,872 | ) | 7,126 | ||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY | 30,177 | (463 | ) | (2,583 | ) | 2,576 | ||||||||||
NET INCREASE IN EQUITY RESULTING FROM OPERATIONS | 40,746 | 11,705 | 11,823 | 15,088 | ||||||||||||
LESS: NET INCREASE IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTERESTS | 411 | 105 | 96 | 226 | ||||||||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS | $ | 40,335 | $ | 11,600 | $ | 11,727 | $ | 14,862 | ||||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | ||||||||||||||||
Basic and Diluted(1) | $ | 1.94 | $ | 0.49 | $ | 0.45 | $ | 0.58 | ||||||||
-1 | For the year ended December 31, 2013 the sum of EPS for the four quarters of the year does not equal EPS as calculated for the entire year (see Note 11) as a result of issuances of common shares and LTIP units during the year, as EPS is calculated using average shares outstanding during the period. |
Organization_and_Investment_Ob1
Organization and Investment Objective Narrative (Details) (Parent [Member]) | Dec. 31, 2014 |
Parent [Member] | |
Organization, Consolidation and Presentation of Financial Statements [Line Items] | |
Ownership Percentage | 99.40% |
Significant_Accounting_Policie2
Significant Accounting Policies (Details) | 12 Months Ended |
Dec. 31, 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 $) | 12 Months Ended | |||
Dec. 31, 2014 | Dec. 31, 2013 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | $80,029,000 | [1] | $59,664,000 | [1] |
Fair value repurchase agreements | 172,001,000 | [1] | 27,962,000 | [1] |
Investments sold short, at fair value- | -1,291,370,000 | -845,614,000 | ||
Financial derivatives–liabilities, at fair value- | -66,116,000 | [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 | 2,200,000 | 2,300,000 | ||
Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Cash and cash equivalents | 114,140,000 | 183,489,000 | ||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 261,000 | 0 | ||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | -26,597,000 | -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- | -26,516,000 | -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- | -26,516,000 | -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- | -81,000 | -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] | Options [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- | -81,000 | -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 [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] | US 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] | 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 asset-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] | Corporate Debt [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- | 261,000 | 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] | Options [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- | 261,000 | |||
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] | Financial Derivatives - Assets [Member] | Warrant [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 | 1,785,365,000 | 1,060,822,000 | ||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | -1,330,650,000 | -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- | -1,264,854,000 | -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- | -1,209,539,000 | -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- | -55,315,000 | -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- | -65,796,000 | -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- | -4,410,000 | -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- | -28,588,000 | -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- | -2,953,000 | |||
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- | -29,405,000 | -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- | -21,000 | -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- | -137,000 | |||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Options [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | -146,000 | -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- | -136,000 | -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- | 1,545,083,000 | 989,842,000 | ||
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- | 1,258,699,000 | 989,842,000 | ||
Level 2 [Member] | Investments [Member] | US Treasury Securities [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 1,636,000 | |||
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- | 284,748,000 | 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 asset-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] | Corporate Debt [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- | 68,281,000 | 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- | 1,881,000 | 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- | 35,865,000 | 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- | 28,654,000 | 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- | 8,000 | 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- | 344,000 | |||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Options [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 645,000 | 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- | 884,000 | |||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Warrant [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | |||
Level 2 [Member] | Repurchase Agreements [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value repurchase agreements | 172,001,000 | 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 | 638,486,000 | 756,934,000 | ||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | -1,013,000 | -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- | -239,000 | -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- | -239,000 | -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] | Options [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) | -774,000 | [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- | 626,999,000 | 740,288,000 | ||
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- | 31,385,000 | 40,504,000 | ||
Level 3 [Member] | Investments [Member] | US Treasury Securities [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
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- | 274,369,000 | 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- | 53,311,000 | 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- | 28,309,000 | 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- | 27,482,000 | 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 asset-backed securities and loans [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 146,288,000 | |||
Level 3 [Member] | Investments [Member] | Corporate Debt [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 42,708,000 | |||
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- | 8,635,000 | |||
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- | 14,512,000 | |||
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- | 11,487,000 | 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- | 11,387,000 | 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] | Options [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] | Financial Derivatives - Assets [Member] | Warrant [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 100,000 | |||
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 | 114,140,000 | 183,489,000 | ||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 2,424,112,000 | 1,817,756,000 | ||
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value | -1,358,260,000 | -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- | -1,291,370,000 | -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- | -1,209,539,000 | -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- | -55,315,000 | -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- | -26,516,000 | -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- | -66,116,000 | -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- | -4,410,000 | -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- | -239,000 | -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- | -28,588,000 | -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- | -2,953,000 | |||
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- | -29,405,000 | -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- | -21,000 | -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- | -137,000 | |||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Options [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | -146,000 | -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- | -81,000 | -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- | -136,000 | -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) | -774,000 | [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- | 2,172,082,000 | 1,730,130,000 | ||
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- | 1,290,084,000 | 1,030,346,000 | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | US Treasury Securities [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 1,636,000 | |||
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- | 559,117,000 | 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- | 53,311,000 | 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- | 28,309,000 | 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- | 27,482,000 | 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 asset-backed securities and loans [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 146,288,000 | |||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Corporate Debt [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 42,708,000 | |||
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- | 8,635,000 | |||
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- | 14,512,000 | |||
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- | 80,029,000 | 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- | 1,881,000 | 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- | 11,387,000 | 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- | 35,865,000 | 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- | 28,654,000 | 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- | 8,000 | 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- | 344,000 | |||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Options [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 645,000 | 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- | 261,000 | |||
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- | 884,000 | |||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Warrant [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 100,000 | |||
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 | 172,001,000 | 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 | |||
Fair Value, Transfers between Level 1 and Level 2 | $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 $2.2 million as of December 31, 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 $) | 12 Months Ended | |||
Dec. 31, 2014 | Dec. 31, 2013 | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Securitized debt | 774,000 | 983,000 | ||
Level 3 [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | 638,486,000 | 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 | 201,373,000 | [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 Third-Party Valuation | 1.83 | [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 Third-Party Valuation | 119.58 | [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 Third-Party Valuation | 73.58 | [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 Third-Party Valuation | 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 Third-Party Valuation | 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 Third-Party Valuation | 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 Third-Party Valuation | 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 Third-Party Valuation | 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 Third-Party Valuation | 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 | 40,919,000 | |||
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 Third-Party Valuation | 5.62 | |||
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 Third-Party Valuation | 103.25 | |||
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 Third-Party Valuation | 66.56 | |||
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 | 22,928,000 | 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 Third-Party Valuation | 3.62 | 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 Third-Party Valuation | 24.86 | 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 Third-Party Valuation | 11.38 | 14.53 | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Other Asset-backed Securities [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | 123,029,000 | |||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Other Asset-backed Securities [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 21.5 | |||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Other Asset-backed Securities [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 137 | |||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Other Asset-backed Securities [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 94.91 | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Corporate debt, Non-exchange traded corporate equity, and warrants [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | 45,668,000 | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Corporate debt, Non-exchange traded corporate equity, and warrants [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 73 | |||
Yield | 7.50% | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Corporate debt, Non-exchange traded corporate equity, and warrants [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 108 | |||
Yield | 24.30% | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Corporate debt, Non-exchange traded corporate equity, and warrants [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 95.08 | |||
Yield | 13.30% | |||
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 | 72,222,000 | 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 | 3.00% | 3.80% | ||
Projected Collateral Prepayments | 6.70% | 6.90% | ||
Projected Collateral Losses | 0.00% | 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 | 13.60% | 20.50% | ||
Projected Collateral Prepayments | 100.00% | 64.50% | ||
Projected Collateral Losses | 44.50% | 35.20% | ||
Projected Collateral Recoveries | 22.40% | 17.10% | ||
Projected Collateral Scheduled Amortization | 86.40% | 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 | 7.00% | 8.00% | ||
Projected Collateral Prepayments | 45.60% | 29.70% | ||
Projected Collateral Losses | 11.30% | 17.40% | ||
Projected Collateral Recoveries | 8.00% | 9.10% | ||
Projected Collateral Scheduled Amortization | 35.10% | 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 | 12,392,000 | 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 | 12.00% | 9.20% | ||
Projected Collateral Losses | 0.10% | 0.20% | ||
Projected Collateral Recoveries | 0.90% | 15.40% | ||
Projected Collateral Scheduled Amortization | 85.30% | 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 | 51.10% | 18.20% | ||
Projected Collateral Losses | 2.50% | 0.20% | ||
Projected Collateral Recoveries | 13.50% | 15.40% | ||
Projected Collateral Scheduled Amortization | 99.00% | 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 | 23.70% | 13.50% | ||
Projected Collateral Losses | 0.70% | 0.20% | ||
Projected Collateral Recoveries | 6.20% | 15.40% | ||
Projected Collateral Scheduled Amortization | 93.10% | 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 | 21,328,000 | 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 | 9.20% | 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 | 13.10% | 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 | 10.30% | 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 | 6,981,000 | 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 | 15.30% | 15.00% | ||
Months to Resolution | 0 months 15 days | 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 | 20.10% | 15.00% | ||
Months to Resolution | 10 months 15 days | 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 | 16.40% | 15.00% | ||
Months to Resolution | 8 months 6 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 | 8,457,000 | 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 | 50.20% | 49.00% | ||
Projected Collateral Scheduled Amortization | 0.00% | 41.90% | ||
LIBOR OAS | 1.54% | [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 | 49.80% | 51.00% | ||
LIBOR OAS | 17.96% | [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 | 75.50% | 51.20% | ||
Projected Collateral Scheduled Amortization | 24.50% | 48.80% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
LIBOR OAS | 3.59% | [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 | 36,117,000 | |||
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 | 6.10% | |||
Months to Resolution | 4 months 3 days | |||
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 | 79 months 3 days | |||
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 | 7.30% | |||
Months to Resolution | 24 months 18 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 asset-backed securities and loans [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | 23,259,000 | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Other asset-backed securities and loans [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 0.00% | |||
Projected Collateral Prepayments | 62.70% | |||
Projected Collateral Losses | 4.00% | |||
Projected Collateral Recoveries | 1.70% | |||
Projected Collateral Scheduled Amortization | 31.60% | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Other asset-backed securities and loans [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 14.40% | |||
Projected Collateral Prepayments | 62.70% | |||
Projected Collateral Losses | 4.00% | |||
Projected Collateral Recoveries | 1.70% | |||
Projected Collateral Scheduled Amortization | 31.60% | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Other asset-backed securities and loans [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 9.10% | |||
Projected Collateral Prepayments | 62.70% | |||
Projected Collateral Losses | 4.00% | |||
Projected Collateral Recoveries | 1.70% | |||
Projected Collateral Scheduled Amortization | 31.60% | |||
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 | 11,148,000 | 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 | 17.80% | 19.30% | ||
Projected Collateral Losses | 16.50% | 15.50% | ||
Projected Collateral Recoveries | 7.70% | 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 | 55.80% | 59.00% | ||
Projected Collateral Losses | 37.70% | 47.80% | ||
Projected Collateral Recoveries | 18.50% | 15.20% | ||
Projected Collateral Scheduled Amortization | 43.40% | 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 | 32.50% | 29.90% | ||
Projected Collateral Losses | 29.70% | 34.80% | ||
Projected Collateral Recoveries | 12.80% | 13.10% | ||
Projected Collateral Scheduled Amortization | 25.00% | 22.20% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
Private Corporate Investments [Member] | Non-Exchange Traded Preferred Equity Investment in Commercial Mortgage-related Private Partnership | Level 3 [Member] | Income Approach Valuation Technique [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | 6,241,000 | |||
Private Corporate Investments [Member] | Non-Exchange Traded Preferred Equity Investment in Commercial Mortgage-related Private Partnership | Level 3 [Member] | Income Approach Valuation Technique [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 10.00% | |||
Expected Holding Period (Months) | 17 months | |||
Private Corporate Investments [Member] | Non-Exchange Traded Preferred Equity Investment in Commercial Mortgage-related Private Partnership | Level 3 [Member] | Income Approach Valuation Technique [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 10.00% | |||
Expected Holding Period (Months) | 17 months | |||
Private Corporate Investments [Member] | Non-Exchange Traded Preferred Equity Investment in Commercial Mortgage-related Private Partnership | Level 3 [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 10.00% | |||
Expected Holding Period (Months) | 17 months | |||
Private Corporate Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Level 3 [Member] | Recent Transactions [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | 5,411,000 | |||
[1] | Includes securitized debt with a fair value of $0.8 million as of December 31, 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 $) | 12 Months Ended | ||
Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | $756,934,000 | $599,914,000 | $504,861,000 |
Assets, Accreted Discounts/Amortized Premiums | 13,309,000 | 20,122,000 | 20,276,000 |
Assets, Realized Gain (Loss) | 47,557,000 | 44,351,000 | 22,223,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -20,446,000 | 20,067,000 | 72,094,000 |
Assets, Purchases | 782,596,000 | 661,133,000 | 454,993,000 |
Assets, Sales | -656,716,000 | -588,653,000 | -474,533,000 |
Assets, Transfers into Level 3 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | -284,748,000 | 0 | 0 |
Assets, Ending Balance | 638,486,000 | 756,934,000 | 599,914,000 |
Liabilities, Begining Balance | -1,333,000 | -1,336,000 | 0 |
Liabilities, Accreted Discounts/Amortized Premiums | -15,000 | -38,000 | -55,000 |
Liabilities, Realized Gain/(Loss) | -78,000 | -78,000 | -79,000 |
Liabilities, Change In Net Unrealized Gain/(Loss) | 89,000 | -329,000 | -24,000 |
Liabilities Purchases/Payments | 246,000 | 370,000 | 265,000 |
Liabilities, Sales/Issuance | 78,000 | 78,000 | -1,443,000 |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 |
Liabilities, Ending Balance | -1,013,000 | -1,333,000 | -1,336,000 |
Change in net unrealized gain (loss) on investments | 6,300,000 | 27,000,000 | 52,400,000 |
Change in net unrealized gain (loss) in financial derivative assets | -1,600,000 | -8,400,000 | -10,800,000 |
Change in net unrealized Gain (Loss) on financial derivative liabilities | -100,000 | -300,000 | -1,000 |
Change in net unrealized gain (loss) in securitized debt | -22,000 | 20,000 | -23,000 |
Securitized Debt [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Liabilities, Begining Balance | -983,000 | -1,335,000 | 0 |
Liabilities, Accreted Discounts/Amortized Premiums | -15,000 | -38,000 | -55,000 |
Liabilities, Realized Gain/(Loss) | 0 | 0 | 0 |
Liabilities, Change In Net Unrealized Gain/(Loss) | -22,000 | 20,000 | -23,000 |
Liabilities, Payments | 246,000 | 370,000 | 265,000 |
Liabilities, Issuances | 0 | 0 | -1,522,000 |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 |
Liabilities, Ending Balance | -774,000 | -983,000 | -1,335,000 |
Investments [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 740,288,000 | 563,883,000 | 443,363,000 |
Assets, Accreted Discounts/Amortized Premiums | 13,309,000 | 20,122,000 | 20,276,000 |
Assets, Realized Gain (Loss) | 52,153,000 | 47,177,000 | 23,387,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -24,993,000 | 18,997,000 | 68,876,000 |
Assets, Purchases | 782,032,000 | 660,929,000 | 444,153,000 |
Assets, Sales | -651,042,000 | -570,820,000 | -436,172,000 |
Assets, Transfers into Level 3 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | -284,748,000 | 0 | 0 |
Assets, Ending Balance | 626,999,000 | 740,288,000 | 563,883,000 |
Investments [Member] | Agency residential mortgage-backed securities [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 40,504,000 | 6,644,000 | 5,337,000 |
Assets, Accreted Discounts/Amortized Premiums | -8,738,000 | -5,929,000 | -2,277,000 |
Assets, Realized Gain (Loss) | 1,404,000 | 833,000 | 111,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -2,078,000 | 3,323,000 | -568,000 |
Assets, Purchases | 8,448,000 | 42,051,000 | 5,201,000 |
Assets, Sales | -8,155,000 | -6,418,000 | -1,160,000 |
Assets, Transfers into Level 3 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 |
Assets, Ending Balance | 31,385,000 | 40,504,000 | 6,644,000 |
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 | 580,772,000 | 528,366,000 | 417,533,000 |
Assets, Accreted Discounts/Amortized Premiums | 20,544,000 | 26,119,000 | 21,896,000 |
Assets, Realized Gain (Loss) | 38,600,000 | 43,823,000 | 15,657,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -18,406,000 | 12,643,000 | 69,286,000 |
Assets, Purchases | 382,956,000 | 524,864,000 | 323,554,000 |
Assets, Sales | -445,349,000 | -456,043,000 | -319,560,000 |
Assets, Transfers into Level 3 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | -284,748,000 | 0 | 0 |
Assets, Ending Balance | 274,369,000 | 580,772,000 | 528,366,000 |
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 | 32,994,000 | 19,327,000 | 16,093,000 |
Assets, Accreted Discounts/Amortized Premiums | 1,328,000 | 402,000 | 570,000 |
Assets, Realized Gain (Loss) | 7,055,000 | 1,030,000 | 7,619,000 |
Assets, Change In Net Unrealized Gain/(Loss) | -357,000 | 3,069,000 | -255,000 |
Assets, Purchases | 116,128,000 | 92,929,000 | 110,752,000 |
Assets, Sales | -103,837,000 | -83,763,000 | -115,452,000 |
Assets, Transfers into Level 3 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 |
Assets, Ending Balance | 53,311,000 | 32,994,000 | 19,327,000 |
Investments [Member] | Commercial Mortgage Loans [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 23,887,000 | 9,546,000 | 4,400,000 |
Assets, Accreted Discounts/Amortized Premiums | 2,739,000 | 171,000 | 87,000 |
Assets, Realized Gain (Loss) | 3,156,000 | 844,000 | 0 |
Assets, Change In Net Unrealized Gain/(Loss) | -632,000 | 652,000 | 413,000 |
Assets, Purchases | 41,856,000 | 19,587,000 | 4,646,000 |
Assets, Sales | -42,697,000 | -6,913,000 | 0 |
Assets, Transfers into Level 3 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 |
Assets, Ending Balance | 28,309,000 | 23,887,000 | 9,546,000 |
Investments [Member] | Residential Mortgage Loans [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 24,062,000 | 0 | |
Assets, Accreted Discounts/Amortized Premiums | 1,267,000 | 0 | |
Assets, Realized Gain (Loss) | 1,424,000 | 0 | |
Assets, Change In Net Unrealized Gain/(Loss) | 84,000 | 0 | |
Assets, Purchases | 14,863,000 | 24,062,000 | |
Assets, Sales | -14,218,000 | 0 | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 27,482,000 | 24,062,000 | |
Investments [Member] | Other asset-backed securities and loans [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 38,069,000 | ||
Assets, Accreted Discounts/Amortized Premiums | -3,761,000 | ||
Assets, Realized Gain (Loss) | 342,000 | ||
Assets, Change In Net Unrealized Gain/(Loss) | -2,409,000 | ||
Assets, Purchases | 148,009,000 | ||
Assets, Sales | -33,962,000 | ||
Assets, Transfers into Level 3 | 0 | ||
Assets, Transfers out of Level 3 | 0 | ||
Assets, Ending Balance | 146,288,000 | ||
Investments [Member] | Corporate Debt [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 0 | ||
Assets, Accreted Discounts/Amortized Premiums | -70,000 | ||
Assets, Realized Gain (Loss) | 0 | ||
Assets, Change In Net Unrealized Gain/(Loss) | -877,000 | ||
Assets, Purchases | 43,808,000 | ||
Assets, Sales | -153,000 | ||
Assets, Transfers into Level 3 | 0 | ||
Assets, Transfers out of Level 3 | 0 | ||
Assets, Ending Balance | 42,708,000 | ||
Investments [Member] | Real Estate Owned [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 0 | ||
Assets, Accreted Discounts/Amortized Premiums | 0 | ||
Assets, Realized Gain (Loss) | 172,000 | ||
Assets, Change In Net Unrealized Gain/(Loss) | -113,000 | ||
Assets, Purchases | 11,247,000 | ||
Assets, Sales | -2,671,000 | ||
Assets, Transfers into Level 3 | 0 | ||
Assets, Transfers out of Level 3 | 0 | ||
Assets, Ending Balance | 8,635,000 | ||
Investments [Member] | Other Asset-backed Securities [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 0 | ||
Assets, Accreted Discounts/Amortized Premiums | -641,000 | ||
Assets, Realized Gain (Loss) | 647,000 | ||
Assets, Change In Net Unrealized Gain/(Loss) | -690,000 | ||
Assets, Purchases | 56,436,000 | ||
Assets, Sales | -17,683,000 | ||
Assets, Transfers into Level 3 | 0 | ||
Assets, Transfers out of Level 3 | 0 | ||
Assets, Ending Balance | 38,069,000 | ||
Investments [Member] | Private Corporate Investments [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 0 | ||
Assets, Accreted Discounts/Amortized Premiums | 0 | ||
Assets, Realized Gain (Loss) | 0 | ||
Assets, Change In Net Unrealized Gain/(Loss) | -205,000 | ||
Assets, Purchases | 14,717,000 | ||
Assets, Sales | 0 | ||
Assets, Transfers into Level 3 | 0 | ||
Assets, Transfers out of Level 3 | 0 | ||
Assets, Ending Balance | 14,512,000 | ||
Financial Derivatives - Assets [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 16,646,000 | 36,031,000 | 61,498,000 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | -4,596,000 | -2,826,000 | -1,164,000 |
Assets, Change In Net Unrealized Gain/(Loss) | 4,547,000 | 1,070,000 | 3,218,000 |
Assets, Purchases | 564,000 | 204,000 | 10,840,000 |
Assets, Sales | -5,674,000 | -17,833,000 | -38,361,000 |
Assets, Transfers into Level 3 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 |
Assets, Ending Balance | 11,487,000 | 16,646,000 | 36,031,000 |
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 | 16,646,000 | 36,031,000 | 61,498,000 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | -4,596,000 | -2,826,000 | -1,164,000 |
Assets, Change In Net Unrealized Gain/(Loss) | 4,547,000 | 1,070,000 | 3,218,000 |
Assets, Purchases | 464,000 | 204,000 | 10,840,000 |
Assets, Sales | -5,674,000 | -17,833,000 | -38,361,000 |
Assets, Transfers into Level 3 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 |
Assets, Ending Balance | 11,387,000 | 16,646,000 | 36,031,000 |
Financial Derivatives - Assets [Member] | Warrant [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 0 | ||
Assets, Accreted Discounts/Amortized Premiums | 0 | ||
Assets, Realized Gain (Loss) | 0 | ||
Assets, Change In Net Unrealized Gain/(Loss) | 0 | ||
Assets, Purchases | 100,000 | ||
Assets, Sales | 0 | ||
Assets, Transfers into Level 3 | 0 | ||
Assets, Transfers out of Level 3 | 0 | ||
Assets, Ending Balance | 100,000 | ||
Financial Derivatives - Liabilities [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Liabilities, Begining Balance | -350,000 | -1,000 | 0 |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 |
Liabilities, Realized Gain/(Loss) | -78,000 | -78,000 | -79,000 |
Liabilities, Change In Net Unrealized Gain/(Loss) | 111,000 | -349,000 | -1,000 |
Liabilities, Purchases | 0 | 0 | 0 |
Liabilities, Sales | 78,000 | 78,000 | 79,000 |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 |
Liabilities, Ending Balance | -239,000 | -350,000 | -1,000 |
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 | -1,000 | 0 |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 |
Liabilities, Realized Gain/(Loss) | -78,000 | -78,000 | -79,000 |
Liabilities, Change In Net Unrealized Gain/(Loss) | 111,000 | -349,000 | -1,000 |
Liabilities, Purchases | 0 | 0 | 0 |
Liabilities, Sales | 78,000 | 78,000 | 79,000 |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 |
Liabilities, Ending Balance | ($239,000) | ($350,000) | ($1,000) |
To_Be_Announced_RMBS_Details
To Be Announced RMBS (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | ||
To Be Announced Securities [Line Items] | ||||
Fair Value | $2,172,082,000 | $1,730,130,000 | ||
Receivable for securities sold | 1,237,592,000 | 883,005,000 | ||
Financial Instruments Sold, Not yet Purchased, at Fair Value | -1,291,370,000 | -845,614,000 | ||
Payable for securities purchased | 98,747,000 | 193,047,000 | ||
To Be Announced Fixed Rate Agency Securities [Member] | ||||
To Be Announced Securities [Line Items] | ||||
Fair Value | 72,410,000 | [1],[2],[3],[4] | 96,856,000 | [1],[5],[6],[7] |
Investment Owned, Balance, Principal Amount | 71,598,000 | 101,150,000 | ||
Receivable for securities sold | 1,205,779,000 | 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 | -1,209,539,000 | [1],[2],[8] | -811,957,000 | [1],[7],[9] |
Investment Sold, Not yet Purchased, Balance, Principal Amount | -1,135,218,000 | -784,888,000 | ||
Payable for securities purchased | -71,832,000 | -96,762,000 | ||
Investment Owned At Fair Value, Net | ($1,137,129,000) | ($715,101,000) | ||
[1] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[2] | 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 2,863,057 $2,038,249 $2,092,959 264.46 %Europe 69,724 69,360 64,611 9.16 %North America (Private Corporate Investments) n/a 14,717 14,512 1.84 %Total $2,122,326 $2,172,082 275.46 %Investments Sold Short: North America (TBAs and Government Debt) (1,159,703) $(1,230,478) $(1,234,248) (156.53)%Europe (Government Debt) (28,118) (32,008) (30,606) (3.88)%North America (Common Stock) (2,986) (27,605) (26,516) (3.36)%Total $(1,290,091) $(1,291,370) (163.77)%Repurchase Agreements: North America 140,248 $140,248 $140,248 17.78 %Europe 31,753 31,753 31,753 4.03 %Total 172,001 $172,001 $172,001 21.81 %Financial Derivatives–Assets: North America 1,401,261 $61,560 $80,029 10.15 %Europe — — — — %Total 1,401,261 $61,560 $80,029 10.15 %Financial Derivatives–Liabilities: North America (936,799) $(30,598) $(63,084) (8.00)%Europe (37,199) (2,957) (3,032) (0.39)%Total (973,998) $(33,555) $(66,116) (8.39)% | |||
[3] | At December 31, 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 100.30%, 53.97%, and 9.33% of equity, respectively. | |||
[4] | 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 163.60%A/A/A 0.98%Baa/BBB/BBB 5.62%Ba/BB/BB or below 80.65%Unrated 24.61% | |||
[5] | 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. | |||
[6] | 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% | |||
[7] | 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 % | |||
[8] | At December 31, 2014, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation, represented 121.95% and 31.44% 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 $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Derivative [Line Items] | |||
Net Realized Gain/Loss on Financial Derivatives | ($11,211) | ($21,479) | ($34,797) |
Unrealized Gain (Loss) on Financial Derivatives | -8,272 | 13,482 | 13,417 |
Financial Derivatives - Assets [Member] | |||
Derivative [Line Items] | |||
Net Realized Gain/Loss on Financial Derivatives | 26,098 | -7,876 | -17,464 |
Unrealized Gain (Loss) on Financial Derivatives | 9,338 | 26,486 | -2,201 |
Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Credit | Credit | Credit |
Net Realized Gain/Loss on Financial Derivatives | -4,596 | -2,826 | -1,164 |
Unrealized Gain (Loss) on Financial Derivatives | 4,547 | 1,070 | 3,218 |
Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Credit | Credit | Credit |
Net Realized Gain/Loss on Financial Derivatives | -4,662 | -5,954 | -14,870 |
Unrealized Gain (Loss) on Financial Derivatives | 2,059 | 1,082 | -5,887 |
Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Credit | Credit | Credit |
Net Realized Gain/Loss on Financial Derivatives | 1,938 | 626 | -1,548 |
Unrealized Gain (Loss) on Financial Derivatives | -2,589 | 1,026 | 570 |
Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Equity Market | Equity Market | |
Net Realized Gain/Loss on Financial Derivatives | 12,975 | 2,992 | |
Unrealized Gain (Loss) on Financial Derivatives | 3 | 4 | |
Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Interest Rates | Interest Rates | Interest Rates |
Net Realized Gain/Loss on Financial Derivatives | 10,610 | -2,829 | 169 |
Unrealized Gain (Loss) on Financial Derivatives | 5,101 | 23,548 | -91 |
Financial Derivatives - Assets [Member] | Futures [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Interest Rates/Equity Market | Interest Rates | |
Net Realized Gain/Loss on Financial Derivatives | 4,841 | -51 | |
Unrealized Gain (Loss) on Financial Derivatives | 261 | -11 | |
Financial Derivatives - Assets [Member] | Forwards [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Currency | ||
Net Realized Gain/Loss on Financial Derivatives | 3,845 | ||
Unrealized Gain (Loss) on Financial Derivatives | 884 | ||
Financial Derivatives - Assets [Member] | Other Derivatives [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Credit/ Interest Rates | Credit/ Interest Rates | |
Net Realized Gain/Loss on Financial Derivatives | 1,147 | 115 | |
Unrealized Gain (Loss) on Financial Derivatives | -928 | -244 | |
Financial Derivatives - Liabilities [Member] | |||
Derivative [Line Items] | |||
Net Realized Gain/Loss on Financial Derivatives | -37,309 | -13,603 | -17,333 |
Unrealized Gain (Loss) on Financial Derivatives | -17,610 | -13,004 | 15,618 |
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Credit | Credit | Credit |
Net Realized Gain/Loss on Financial Derivatives | -78 | -78 | -79 |
Unrealized Gain (Loss) on Financial Derivatives | 111 | -349 | -1 |
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Credit | Credit | Credit |
Net Realized Gain/Loss on Financial Derivatives | 3,111 | 1,870 | 9,665 |
Unrealized Gain (Loss) on Financial Derivatives | -1,743 | 2,869 | -491 |
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Credit | Credit | Credit |
Net Realized Gain/Loss on Financial Derivatives | -6,242 | -9,573 | -579 |
Unrealized Gain (Loss) on Financial Derivatives | 6,926 | -9,157 | -122 |
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Credit | ||
Net Realized Gain/Loss on Financial Derivatives | 270 | ||
Unrealized Gain (Loss) on Financial Derivatives | -782 | ||
Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Equity Market | Equity Market | Equity Market |
Net Realized Gain/Loss on Financial Derivatives | -5,671 | -5,260 | -3,563 |
Unrealized Gain (Loss) on Financial Derivatives | 46 | -3 | 209 |
Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Interest Rates | Interest Rates | Interest Rates |
Net Realized Gain/Loss on Financial Derivatives | -23,939 | 319 | -22,777 |
Unrealized Gain (Loss) on Financial Derivatives | -24,318 | -3,940 | 16,094 |
Financial Derivatives - Liabilities [Member] | Futures [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Interest Rates/Equity Market | Interest Rates | Interest Rates |
Net Realized Gain/Loss on Financial Derivatives | -252 | -795 | 0 |
Unrealized Gain (Loss) on Financial Derivatives | 2,291 | -2,302 | -71 |
Financial Derivatives - Liabilities [Member] | Forwards [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Currency | Currency | |
Net Realized Gain/Loss on Financial Derivatives | -2,215 | 0 | |
Unrealized Gain (Loss) on Financial Derivatives | -98 | -38 | |
Financial Derivatives - Liabilities [Member] | Other Derivatives [Member] | |||
Derivative [Line Items] | |||
Primary risk exposure | Credit/ Interest Rates/Equity Market | Interest Rates/ Equity Market | |
Net Realized Gain/Loss on Financial Derivatives | -2,293 | -86 | |
Unrealized Gain (Loss) on Financial Derivatives | ($43) | ($84) |
Financial_Derivatives_Financia
Financial Derivatives Financial Derivatives (Schedule of Derivative Activity) (Details) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Interest Rate Swaps [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | $2,227,315 | $828,442 |
Credit Default Swap [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 552,411 | 319,603 |
Total Return Swaps [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 55,108 | 29,212 |
Futures [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 738,830 | 134,831 |
Option contract [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 926,369 | 10,736 |
Forwards [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 42,143 | 369 |
Warrant [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | $120 | $0 |
Financial_Derivatives_Schedule1
Financial Derivatives (Schedule Of Credit Derivatives) (Details) (USD $) | Dec. 31, 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 | $27,741 | $1,421 | ||
Notional value | -341,014 | [1] | -120,497 | [1] |
Credit Default Swap, Buying Protection [Member] | ||||
Credit Derivatives [Line Items] | ||||
Fair Value of Written Credit Derivatives, Net | -3,287 | [2] | 57 | [2] |
Notional value | $54,874 | [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 $) | 12 Months Ended | |
In Millions, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Derivative [Line Items] | ||
Low Range Of Spread On Written Credit Derivatives | 0.15% | 0.25% |
High Range Of Spread On Written Credit Derivatives | 5.00% | 5.00% |
Credit Default Swap, Selling Protection [Member] | ||
Derivative [Line Items] | ||
Total net up-front payments received | $28.90 | $2.50 |
Schedule_of_Reverse_Repurchase
Schedule of Reverse Repurchase Agreements by Maturity (Details) (USD $) | 12 Months Ended | |||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | ||
Reverse Repurchase Agreements [Line Items] | ||||
Reverse repurchase agreements | $1,669,433 | [1] | $1,236,166 | [1] |
Debt, Weighted Average Interest Rate | 0.65% | 0.90% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 105 days | 56 days | ||
Maturity up to 30 days [Member] | ||||
Reverse Repurchase Agreements [Line Items] | ||||
Reverse repurchase agreements | 715,194 | 369,861 | ||
Debt, Weighted Average Interest Rate | 0.22% | 0.53% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 14 days | 14 days | ||
Maturity 31 to 60 days [Member] | ||||
Reverse Repurchase Agreements [Line Items] | ||||
Reverse repurchase agreements | 322,874 | 402,206 | ||
Debt, Weighted Average Interest Rate | 0.52% | 1.12% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 44 days | 45 days | ||
Maturity 61 to 90 days [Member] | ||||
Reverse Repurchase Agreements [Line Items] | ||||
Reverse repurchase agreements | 289,276 | 320,161 | ||
Debt, Weighted Average Interest Rate | 0.52% | 0.78% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 71 days | 72 days | ||
Maturity 91 to 120 days [Member] | ||||
Reverse Repurchase Agreements [Line Items] | ||||
Reverse repurchase agreements | 0 | 8,233 | ||
Debt, Weighted Average Interest Rate | 0.00% | 1.40% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 0 days | 100 days | ||
Maturity 121 to 150 days [Member] | ||||
Reverse Repurchase Agreements [Line Items] | ||||
Reverse repurchase agreements | 21,236 | 38,856 | ||
Debt, Weighted Average Interest Rate | 2.03% | 0.49% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 139 days | 135 days | ||
Maturity 151 to 180 days [Member] | ||||
Reverse Repurchase Agreements [Line Items] | ||||
Reverse repurchase agreements | 123,484 | 96,849 | ||
Debt, Weighted Average Interest Rate | 1.25% | 1.90% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 162 days | 179 days | ||
Maturity 181 to 360 days [Member] | ||||
Reverse Repurchase Agreements [Line Items] | ||||
Reverse repurchase agreements | 47,768 | 0 | ||
Debt, Weighted Average Interest Rate | 0.85% | 0.00% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 274 days | 0 days | ||
Maturity greater than 360 days [Member] | ||||
Reverse Repurchase Agreements [Line Items] | ||||
Reverse repurchase agreements | $149,601 | $0 | ||
Debt, Weighted Average Interest Rate | 2.41% | 0.00% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 631 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 $) | 12 Months Ended | |||
Dec. 31, 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 | 1,669,433,000 | [1] | 1,236,166,000 | [1] |
Number of Counterparties with Outstanding Reverse Repurchase Agreements | 16 | 14 | ||
Concentration Risk, Reverse Repurchase Agreements | 23.00% | 39.00% | ||
Number Counterparties With Concentration Risk, Reverse Repurchase Agreements | 1 | 2 | ||
Forward Starting Reverse Repurchase Agreements | 50,100,000 | 48,700,000 | ||
Investments held with dealers as collateral | 1,930,000,000 | 1,460,000,000 | ||
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | 145,500,000 | 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 | 2 days | 2 days | ||
Reverse Repurchase Agreements Interest Rate | -1.50% | 0.32% | ||
Maximum [Member] | ||||
Reverse Repurchase Agreements [Line Items] | ||||
Reverse Repurchase Agreements Maturity | 180 days | |||
Reverse Repurchase Agreements Remaining Terms | 631 days | 180 days | ||
Reverse Repurchase Agreements Interest Rate | 2.42% | 2.27% | ||
Reverse Repurchase Agreements [Member] | ||||
Reverse Repurchase Agreements [Line Items] | ||||
Cash Collateral (Received) Pledged | 14,245,000 | [2],[3] | 2,926,000 | [2],[3] |
Security Owned and Pledged as Collateral, Fair Value | 12,500,000 | 20,600,000 | ||
[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, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of December 31, 2014 and December 31, 2013 were $1.94 billion and $1.48 billion, respectively. As of December 31, 2014 and December 31, 2013, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $22.7 million and $3.2 million, respectively. As of December 31, 2014 and December 31, 2013, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $23.2 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 | 12 Months Ended | ||||||||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Base Management Fee And Incentive Fee [Abstract] | ||||||||||||
Annual base management fee percentage | 1.50% | |||||||||||
Management fee description | Periods after January 1, 2013 - 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. Periods prior to January 1, 2013 - Under the previous management agreement, the Company paid the Manager a base management fee quarterly in arrears in an amount equal to 1.50% per annum of shareholders' equity calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that shareholders' equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the independent directors, and approval by a majority of the independent directors in the case of non-cash charges. | |||||||||||
Management Fee Expense | $2,963 | $3,056 | [1] | $2,368 | $2,364 | $2,365 | $2,378 | $2,405 | $1,967 | $10,751 | $9,115 | $6,835 |
Incentive fee rate | 25.00% | |||||||||||
Incentive fees arrangement | Periods after January 1, 2013 - The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) 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 December 31, 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. Periods prior to January 1, 2013 - The Manager was entitled to receive a quarterly incentive fee calculated in accordance with the above described calculation except (a) For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in shareholders' equity from operations of the Company, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period; (b) For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in shareholders' equity from operations (expressed as a positive number) or net decrease in shareholders' equity from operations (expressed as a negative number) for such fiscal quarter; and (c) For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all of the Company's common share issuances up to the end of such fiscal quarter, with each issuance weighted by both the number of shares issued in such issuance and the number of days that such issued shares were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to the Company's common shares at the beginning of such fiscal quarter by (II) the average number of the Company's common shares outstanding for each day during such fiscal quarter, and (iii) the average number of the Company's common shares and LTIP Units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares (A) as equity incentive awards, (B) to the Manager as part of its base management fee or incentive fee and (C) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. | |||||||||||
Incentive fee hurdle rate fixed | 9.00% | |||||||||||
Incentive fee hurdle rate floating | 3.00% | |||||||||||
Incentive Fee Expense | $0 | $1,400 | [1] | $0 | $0 | $3,091 | $2,038 | $1,182 | $2,055 | $1,400 | $8,366 | $19,145 |
Minimum percentage of incentive fee to be paid in share | 10.00% | |||||||||||
[1] | Prior period conformed to current period presentation. |
LongTerm_Incentive_Plan_Units_1
Long-Term Incentive Plan Units (Narrative) (Details) (USD $) | 12 Months Ended | 4 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2007 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Allocated Share-based Compensation Expense | $267 | $179 | $135 | |
Manager [Member] | Long-Term Incentive Plan Units [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
LTIP units granted | 375,000 |
LongTerm_Incentive_Plan_Units_2
Long-Term Incentive Plan Units (Roll-Forward Of Company's LTIP Units Outstanding) (Details) | 12 Months Ended | ||
Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||
Exercised | -1,822 | -1,782 | -1,250 |
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 | 390,500 |
Granted | 20,084 | 15,738 | 7,846 |
Exercised | -1,822 | -1,782 | -1,250 |
LTIP Units Outstanding | 429,314 | 411,052 | 397,096 |
LTIP Units Vested and Outstanding | 404,859 | 395,314 | 389,250 |
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 |
Granted | 0 | 0 | 0 |
Exercised | 0 | 0 | 0 |
LTIP Units Outstanding | 375,000 | 375,000 | 375,000 |
LTIP Units Vested and Outstanding | 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 | 15,500 |
Granted | 20,084 | 15,738 | 7,846 |
Exercised | -1,822 | -1,782 | -1,250 |
LTIP Units Outstanding | 54,314 | 36,052 | 22,096 |
LTIP Units Vested and Outstanding | 29,859 | 20,314 | 14,250 |
Noncontrolling_Interests_Detai
Non-controlling Interests (Details) (USD $) | 0 Months Ended | 12 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Jan. 02, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Noncontrolling Interest [Line Items] | |||||
Stockholders' Equity Attributable to Noncontrolling Interest | 6,389 | $5,648 | |||
Noncontrolling Interest [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Stockholders' Equity Attributable to Noncontrolling Interest | 6,389 | 5,648 | 0 | 0 | |
Non-controlling interest in Operating Partnership [Member] | Noncontrolling Interest [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Operating Partnership Units Issued | 212,000 | ||||
Operating Partnership Units | 212,000 | ||||
Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | 0.60% | ||||
Non-controlling interest of joint venture partner [Member] | Noncontrolling Interest [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | 5.00% | ||||
Stockholders' Equity Attributable to Noncontrolling Interest | 1,500 |
Common_Share_Capitalization_Na
Common Share Capitalization (Narrative) (Details) (USD $) | 0 Months Ended | 12 Months Ended | 41 Months Ended | 0 Months Ended | |||||
Sep. 08, 2014 | 14-May-13 | Aug. 04, 2011 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Aug. 20, 2012 | Sep. 12, 2012 | |
Common Stock Capitalization [Line Items] | |||||||||
Dividends (in usd per share) | $3.08 | $3.83 | $2.50 | ||||||
Payments of Dividends | ($86,449,000) | ($92,067,000) | ($47,412,000) | ||||||
Stock Issued During Period, Shares, New Issues | 8,000,000 | 5,000,000 | 8,000,000 | 5,000,000 | 4,025,000 | ||||
Net proceeds from share issuance | 188,200,000 | 125,300,000 | |||||||
Overallotment Option Percentage By Underwriters | 15.00% | ||||||||
Aggregate cost of shares repurchase | 10,000,000 | ||||||||
Shares repurchased | 0 | 0 | -156,639 | -217,619 | |||||
Aggregate cost of shares repurchased | 0 | 0 | 3,430,000 | 4,500,000 | |||||
Average price per share repurchased (in usd per share) | $20.59 | ||||||||
Common Shares Issued And Outstanding Upon Conversion of All Convertible Securities | 34,090,992 | 26,051,238 | 34,090,992 | ||||||
Common Shares Issued And Outstanding Upon Conversion Of All LTIP Units | 20,767,565 | ||||||||
Secondary public offering [Member] | |||||||||
Common Stock Capitalization [Line Items] | |||||||||
Stock Issued During Period, Shares, New Issues | 3,500,000 | ||||||||
Net proceeds from share issuance | 76,700,000 | ||||||||
Secondary public offering overallotment option [Member] | |||||||||
Common Stock Capitalization [Line Items] | |||||||||
Stock Issued During Period, Shares, New Issues | 525,000 | ||||||||
Net proceeds from share issuance | $11,100,000 |
Common_Share_Capitalization_Su
Common Share Capitalization (Summary Of Common Shares Outstanding) (Details) | 0 Months Ended | 12 Months Ended | 41 Months Ended | |||
Sep. 08, 2014 | 14-May-13 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Common Shares Outstanding, period begin | 25,428,186 | 20,370,469 | 16,447,651 | |||
Stock Issued During Period, Shares, New Issues | 8,000,000 | 5,000,000 | 8,000,000 | 5,000,000 | 4,025,000 | |
Shares issued in connection with incentive fee payment | 19,670 | 55,935 | 53,207 | |||
Shares repurchased | 0 | 0 | -156,639 | -217,619 | ||
LTIP Units Exercised | 1,822 | 1,782 | 1,250 | |||
Common Shares Outstanding, period end | 33,449,678 | 25,428,186 | 20,370,469 | 33,449,678 |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||||||
Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |||||
Net increase (decrease) in shareholders' equity resulting from operations | |||||||||||||||
Net Income (Loss) Attributable to Parent | $2,637,000 | $12,948,000 | [1] | $20,947,000 | $22,635,000 | $14,862,000 | $11,727,000 | $11,600,000 | $40,335,000 | $59,167,000 | $78,524,000 | $97,146,000 | |||
Net Income (Loss) Attributable to Participating Non-controlling Interest | 472,000 | [2] | 735,000 | [2] | 0 | [2] | |||||||||
Net income (loss) attributable to parent and participating non-controlling interest | 59,639,000 | 79,259,000 | 97,146,000 | ||||||||||||
Net increase in shareholders' equity resulting from operations– common shares | 58,306,000 | 77,219,000 | 95,064,000 | ||||||||||||
Net increase in shareholders' equity resulting from operations– LTIP units | 861,000 | 1,305,000 | 2,082,000 | ||||||||||||
Dividends Paid(2): | |||||||||||||||
Common shareholders | -84,527,000 | [3] | -89,732,000 | [3] | -46,433,000 | [3] | |||||||||
LTIP unit holders | -1,269,000 | [3] | -1,524,000 | [3] | -979,000 | [3] | |||||||||
Non-controlling Interest | -653,000 | [3] | -811,000 | [3] | 0 | [3] | |||||||||
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | -86,449,000 | [3],[4] | -92,067,000 | [3],[4] | -47,412,000 | [3],[4] | |||||||||
Undistributed (Distributed in excess of) earnings: | |||||||||||||||
Common shareholders | -26,221,000 | -12,513,000 | 48,631,000 | ||||||||||||
LTIP Unit holders | -408,000 | -219,000 | 1,103,000 | ||||||||||||
Non-controlling interest | -181,000 | -76,000 | 0 | ||||||||||||
Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | -26,810,000 | -12,808,000 | 49,734,000 | ||||||||||||
Weighted average shares outstanding (basic and diluted): | |||||||||||||||
Weighted average common shares outstanding | 27,962,304 | 23,587,692 | 17,897,996 | ||||||||||||
Weighted average participating LTIP units | 413,105 | 398,789 | 391,944 | ||||||||||||
Weighted average non-controlling interest units | 212,000 | 212,000 | 0 | ||||||||||||
Basic earnings per common share: | |||||||||||||||
Distributed (in usd per share) | $3.08 | $3.83 | $2.50 | ||||||||||||
Undistributed (in usd per share) | ($0.99) | ($0.55) | $2.81 | ||||||||||||
Basic earnings per common share (in usd per share) | $2.09 | $3.28 | $5.31 | ||||||||||||
Diluted earnings per common share: | |||||||||||||||
Distributed (in usd per share) | $3.08 | $3.83 | $2.50 | ||||||||||||
Undistributed (in usd per share) | ($0.99) | ($0.55) | $2.81 | ||||||||||||
Diluted earnings per common share (in usd per share) | $2.09 | $3.28 | $5.31 | ||||||||||||
Net Income (Loss) Attributable to Non-Participating Non-controlling Interest | $300,000 | $100,000 | |||||||||||||
[1] | Prior period conformed to current period presentation. | ||||||||||||||
[2] | For the years ended December 31, 2014 and 2013, excludes net increase in equity resulting from operations of $0.3 million and $0.1 million, respectively attributable to the joint venture partner, which has non-participating interests as described in Note 9. | ||||||||||||||
[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. | ||||||||||||||
[4] | For the years ended December 31, 2014, 2013, and 2012, dividends totaling $3.08, $3.83, and $2.50, respectively, per common share and convertible unit outstanding, were declared and paid. |
Counterparty_Risk_Narrative_De
Counterparty Risk (Narrative) (Details) (USD $) | 12 Months Ended | |||
Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |
Risks and Uncertainties [Abstract] | ||||
Collateral Pledged on Reverse Repurchase Agreements Segregated under Securities Exchange Commission Regulation | $1,940,000,000 | |||
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | 145,500,000 | 13,300,000 | ||
Unencumbered investments held in custody | 158,700,000 | |||
Cash and Cash Equivalents, at Carrying Value | $114,140,000 | $183,489,000 | $59,084,000 | $62,737,000 |
Concentration risk threshold | 15.00% |
Counterparty_Risk_Of_Total_Col
Counterparty Risk (% Of Total Collateral On Reverse Repurchase Agreements) (Details) | Dec. 31, 2014 |
Deutsche Bank [Member] | |
Concentration Risk [Line Items] | |
% of Total Collateral on Reverse Repurchase Agreements | 22.00% |
Royal Bank of Canada [Member] | |
Concentration Risk [Line Items] | |
% of Total Collateral on Reverse Repurchase Agreements | 17.00% |
Counterparty_Risk_Of_Due_from_
Counterparty Risk (% Of Due from Brokers) (Details) | Dec. 31, 2014 |
Morgan Stanley [Member] | |
Concentration Risk [Line Items] | |
% of Total Due from Brokers | 57.00% |
JP Morgan Securities Inc [Member] | |
Concentration Risk [Line Items] | |
% of Total Due from Brokers | 20.00% |
Counterparty_Risk_Of_Total_Rec
Counterparty Risk (% Of Total Receivable For Securities Sold) (Details) | Dec. 31, 2014 |
CS First Boston [Member] | |
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 25.00% |
Morgan Stanley [Member] | |
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 20.00% |
Citigroup [Member] | |
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 15.00% |
Counterparty_Risk_Cash_and_Cas
Counterparty Risk (Cash and Cash Equivalents) (Details) | Dec. 31, 2014 | Dec. 31, 2013 |
BlackRock Liquidity Temp Fund [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 88.00% | 0.00% |
Bank of New York Mellon Corporation [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 11.00% | 73.00% |
US Bank [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 1.00% | 0.00% |
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 $) | Dec. 31, 2014 | Dec. 31, 2013 | ||
Offsetting of Assets and Liabilities [Line Items] | ||||
Financial derivatives–assets, at fair value- | $80,029,000 | [1] | $59,664,000 | [1] |
Fair value repurchase agreements | 172,001,000 | [1] | 27,962,000 | [1] |
Financial derivatives–liabilities, at fair value- | -66,116,000 | [1] | -44,791,000 | [1] |
Reverse Repurchase Agreements | -1,669,433,000 | [1] | -1,236,166,000 | [1] |
Derivative Liability Instruments available for offset | -40,671,000 | -24,162,000 | ||
Reverse Repurchase Agreements Available for Offset | -172,001,000 | -27,962,000 | ||
Derivative Asset Instruments available for offset | 26,758,000 | 24,162,000 | ||
Repurchase Agreements Available for Offset | 172,001,000 | 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 | 1,940,000,000 | 1,480,000,000 | ||
Financial Derivatives - Assets [Member] | ||||
Offsetting of Assets and Liabilities [Line Items] | ||||
Financial derivatives–assets, at fair value- | 80,029,000 | [2],[3] | 59,664,000 | [2],[4] |
Financial Instruments Pledged as Collateral | 0 | [5],[6] | 0 | [5],[6] |
Cash Collateral (Received) Pledged | -5,578,000 | [5],[6] | -17,273,000 | [5],[6] |
Derivatives and Related Collateral Net | 33,780,000 | 18,229,000 | ||
Excess cash collateral | 22,700,000 | 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 | 1,483,187,000 | [5],[6] | 1,205,278,000 | [5],[6] |
Cash Collateral (Received) Pledged | 14,245,000 | [5],[6] | 2,926,000 | [5],[6] |
Financial Derivatives - Liabilities [Member] | ||||
Offsetting of Assets and Liabilities [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | -66,116,000 | [2],[3],[7] | -44,791,000 | [2],[4] |
Financial Instruments Pledged as Collateral | 0 | [5],[6] | 0 | [5],[6] |
Cash Collateral (Received) Pledged | 17,393,000 | [5],[6] | 20,629,000 | [5],[6] |
Derivatives and Related Collateral Net | -21,965,000 | 0 | ||
Excess cash collateral | $23,200,000 | $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 2,863,057 $2,038,249 $2,092,959 264.46 %Europe 69,724 69,360 64,611 9.16 %North America (Private Corporate Investments) n/a 14,717 14,512 1.84 %Total $2,122,326 $2,172,082 275.46 %Investments Sold Short: North America (TBAs and Government Debt) (1,159,703) $(1,230,478) $(1,234,248) (156.53)%Europe (Government Debt) (28,118) (32,008) (30,606) (3.88)%North America (Common Stock) (2,986) (27,605) (26,516) (3.36)%Total $(1,290,091) $(1,291,370) (163.77)%Repurchase Agreements: North America 140,248 $140,248 $140,248 17.78 %Europe 31,753 31,753 31,753 4.03 %Total 172,001 $172,001 $172,001 21.81 %Financial Derivatives–Assets: North America 1,401,261 $61,560 $80,029 10.15 %Europe — — — — %Total 1,401,261 $61,560 $80,029 10.15 %Financial Derivatives–Liabilities: North America (936,799) $(30,598) $(63,084) (8.00)%Europe (37,199) (2,957) (3,032) (0.39)%Total (973,998) $(33,555) $(66,116) (8.39)% | |||
[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, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of December 31, 2014 and December 31, 2013 were $1.94 billion and $1.48 billion, respectively. As of December 31, 2014 and December 31, 2013, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $22.7 million and $3.2 million, respectively. As of December 31, 2014 and December 31, 2013, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $23.2 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. | |||
[7] | The following table shows the Company's swap liabilities by dealer as a percentage of Total Equity:Dealer/Parent Company Percent of EquityAffiliates of JP Morgan (5.18)% |
Contingencies_And_Commitments_
Contingencies And Commitments Contingencies and Commitments (Details) (USD $) | Dec. 31, 2014 |
In Millions, unless otherwise specified | |
Corporate Debt [Member] | |
Other Commitments [Line Items] | |
Purchase Commitment, Remaining Minimum Amount Committed | $4 |
Corporate Debt [Member] | Due on or before December 31, 2015 [Member] | |
Other Commitments [Line Items] | |
Purchase Commitment, Remaining Minimum Amount Committed | 2 |
Corporate Debt [Member] | Due on or before June 12, 2016 [Member] | |
Other Commitments [Line Items] | |
Purchase Commitment, Remaining Minimum Amount Committed | 2 |
Loans [Member] | |
Other Commitments [Line Items] | |
Purchase Commitment, Remaining Minimum Amount Committed | 70 |
Amount Purchased Under Commitment | $11.80 |
Financial_Highlights_Narrative
Financial Highlights (Narrative) (Details) | 12 Months Ended | ||
Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Financial Highlights [Abstract] | |||
Market based total return | 0.15% | 18.11% | 46.99% |
Financial_Highlights_Results_O
Financial Highlights (Results Of Operations For A Share Outstanding) (Details) (USD $) | 12 Months Ended | ||||||
Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||||
Increase (Decrease) Equity Per Share [Roll Forward] | |||||||
Beginning Shareholders' Equity Per Share (12/31/2013, 12/31/2012, and 12/31/2011, respectively) | $24.40 | [1] | $24.86 | [1] | $22.55 | ||
Net Investment Income | $2.10 | $2.11 | $1.35 | ||||
Net Realized/Unrealized Gains (Losses) | $0.04 | $1.26 | $4.08 | ||||
Results of Operations Attributable to Equity | $2.14 | $3.37 | $5.43 | ||||
Less: Results of Operations Attributable to Non-controlling Interests | ($0.03) | ($0.04) | $0 | ||||
Results of Operations Attributable to Shareholders' Equity | $2.11 | [2] | $3.33 | [2] | $5.43 | [2] | |
Dividends Paid Per Common Share | ($3.08) | ($3.83) | ($2.50) | ||||
Weighted Average Share Impact on Dividends Paid (2) | ($0.01) | [3] | ($0.08) | [3] | ($0.15) | [3] | |
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest | ($0.04) | $0.12 | ($0.47) | ||||
Ending Shareholders' Equity Per Share (12/31/2014, 12/31/2013, and 12/31/2012, respectively)(3) | $23.38 | [1] | $24.40 | [1] | $24.86 | [1] | |
Shares Outstanding, end of period | 33,449,678 | 25,428,186 | 20,370,469 | 16,447,651 | |||
Shareholders Equity Per Share Upon Conversion Of All Convertible Units (in usd per share) | $23.09 | $23.99 | $24.38 | ||||
[1] | If all LTIP units and OP Units previously issued were vested and exchanged for common shares as of December 31, 2014, 2013, and 2012, shareholders' equity per share would be $23.09, $23.99, and $24.38, respectively. | ||||||
[2] | Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 11). | ||||||
[3] | 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. |
Financial_Highlights_Net_Asset
Financial Highlights (Net Asset Value Based Total Return For A Shareholder) (Details) | 12 Months Ended | |||||
Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | ||||
Financial Highlights [Abstract] | ||||||
Total Return | 8.77% | [1] | 14.19% | [1] | 22.16% | [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) | 12 Months Ended | |
Dec. 31, 2014 | ||
Financial Highlights [Line Items] | ||
Total LTIP and OP Units Outstanding | 641,314 | |
Total Return | 7.39% | [1] |
Percentage of LTIP and OP units outstanding | 1.88% | |
[1] | Total return is calculated assuming all LTIP and OP Units had been converted into common shares at December 31, 2014. LTIP and OP Units outstanding at December 31, 2014 totaled 641,314 and represent 1.88% 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) | 12 Months Ended | |||||
Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | ||||
Financial Highlights [Abstract] | ||||||
Net Investment Income | 8.62% | [1],[2] | 8.40% | [1],[2] | 5.59% | [1],[2] |
[1] | Includes incentive fee in calculation which can vary substantially over periods. | |||||
[2] | Average equity is calculated using month end values. |
Financial_Highlights_Expense_R
Financial Highlights (Expense Ratios To Average Equity) (Details) | 12 Months Ended | |||||
Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | ||||
Financial Highlights [Abstract] | ||||||
Operating expenses before incentive fee, interest expense, and other investment related expenses | -2.80% | [1] | -2.74% | [1] | -2.94% | [1] |
Ratio Of Incentive Fee To Average Equity | -0.21% | [1] | -1.42% | [1] | -4.43% | [1] |
Interest expense and other investment related expenses | -2.14% | [1] | -1.95% | [1] | -1.80% | [1] |
Total Expenses | -5.15% | [1] | -6.11% | [1] | -9.17% | [1] |
[1] | Average equity is calculated using month end values. |
Condensed_Quarterly_Financial_2
Condensed Quarterly Financial Data (Unaudited) (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||||||||||
In Thousands, except Per Share data, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | ||||||||
INVESTMENT INCOME | |||||||||||||||||||
Interest income | $28,688 | $22,353 | [1] | $20,996 | $21,496 | $22,954 | $24,069 | $20,335 | $18,382 | $93,533 | $85,740 | $63,857 | |||||||
Other investment income | 150 | 168 | [1] | 0 | 0 | 0 | 0 | 0 | 0 | 318 | 0 | 0 | |||||||
Total investment income | 28,838 | 22,521 | [1] | 20,996 | 21,496 | 22,954 | 24,069 | 20,335 | 18,382 | 93,851 | 85,740 | 63,857 | |||||||
EXPENSES | |||||||||||||||||||
Base management fee | 2,963 | 3,056 | [1] | 2,368 | 2,364 | 2,365 | 2,378 | 2,405 | 1,967 | 10,751 | 9,115 | 6,835 | |||||||
Incentive fee | 0 | 1,400 | [1] | 0 | 0 | 3,091 | 2,038 | 1,182 | 2,055 | 1,400 | 8,366 | 19,145 | |||||||
Interest expense | 2,705 | 2,179 | [1] | 2,416 | 2,627 | 3,024 | 3,277 | 2,582 | 2,142 | 9,927 | 11,025 | 7,799 | |||||||
Other investment related expenses | 1,810 | 1,217 | [1] | 1,232 | 430 | 84 | 85 | 327 | 0 | 4,689 | 496 | 0 | |||||||
Other operating expenses | 2,295 | 2,070 | [1] | 1,974 | 1,994 | 1,878 | 1,885 | 1,671 | 1,649 | ||||||||||
Total expenses | 9,773 | 9,922 | [1] | 7,990 | 7,415 | 10,442 | 9,663 | 8,167 | 7,813 | 35,100 | 36,085 | 39,670 | |||||||
Net investment income | 19,065 | 12,599 | [1] | 13,006 | 14,081 | 12,512 | 14,406 | 12,168 | 10,569 | 58,751 | 49,655 | 24,187 | |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION | |||||||||||||||||||
Total net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | -2,447 | -8,483 | [1] | 3,684 | 11,408 | -4,550 | 4,289 | 5,671 | 12,592 | 4,162 | 18,002 | -11,247 | |||||||
Change in Net Unrealized Gain Loss On Investments, Financial derivatives, and Foreign currency translation | -13,858 | 9,031 | [1] | 4,514 | -2,651 | 7,126 | -6,872 | -6,134 | 17,585 | -2,964 | 11,705 | 84,206 | |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION | -16,305 | 548 | [1] | 8,198 | 8,757 | 2,576 | -2,583 | -463 | 30,177 | 1,198 | 29,707 | 72,959 | |||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 2,760 | 13,147 | [1] | 21,204 | 22,838 | 15,088 | 11,823 | 11,705 | 40,746 | 59,949 | 79,362 | 97,146 | |||||||
Net Income (Loss) Attributable to Noncontrolling Interest | 123 | 199 | [1] | 257 | 203 | 226 | 96 | 105 | 411 | 782 | 838 | 0 | |||||||
Net Income (Loss) Attributable to Parent | $2,637 | $12,948 | [1] | $20,947 | $22,635 | $14,862 | $11,727 | $11,600 | $40,335 | $59,167 | $78,524 | $97,146 | |||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | |||||||||||||||||||
Basic and Diluted (in usd per share) | $0.08 | [2] | $0.46 | [1],[2] | $0.81 | [2] | $0.88 | [2] | $0.58 | [3] | $0.45 | [3] | $0.49 | [3] | $1.94 | [3] | $2.09 | $3.28 | $5.31 |
[1] | Prior period conformed to current period presentation. | ||||||||||||||||||
[2] | For the year ended December 31, 2014 the sum of EPS for the four quarters of the year does not equal EPS as calculated for the entire year (see Note 11) as a result of issuances of common shares and LTIP units during the year, as EPS is calculated using average shares outstanding during the period. | ||||||||||||||||||
[3] | For the year ended December 31, 2013 the sum of EPS for the four quarters of the year does not equal EPS as calculated for the entire year (see Note 11) as a result of issuances of common shares and LTIP units during the year, as EPS is calculated using average shares outstanding during the period. |
Subsequent_Events_Details
Subsequent Events (Details) (Subsequent Event [Member], USD $) | 0 Months Ended |
Feb. 10, 2015 | |
Subsequent Event [Member] | |
Subsequent Event [Line Items] | |
Dividend Per Share | $0.65 |
Declared date | 10-Feb-15 |
Payment Date | 16-Mar-15 |
Record Date | 27-Feb-15 |